UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-2546

Fidelity Commonwealth Trust
(Exact name of registrant as specified in charter)

245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices)       (Zip code)

Scott C. Goebel, Secretary

245 Summer St.

Boston, Massachusetts 02210
(Name and address of agent for service)

Registrant's telephone number, including area code: 617-563-7000

Date of fiscal year end:

November 30

 

 

Date of reporting period:

May 31, 2013

Item 1. Reports to Stockholders

Fidelity ®

Nasdaq Composite Index ® Tracking Stock

Semiannual Report

May 31, 2013

(Fidelity Cover Art)

Contents

Premium/Discount Analysis

(Click Here)

Information regarding the fund's NAV and market price.

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

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-FIDELITY to request a free copy of the proxy voting guidelines.

Nasdaq®, OMX®, NASDAQ OMX®, Nasdaq Composite®, and The Nasdaq Stock Market®, Inc. are registered trademarks of The NASDAQ OMX Group, Inc. (which with its Affiliates are the Corporations) and are licensed for use by Fidelity. The product has not been passed on by the Corporations as to its legality or suitability. The product is not issued, endorsed or sold by the Corporations. The Corporations make no warranties and bear no liability with respect to shares of the product.

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. © 2013 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

Premium/Discount Analysis (Unaudited)

Shares of Fidelity® Nasdaq Composite Index® Tracking Stock (the fund) are listed on The Nasdaq Stock Market® and can be bought and sold on the secondary market at market prices. Although the market price is expected to approximate the fund's NAV, it is possible that the market price and NAV will vary significantly. The closing market price is the daily closing price as reported on The Nasdaq Stock Market.

Premiums or discounts are the differences (expressed as a basis point differential with 1 basis point equaling 1/100 of 1%) between the fund's NAV and closing market price. A premium indicates that the closing market price is trading above the NAV. A discount indicates that the closing market price is trading below the NAV. A discrepancy may exist with respect to the timing of when the NAV is calculated and the determination of the closing market price.

The chart below presents information about the differences between the fund's daily closing market price and the fund's NAV.

Periods Ended May 31, 2013

From June 1, 2008

 

 

 

to May 31, 2013

Closing Price
Below NAV

Closing Price Above
or Equal to NAV

Basis Point Differential

Number of
Days

% of Total
Days

Number of
Days

% of Total
Days

0 - <25

480

38.13%

367

29.15%

25 - <50

141

11.20%

104

8.26%

50 - <75

47

3.73%

35

2.78%

75 - <100

23

1.83%

13

1.03%

100 or above

25

1.98%

24

1.91%

Total

716

56.87%

543

43.13%

Semiannual Report

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2012 to May 31, 2013).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Annualized
Expense Ratio B

Beginning
Account Value
December 1, 2012

Ending
Account Value
May 31, 2013

Expenses Paid
During Period *
December 1, 2012
to May 31, 2013

Actual

.30%

$ 1,000.00

$ 1,154.30

$ 1.61

Hypothetical A

 

$ 1,000.00

$ 1,023.44

$ 1.51

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

Semiannual Report

Investment Changes (Unaudited)

Top Ten Stocks as of May 31, 2013

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

7.9

11.9

Microsoft Corp.

5.5

4.8

Google, Inc. Class A

4.4

4.0

Oracle Corp.

3.0

3.4

Cisco Systems, Inc.

2.4

2.2

Amazon.com, Inc.

2.3

2.5

Intel Corp.

2.3

2.1

QUALCOMM, Inc.

2.1

2.4

Comcast Corp. Class A

1.6

1.7

Gilead Sciences, Inc.

1.6

1.2

 

33.1

Market Sectors as of May 31, 2013

 

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

48.3

50.9

Consumer Discretionary

18.5

17.5

Health Care

14.1

12.9

Financials

6.9

6.7

Industrials

4.4

4.2

Consumer Staples

4.0

4.0

Energy

1.4

1.3

Telecommunication Services

1.2

1.2

Materials

0.9

1.0

Utilities

0.1

0.1

Asset Allocation (% of fund's net assets)

To match the Nasdaq Composite Index, Fidelity Nasdaq Composite Index Tracking Stock seeks 100% investment exposure to stocks at all times.

Semiannual Report

Investments May 31, 2013

Showing Percentage of Net Assets

Common Stocks - 99.8%

Shares

Value

CONSUMER DISCRETIONARY - 18.5%

Auto Components - 0.2%

Ballard Power Systems, Inc. (a)(d)

4,911

$ 8,290

China Automotive Systems, Inc. (a)

976

5,056

China XD Plastics Co. Ltd. (a)

1,500

6,390

Dorman Products, Inc. (d)

1,491

66,394

Exide Technologies (a)

2,941

1,329

Federal-Mogul Corp. Class A (a)

3,831

37,352

Fuel Systems Solutions, Inc. (a)

788

12,285

Gentex Corp.

5,425

124,070

Gentherm, Inc. (a)

1,126

20,741

Quantum Fuel Systems Technologies Worldwide, Inc. (a)

365

217

Remy International, Inc.

1,124

20,221

Shiloh Industries, Inc.

795

7,902

SORL Auto Parts, Inc. (a)

706

1,843

Spartan Motors, Inc.

1,617

9,783

The Goodyear Tire & Rubber Co. (a)

9,100

137,774

 

459,647

Automobiles - 0.2%

Kandi Technolgies, Inc. (a)

1,230

4,613

Tesla Motors, Inc. (a)

4,431

433,175

 

437,788

Distributors - 0.2%

Core-Mark Holding Co., Inc.

470

27,819

LKQ Corp. (a)

11,232

274,959

Pool Corp.

2,038

104,855

VOXX International Corp. (a)

935

10,397

Weyco Group, Inc.

600

14,430

 

432,460

Diversified Consumer Services - 0.3%

American Public Education, Inc. (a)

786

29,899

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

4,083

81,619

Ascent Capital Group, Inc. (a)

500

36,255

Cambium Learning Group, Inc. (a)

1,422

2,019

Capella Education Co. (a)

595

25,918

Career Education Corp. (a)

3,323

9,903

Coinstar, Inc. (a)

1,125

65,520

Corinthian Colleges, Inc. (a)

3,336

8,674

Education Management Corp. (a)(d)

5,054

32,649

Grand Canyon Education, Inc. (a)

1,755

56,371

JTH Holding, Inc. Class A (a)

1,101

17,836

Learning Tree International, Inc. (a)

981

2,953

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Diversified Consumer Services - continued

Lincoln Educational Services Corp.

1,060

$ 7,303

Matthews International Corp. Class A

1,074

41,188

National American University Holdings, Inc.

744

2,812

Steiner Leisure Ltd. (a)

630

31,998

Stewart Enterprises, Inc. Class A

3,473

45,149

Strayer Education, Inc.

459

24,552

 

522,618

Hotels, Restaurants & Leisure - 2.5%

AFC Enterprises, Inc. (a)

1,036

37,773

Ambassadors Group, Inc.

986

3,500

Ameristar Casinos, Inc.

1,185

31,047

Asia Entertainment & Resources Ltd. (d)

1,500

6,375

BJ's Restaurants, Inc. (a)

1,200

45,048

Bloomin' Brands, Inc.

4,746

110,392

Bob Evans Farms, Inc.

970

44,775

Bravo Brio Restaurant Group, Inc. (a)

500

9,000

Buffalo Wild Wings, Inc. (a)

729

69,955

Caesars Entertainment Corp. (a)(d)

4,660

67,523

Carrols Restaurant Group, Inc. (a)

690

3,933

Century Casinos, Inc. (a)

1,051

3,573

China Lodging Group Ltd. ADR (a)

900

14,369

Churchill Downs, Inc.

801

67,236

Chuys Holdings, Inc.

624

21,746

Cosi, Inc. (a)

714

1,457

Cracker Barrel Old Country Store, Inc.

891

79,709

Del Frisco's Restaurant Group, Inc. (a)

807

15,002

Denny's Corp. (a)

4,424

26,677

Dunkin' Brands Group, Inc.

4,030

159,588

Einstein Noah Restaurant Group, Inc.

801

11,214

Empire Resorts, Inc. (a)

721

1,925

Fiesta Restaurant Group, Inc. (a)

690

24,543

Gaming Partners International Corp.

812

6,577

Home Inns & Hotels Management, Inc. sponsored ADR (a)

1,322

38,325

Icahn Enterprises LP

4,141

321,052

Ignite Restaurant Group, Inc. (a)

910

16,653

International Speedway Corp. Class A

1,079

37,398

Interval Leisure Group, Inc.

1,956

42,269

Isle of Capri Casinos, Inc. (a)

1,311

10,121

Jack in the Box, Inc. (a)

1,612

58,822

Jamba, Inc. (a)

2,631

7,867

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Lakes Entertainment, Inc. (a)

1,276

$ 4,657

Melco PBL Entertainment (Macau) Ltd. sponsored ADR (a)

7,108

169,028

Monarch Casino & Resort, Inc. (a)

976

15,040

Morgans Hotel Group Co. (a)

930

6,240

MTR Gaming Group, Inc. (a)

1,590

6,026

Multimedia Games Holding Co., Inc. (a)

1,111

28,430

Nathan's Famous, Inc. (a)

109

5,573

Norwegian Cruise Line Holdings Ltd.

8,000

246,000

Panera Bread Co. Class A (a)

1,101

211,205

Papa John's International, Inc. (a)

941

60,629

Penn National Gaming, Inc. (a)

2,994

164,790

Premier Exhibitions, Inc. (a)

1,531

3,062

Red Robin Gourmet Burgers, Inc. (a)

688

36,127

Rick's Cabaret International, Inc. (a)

546

4,526

Ruth's Hospitality Group, Inc.

1,954

21,885

Scientific Games Corp. Class A (a)

2,739

29,828

SHFL Entertainment, Inc. (a)

2,161

37,277

Sonic Corp. (a)

2,295

30,133

Starbucks Corp.

28,549

1,800,585

Texas Roadhouse, Inc. Class A

2,651

62,696

The Cheesecake Factory, Inc.

2,092

83,513

Town Sports International Holdings, Inc.

1,156

12,739

Wendy's Co.

14,450

85,978

Wynn Resorts Ltd.

3,892

528,884

 

5,050,295

Household Durables - 0.2%

Bassett Furniture Industries, Inc.

27

372

Cavco Industries, Inc. (a)

221

10,588

Dixie Group, Inc. (a)

511

3,792

Flexsteel Industries, Inc.

324

7,365

Garmin Ltd.

7,498

261,905

Helen of Troy Ltd. (a)

1,324

52,523

Hooker Furniture Corp.

124

2,170

iRobot Corp. (a)

926

31,290

Lifetime Brands, Inc.

540

7,268

Skullcandy, Inc. (a)

844

4,878

SodaStream International Ltd. (a)

812

51,806

Stanley Furniture Co., Inc. (a)

1,191

4,871

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

Universal Electronics, Inc. (a)

671

$ 17,916

Zagg, Inc. (a)(d)

1,431

7,227

 

463,971

Internet & Catalog Retail - 4.3%

1-800-FLOWERS.com, Inc. Class A (a)

1,800

10,962

Amazon.com, Inc. (a)

17,415

4,685,157

Blue Nile, Inc. (a)

412

14,651

CafePress, Inc. (a)

629

4,095

Ctrip.com International Ltd. sponsored ADR (a)

5,723

178,271

dELiA*s, Inc. (a)

1,231

1,169

eLong, Inc. sponsored ADR (a)

1,137

15,998

Expedia, Inc.

4,646

266,959

Gaiam, Inc. Class A (a)

826

3,345

Geeknet, Inc. (a)

322

4,675

Groupon, Inc. Class A (a)

24,642

189,251

HomeAway, Inc. (a)

3,031

92,688

HSN, Inc.

2,154

122,541

Liberty Media Corp.:

Interactive Series A (a)

20,806

467,095

Series A (a)

1,341

109,385

MakeMyTrip Ltd. (a)

1,383

17,689

Mecox Lane Ltd. ADR (a)

84

229

Netflix, Inc. (a)

2,159

488,474

NutriSystem, Inc.

1,365

12,326

Overstock.com, Inc. (a)(d)

971

25,168

PetMed Express, Inc.

827

11,074

priceline.com, Inc. (a)

1,921

1,544,350

Shutterfly, Inc. (a)

1,371

66,823

TripAdvisor, Inc. (a)

4,962

319,999

U.S. Auto Parts Network, Inc. (a)

1,216

1,508

ValueVision Media, Inc. Class A (a)

1,606

8,110

Vitacost.com, Inc. (a)

1,100

8,998

 

8,670,990

Leisure Equipment & Products - 0.4%

Arctic Cat, Inc.

439

20,585

Black Diamond, Inc. (a)

810

7,266

Hasbro, Inc.

5,059

225,024

JAKKS Pacific, Inc.

899

9,080

Johnson Outdoors, Inc. Class A (a)

118

2,921

Mattel, Inc.

13,056

584,256

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Leisure Equipment & Products - continued

Smith & Wesson Holding Corp. (a)(d)

2,189

$ 19,942

Summer Infant, Inc. (a)

940

3,074

 

872,148

Media - 7.3%

AirMedia Group, Inc. ADR (a)

2,088

3,884

AMC Networks, Inc. Class A (a)

2,530

161,971

Bona Film Group Ltd. sponsored ADR (a)

1,452

6,897

Carmike Cinemas, Inc. (a)

600

10,632

Central European Media Enterprises Ltd. Class A (a)

3,175

10,605

Charter Communications, Inc. Class A (a)

3,874

433,578

China Yida Holding Co. (a)

161

649

ChinaNet Online Holdings, Inc. (a)

700

371

Comcast Corp.:

Class A

81,435

3,269,615

Class A (special) (non-vtg.)

19,385

752,138

Crown Media Holdings, Inc. Class A (a)

13,065

26,783

CTC Media, Inc.

6,015

71,819

Cumulus Media, Inc. Class A (a)(d)

9,326

34,599

Daily Journal Corp. (a)

40

4,508

Dex Media, Inc. (a)

531

9,808

Digital Generation, Inc. (a)

1,097

7,668

DIRECTV (a)

21,897

1,338,564

Discovery Communications, Inc. (a)

5,599

441,537

Discovery Communications, Inc.:

Class B (a)

204

16,059

Class C (non-vtg.) (a)

3,297

230,691

DISH Network Corp. Class A

8,153

314,217

DreamWorks Animation SKG, Inc. Class A (a)

2,951

64,745

Emmis Communications Corp. Class A (a)

2,073

3,441

Fisher Communications, Inc.

375

15,416

Global Sources Ltd. (a)

1,719

11,706

Harris Interactive, Inc. (a)

2,721

5,034

Lamar Advertising Co. Class A (a)

3,066

143,274

Liberty Global, Inc.:

Class A (a)

5,666

417,584

Class B (a)

361

24,833

Class C (a)

3,895

267,548

Liberty Media Corp. Class A (a)

4,636

578,851

Loral Space & Communications Ltd.

823

49,561

MDC Partners, Inc. Class A (sub. vtg.)

1,636

28,843

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Morningstar, Inc.

1,747

$ 120,159

National CineMedia, Inc.

2,100

34,881

Navarre Corp. (a)

1,456

3,436

News Corp.:

Class A

56,931

1,828,054

Class B

32,509

1,048,090

Nexstar Broadcasting Group, Inc. Class A

925

25,900

ReachLocal, Inc. (a)

1,032

14,345

Reading International, Inc. Class A (a)

408

2,481

Rentrak Corp. (a)

486

11,246

RRSat Global Communications Network Ltd.

906

7,592

Salem Communications Corp. Class A

702

5,237

Scholastic Corp.

1,352

40,884

Sinclair Broadcast Group, Inc. Class A

2,814

76,062

Sirius XM Radio, Inc.

250,920

873,202

Spanish Broadcasting System, Inc. Class A (a)

162

671

Starz - Liberty Capital Series A (a)

4,636

106,999

The Madison Square Garden Co. Class A (a)

2,409

140,999

Value Line, Inc.

450

4,086

Viacom, Inc.:

Class A

1,874

125,745

Class B (non-vtg.)

17,235

1,135,614

Virgin Media, Inc.

10,205

506,780

VisionChina Media, Inc. ADR (a)

156

356

WPP PLC ADR

363

30,880

 

14,901,128

Multiline Retail - 0.3%

Dollar Tree, Inc. (a)

8,723

419,053

Fred's, Inc. Class A

1,558

24,710

Gordmans Stores, Inc. (a)

821

10,517

Sears Holdings Corp. (a)(d)

4,050

197,762

The Bon-Ton Stores, Inc.

511

10,879

Tuesday Morning Corp. (a)

1,641

14,621

 

677,542

Specialty Retail - 2.1%

America's Car Mart, Inc. (a)

240

10,822

Ascena Retail Group, Inc. (a)

6,180

125,639

bebe stores, Inc.

3,505

19,137

Bed Bath & Beyond, Inc. (a)

8,875

605,719

Big 5 Sporting Goods Corp.

1,041

20,830

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Body Central Corp. (a)

650

$ 7,989

Books-A-Million, Inc. (a)(d)

771

2,321

Cache, Inc. (a)

691

2,909

Citi Trends, Inc. (a)

615

8,143

Coldwater Creek, Inc. (a)(d)

849

3,133

Conn's, Inc. (a)

1,091

53,710

Destination Maternity Corp.

476

11,857

Destination XL Group, Inc. (a)

2,259

11,205

Finish Line, Inc. Class A

1,876

39,509

Five Below, Inc.

1,969

75,295

Francescas Holdings Corp. (a)

1,716

48,992

Hibbett Sports, Inc. (a)

999

56,973

Hot Topic, Inc.

1,891

26,455

Jos. A. Bank Clothiers, Inc. (a)

960

43,133

Kirkland's, Inc. (a)

931

13,928

Mattress Firm Holding Corp. (a)

1,250

44,950

Monro Muffler Brake, Inc.

1,177

55,343

O'Reilly Automotive, Inc. (a)

4,277

465,808

Orchard Supply Hardware Stores Corp. Class A (a)

187

443

Pacific Sunwear of California, Inc. (a)

2,790

9,179

Perfumania Holdings, Inc. (a)

225

1,323

PetSmart, Inc.

4,098

276,615

Rent-A-Center, Inc.

2,239

81,903

Ross Stores, Inc.

8,694

559,024

rue21, Inc. (a)

1,041

43,712

Sears Hometown & Outlet Stores, Inc. (a)

800

44,496

Select Comfort Corp. (a)

2,143

47,553

Shoe Carnival, Inc.

715

17,360

Staples, Inc.

25,940

389,100

Stein Mart, Inc.

1,770

22,886

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

873

46,557

Tile Shop Holdings, Inc. (a)

1,540

39,424

Tractor Supply Co.

2,674

299,435

Trans World Entertainment Corp.

2,495

11,751

Ulta Salon, Cosmetics & Fragrance, Inc.

2,429

220,456

Urban Outfitters, Inc. (a)

5,559

233,089

West Marine, Inc. (a)

916

10,607

Wet Seal, Inc. Class A (a)

4,042

20,048

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

Winmark Corp.

241

$ 14,405

Zumiez, Inc. (a)

1,176

37,420

 

4,180,586

Textiles, Apparel & Luxury Goods - 0.5%

Cherokee, Inc.

405

5,476

Columbia Sportswear Co.

1,371

82,562

Crocs, Inc. (a)

3,650

64,386

Deckers Outdoor Corp. (a)

1,234

66,241

Exceed Co. Ltd. (a)

1,148

1,435

Fossil, Inc. (a)

2,291

243,304

G-III Apparel Group Ltd. (a)

750

31,583

Iconix Brand Group, Inc. (a)

2,394

72,035

Joe's Jeans, Inc. (a)

2,547

4,381

Kingold Jewelry, Inc. (a)(d)

1,981

2,456

LJ International, Inc. (a)

981

1,933

lululemon athletica, Inc. (a)(d)

4,323

336,373

Perry Ellis International, Inc.

736

15,537

R.G. Barry Corp.

172

2,465

Steven Madden Ltd. (a)

1,990

96,515

True Religion Apparel, Inc.

956

30,439

Vera Bradley, Inc. (a)(d)

1,600

37,600

 

1,094,721

TOTAL CONSUMER DISCRETIONARY

37,763,894

CONSUMER STAPLES - 4.0%

Beverages - 0.2%

Coca-Cola Bottling Co. CONSOLIDATED

315

18,834

Craft Brew Alliance, Inc. (a)

712

5,397

MGP Ingredients, Inc.

716

3,831

Monster Beverage Corp. (a)

6,602

360,403

National Beverage Corp.

2,000

32,860

 

421,325

Food & Staples Retailing - 1.5%

Andersons, Inc.

716

36,473

Arden Group, Inc. Class A

150

15,984

Casey's General Stores, Inc.

1,470

89,317

Chefs' Warehouse Holdings (a)

794

14,991

China Jo-Jo Drugstores, Inc. (a)

574

362

Costco Wholesale Corp.

16,623

1,823,044

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food & Staples Retailing - continued

Fairway Group Holdings Corp.

1,000

$ 21,820

Fresh Market, Inc. (a)

1,787

88,528

Ingles Markets, Inc. Class A

286

6,298

Nash-Finch Co.

538

11,691

PriceSmart, Inc.

1,215

102,582

QKL Stores, Inc. (a)

82

339

Spartan Stores, Inc.

873

15,513

The Pantry, Inc. (a)

881

11,021

United Natural Foods, Inc. (a)

1,897

100,389

Village Super Market, Inc. Class A

275

10,285

Whole Foods Market, Inc.

14,252

739,109

 

3,087,746

Food Products - 2.2%

Alico, Inc.

240

11,076

Boulder Brands, Inc. (a)

2,551

26,760

Bridgford Foods Corp.

878

6,848

Cal-Maine Foods, Inc.

888

39,729

Calavo Growers, Inc.

741

22,015

Diamond Foods, Inc. (a)

756

11,726

Farmer Brothers Co. (a)

750

10,538

Green Mountain Coffee Roasters, Inc. (a)

5,722

418,450

Griffin Land & Nurseries, Inc.

278

8,279

Hain Celestial Group, Inc. (a)

1,704

113,520

J&J Snack Foods Corp.

772

58,595

John B. Sanfilippo & Son, Inc.

362

7,012

Kraft Foods Group, Inc.

22,656

1,249,025

Lancaster Colony Corp.

1,085

89,480

Le Gaga Holdings Ltd. ADR (a)

500

1,870

Lifeway Foods, Inc.

786

13,763

Limoneira Co.

375

7,286

Mondelez International, Inc.

68,041

2,004,488

Origin Agritech Ltd. (a)

1,000

1,540

Pilgrims Pride Corp. (a)

9,500

113,620

Sanderson Farms, Inc.

848

58,444

Seneca Foods Corp. Class A (a)

481

15,368

SkyPeople Fruit Juice, Inc. (a)

904

1,944

Snyders-Lance, Inc.

2,759

71,513

SunOpta, Inc. (a)

2,641

20,710

Zhongpin, Inc. (a)

1,276

16,933

 

4,400,532

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Household Products - 0.0%

Central Garden & Pet Co. (a)

30

$ 233

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

1,186

9,002

WD-40 Co.

700

37,968

 

47,203

Personal Products - 0.1%

Elizabeth Arden, Inc. (a)

1,223

57,603

Inter Parfums, Inc.

1,381

41,402

LifeVantage Corp. (a)

4,000

8,800

Mannatech, Inc. (a)

115

1,150

Nature's Sunshine Products, Inc.

376

5,783

Neptune Technologies & Bioressources, Inc. (a)

2,281

6,666

Neptune Technologies & Bioressources, Inc.:

Class A (d)

76

0

warrants (a)(d)

153

0

Nutraceutical International Corp.

550

10,868

Reliv International, Inc.

601

799

Star Scientific, Inc. (a)(d)

4,862

7,244

Synutra International, Inc. (a)

2,940

13,818

The Female Health Co.

899

8,370

 

162,503

TOTAL CONSUMER STAPLES

8,119,309

ENERGY - 1.4%

Energy Equipment & Services - 0.3%

Dawson Geophysical Co. (a)

450

16,160

ENGlobal Corp. (a)

1,050

672

Exterran Partners LP

1,491

41,316

Forbes Energy Services Ltd. (a)

3,817

12,863

Geospace Technologies Corp. (a)

488

42,388

Gulf Island Fabrication, Inc.

651

13,430

Hercules Offshore, Inc. (a)

5,951

41,121

Lufkin Industries, Inc.

1,378

121,622

Matrix Service Co. (a)

1,041

17,166

Mitcham Industries, Inc. (a)

336

5,245

Ocean Rig UDW, Inc. (United States) (a)

5,078

88,408

Patterson-UTI Energy, Inc.

5,731

120,408

PHI, Inc. (non-vtg.) (a)

476

16,670

RigNet, Inc. (a)

640

15,962

Common Stocks - continued

Shares

Value

ENERGY - continued

Energy Equipment & Services - continued

Tesco Corp. (a)

1,470

$ 18,757

TGC Industries, Inc.

996

8,396

 

580,584

Oil, Gas & Consumable Fuels - 1.1%

Abraxas Petroleum Corp. (a)

3,972

9,255

Alliance Holdings GP, LP

2,376

151,422

Alliance Resource Partners LP

1,444

104,372

Amyris, Inc. (a)(d)

1,800

5,382

APCO Oil and Gas International, Inc. (a)

358

4,396

Approach Resources, Inc. (a)

1,636

41,211

BioFuel Energy Corp. (a)(d)

235

964

BreitBurn Energy Partners LP

3,814

70,673

Calumet Specialty Products Partners LP

2,645

90,327

Capital Product Partners LP

2,544

23,354

Carrizo Oil & Gas, Inc. (a)

1,524

39,106

Ceres, Inc. (a)

854

1,845

Clayton Williams Energy, Inc. (a)

465

20,288

Clean Energy Fuels Corp. (a)(d)

3,317

44,017

Crimson Exploration, Inc. (a)

2,061

5,936

Crosstex Energy LP

2,613

50,326

Crosstex Energy, Inc.

2,006

38,214

Diamondback Energy, Inc.

1,300

43,901

Dorchester Minerals LP

1,011

24,365

Double Eagle Petroleum Co. (a)

405

1,669

Eagle Rock Energy Partners LP

6,777

57,333

Energy XXI (Bermuda) Ltd.

3,175

81,058

EV Energy Partners LP

1,500

57,090

FX Energy, Inc. (a)

1,740

7,117

Gevo, Inc. (a)(d)

938

1,679

Golar LNG Ltd. (NASDAQ)

3,128

106,352

Golar LNG Partners LP

1,459

48,614

Green Plains Renewable Energy, Inc. (a)

1,400

22,218

Gulfport Energy Corp. (a)

2,964

141,353

Hallador Energy Co.

1,071

8,450

Isramco, Inc. (a)

100

9,775

Ivanhoe Energy, Inc. (a)

4,482

5,534

James River Coal Co. (a)

1,160

3,004

KiOR, Inc. Class A (a)

1,800

8,334

Knightsbridge Tankers Ltd. (d)

941

6,625

L&L Energy, Inc. (a)

1,400

5,656

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Legacy Reserves LP

2,143

$ 56,790

LINN Energy LLC/LINN Energy Finance Corp.

9,039

297,383

LinnCo LLC (d)

1,259

45,695

Martin Midstream Partners LP

901

36,995

Memorial Production Partners LP

1,110

20,879

Mid-Con Energy Partners LP

898

20,941

Pacific Ethanol, Inc. (a)

183

803

PDC Energy, Inc. (a)

1,117

57,179

PostRock Energy Corp. (a)

615

836

PrimeEnergy Corp. (a)

165

4,924

Renewable Energy Group, Inc. (a)

1,572

21,269

Rex Energy Corp. (a)

2,385

39,615

Rosetta Resources, Inc. (a)

2,339

109,606

Sino Clean Energy, Inc. rights (a)

1,155

0

Solazyme, Inc. (a)(d)

2,300

28,336

StealthGas, Inc. (a)

1,116

11,796

Syntroleum Corp. (a)

267

1,821

Top Ships, Inc. (a)

274

395

TransGlobe Energy Corp. (a)

2,602

19,175

Uranium Resources, Inc. (a)(d)

875

2,581

US Energy Corp. (a)

1,078

1,951

Vanguard Natural Resources LLC

2,500

70,375

Verenium Corp. (a)

997

2,233

Warren Resources, Inc. (a)

2,571

7,533

Westmoreland Coal Co. (a)

902

10,824

ZaZa Energy Corp. (a)

3,748

5,247

Zion Oil & Gas, Inc. (a)(d)

1,633

2,792

 

2,219,189

TOTAL ENERGY

2,799,773

FINANCIALS - 6.9%

Capital Markets - 1.1%

BGC Partners, Inc. Class A

4,452

24,531

Calamos Asset Management, Inc. Class A

941

9,899

Capital Southwest Corp.

101

13,927

Carlyle Group LP

1,708

49,805

CIFI Corp. (a)

997

7,667

Cowen Group, Inc. Class A (a)

4,500

13,905

Diamond Hill Investment Group, Inc.

180

14,722

E*TRADE Financial Corp. (a)

10,989

127,802

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

FBR & Co. (a)

724

$ 17,521

Financial Engines, Inc.

1,960

84,515

Gleacher & Co., Inc. (a)

230

3,160

Harris & Harris Group, Inc. (a)

1,245

4,358

Horizon Technology Finance Corp.

300

4,206

ICG Group, Inc. (a)

1,455

16,165

INTL FCStone, Inc. (a)(d)

764

13,561

LPL Financial

4,200

155,736

Medallion Financial Corp.

1,071

15,915

Northern Trust Corp.

9,222

536,259

SEI Investments Co.

6,574

201,230

T. Rowe Price Group, Inc.

9,780

741,911

U.S. Global Investments, Inc. Class A

1,078

2,921

Virtus Investment Partners, Inc. (a)

285

66,080

WisdomTree Investments, Inc. (a)

4,504

56,030

 

2,181,826

Commercial Banks - 2.8%

1st Source Corp.

1,106

26,776

1st United Bancorp, Inc.

886

5,670

Access National Corp.

238

3,077

American National Bankshares, Inc.

1,950

42,296

American River Bankshares (a)

496

4,122

Ameris Bancorp (a)

723

11,944

Ames National Corp.

341

7,001

Arrow Financial Corp.

446

10,985

Associated Banc-Corp.

6,486

99,949

BancFirst Corp.

600

25,716

Bancorp, Inc., Delaware (a)

1,315

18,897

Bank of Kentucky Financial Corp.

213

5,527

Bank of Marin Bancorp

96

3,740

Bank of the Ozarks, Inc.

1,430

62,420

Banner Bank

839

26,915

BBCN Bancorp, Inc.

2,754

35,499

BCB Bancorp, Inc.

666

6,800

Berkshire Bancorp, Inc.

960

7,776

BNC Bancorp

1,633

17,653

BOK Financial Corp.

2,586

168,349

Boston Private Financial Holdings, Inc.

2,700

26,595

Bridge Bancorp, Inc.

500

10,705

Bridge Capital Holdings (a)

516

7,838

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Bryn Mawr Bank Corp.

570

$ 12,928

Camden National Corp.

434

16,318

Capital Bank Financial Corp.:

rights

631

0

Series A

1,518

27,172

Capital City Bank Group, Inc. (a)

876

9,978

Cardinal Financial Corp.

1,266

19,167

Cascade Bancorp (a)

1,889

10,862

Cathay General Bancorp

3,100

62,899

Center Bancorp, Inc.

912

11,838

Centerstate Banks of Florida, Inc.

1,407

12,072

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

164

5,820

Chemical Financial Corp.

926

24,159

Chemung Financial Corp.

69

2,312

Citizens & Northern Corp.

330

6,435

City Holding Co.

446

17,671

CNB Financial Corp., Pennsylvania

681

11,277

CoBiz, Inc.

1,196

10,345

Colony Bankcorp, Inc. (a)

420

2,999

Columbia Banking Systems, Inc.

1,990

43,462

Commerce Bancshares, Inc.

3,817

166,116

Community Trust Bancorp, Inc.

735

25,857

Crescent Financial Bancshares, Inc. (a)

41

171

CVB Financial Corp.

3,778

43,334

Eagle Bancorp, Inc., Maryland

1,078

24,266

East West Bancorp, Inc.

5,261

138,575

Eastern Virginia Bankshares, Inc. (a)

270

1,431

Eastern Virginia Bankshares, Inc. rights (a)

270

37

Enterprise Bancorp, Inc.

338

5,594

Enterprise Financial Services Corp.

840

12,827

Farmers National Banc Corp.

1,119

7,039

Fidelity Southern Corp.

817

10,482

Fifth Third Bancorp

34,399

626,062

Financial Institutions, Inc.

296

5,775

First Bancorp, North Carolina

720

10,260

First Busey Corp.

2,713

11,883

First California Financial Group, Inc. (a)

1,163

9,886

First Citizen Bancshares, Inc.

341

67,269

First Community Bancshares, Inc.

1,436

21,870

First Connecticut Bancorp, Inc.

649

9,242

First Financial Bancorp, Ohio

2,091

32,222

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

First Financial Bankshares, Inc. (d)

1,107

$ 60,885

First Financial Corp., Indiana

540

16,605

First Financial Holdings, Inc.

816

17,193

First Interstate Bancsystem, Inc.

666

13,180

First M&F Corp.

540

8,240

First Merchants Corp.

920

15,235

First Midwest Bancorp, Inc., Delaware

2,856

37,585

First NBC Bank Holding Co.

630

15,826

First Niagara Financial Group, Inc.

14,789

144,489

First of Long Island Corp.

177

5,563

First South Bancorp, Inc., Virginia (a)

450

2,961

FirstMerit Corp.

6,409

120,938

FNB United Corp. (a)

746

6,356

Fulton Financial Corp.

7,724

88,749

German American Bancorp, Inc.

616

13,466

Glacier Bancorp, Inc.

2,842

55,248

Great Southern Bancorp, Inc.

402

10,818

Grupo Financiero Galicia SA sponsored ADR (a)(d)

1,552

8,583

Guaranty Bancorp

471

5,087

Hampton Roads Bankshares, Inc. (a)

10,312

13,406

Hancock Holding Co.

3,313

94,586

Hanmi Financial Corp. (a)

1,573

24,759

Heartland Financial USA, Inc.

720

19,613

Heritage Commerce Corp. (a)

2,325

15,694

Heritage Financial Corp., Washington

525

7,250

Heritage Oaks Bancorp (a)

1,540

9,117

Home Bancshares, Inc.

977

41,132

HomeTrust Bancshares, Inc.

878

14,268

Horizon Bancorp Industries

502

9,829

Huntington Bancshares, Inc.

33,036

256,029

IBERIABANK Corp.

1,175

60,560

Independent Bank Corp. (a)

73

464

Independent Bank Corp., Massachusetts

850

28,008

Independent Bank Group, Inc.

422

11,985

International Bancshares Corp.

2,535

55,212

Intervest Bancshares Corp. Class A (a)

1,033

6,715

Investors Bancorp, Inc.

4,476

88,535

Lakeland Bancorp, Inc.

1,323

13,111

Lakeland Financial Corp.

816

22,505

Macatawa Bank Corp. (a)

778

4,279

MainSource Financial Group, Inc.

1,136

15,790

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

MB Financial, Inc.

2,000

$ 51,020

MBT Financial Corp. (a)

1,035

3,974

Mercantile Bank Corp.

255

4,281

Merchants Bancshares, Inc.

1,301

36,909

Metro Bancorp, Inc. (a)

390

7,531

Metrocorp Bancshares, Inc. (a)

808

7,902

Middleburg Financial Corp.

56

1,067

MidWestOne Financial Group, Inc.

548

12,988

National Bankshares, Inc.

338

11,286

National Penn Bancshares, Inc.

5,906

58,351

NBT Bancorp, Inc.

1,688

33,557

NewBridge Bancorp (a)

1,366

8,114

North Valley Bancorp (a)

281

5,021

Northrim Bancorp, Inc.

386

8,596

Old Second Bancorp, Inc. (a)

900

5,139

OmniAmerican Bancorp, Inc. (a)

426

9,487

Orrstown Financial Services, Inc. (a)

250

3,950

Pacific Continental Corp.

450

5,040

Pacific Mercantile Bancorp (a)

556

3,080

PacWest Bancorp

1,500

43,245

Park Sterling Corp. (a)

2,002

11,712

Peapack-Gladstone Financial Corp.

302

4,633

Penns Woods Bancorp, Inc.

200

8,118

Peoples Bancorp, Inc.

495

9,920

Pinnacle Financial Partners, Inc. (a)

1,161

29,141

Popular, Inc. (a)

3,975

119,250

Preferred Bank, Los Angeles (a)

505

8,166

Premier Financial Bancorp, Inc.

611

7,576

PrivateBancorp, Inc.

2,900

56,144

Renasant Corp.

771

18,373

Republic Bancorp, Inc., Kentucky Class A

866

20,619

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

735

1,103

S&T Bancorp, Inc.

1,115

21,564

S.Y. Bancorp, Inc.

403

9,712

Sandy Spring Bancorp, Inc.

2,736

58,605

SCBT Financial Corp.

476

23,824

Seacoast Banking Corp., Florida (a)

1,794

3,785

Shore Bancshares, Inc. (a)

300

2,190

Sierra Bancorp

480

6,581

Signature Bank (a)

1,804

139,233

Simmons First National Corp. Class A

696

17,908

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Southern National Bancorp of Virginia, Inc.

857

$ 8,784

Southside Bancshares, Inc.

485

10,980

Southwest Bancorp, Inc., Oklahoma (a)

971

12,973

State Bank Financial Corp.

972

15,037

StellarOne Corp.

1,176

18,404

Sterling Financial Corp.

2,328

52,659

Suffolk Bancorp (a)

562

8,464

Summit Financial Group, Inc. (a)

405

3,248

Sun Bancorp, Inc., New Jersey (a)

3,097

9,539

Susquehanna Bancshares, Inc.

6,844

82,196

SVB Financial Group (a)

1,886

145,958

Taylor Capital Group, Inc. (a)

1,192

19,799

Texas Capital Bancshares, Inc. (a)

1,645

72,643

The First Bancorp, Inc.

621

9,899

TowneBank (d)

948

13,784

Trico Bancshares

786

15,689

Trustmark Corp.

2,631

67,064

UMB Financial Corp.

1,613

85,634

Umpqua Holdings Corp.

4,455

60,232

Union First Market Bankshares Corp.

696

13,934

United Bankshares, Inc., West Virginia

1,962

51,032

United Community Banks, Inc., Georgia (a)

1,625

19,256

United Security Bancshares, Inc. (a)

465

4,008

United Security Bancshares, California

1,041

4,455

Univest Corp. of Pennsylvania

711

12,734

Virginia Commerce Bancorp, Inc. (a)

1,605

21,828

Washington Banking Co., Oak Harbor

610

8,320

Washington Trust Bancorp, Inc.

796

22,192

WesBanco, Inc.

858

21,493

West Bancorp., Inc.

675

7,817

Westamerica Bancorp.

1,163

52,370

Wilshire Bancorp, Inc.

2,765

18,249

Wintrust Financial Corp.

1,445

54,534

Zions Bancorporation

7,154

200,670

 

5,758,589

Consumer Finance - 0.4%

Asset Acceptance Capital Corp. (a)

1,440

9,778

Asta Funding, Inc.

516

4,742

Atlanticus Holdings Corp. (a)

1,067

4,172

Consumer Portfolio Services, Inc. (a)

1,005

7,809

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Consumer Finance - continued

Credit Acceptance Corp. (a)

904

$ 102,929

DFC Global Corp. (a)

1,736

25,866

Encore Capital Group, Inc. (a)

921

32,852

EZCORP, Inc. (non-vtg.) Class A (a)

1,850

35,391

First Cash Financial Services, Inc. (a)

1,102

59,299

Netspend Holdings, Inc. (a)

2,981

47,726

Nicholas Financial, Inc.

1,427

21,177

Portfolio Recovery Associates, Inc. (a)

610

92,885

QC Holdings, Inc.

826

2,486

SLM Corp.

17,627

418,465

World Acceptance Corp. (a)

430

39,715

 

905,292

Diversified Financial Services - 0.7%

California First National Bancorp

465

7,659

CBOE Holdings, Inc.

3,193

128,167

CME Group, Inc.

12,849

872,833

Interactive Brokers Group, Inc.

1,566

24,696

Life Partners Holdings, Inc.

678

2,468

MarketAxess Holdings, Inc.

1,446

62,699

Marlin Business Services Corp.

586

13,701

NewStar Financial, Inc. (a)

2,046

26,189

PICO Holdings, Inc. (a)

911

20,579

Resource America, Inc. Class A

675

6,487

The NASDAQ Stock Market, Inc.

6,368

200,337

 

1,365,815

Insurance - 0.7%

AMBAC Financial Group, Inc. (a)

1,721

43,369

American National Insurance Co.

1,007

100,579

Amerisafe, Inc.

696

23,615

Amtrust Financial Services, Inc. (d)

2,607

86,109

Arch Capital Group Ltd. (a)

5,155

263,988

Argo Group International Holdings, Ltd.

1,201

47,572

Baldwin & Lyons, Inc. Class B

566

13,409

Cincinnati Financial Corp.

6,234

295,118

CNinsure, Inc. ADR (a)

1,407

8,681

Donegal Group, Inc. Class A

965

14,282

Eastern Insurance Holdings, Inc.

261

4,810

eHealth, Inc. (a)

822

20,238

EMC Insurance Group

334

9,262

Enstar Group Ltd. (a)

522

65,913

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

Erie Indemnity Co. Class A

1,749

$ 132,767

Global Indemnity PLC (a)

335

7,591

Greenlight Capital Re, Ltd. (a)

1,101

26,633

Hallmark Financial Services, Inc. (a)

797

7,245

Infinity Property & Casualty Corp.

481

27,778

Kansas City Life Insurance Co.

510

19,319

Maiden Holdings Ltd.

3,225

34,443

National Interstate Corp.

731

21,206

National Western Life Insurance Co. Class A

102

19,991

Navigators Group, Inc. (a)

479

27,935

Safety Insurance Group, Inc.

623

32,620

Selective Insurance Group, Inc.

2,151

51,043

State Auto Financial Corp.

1,581

28,869

Tower Group International Ltd.

1,873

36,205

United Fire Group, Inc.

1,100

29,535

 

1,500,125

Real Estate Investment Trusts - 0.4%

American Capital Agency Corp.

15,305

394,869

American Capital Mortgage Investment Corp.

2,239

47,176

American Realty Capital Properties, Inc.

5,921

90,118

CyrusOne, Inc.

700

15,176

Gladstone Commercial Corp.

2,120

41,425

Gyrodyne Co. of America, Inc.

81

5,925

New York Mortgage Trust, Inc.

1,332

9,004

Potlatch Corp.

1,547

70,280

Retail Opportunity Investments Corp.

1,933

27,139

Sabra Health Care REIT, Inc.

1,641

44,389

 

745,501

Real Estate Management & Development - 0.1%

Altisource Portfolio Solutions SA

895

84,372

AV Homes, Inc. (a)

266

3,522

China HGS Real Estate, Inc. (a)(d)

2,100

20,286

China Housing & Land Development, Inc. (a)(d)

1,732

3,499

Cresud S.A.C.I.F. y A. sponsored ADR (a)

1,928

15,598

Elbit Imaging Ltd. (a)

1,350

2,957

FirstService Corp. (sub. vtg.)

1,034

32,912

Stratus Properties, Inc. (a)

266

4,107

ZipRealty, Inc. (a)

1,230

3,506

 

170,759

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - 0.7%

America First Tax Exempt Investors LP

1,272

$ 8,828

ASB Bancorp, Inc. (a)

334

5,608

Atlantic Coast Financial Corp. (a)

135

676

Bank Mutual Corp.

3,343

19,055

BankFinancial Corp.

1,191

9,504

Beneficial Mutual Bancorp, Inc. (a)

3,445

29,455

BofI Holding, Inc. (a)

600

28,092

Brookline Bancorp, Inc., Delaware

2,845

24,126

Camco Financial Corp. (a)

511

1,727

Capitol Federal Financial, Inc.

5,774

68,537

CFS Bancorp, Inc.

375

3,919

Charter Financial Corp.

1,059

10,590

Clifton Savings Bancorp, Inc.

3,173

37,632

Dime Community Bancshares, Inc.

1,213

17,479

ESB Financial Corp.

864

10,843

ESSA Bancorp, Inc.

623

6,816

First Defiance Financial Corp.

331

7,269

First Federal Bancshares of Arkansas, Inc. (a)

1,030

10,043

First Financial Northwest, Inc.

805

8,002

First PacTrust Bancorp, Inc.

480

6,322

Flushing Financial Corp.

1,290

20,163

Fox Chase Bancorp, Inc.

683

11,317

Franklin Financial Corp./VA

675

12,245

Hingham Institution for Savings

548

34,924

HMN Financial, Inc. (a)

216

1,588

Home Bancorp, Inc. (a)

2,535

44,413

Home Federal Bancorp, Inc.

750

9,143

Home Loan Servicing Solutions Ltd.

2,174

49,654

HomeStreet, Inc.

698

15,956

Hudson City Bancorp, Inc.

20,538

174,573

Kearny Financial Corp. (a)

2,557

25,314

Meridian Interstate Bancorp, Inc. (a)

773

13,922

MutualFirst Financial, Inc.

346

5,342

NASB Financial, Inc. (a)

406

9,951

Northfield Bancorp, Inc.

2,203

25,246

Northwest Bancshares, Inc.

3,493

43,313

OceanFirst Financial Corp.

600

8,310

Oconee Federal Financial Corp.

316

4,873

Oritani Financial Corp.

1,695

25,984

People's United Financial, Inc.

13,111

180,407

Provident Financial Holdings, Inc.

1,422

21,643

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Pulaski Financial Corp.

631

$ 6,487

PVF Capital Corp. (a)

791

3,037

Riverview Bancorp, Inc. (a)

1,320

3,142

Rockville Financial, Inc.

785

10,236

Roma Financial Corp.

840

14,322

Severn Bancorp, Inc. (a)

801

3,885

SI Financial Group, Inc.

36

377

Simplicity Bancorp, Inc.

608

8,542

Territorial Bancorp, Inc.

600

13,884

TFS Financial Corp. (a)

11,918

130,860

Tree.com, Inc.

233

4,592

Trustco Bank Corp., New York

4,418

24,697

United Community Financial Corp. (a)

1,403

5,738

United Community Financial Corp. rights (a)

1,496

110

United Financial Bancorp, Inc.

323

4,932

ViewPoint Financial Group

1,500

28,395

Washington Federal, Inc.

4,376

76,536

Waterstone Financial, Inc. (a)

1,776

14,101

Westfield Financial, Inc.

515

3,873

WSFS Financial Corp.

266

13,364

 

1,423,914

TOTAL FINANCIALS

14,051,821

HEALTH CARE - 14.1%

Biotechnology - 8.3%

Aastrom Biosciences, Inc. (a)

3,081

1,762

ACADIA Pharmaceuticals, Inc. (a)

2,965

41,718

Achillion Pharmaceuticals, Inc. (a)

3,313

27,630

Acorda Therapeutics, Inc. (a)

1,485

49,673

Aegerion Pharmaceuticals, Inc. (a)

1,027

74,796

AEterna Zentaris, Inc. (sub. vtg.) (a)(d)

1,018

2,107

Affymax, Inc. (a)(d)

1,600

3,312

Agenus, Inc. (a)

334

1,346

Alexion Pharmaceuticals, Inc. (a)

7,601

741,402

Alkermes PLC (a)

6,065

189,531

Alnylam Pharmaceuticals, Inc. (a)

3,143

96,270

AMAG Pharmaceuticals, Inc. (a)

815

15,078

Amarin Corp. PLC ADR (a)(d)

5,374

37,564

Amgen, Inc.

28,904

2,905,719

Amicus Therapeutics, Inc. (a)

2,116

7,046

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Anacor Pharmaceuticals, Inc. (a)

1,000

$ 5,470

Anthera Pharmaceuticals, Inc. (a)

1,509

883

Arena Pharmaceuticals, Inc. (a)(d)

8,480

74,963

ARIAD Pharmaceuticals, Inc. (a)

6,998

128,343

ArQule, Inc. (a)

2,891

7,835

Array Biopharma, Inc. (a)

4,141

24,183

Arrowhead Research Corp. (a)

207

455

Astex Pharmaceuticals, Inc. (a)

3,660

17,751

AVEO Pharmaceuticals, Inc. (a)

1,565

4,006

BioCryst Pharmaceuticals, Inc. (a)(d)

2,280

3,899

Biogen Idec, Inc. (a)

9,059

2,151,422

BioMarin Pharmaceutical, Inc. (a)

5,312

333,062

Biospecifics Technologies Corp. (a)

250

3,973

Biota Pharmaceuticals, Inc.

357

1,292

Burcon NutraScience Corp. (a)

1,130

2,997

Celgene Corp. (a)

16,235

2,007,458

Cell Therapeutics, Inc. (a)

5,102

6,275

Celldex Therapeutics, Inc. (a)

3,063

39,176

Celsion Corp. (a)

1,758

2,971

Cepheid, Inc. (a)

2,423

84,223

Chelsea Therapeutics International Ltd. (a)

2,483

4,792

ChemoCentryx, Inc. (a)

1,268

17,131

Chimerix, Inc.

900

19,350

China Biologic Products, Inc. (a)

1,000

25,490

Cleveland Biolabs, Inc. (a)

624

977

Clovis Oncology, Inc. (a)

1,020

37,312

Codexis, Inc. (a)

5,297

12,183

Coronado Biosciences, Inc. (a)

1,404

13,872

Cubist Pharmaceuticals, Inc. (a)

2,491

136,880

Cubist Pharmaceuticals, Inc. rights (a)

1,695

0

Curis, Inc. (a)

2,541

9,529

Cyclacel Pharmaceuticals, Inc. (a)

327

1,105

Cytokinetics, Inc. (a)

1,875

2,250

Cytori Therapeutics, Inc. (a)

1,800

4,428

CytRx Corp. (a)

858

2,059

Dendreon Corp. (a)(d)

5,700

22,800

Discovery Laboratories, Inc. (a)

246

440

Durata Therapeutics, Inc.

1,041

7,651

Dyax Corp. (a)

4,944

15,524

Dynavax Technologies Corp. (a)

6,105

15,934

Enanta Pharmaceuticals, Inc.

865

16,850

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

EntreMed, Inc. (a)

452

$ 814

Enzon Pharmaceuticals, Inc.

2,322

7,105

Exact Sciences Corp. (a)

3,653

41,060

Exelixis, Inc. (a)(d)

7,782

37,665

Galena Biopharma, Inc. (a)(d)

2,890

6,792

Genomic Health, Inc. (a)

1,155

42,134

Gentium SpA sponsored ADR (a)

554

4,648

GenVec, Inc. (a)

393

163

Geron Corp. (a)

3,411

3,718

Gilead Sciences, Inc. (a)

58,278

3,174,985

Grifols SA ADR

3,587

97,782

GTx, Inc. (a)

2,882

17,033

Halozyme Therapeutics, Inc. (a)

4,567

32,289

Hyperion Therapeutics, Inc.

1,069

21,455

Idenix Pharmaceuticals, Inc. (a)

6,525

30,929

Idera Pharmaceuticals, Inc. (a)

1,200

876

ImmunoGen, Inc. (a)

3,410

62,642

Immunomedics, Inc. (a)

3,726

14,569

Incyte Corp. (a)(d)

5,095

112,956

Infinity Pharmaceuticals, Inc. (a)

1,766

47,594

Insmed, Inc. (a)

1,676

22,492

Insys Therapeutics, Inc. (a)

932

10,289

Intercept Pharmaceuticals, Inc.

550

18,392

InterMune, Inc. (a)

2,410

23,811

Ironwood Pharmaceuticals, Inc. Class A (a)

3,341

44,602

Isis Pharmaceuticals, Inc. (a)

3,906

84,565

Keryx Biopharmaceuticals, Inc. (a)

2,384

19,096

KYTHERA Biopharmaceuticals, Inc.

625

13,369

Lexicon Pharmaceuticals, Inc. (a)

18,653

44,581

Ligand Pharmaceuticals, Inc.:

Class B (a)

584

17,467

General CVR

1,530

26

Glucagon CVR (a)

1,530

46

Roche CVR rights (a)

1,530

21

TR Beta CVR (a)

1,530

8

MannKind Corp. (a)(d)

9,653

64,386

Maxygen, Inc.

1,686

3,996

Medivation, Inc. (a)

2,858

138,784

MEI Pharma, Inc. (a)

904

7,594

Merrimack Pharmaceuticals, Inc. (a)

3,422

18,958

Metabolix, Inc. (a)

1,021

1,674

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

MiMedx Group, Inc. (a)(d)

3,500

$ 25,200

Momenta Pharmaceuticals, Inc. (a)

1,996

26,267

Myriad Genetics, Inc. (a)

2,987

95,883

Nanosphere, Inc. (a)

1,581

6,624

Neurocrine Biosciences, Inc. (a)

2,112

27,308

NewLink Genetics Corp. (a)

681

11,107

Novavax, Inc. (a)

3,696

7,059

NPS Pharmaceuticals, Inc. (a)

2,941

46,321

Nymox Pharmaceutical Corp. (a)(d)

1,170

6,037

OncoGenex Pharmaceuticals, Inc. (a)

285

2,936

Oncolytics Biotech, Inc. (a)(d)

2,080

5,437

Oncothyreon, Inc. (a)

2,409

4,457

Onyx Pharmaceuticals, Inc. (a)

2,686

256,379

Orexigen Therapeutics, Inc. (a)

3,351

21,212

Osiris Therapeutics, Inc. (a)

1,320

14,837

OvaScience, Inc. (a)

866

10,808

OXiGENE, Inc. (a)

21

68

PDL BioPharma, Inc. (d)

6,000

49,500

Peregrine Pharmaceuticals, Inc. (a)(d)

3,346

5,521

Pharmacyclics, Inc. (a)

2,675

245,137

Pluristem Therapeutics, Inc. (a)(d)

2,521

7,916

Progenics Pharmaceuticals, Inc. (a)

1,275

5,075

Prothena Corp. PLC (a)

994

9,880

QLT, Inc.

2,343

18,369

Raptor Pharmaceutical Corp. (a)

1,518

11,522

Regeneron Pharmaceuticals, Inc. (a)

3,609

872,909

Regulus Therapeutics, Inc.

3,321

29,756

Repligen Corp. (a)

1,396

11,559

Rigel Pharmaceuticals, Inc. (a)

2,616

12,086

Sangamo Biosciences, Inc. (a)

1,786

14,288

Sarepta Therapeutics, Inc. (a)

1,080

38,178

Savient Pharmaceuticals, Inc. (a)

2,500

1,375

Seattle Genetics, Inc. (a)

4,515

154,955

SIGA Technologies, Inc. (a)(d)

3,039

11,335

Sinovac Biotech Ltd. (a)

2,373

9,468

Spectrum Pharmaceuticals, Inc.

2,391

19,630

StemCells, Inc. (a)

434

764

Sunesis Pharmaceuticals, Inc. (a)

2,487

13,405

Synageva BioPharma Corp. (a)

878

36,191

Synergy Pharmaceuticals, Inc. (a)

3,292

16,789

Synta Pharmaceuticals Corp. (a)

2,205

16,273

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Targacept, Inc. (a)

1,066

$ 6,002

Telik, Inc. (a)

80

112

TESARO, Inc.

1,247

42,660

Theravance, Inc. (a)

3,910

137,006

Threshold Pharmaceuticals, Inc. (a)

2,343

13,402

Transition Therapeutics, Inc. (a)

2,160

7,236

Trius Therapeutics, Inc. (a)

2,313

17,741

United Therapeutics Corp. (a)

1,987

132,076

Vanda Pharmaceuticals, Inc. (a)

1,000

9,130

Venaxis, Inc. (a)

42

56

Verastem, Inc. (a)

714

6,826

Vertex Pharmaceuticals, Inc. (a)

8,235

661,353

Vical, Inc. (a)

2,055

7,193

XOMA Corp. (a)

3,344

14,045

Zalicus, Inc. (a)

3,496

2,194

ZIOPHARM Oncology, Inc. (a)(d)

2,400

5,256

 

16,995,623

Health Care Equipment & Supplies - 1.5%

Abaxis, Inc.

800

35,208

Abiomed, Inc. (a)

1,590

34,296

Accuray, Inc. (a)

2,467

13,248

Align Technology, Inc. (a)

3,056

109,252

Alphatec Holdings, Inc. (a)

4,208

8,206

Analogic Corp.

510

40,540

Angiodynamics, Inc. (a)

1,547

16,831

Anika Therapeutics, Inc. (a)

702

10,362

Antares Pharma, Inc. (a)

5,517

22,399

ArthroCare Corp. (a)

1,040

35,287

Atricure, Inc. (a)

709

6,416

Atrion Corp.

85

18,741

BioLase Technology, Inc.

1,126

5,337

Cardica, Inc. (a)

3,176

4,097

Cardiovascular Systems, Inc. (a)

456

9,371

Cerus Corp. (a)

1,786

9,180

Conceptus, Inc. (a)

1,086

33,644

CONMED Corp.

917

30,197

Cutera, Inc. (a)

421

3,962

Cyberonics, Inc. (a)

1,000

47,710

Cynosure, Inc. Class A (a)

973

24,237

Delcath Systems, Inc. (a)(d)

1,463

628

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

DENTSPLY International, Inc.

5,353

$ 223,541

Derma Sciences, Inc. (a)

2,627

35,044

DexCom, Inc. (a)(d)

2,951

61,469

Endologix, Inc. (a)

2,340

31,450

EnteroMedics, Inc. (a)

2,222

2,933

Exactech, Inc. (a)

761

13,850

Genmark Diagnostics, Inc. (a)

1,548

23,065

Given Imaging Ltd. (a)

913

13,092

Hansen Medical, Inc. (a)(d)

3,340

5,711

HeartWare International, Inc. (a)

527

48,099

Hologic, Inc. (a)

10,567

219,265

ICU Medical, Inc. (a)

500

35,695

IDEXX Laboratories, Inc. (a)

2,059

169,744

Imris, Inc. (a)

2,630

6,748

Insulet Corp. (a)

2,000

59,720

Integra LifeSciences Holdings Corp. (a)

1,076

40,770

Intuitive Surgical, Inc. (a)

1,532

762,216

MAKO Surgical Corp. (a)

1,600

19,776

Masimo Corp.

2,197

47,565

Medical Action Industries, Inc. (a)

690

5,796

MELA Sciences, Inc. (a)

751

826

Meridian Bioscience, Inc.

1,656

35,786

Merit Medical Systems, Inc. (a)

1,507

14,874

Natus Medical, Inc. (a)

1,076

15,161

Neogen Corp. (a)

900

49,023

NeuroMetrix, Inc. (a)

16

31

Novadaq Technologies, Inc. (a)

1,219

16,530

NuVasive, Inc. (a)

1,452

31,537

NxStage Medical, Inc. (a)

2,331

32,517

OraSure Technologies, Inc. (a)

1,785

7,818

Orthofix International NV (a)

668

18,464

Palomar Medical Technologies, Inc. (a)

771

10,432

PhotoMedex, Inc. (a)

955

15,576

Quidel Corp. (a)

1,116

26,684

Rochester Medical Corp. (a)

525

7,471

Rockwell Medical Technologies, Inc. (a)

965

3,985

RTI Biologics, Inc. (a)

2,691

10,899

Sirona Dental Systems, Inc. (a)

2,067

146,633

Solta Medical, Inc. (a)

2,539

5,459

Staar Surgical Co. (a)

1,388

12,353

Stereotaxis, Inc. (a)

169

296

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

SurModics, Inc. (a)

690

$ 16,381

Synergetics USA, Inc. (a)

1,500

4,875

Syneron Medical Ltd. (a)

1,309

11,650

TearLab Corp. (a)

998

10,499

The Spectranetics Corp. (a)

1,443

26,984

Thoratec Corp. (a)

2,250

70,133

Tornier NV (a)

1,407

22,245

Trinity Biotech PLC sponsored ADR

496

8,695

Unilife Corp. (a)(d)

3,786

12,494

Urologix, Inc. (a)

771

393

Utah Medical Products, Inc.

200

9,254

Vascular Solutions, Inc. (a)

538

8,161

Vermillion, Inc. (a)

568

2,295

Volcano Corp. (a)

2,036

38,888

Wright Medical Group, Inc. (a)

1,700

42,551

Zeltiq Aesthetics, Inc. (a)

1,223

6,347

 

3,098,898

Health Care Providers & Services - 1.7%

Acadia Healthcare Co., Inc. (a)

1,647

54,993

Air Methods Corp.

1,485

55,598

Almost Family, Inc.

321

6,346

Amedisys, Inc. (a)

1,026

12,640

AmSurg Corp. (a)

1,320

46,900

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

1,267

39,087

BioScrip, Inc. (a)

2,090

29,218

CardioNet, Inc. (a)

1,649

4,601

Catamaran Corp. (a)

8,016

393,242

Chindex International, Inc. (a)

606

9,817

Corvel Corp. (a)

480

24,926

Cross Country Healthcare, Inc. (a)

1,056

5,502

Express Scripts Holding Co. (a)

31,280

1,943,114

Gentiva Health Services, Inc. (a)

1,096

11,683

Healthways, Inc. (a)

1,491

20,054

Henry Schein, Inc. (a)

3,408

328,156

IPC The Hospitalist Co., Inc. (a)

634

30,914

LCA-Vision, Inc. (a)

900

2,907

LHC Group, Inc. (a)

780

17,152

LifePoint Hospitals, Inc. (a)

1,991

99,012

Magellan Health Services, Inc. (a)

1,100

59,950

MWI Veterinary Supply, Inc. (a)

500

60,755

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

National Research Corp.:

Class A (a)

576

$ 9,418

Class B

96

3,276

Patterson Companies, Inc.

4,413

172,460

PDI, Inc. (a)

615

2,675

Providence Service Corp. (a)

186

4,903

RadNet, Inc. (a)

2,005

5,213

Sharps Compliance Corp. (a)

891

2,673

The Ensign Group, Inc.

805

29,036

VCA Antech, Inc. (a)

3,300

84,348

 

3,570,569

Health Care Technology - 0.6%

Allscripts Healthcare Solutions, Inc. (a)

6,347

87,906

athenahealth, Inc. (a)

1,331

112,536

Cerner Corp. (a)

6,563

645,012

Computer Programs & Systems, Inc.

431

21,584

HealthStream, Inc. (a)

1,068

28,601

HMS Holdings Corp. (a)

3,153

78,510

MedAssets, Inc. (a)

2,502

41,033

Medidata Solutions, Inc. (a)

1,100

75,922

Merge Healthcare, Inc. (a)

3,394

11,200

Omnicell, Inc. (a)

1,401

25,400

Quality Systems, Inc.

2,284

40,838

 

1,168,542

Life Sciences Tools & Services - 0.8%

Accelerate Diagnostics, Inc. (a)

1,651

14,512

Affymetrix, Inc. (a)

3,366

12,623

Albany Molecular Research, Inc. (a)

1,371

15,081

Apricus Biosciences, Inc. (a)(d)

1,374

3,779

BG Medicine, Inc. (a)

563

1,013

Bruker BioSciences Corp. (a)

6,300

104,139

Compugen Ltd. (a)(d)

2,285

13,344

Fluidigm Corp. (a)

1,027

17,500

Furiex Pharmaceuticals, Inc. (a)

431

15,934

Harvard Bioscience, Inc. (a)

1,984

10,079

ICON PLC (a)

2,286

78,501

Illumina, Inc. (a)

4,806

337,958

Life Technologies Corp. (a)

6,623

490,764

Luminex Corp. (a)

1,730

33,337

Pacific Biosciences of California, Inc. (a)

2,480

6,572

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Life Sciences Tools & Services - continued

PAREXEL International Corp. (a)

2,375

$ 108,514

QIAGEN NV (a)

9,016

168,419

Sequenom, Inc. (a)(d)

5,220

21,611

Techne Corp.

1,357

90,254

 

1,543,934

Pharmaceuticals - 1.2%

AcelRx Pharmaceuticals, Inc. (a)

1,709

15,227

Acura Pharmaceuticals, Inc. (a)(d)

1,613

3,645

Akorn, Inc. (a)

3,604

52,366

Alexza Pharmaceuticals, Inc. (a)

365

1,646

Alimera Sciences, Inc. (a)

3,452

14,982

Ampio Pharmaceuticals, Inc. (a)(d)

1,407

7,992

Auxilium Pharmaceuticals, Inc. (a)

1,774

26,468

AVANIR Pharmaceuticals Class A (a)

4,295

14,259

BioSante Pharmaceuticals, Inc. (a)(d)

739

902

Cadence Pharmaceuticals, Inc. (a)

2,797

18,600

Cardiome Pharma Corp. (a)

514

1,041

Cempra, Inc. (a)

1,357

10,910

Columbia Laboratories, Inc. (a)

14,182

8,950

Corcept Therapeutics, Inc. (a)(d)

3,477

6,328

Cornerstone Therapeutics, Inc. (a)

1,311

11,458

Cumberland Pharmaceuticals, Inc. (a)

1,191

5,776

DepoMed, Inc. (a)

1,368

7,880

Durect Corp. (a)

3,921

3,293

Echo Therapeutics, Inc. (a)

3,683

2,118

Endo Health Solutions, Inc. (a)

4,332

157,252

Endocyte, Inc. (a)

1,283

17,564

Flamel Technologies SA sponsored ADR (a)

1,035

4,989

Hi-Tech Pharmacal Co., Inc.

406

12,976

Horizon Pharma, Inc. (d)

3,517

8,335

Impax Laboratories, Inc. (a)

2,400

45,480

Imprimis Pharmaceuticals, Inc. (a)

1,151

11,510

Jazz Pharmaceuticals PLC (a)

2,188

148,718

Mylan, Inc. (a)

15,435

470,459

Nektar Therapeutics (a)

4,407

41,734

Novogen Ltd. sponsored ADR (a)

63

227

NuPathe, Inc. (a)

469

1,505

Oculus Innovative Sciences, Inc. (a)

2,326

8,560

Omeros Corp. (a)(d)

1,209

6,408

Omthera Pharmaceuticals, Inc.

1,385

18,185

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Optimer Pharmaceuticals, Inc. (a)

1,696

$ 25,236

Pacira Pharmaceuticals, Inc. (a)

1,076

31,527

Pain Therapeutics, Inc.

2,176

5,810

Pernix Therapeutics Holdings, Inc. (a)

3,291

11,881

Perrigo Co.

3,654

423,535

Pozen, Inc. (a)

1,191

6,312

Questcor Pharmaceuticals, Inc.

2,331

79,650

Repros Therapeutics, Inc. (a)

682

11,812

Sagent Pharmaceuticals, Inc. (a)

972

17,506

Salix Pharmaceuticals Ltd. (a)

2,269

137,660

Santarus, Inc. (a)

2,941

65,496

SciClone Pharmaceuticals, Inc. (a)

1,906

9,168

Shire PLC sponsored ADR

1,483

146,031

Sucampo Pharmaceuticals, Inc. Class A (a)

1,020

8,639

Supernus Pharmaceuticals, Inc. (a)(d)

1,036

7,159

The Medicines Company (a)

2,126

68,478

Transcept Pharmaceuticals, Inc. (a)

574

1,699

Ventrus Biosciences, Inc. (a)

745

1,922

ViroPharma, Inc. (a)

2,541

69,878

VIVUS, Inc. (a)(d)

3,831

56,316

Warner Chilcott PLC

9,355

179,616

XenoPort, Inc. (a)

1,451

7,981

Zogenix, Inc. (a)

3,206

4,777

 

2,545,832

TOTAL HEALTH CARE

28,923,398

INDUSTRIALS - 4.4%

Aerospace & Defense - 0.2%

AeroVironment, Inc. (a)

952

19,107

American Science & Engineering, Inc.

253

15,190

API Technologies Corp. (a)

2,864

7,933

Astronics Corp. (a)

385

13,818

BE Aerospace, Inc. (a)

3,984

252,745

Elbit Systems Ltd.

2,258

97,275

Erickson Air-Crane, Inc. (a)

391

9,724

Innovative Solutions & Support, Inc.

856

6,583

KEYW Holding Corp. (a)

1,446

21,329

Kratos Defense & Security Solutions, Inc. (a)

1,490

8,657

LMI Aerospace, Inc. (a)

461

8,750

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

Sypris Solutions, Inc.

981

$ 3,237

Taser International, Inc. (a)

1,563

14,833

 

479,181

Air Freight & Logistics - 0.5%

Air Transport Services Group, Inc. (a)

3,455

20,903

Atlas Air Worldwide Holdings, Inc. (a)

1,032

47,905

C.H. Robinson Worldwide, Inc.

6,382

361,796

Echo Global Logistics, Inc. (a)

997

17,816

Expeditors International of Washington, Inc.

7,952

310,367

Forward Air Corp.

1,200

46,524

Hub Group, Inc. Class A (a)

1,385

50,289

Pacer International, Inc. (a)

1,536

9,385

Park-Ohio Holdings Corp. (a)

711

26,442

UTI Worldwide, Inc.

3,996

63,257

 

954,684

Airlines - 0.3%

Allegiant Travel Co.

716

66,237

Hawaiian Holdings, Inc. (a)

2,395

14,274

JetBlue Airways Corp. (a)

11,197

69,533

Republic Airways Holdings, Inc. (a)

1,686

18,091

Ryanair Holdings PLC sponsored ADR

4,488

219,194

SkyWest, Inc.

2,269

31,834

Spirit Airlines, Inc. (a)

2,717

82,678

 

501,841

Building Products - 0.1%

AAON, Inc.

1,047

34,802

American Woodmark Corp. (a)

641

23,281

Apogee Enterprises, Inc.

1,206

32,176

Builders FirstSource, Inc. (a)

2,939

19,809

China Ceramics Co. Ltd. (a)

800

1,744

Gibraltar Industries, Inc. (a)

1,131

18,356

Insteel Industries, Inc.

916

16,406

Nortek, Inc. (a)

565

39,917

Patrick Industries, Inc. (a)

451

8,790

PGT, Inc. (a)

1,109

9,149

Universal Forest Products, Inc.

795

31,410

 

235,840

Commercial Services & Supplies - 0.8%

A.T. Cross Co. Class A (a)

363

5,082

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

Acorn Energy, Inc.

1,101

$ 9,744

Casella Waste Systems, Inc. Class A (a)

1,146

4,595

CECO Environmental Corp.

516

6,228

China Recycling Energy Corp. (a)

1,590

1,479

Cintas Corp.

5,209

237,817

Copart, Inc. (a)

4,639

159,535

Courier Corp.

435

5,894

EnerNOC, Inc. (a)

886

11,855

Fuel Tech, Inc. (a)

971

3,787

G&K Services, Inc. Class A

701

33,865

Guanwei Recycling Corp. (a)

380

536

Healthcare Services Group, Inc.

2,547

57,791

Heritage-Crystal Clean, Inc. (a)

952

14,328

Herman Miller, Inc.

2,200

61,842

Industrial Services of America, Inc. (a)

459

1,492

InnerWorkings, Inc. (a)

2,465

26,721

Interface, Inc.

2,276

38,237

Intersections, Inc.

661

6,101

Kimball International, Inc. Class B

1,425

13,951

McGrath RentCorp.

975

32,204

Mobile Mini, Inc. (a)

1,896

63,800

Multi-Color Corp.

559

16,429

Performant Financial Corp.

1,665

18,365

Perma-Fix Environmental Services, Inc. (a)

2,776

1,860

R.R. Donnelley & Sons Co. (d)

7,066

93,766

Standard Parking Corp. (a)

1,104

24,630

Stericycle, Inc. (a)

3,364

369,233

Swisher Hygiene, Inc. (Canada) (a)

6,010

6,250

Tetra Tech, Inc. (a)

2,532

69,807

United Stationers, Inc.

1,663

57,390

US Ecology, Inc.

836

22,890

West Corp.

3,047

69,776

 

1,547,280

Construction & Engineering - 0.1%

Aegion Corp. (a)

1,302

29,725

Foster Wheeler AG (a)

4,030

92,771

Great Lakes Dredge & Dock Corp.

3,510

29,133

Integrated Electrical Services, Inc. (a)

731

4,086

Layne Christensen Co. (a)

896

19,255

MYR Group, Inc. (a)

855

17,305

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Construction & Engineering - continued

Northwest Pipe Co. (a)

785

$ 21,580

Primoris Services Corp.

2,200

46,882

Sterling Construction Co., Inc. (a)

641

6,634

UniTek Global Services, Inc. (a)

650

1,235

 

268,606

Electrical Equipment - 0.2%

Active Power, Inc. (a)

928

3,990

Altair Nanotechnologies, Inc. (a)(d)

222

551

American Superconductor Corp. (a)

1,958

5,208

Broadwind Energy, Inc. (a)

362

1,727

Capstone Turbine Corp. (a)

6,826

7,918

China BAK Battery, Inc. (a)

361

365

Coleman Cable, Inc.

616

11,458

Deswell Industries, Inc.

861

2,290

Encore Wire Corp.

711

24,608

Enphase Energy, Inc. (a)

1,407

10,862

Franklin Electric Co., Inc.

1,842

62,278

FuelCell Energy, Inc. (a)

7,067

8,975

Global Power Equipment Group, Inc.

586

9,317

Highpower International, Inc. (a)

470

489

Hydrogenics Corp. (a)

259

3,103

II-VI, Inc. (a)

2,382

39,541

Jinpan International Ltd.

717

3,578

Lihua International, Inc. (a)

980

5,508

Lime Energy Co. (a)

1,124

843

LSI Industries, Inc.

696

5,672

Ocean Power Technologies, Inc. (a)

585

913

Plug Power, Inc. (a)

506

192

Powell Industries, Inc. (a)

357

16,879

PowerSecure International, Inc. (a)

710

9,571

Preformed Line Products Co.

176

12,236

Real Goods Solar, Inc. Class A (a)

1,117

3,016

Revolution Lighting Technologies, Inc. (a)(d)

2,892

11,047

SolarCity Corp. (d)

2,792

126,338

Ultralife Corp. (a)

901

3,424

Vicor Corp. (a)

1,551

8,360

 

400,257

Industrial Conglomerates - 0.0%

Raven Industries, Inc.

1,484

44,950

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - 0.9%

Altra Holdings, Inc.

1,161

$ 33,448

American Railcar Industries, Inc.

750

25,500

Astec Industries, Inc.

911

32,177

Chart Industries, Inc. (a)

1,124

109,343

Cleantech Solutions International, Inc. (a)

136

932

Columbus McKinnon Corp. (NY Shares) (a)

885

18,718

Commercial Vehicle Group, Inc. (a)

1,360

10,690

Dynamic Materials Corp.

450

7,245

Energy Recovery, Inc. (a)

1,776

7,335

ExOne Co. (d)

500

24,810

Flow International Corp. (a)

2,325

9,230

FreightCar America, Inc.

461

8,363

Hardinge, Inc.

390

4,973

Hurco Companies, Inc. (a)

225

6,458

L.B. Foster Co. Class A

344

15,243

Lincoln Electric Holdings, Inc.

3,367

201,347

Middleby Corp. (a)

730

119,348

NN, Inc. (a)

1,041

9,640

Nordson Corp.

2,427

172,851

Omega Flex, Inc.

360

4,849

PACCAR, Inc.

13,511

724,190

PMFG, Inc. (a)

555

3,546

RBC Bearings, Inc. (a)

789

38,629

Sun Hydraulics Corp.

1,050

34,073

Tecumseh Products Co.:

Class A (non-vtg.) (a)

801

7,353

Class B (a)

281

2,501

TriMas Corp. (a)

1,426

45,989

Twin Disc, Inc.

345

8,601

Westport Innovations, Inc. (a)(d)

2,163

65,561

Woodward, Inc.

2,676

104,765

 

1,857,708

Marine - 0.0%

Diana Containerships, Inc. (d)

1,501

8,421

DryShips, Inc. (a)(d)

16,057

29,705

Eagle Bulk Shipping, Inc. (a)

683

2,985

Euroseas Ltd.

1,365

1,515

FreeSeas, Inc. (a)

30

18

Newlead Holdings Ltd. (a)

283

54

Rand Logistics, Inc. (a)

1,060

5,936

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Marine - continued

Star Bulk Carriers Corp.

185

$ 1,090

Ultrapetrol (Bahamas) Ltd. (a)

5,831

17,027

 

66,751

Professional Services - 0.4%

51job, Inc. sponsored ADR (a)

382

22,920

Acacia Research Corp.

1,794

44,850

Advisory Board Co. (a)

1,309

69,128

Barrett Business Services, Inc.

165

9,624

CRA International, Inc. (a)

480

8,597

Exponent, Inc.

600

33,600

Heidrick & Struggles International, Inc.

756

10,894

Hudson Global, Inc. (a)

976

2,255

Huron Consulting Group, Inc. (a)

836

37,378

ICF International, Inc. (a)

797

24,030

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

1,230

21,783

Kforce, Inc.

1,701

25,328

Lightbridge Corp. (a)

719

1,215

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

3,919

12,854

Pendrell Corp. (a)

6,352

15,689

Resources Connection, Inc.

1,691

18,533

RPX Corp. (a)

1,774

27,213

Verisk Analytics, Inc. (a)

6,466

380,330

VSE Corp.

201

6,818

 

773,039

Road & Rail - 0.5%

AMERCO

723

124,645

Arkansas Best Corp.

1,011

19,300

Avis Budget Group, Inc. (a)

3,900

129,324

Covenant Transport Group, Inc. Class A (a)

856

4,828

Heartland Express, Inc.

3,488

50,053

J.B. Hunt Transport Services, Inc.

4,461

328,597

Landstar System, Inc.

1,749

92,330

Marten Transport Ltd.

786

18,856

Old Dominion Freight Lines, Inc. (a)

3,366

144,940

P.A.M. Transportation Services, Inc.

646

6,996

Patriot Transportation Holding, Inc. (a)

436

12,635

Quality Distribution, Inc. (a)

846

7,707

Saia, Inc. (a)

637

30,439

Student Transportation, Inc.

3,676

23,260

Universal Truckload Services, Inc. (a)

891

22,765

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Road & Rail - continued

USA Truck, Inc. (a)

420

$ 2,717

Vitran Corp., Inc. (a)

946

4,489

Werner Enterprises, Inc.

2,688

67,281

YRC Worldwide, Inc. (a)

280

5,569

 

1,096,731

Trading Companies & Distributors - 0.4%

Aceto Corp.

966

12,297

Beacon Roofing Supply, Inc. (a)

1,696

69,909

DXP Enterprises, Inc. (a)

587

34,674

Fastenal Co.

11,378

593,704

General Finance Corp. (a)

1,355

6,043

H&E Equipment Services, Inc.

1,290

28,870

Houston Wire & Cable Co.

776

10,872

Lawson Products, Inc.

600

8,940

Rush Enterprises, Inc.:

Class A (a)

1,043

26,805

Class B (a)

625

13,850

Titan Machinery, Inc. (a)

836

17,146

 

823,110

Transportation Infrastructure - 0.0%

Grupo Aeroportuario Norte S.A.B. de CV ADR

200

5,580

TOTAL INDUSTRIALS

9,055,558

INFORMATION TECHNOLOGY - 48.3%

Communications Equipment - 5.5%

ADTRAN, Inc.

2,438

56,367

Alvarion Ltd. (a)

298

539

Ambient Corp. (a)

600

1,032

Anaren, Inc. (a)

297

7,134

Arris Group, Inc. (a)

5,381

81,415

Aruba Networks, Inc. (a)

4,149

61,986

AudioCodes Ltd. (a)

1,980

8,197

Aviat Networks, Inc. (a)

3,025

8,016

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

371

5,906

Black Box Corp.

780

20,990

Brocade Communications Systems, Inc. (a)

19,457

105,652

CalAmp Corp. (a)

1,239

16,318

Ceragon Networks Ltd. (a)

1,336

5,184

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

China TechFaith Wireless Communication Technology Ltd. sponsored ADR (a)

1,185

$ 1,280

Ciena Corp. (a)

3,646

61,034

Cisco Systems, Inc.

203,772

4,906,830

Cogo Group, Inc. (a)

1,545

3,044

Comtech Telecommunications Corp.

619

16,342

Digi International, Inc. (a)

1,347

12,918

DragonWave, Inc. (a)

1,400

3,752

EchoStar Holding Corp. Class A (a)

1,530

60,756

EMCORE Corp. (a)

1,338

4,576

EXFO, Inc. (sub. vtg.) (a)

907

4,068

Extreme Networks, Inc. (a)

3,522

12,538

F5 Networks, Inc. (a)

3,084

256,620

Finisar Corp. (a)

3,317

43,453

Gilat Satellite Networks Ltd. (a)

2,426

13,319

Globecomm Systems, Inc. (a)

721

9,236

Harmonic, Inc. (a)

3,956

24,132

Infinera Corp. (a)

3,871

40,762

InterDigital, Inc.

1,495

68,755

Ituran Location & Control Ltd.

777

13,155

Ixia (a)

3,000

47,160

JDS Uniphase Corp. (a)

8,481

115,511

KVH Industries, Inc. (a)

511

6,740

Meru Networks, Inc. (a)

574

2,353

Mitel Networks, Inc. (a)

1,991

7,148

NETGEAR, Inc. (a)

1,465

48,755

NumereX Corp. Class A (a)

834

9,174

Oclaro, Inc. (a)(d)

2,874

2,960

Oplink Communications, Inc. (a)

687

11,693

Parkervision, Inc. (a)(d)

4,087

17,819

PC-Tel, Inc.

1,116

8,180

Polycom, Inc. (a)

6,739

76,353

Procera Networks, Inc. (a)

540

7,970

QUALCOMM, Inc.

65,748

4,173,683

Radware Ltd. (a)

1,498

22,530

Research In Motion Ltd. (a)(d)

20,088

280,228

Riverbed Technology, Inc. (a)

5,810

89,823

ShoreTel, Inc. (a)

2,706

10,932

Sierra Wireless, Inc. (a)

1,722

19,599

Silicom Ltd.

345

11,609

Sonus Networks, Inc. (a)

10,536

33,821

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Symmetricom, Inc. (a)

2,446

$ 12,083

Telefonaktiebolaget LM Ericsson (B Shares) sponsored ADR

7,235

84,432

Telestone Technologies Corp. (a)(d)

314

261

Tellabs, Inc.

13,974

28,926

Telular Corp.

900

11,286

Tessco Technologies, Inc.

347

7,932

Ubiquiti Networks, Inc.

3,500

66,185

UTStarcom Holdings Corp. (a)

1,387

3,939

ViaSat, Inc. (a)

1,605

112,446

Westell Technologies, Inc. Class A (a)

2,778

6,084

Wi-Lan, Inc.

4,772

20,299

 

11,293,220

Computers & Peripherals - 9.7%

Apple, Inc.

35,990

16,183,955

Avid Technology, Inc. (a)

1,551

9,895

Concurrent Computer Corp.

360

2,714

Cray, Inc. (a)

1,493

27,188

Datalink Corp. (a)

906

10,383

Dell, Inc.

66,659

889,898

Dot Hill Systems Corp. (a)

3,411

6,651

Electronics for Imaging, Inc. (a)

1,543

43,034

Hutchinson Technology, Inc. (a)

1,056

6,061

Immersion Corp. (a)

1,335

20,506

Intevac, Inc. (a)

911

4,382

Logitech International SA

6,508

44,970

NetApp, Inc.

13,800

517,914

Novatel Wireless, Inc. (a)

1,997

6,830

OCZ Technology Group, Inc. (a)

2,350

3,431

QLogic Corp. (a)

3,929

38,268

Rimage Corp.

400

3,236

SanDisk Corp. (a)

9,400

554,788

Seagate Technology

13,958

601,311

Silicon Graphics International Corp. (a)

1,011

15,266

Smart Technologies, Inc. Class A (a)

1,547

2,014

STEC, Inc. (a)

2,011

7,119

Stratasys Ltd. (a)(d)

1,467

123,301

Super Micro Computer, Inc. (a)

1,239

12,774

Synaptics, Inc. (a)

1,350

55,701

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

Western Digital Corp.

9,296

$ 588,623

Xyratex Ltd.

1,176

12,442

 

19,792,655

Electronic Equipment & Components - 1.1%

Agilysys, Inc. (a)

1,050

12,033

Audience, Inc.

952

13,328

Cognex Corp.

1,521

68,339

Coherent, Inc.

900

51,660

Daktronics, Inc.

1,761

18,085

DTS, Inc. (a)

606

11,975

Echelon Corp. (a)

1,830

4,301

Electro Rent Corp.

1,080

18,371

Electro Scientific Industries, Inc.

1,335

15,152

FARO Technologies, Inc. (a)

690

25,820

FEI Co.

1,455

104,775

Flextronics International Ltd. (a)

27,060

201,868

FLIR Systems, Inc.

5,802

141,337

GSI Group, Inc. (a)

1,500

12,210

HLS Systems International Ltd. (a)

1,991

23,374

I. D. Systems Inc. (a)

601

3,071

Identive Group, Inc. (a)

3,097

2,753

Insight Enterprises, Inc. (a)

1,633

31,435

IPG Photonics Corp.

1,902

112,789

Itron, Inc. (a)

1,543

64,806

Littelfuse, Inc.

972

71,432

LoJack Corp. (a)

1,051

3,552

Maxwell Technologies, Inc. (a)

1,095

7,917

Measurement Specialties, Inc. (a)

521

23,158

Mercury Systems, Inc. (a)

951

8,312

Mesa Laboratories, Inc.

28

1,482

MicroVision, Inc. (a)(d)

430

1,286

Molex, Inc.

3,635

106,651

Molex, Inc. Class A (non-vtg.)

3,066

75,301

MTS Systems Corp.

578

34,888

Multi-Fineline Electronix, Inc. (a)

1,116

17,744

National Instruments Corp.

4,575

129,930

Neonode, Inc. (a)(d)

1,393

7,564

NetList, Inc. (a)

2,276

1,411

Newport Corp. (a)

1,221

16,068

Orbotech Ltd. (a)

1,410

16,483

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

OSI Systems, Inc. (a)

716

$ 41,413

PC Connection, Inc.

691

11,602

PC Mall, Inc. (a)

556

4,259

Plexus Corp. (a)

1,400

40,852

Power-One, Inc. (a)

4,043

25,592

RadiSys Corp. (a)

936

4,680

Richardson Electronics Ltd.

482

5,765

Rofin-Sinar Technologies, Inc. (a)

1,121

29,998

Sanmina Corp. (a)

3,082

41,854

ScanSource, Inc. (a)

1,206

38,508

Tech Data Corp. (a)

1,455

72,925

Trimble Navigation Ltd. (a)

9,803

273,504

TTM Technologies, Inc. (a)

2,908

23,497

Uni-Pixel, Inc. (a)

436

6,632

Universal Display Corp. (a)

1,847

55,004

Viasystems Group, Inc. (a)

708

8,935

Zygo Corp. (a)

1,006

16,005

 

2,161,686

Internet Software & Services - 9.3%

21Vianet Group, Inc. ADR (a)

1,181

10,794

Akamai Technologies, Inc. (a)

6,803

313,754

Angie's List, Inc. (a)

2,582

60,574

Autobytel, Inc. (a)

351

1,730

Baidu.com, Inc. sponsored ADR (a)(d)

10,564

1,020,905

Bazaarvoice, Inc. (a)

2,745

20,560

Blucora, Inc. (a)

1,401

25,568

Brightcove, Inc. (a)

980

7,330

Carbonite, Inc. (a)

1,032

10,908

China Finance Online Co. Ltd. ADR (a)

915

1,391

ChinaCache International Holdings Ltd. sponsored ADR (a)

225

1,028

comScore, Inc. (a)

1,086

21,481

Constant Contact, Inc. (a)

1,200

17,904

Cornerstone OnDemand, Inc. (a)

1,865

75,794

CoStar Group, Inc. (a)

1,037

115,947

DealerTrack Holdings, Inc. (a)

1,614

52,035

Digital River, Inc. (a)

1,521

26,572

E2open, Inc.

910

13,295

EarthLink, Inc.

4,455

26,418

eBay, Inc. (a)

49,806

2,694,505

eGain Communications Corp. (a)

930

7,468

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Equinix, Inc. (a)

1,888

$ 382,584

Facebook, Inc. Class A

64,447

1,569,284

GigaMedia Ltd. (a)

2,131

2,110

Global Eagle Entertainment, Inc. (a)

1,381

13,534

Google, Inc. Class A (a)

10,237

8,910,387

IAC/InterActiveCorp

3,344

162,117

Internap Network Services Corp. (a)

2,287

18,250

Internet Initiative Japan, Inc. sponsored ADR

863

14,248

iPass, Inc. (a)

3,772

6,412

j2 Global, Inc.

1,719

70,290

Keynote Systems, Inc.

675

8,505

Limelight Networks, Inc. (a)

3,326

7,883

Liquidity Services, Inc. (a)(d)

1,191

47,652

LivePerson, Inc. (a)

2,295

21,206

LogMeIn, Inc. (a)

1,052

26,773

Marchex, Inc. Class B

1,791

10,388

Market Leader, Inc. (a)

1,781

19,057

Marketo, Inc.

715

16,924

MercadoLibre, Inc.

1,716

196,688

Move, Inc. (a)

1,545

17,598

Net Element International, Inc. (a)

974

4,763

NetEase.com, Inc. sponsored ADR

2,946

188,338

NIC, Inc.

2,461

41,148

Open Text Corp.

2,210

150,389

OpenTable, Inc. (a)

949

63,298

Perficient, Inc. (a)

1,516

19,102

Points International Ltd. (a)

799

13,519

QuinStreet, Inc. (a)

1,753

13,568

RealNetworks, Inc. (a)

1,385

10,055

Rediff.com India Ltd. sponsored ADR (a)

600

1,656

Reis, Inc. (a)

375

6,971

Remark Media, Inc. (a)

177

565

Responsys, Inc. (a)

1,730

16,919

SciQuest, Inc. (a)

800

18,360

Sify Technologies Ltd. sponsored ADR (a)(d)

1,740

3,428

SINA Corp. (a)

2,564

147,943

Sohu.com, Inc. (a)

1,478

94,858

SPS Commerce, Inc. (a)

530

28,604

Stamps.com, Inc. (a)

675

25,731

Support.com, Inc. (a)

2,745

13,121

Synacor, Inc. (a)

1,155

4,354

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

TechTarget, Inc. (a)

1,500

$ 6,660

TheStreet.com, Inc.

2,682

5,310

Travelzoo, Inc. (a)

751

21,584

United Online, Inc.

3,243

22,085

Unwired Planet, Inc. (a)

3,561

7,336

ValueClick, Inc. (a)

3,087

81,312

Velti PLC (a)(d)

2,666

4,692

VeriSign, Inc. (a)

6,009

282,663

VistaPrint Ltd. (a)(d)

1,450

66,628

Vocus, Inc. (a)

821

7,176

Web.com Group, Inc. (a)(d)

1,853

38,894

WebMD Health Corp. (a)

2,015

59,483

WebMediaBrands, Inc. (a)

242

322

Xoom Corp.

1,196

22,258

Yahoo!, Inc. (a)

45,559

1,198,202

Yandex NV (a)

8,949

243,055

Zillow, Inc. (a)

957

53,726

Zix Corp. (a)

644

2,570

 

19,038,497

IT Services - 1.9%

Acxiom Corp. (a)

2,663

58,559

Automatic Data Processing, Inc.

18,590

1,277,505

Cardtronics, Inc. (a)

1,791

51,097

Cass Information Systems, Inc.

465

20,869

China Information Technology, Inc. (a)

950

2,461

Cognizant Technology Solutions Corp. Class A (a)

11,583

748,841

Computer Task Group, Inc.

717

16,003

CSG Systems International, Inc. (a)

1,356

29,330

Euronet Worldwide, Inc. (a)

1,986

60,573

ExlService Holdings, Inc. (a)

1,449

42,499

Fiserv, Inc. (a)

5,134

447,479

Forrester Research, Inc.

975

35,324

Hackett Group, Inc.

1,695

8,543

iGate Corp. (a)

2,041

29,615

Information Services Group, Inc. (a)

1,246

2,442

Innodata, Inc. (a)

1,261

3,985

Jack Henry & Associates, Inc.

3,837

180,070

Lionbridge Technologies, Inc. (a)

2,146

6,352

ManTech International Corp. Class A

800

21,672

Mattersight Corp. (a)

1,485

4,633

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

IT Services - continued

ModusLink Global Solutions, Inc. (a)

1,665

$ 4,779

MoneyGram International, Inc. (a)

2,100

41,328

NCI, Inc. Class A (a)

491

2,322

Pactera Technology International Ltd. ADR

3,448

23,033

Paychex, Inc.

14,093

524,682

PFSweb, Inc. (a)

406

1,742

Planet Payment, Inc. (a)

4,151

12,370

PRG-Schultz International, Inc. (a)

1,731

9,486

Rainmaker Systems, Inc. (a)

2,401

1,044

Sapient Corp. (a)

5,534

71,278

ServiceSource International, Inc. (a)

2,600

21,190

Sykes Enterprises, Inc. (a)

1,710

27,035

Syntel, Inc.

1,625

103,854

Teletech Holdings, Inc. (a)

2,216

49,838

Virtusa Corp. (a)

1,000

23,460

 

3,965,293

Office Electronics - 0.0%

Zebra Technologies Corp. Class A (a)

1,878

85,749

Semiconductors & Semiconductor Equipment - 7.8%

Advanced Energy Industries, Inc. (a)

1,500

27,600

Aixtron AG sponsored ADR

188

3,360

Alpha & Omega Semiconductor Ltd. (a)

1,154

9,105

Altera Corp.

12,291

407,938

Ambarella, Inc. (a)

1,618

26,163

Amkor Technology, Inc. (a)(d)

5,378

24,416

Amtech Systems, Inc. (a)

401

2,105

ANADIGICS, Inc. (a)

3,015

6,211

Analog Devices, Inc.

11,826

543,168

Applied Materials, Inc.

46,875

712,500

Applied Micro Circuits Corp. (a)

2,420

18,658

ARM Holdings PLC sponsored ADR

4,328

189,913

ASM International NV (depositary receipt)

211

7,507

ASML Holding NV

2,825

229,588

Atmel Corp. (a)

16,370

128,832

ATMI, Inc. (a)

1,291

30,816

Avago Technologies Ltd.

9,578

361,186

Axcelis Technologies, Inc. (a)

4,561

7,298

AXT, Inc. (a)

1,989

5,649

Broadcom Corp. Class A

19,557

702,292

Brooks Automation, Inc.

3,652

38,894

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Cabot Microelectronics Corp. (a)(d)

981

$ 35,071

Camtek Ltd. (a)

1,486

2,868

Canadian Solar, Inc. (a)

1,991

16,943

Cavium, Inc. (a)

1,842

60,344

Ceva, Inc. (a)

1,050

17,609

China Sunergy Co. Ltd. ADR (a)(d)

440

814

ChipMOS TECHNOLOGIES (Bermuda) Ltd.

812

14,811

Cirrus Logic, Inc. (a)

2,419

44,147

Cohu, Inc.

885

9,788

Cree, Inc. (a)

4,422

275,712

Cypress Semiconductor Corp.

5,119

57,538

Diodes, Inc. (a)

1,626

38,374

DSP Group, Inc. (a)

1,305

10,362

Entegris, Inc. (a)

5,220

54,392

Entropic Communications, Inc. (a)

3,249

13,906

Exar Corp. (a)

1,755

19,796

EZchip Semiconductor Ltd. (a)

1,020

27,581

First Solar, Inc. (a)

3,298

179,345

FormFactor, Inc. (a)

1,856

10,932

GSI Technology, Inc. (a)

1,220

6,832

GT Advanced Technologies, Inc. (a)(d)

4,938

21,974

Hanwha Solarone Co. Ltd. ADR (a)

1,791

2,866

Himax Technologies, Inc. sponsored ADR

3,511

25,314

Hittite Microwave Corp. (a)

1,141

61,933

Ikanos Communications, Inc. (a)

1,860

2,511

Integrated Device Technology, Inc. (a)

4,912

41,850

Integrated Silicon Solution, Inc. (a)

1,011

10,939

Intel Corp.

189,782

4,607,907

Intermolecular, Inc. (a)

1,500

12,810

Intersil Corp. Class A

4,941

40,516

IXYS Corp.

1,626

18,536

JA Solar Holdings Co. Ltd. ADR (a)

958

7,032

KLA-Tencor Corp.

6,418

361,269

Kopin Corp. (a)

3,306

11,736

Kulicke & Soffa Industries, Inc. (a)

2,871

35,600

Lam Research Corp. (a)

6,525

305,240

Lattice Semiconductor Corp. (a)

4,891

25,189

Linear Technology Corp.

8,907

334,013

LSI Corp. (a)

20,900

154,660

LTX-Credence Corp. (a)

2,029

11,504

M/A-COM Technology Solutions, Inc. (a)

1,688

23,514

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Marvell Technology Group Ltd.

20,505

$ 222,274

Mattson Technology, Inc. (a)

2,176

4,287

Maxim Integrated Products, Inc.

11,104

327,457

Mellanox Technologies Ltd. (a)

1,603

83,148

MEMSIC, Inc. (a)

1,842

7,515

Micrel, Inc.

2,394

23,820

Microchip Technology, Inc.

7,350

268,128

Micron Technology, Inc. (a)

39,009

455,625

Microsemi Corp. (a)

4,017

88,093

Mindspeed Technologies, Inc. (a)(d)

1,178

3,829

MKS Instruments, Inc.

1,961

55,202

Monolithic Power Systems, Inc.

1,386

34,054

MoSys, Inc. (a)

1,530

6,962

Nanometrics, Inc. (a)

801

11,574

Nova Measuring Instruments Ltd. (a)

1,096

10,324

NVE Corp. (a)

210

10,863

NVIDIA Corp.

23,700

343,413

NXP Semiconductors NV (a)

9,657

297,918

O2Micro International Ltd. sponsored ADR (a)

1,626

5,610

Omnivision Technologies, Inc. (a)

2,101

38,805

ON Semiconductor Corp. (a)

16,559

141,745

PDF Solutions, Inc. (a)

1,350

24,746

Peregrine Semiconductor Corp.

1,125

12,184

Pericom Semiconductor Corp. (a)

1,356

9,506

Photronics, Inc. (a)

2,236

17,061

Pixelworks, Inc. (a)

598

1,800

PLX Technology, Inc. (a)

2,101

9,497

PMC-Sierra, Inc. (a)

7,070

42,491

Power Integrations, Inc.

1,000

42,690

QuickLogic Corp. (a)(d)

1,546

3,649

Rambus, Inc. (a)

4,458

35,129

RDA Microelectronics, Inc. sponsored ADR

350

3,749

RF Micro Devices, Inc. (a)

11,151

61,554

Rubicon Technology, Inc. (a)(d)

951

8,055

Rudolph Technologies, Inc. (a)

1,086

13,314

SemiLEDs Corp. (a)

1,100

1,771

Semtech Corp. (a)

2,601

95,041

Sigma Designs, Inc. (a)

1,146

5,260

Silicon Image, Inc. (a)

3,261

19,859

Silicon Laboratories, Inc. (a)

1,634

70,197

Silicon Motion Technology Corp. sponsored ADR

1,231

13,836

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Siliconware Precision Industries Co. Ltd. sponsored ADR

2,446

$ 14,065

Skyworks Solutions, Inc. (a)

7,707

183,889

Spreadtrum Communications, Inc. ADR (d)

1,556

30,280

SunPower Corp. (a)(d)

4,407

85,055

Supertex, Inc.

494

10,942

Tessera Technologies, Inc.

1,821

37,786

Texas Instruments, Inc.

42,159

1,513,087

Tower Semiconductor Ltd. (a)

667

4,129

TranSwitch Corp. (a)

2,112

1,077

TriQuint Semiconductor, Inc. (a)

6,421

45,204

Ultra Clean Holdings, Inc. (a)

1,066

6,193

Ultratech, Inc. (a)

995

36,278

Veeco Instruments, Inc. (a)

1,502

63,670

Volterra Semiconductor Corp. (a)

1,139

16,014

Xilinx, Inc.

10,052

408,614

 

15,885,595

Software - 13.0%

Accelrys, Inc. (a)

2,308

19,249

ACI Worldwide, Inc. (a)

1,605

74,649

Activision Blizzard, Inc.

42,345

611,038

Actuate Corp. (a)

1,740

11,745

Adobe Systems, Inc. (a)

18,915

811,643

Advent Software, Inc. (a)

2,100

69,678

Allot Communications Ltd. (a)

1,273

15,722

American Software, Inc. Class A

846

7,191

ANSYS, Inc. (a)

3,591

267,530

AsiaInfo-Linkage, Inc. (a)

2,883

33,414

Aspen Technology, Inc. (a)

3,566

109,191

Autodesk, Inc. (a)

8,763

330,628

AutoNavi Holdings Ltd. ADR (a)

870

10,423

Blackbaud, Inc.

1,626

49,333

BluePhoenix Solutions Ltd. (a)

315

1,260

BMC Software, Inc. (a)

5,781

261,850

Bottomline Technologies, Inc. (a)

1,557

43,020

BroadSoft, Inc. (a)

1,060

29,383

CA Technologies, Inc.

17,433

476,095

Cadence Design Systems, Inc. (a)

11,717

177,278

Callidus Software, Inc. (a)

1,628

9,784

Changyou.com Ltd. (A Shares) ADR

374

11,501

Check Point Software Technologies Ltd. (a)

7,874

394,330

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Cinedigm Digital Cinema Corp. (a)

3,549

$ 5,465

Citrix Systems, Inc. (a)

7,141

459,523

ClickSoftware Technologies Ltd.

1,103

8,537

CommVault Systems, Inc. (a)

1,770

123,900

Compuware Corp.

8,080

90,738

Comverse, Inc.

800

23,888

Concur Technologies, Inc. (a)

2,071

167,192

Descartes Systems Group, Inc. (a)

2,609

28,940

Digimarc Corp.

390

8,974

Ebix, Inc.

1,287

25,534

Electronic Arts, Inc. (a)

11,645

267,719

Envivio, Inc. (a)

1,510

2,507

EPIQ Systems, Inc.

1,500

18,195

ePlus, Inc.

287

14,273

FalconStor Software, Inc. (a)

2,536

3,398

Fortinet, Inc. (a)

5,988

115,329

Glu Mobile, Inc. (a)(d)

2,794

7,572

Guidance Software, Inc. (a)

1,292

11,912

Informatica Corp. (a)

4,100

149,076

Interactive Intelligence Group, Inc. (a)

737

36,997

Intuit, Inc.

11,534

674,047

Jive Software, Inc. (a)

2,493

42,132

KongZhong Corp. sponsored ADR (a)

1,000

6,600

Magic Software Enterprises Ltd.

424

2,285

Majesco Entertainment Co. (a)

2,427

1,595

Manhattan Associates, Inc. (a)

835

62,650

Mentor Graphics Corp.

4,154

78,884

MICROS Systems, Inc. (a)

3,100

130,820

Microsoft Corp.

321,451

11,212,211

MicroStrategy, Inc. Class A (a)

345

31,561

Mitek Systems, Inc. (a)

938

5,938

Monotype Imaging Holdings, Inc.

1,551

35,301

Net 1 UEPS Technologies, Inc. (a)

2,000

14,440

NetScout Systems, Inc. (a)

1,700

41,395

NICE Systems Ltd. sponsored ADR

1,581

58,339

Nuance Communications, Inc. (a)(d)

12,385

235,315

Oracle Corp.

181,038

6,111,843

Parametric Technology Corp. (a)

4,688

117,716

Pegasystems, Inc.

1,363

44,066

Perfect World Co. Ltd. sponsored ADR Class B

1,575

24,302

Progress Software Corp. (a)

2,529

59,457

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Proofpoint, Inc. (a)

1,093

$ 22,079

QAD, Inc.:

Class A

1,125

14,096

Class B

165

1,741

QLIK Technologies, Inc. (a)

3,200

98,432

Qualys, Inc.

1,957

27,398

RealPage, Inc. (a)

2,672

50,875

Rovi Corp. (a)

4,276

110,321

Sapiens International Corp. NV

2,318

12,007

SeaChange International, Inc. (a)

1,311

14,106

Shanda Games Ltd. sponsored ADR (a)

3,749

15,446

Smith Micro Software, Inc. (a)

1,336

1,723

Sourcefire, Inc. (a)

1,143

63,962

Splunk, Inc. (a)

3,688

172,451

SS&C Technologies Holdings, Inc. (a)

2,835

89,671

Symantec Corp.

26,856

601,306

Synchronoss Technologies, Inc. (a)

1,407

44,109

Synopsys, Inc. (a)

5,802

211,483

Take-Two Interactive Software, Inc. (a)

3,186

53,015

Tangoe, Inc. (a)

1,318

19,651

TeleCommunication Systems, Inc. Class A (a)

1,500

3,525

TeleNav, Inc. (a)

1,766

8,989

The9 Ltd. sponsored ADR (a)

786

2,492

TIBCO Software, Inc. (a)

6,079

129,665

TigerLogic Corp. (a)

987

1,856

TiVo, Inc. (a)

4,553

58,916

Trunkbow International Holdings Ltd. (a)

1,172

1,003

Ultimate Software Group, Inc. (a)

1,000

111,300

Vasco Data Security International, Inc. (a)

2,389

20,020

Verint Systems, Inc. (a)

2,398

80,501

Voltari Corp. (a)

168

731

Wave Systems Corp. Class A (a)(d)

3,219

1,223

Websense, Inc. (a)

1,626

40,406

Zynga, Inc. (a)

22,402

76,167

 

26,547,167

TOTAL INFORMATION TECHNOLOGY

98,769,862

MATERIALS - 0.9%

Chemicals - 0.4%

A. Schulman, Inc.

1,300

37,570

Common Stocks - continued

Shares

Value

MATERIALS - continued

Chemicals - continued

ADA-ES, Inc. (a)

307

$ 11,466

American Pacific Corp. (a)

525

14,595

Balchem Corp.

1,200

57,612

Gulf Resources, Inc. (a)(d)

1,170

1,427

Hawkins, Inc.

303

12,084

Innophos Holdings, Inc.

810

40,970

Innospec, Inc.

1,020

41,851

Landec Corp. (a)

1,071

15,037

Material Sciences Corp. (a)

570

5,586

Methanex Corp.

3,891

172,154

Penford Corp. (a)

476

5,650

Senomyx, Inc. (a)

1,501

3,107

Sigma Aldrich Corp.

4,579

383,079

Yongye International, Inc. (a)

2,133

11,348

Zoltek Companies, Inc. (a)

1,281

16,371

 

829,907

Construction Materials - 0.0%

CaesarStone Sdot-Yam Ltd. (a)

1,191

34,253

United States Lime & Minerals, Inc. (a)

136

6,782

 

41,035

Containers & Packaging - 0.1%

AEP Industries, Inc. (a)

300

25,044

Silgan Holdings, Inc.

2,770

129,553

 

154,597

Metals & Mining - 0.4%

Century Aluminum Co. (a)

3,466

34,348

China Gerui Adv Mat Group Ltd. (a)

1,568

2,948

China Natural Resources, Inc. (a)

816

3,305

China Precision Steel, Inc. (a)(d)

159

199

Globe Specialty Metals, Inc.

2,759

33,853

Handy & Harman Ltd. (a)

800

12,904

Haynes International, Inc.

435

21,289

Horsehead Holding Corp. (a)

1,564

18,002

Kaiser Aluminum Corp.

821

52,084

Olympic Steel, Inc.

480

12,158

Pan American Silver Corp.

5,988

73,113

Randgold Resources Ltd. sponsored ADR

2,039

159,817

Royal Gold, Inc.

2,484

136,024

Schnitzer Steel Industries, Inc. Class A

866

21,390

Silver Standard Resources, Inc. (a)

3,316

26,064

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

SinoCoking Coal and Coke Chemical Industries, Inc. (a)

750

$ 1,185

Steel Dynamics, Inc.

8,500

130,390

Sutor Technology Group Ltd. (a)

1,977

3,914

Universal Stainless & Alloy Products, Inc. (a)

265

8,398

 

751,385

Paper & Forest Products - 0.0%

Mercer International, Inc. (SBI) (a)

2,261

15,556

Pope Resources, Inc. LP

261

17,675

 

33,231

TOTAL MATERIALS

1,810,155

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 0.4%

8x8, Inc. (a)

3,273

27,068

Alaska Communication Systems Group, Inc.

2,052

3,365

Atlantic Tele-Network, Inc.

551

27,423

B Communications Ltd. (a)

1,052

8,100

Cbeyond, Inc. (a)

1,101

9,458

Cogent Communications Group, Inc.

1,770

48,657

Consolidated Communications Holdings, Inc.

1,601

27,249

FairPoint Communications, Inc. (a)(d)

938

7,973

Frontier Communications Corp. (d)

39,000

161,460

General Communications, Inc. Class A (a)

1,471

12,783

Hawaiian Telcom Holdco, Inc. (a)

350

9,020

HickoryTech Corp.

570

5,974

Hong Kong Television Network Ltd. sponsored ADR

561

3,787

inContact, Inc. (a)

2,511

18,230

Internet Gold Golden Lines Ltd. (a)

720

2,196

Iridium Communications, Inc. (a)

2,453

17,490

Lumos Networks Corp.

905

12,435

Multiband Corp. (a)

2,455

7,881

Neutral Tandem, Inc.

1,292

7,519

ORBCOMM, Inc. (a)

1,486

5,825

Towerstream Corp. (a)

1,587

4,079

TW telecom, Inc. (a)

5,721

163,220

VocalTec Communications Ltd. (a)(d)

699

10,436

Windstream Corp. (d)

22,140

177,784

 

779,412

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Wireless Telecommunication Services - 0.8%

America Movil S.A.B. de CV Series A sponsored ADR

592

$ 11,822

Boingo Wireless, Inc. (a)

1,245

9,026

Clearwire Corp. Class A (a)

26,585

119,101

Leap Wireless International, Inc. (a)

2,826

15,967

NII Holdings, Inc. (a)(d)

6,689

51,572

NTELOS Holdings Corp.

905

14,815

Partner Communications Co. Ltd. ADR

576

3,496

SBA Communications Corp. Class A (a)

4,857

365,586

Shenandoah Telecommunications Co.

891

14,826

USA Mobility, Inc.

900

12,132

Vodafone Group PLC sponsored ADR

37,776

1,093,615

 

1,711,958

TOTAL TELECOMMUNICATION SERVICES

2,491,370

UTILITIES - 0.1%

Electric Utilities - 0.1%

MGE Energy, Inc.

813

43,390

Otter Tail Corp.

1,426

38,958

 

82,348

Gas Utilities - 0.0%

Delta Natural Gas Co., Inc.

483

10,496

Independent Power Producers & Energy Traders - 0.0%

Synthesis Energy Systems, Inc. (a)

1,565

1,330

Water Utilities - 0.0%

Artesian Resources Corp. Class A

375

8,291

Cadiz, Inc. (a)

1,179

6,933

Connecticut Water Service, Inc.

465

13,192

Consolidated Water Co., Inc.

705

7,607

Middlesex Water Co.

510

9,818

Tri-Tech Holding, Inc. (a)

258

421

York Water Co.

426

8,128

 

54,390

TOTAL UTILITIES

148,564

TOTAL COMMON STOCKS

(Cost $147,335,521)


203,933,704

Money Market Funds - 2.2%

Shares

Value

Fidelity Cash Central Fund, 0.12% (b)

172,614

$ 172,614

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

4,321,034

4,321,034

TOTAL MONEY MARKET FUNDS

(Cost $4,493,648)


4,493,648

TOTAL INVESTMENT PORTFOLIO - 102.0%

(Cost $151,829,169)

208,427,352

NET OTHER ASSETS (LIABILITIES) - (2.0)%

(4,068,370 )

NET ASSETS - 100%

$ 204,358,982

Legend

(a) Non-income producing

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements 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.

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

$ 207

Fidelity Securities Lending Cash Central Fund

87,636

Total

$ 87,843

Other Information

The following is a summary of the inputs used, as of May 31, 2013, 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 Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 37,763,894

$ 37,763,894

$ -

$ -

Consumer Staples

8,119,309

8,119,309

-

-

Energy

2,799,773

2,799,773

-

-

Financials

14,051,821

14,051,674

147

-

Health Care

28,923,398

28,923,398

-

-

Industrials

9,055,558

9,055,558

-

-

Information Technology

98,769,862

98,769,601

-

261

Materials

1,810,155

1,798,807

-

11,348

Telecommunication Services

2,491,370

2,491,370

-

-

Utilities

148,564

148,564

-

-

Money Market Funds

4,493,648

4,493,648

-

-

Total Investments in Securities:

$ 208,427,352

$ 208,415,596

$ 147

$ 11,609

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

  

May 31, 2013 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $4,133,988) - See accompanying schedule:

Unaffiliated issuers (cost $147,335,521)

$ 203,933,704

 

Fidelity Central Funds (cost $4,493,648)

4,493,648

 

Total Investments (cost $151,829,169)

 

$ 208,427,352

Cash

 

40,855

Receivable for investments sold

130,865

Dividends receivable

205,256

Distributions receivable from Fidelity Central Funds

17,126

Prepaid expenses

95

Receivable from investment adviser for expense reductions

37,564

Other receivables

572

Total assets

208,859,685

 

 

 

Liabilities

Accrued management fee

$ 40,657

Distribution and service plan fees payable

45,212

Other affiliated payables

6,590

Other payables and accrued expenses

87,210

Collateral on securities loaned, at value

4,321,034

Total liabilities

4,500,703

 

 

 

Net Assets

$ 204,358,982

Net Assets consist of:

 

Paid in capital

$ 145,242,732

Undistributed net investment income

535,843

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

1,982,222

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

56,598,185

Net Assets , for 1,500,000 shares outstanding

$ 204,358,982

Net Asset Value , offering price and redemption price per share ($204,358,982 ÷ 1,500,000 shares)

$ 136.24

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

Semiannual Report

Financial Statements - continued

Statement of Operations

Six months ended May 31, 2013 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 1,502,477

Income from Fidelity Central Funds (including $87,636 from security lending)

 

87,843

Total income

 

1,590,320

 

 

 

Expenses

Management fee

$ 232,521

Transfer agent fees

45,176

Distribution and service plan fees

87,193

Licensing fees

58,129

Accounting and security lending fees

37,926

Independent trustees' compensation

583

Audit

38,157

Legal

257

Miscellaneous

7,626

Total expenses before reductions

507,568

Expense reductions

(216,985 )

290,583

Net investment income (loss)

1,299,737

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

(89,282)

In-Kind redemptions

5,919,207

 

Foreign currency transactions

(1 )

Total net realized gain (loss)

 

5,829,924

Change in net unrealized appreciation (depreciation) on:

Investment securities

20,489,528

Assets and liabilities in foreign currencies

(1 )

Total change in net unrealized appreciation (depreciation)

 

20,489,527

Net gain (loss)

26,319,451

Net increase (decrease) in net assets resulting from operations

$ 27,619,188

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

Semiannual Report

Statement of Changes in Net Assets

  

Six months ended May 31, 2013
(Unaudited)

Year ended
November 30, 2012

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 1,299,737

$ 2,093,192

Net realized gain (loss)

5,829,924

4,461,587

Change in net unrealized appreciation (depreciation)

20,489,527

19,273,245

Net increase (decrease) in net assets resulting
from operations

27,619,188

25,828,024

Distributions to shareholders from net investment income

(1,374,000 )

(1,832,000 )

Share transactions
Proceeds from sales of shares

12,463,523

11,081,070

Cost of shares redeemed

(12,741,916 )

(11,907,676 )

Net increase (decrease) in net assets resulting from share transactions

(278,393 )

(826,606 )

Total increase (decrease) in net assets

25,966,795

23,169,418

 

 

 

Net Assets

Beginning of period

178,392,187

155,222,769

End of period (including undistributed net investment income of $535,843 and undistributed net investment income of $610,106, respectively)

$ 204,358,982

$ 178,392,187

Ot her Information

Shares

Sold

100,000

100,000

Redeemed

(100,000 )

(100,000 )

Net increase (decrease)

-

-

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

Semiannual Report

Financial Highlights

 

Six months ended
May 31, 2013

Years ended November 30,

 

(Unaudited)

2012

2011

2010

2009

2008

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 118.93

$ 103.48

$ 98.68

$ 84.65

$ 60.62

$ 104.53

Income from InvestmentOperations

 

 

 

 

 

Net investment income (loss) D

  .85

  1.35

  .93

  .71

  .55

  .69

Net realized and unrealized gain (loss)

  17.37

  15.29

  4.74

  13.92

  23.95

  (43.96 )

Total from investment operations

  18.22

  16.64

  5.67

  14.63

  24.50

  (43.27 )

Distributions from net investment income

  (.91)

  (1.19)

  (.87)

  (.60)

  (.47)

  (.53)

Distributions from net realized gain

  -

  -

  -

  -

  -

  (.11 )

Total distributions

  (.91 )

  (1.19 )

  (.87 )

  (.60 )

  (.47 )

  (.64 )

Net asset value, end of period

$ 136.24

$ 118.93

$ 103.48

$ 98.68

$ 84.65

$ 60.62

Total Return B, C

  15.43%

  16.13%

  5.75%

  17.35%

  40.62%

  (41.62)%

Ratios to Average Net Assets E, G

 

 

 

 

 

Expenses before reductions

  .52% A

  .52%

  .53%

  .58%

  .65%

  .73%

Expenses net of fee waivers, if any

  .30% A

  .30%

  .30%

  .30%

  .30%

  .30%

Expenses net of all reductions

  .30% A

  .30%

  .30%

  .30%

  .30%

  .30%

Net investment income (loss)

  1.34% A

  1.16%

  .88%

  .78%

  .78%

  .79%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 204,359

$ 178,392

$ 155,223

$ 148,024

$ 126,970

$ 78,805

Portfolio turnover rate F, H

  19% A

  10%

  6%

  6%

  7%

  10%

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 Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

H Portfolio turnover rate excludes securities received or delivered in-kind.

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

Semiannual Report

Notes to Financial Statements

For the period ended May 31, 2013 (Unaudited)

1. Organization.

Fidelity® Nasdaq Composite Index® Tracking Stock (the Fund) is an exchange-traded fund of Fidelity Commonwealth 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.

2. Investments in Fidelity Central Funds.

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

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website 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:

Investment 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 vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Investment Valuation - continued

determining fair value vary by investment type and may include market or investment specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and 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 market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

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 May 31, 2013 is included at the end of the Fund's Schedule of Investments.

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

Semiannual Report

3. Significant Accounting Policies - continued

Foreign Currency - continued

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of regular trading hours on the NASDAQ exchange, 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. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company 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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

subject to examination for an additional fiscal year depending on the jurisdiction. Realized gain or loss resulting from in-kind redemptions is not taxable to the Fund and is not distributed to shareholders of the Fund. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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

Book-tax differences are primarily due to foreign currency transactions, Passive Foreign Investment Companies (PFIC), excise tax regulations, redemptions in kind, partnerships, capital loss carryforwards and losses deferred due to wash sales.

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

Gross unrealized appreciation

$ 70,099,092

Gross unrealized depreciation

(13,853,883 )

Net unrealized appreciation (depreciation) on securities and other investments

$ 56,245,209

 

 

Tax cost

$ 152,182,142

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.

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

Fiscal year of expiration

 

2016

$ (1,673,753)

2017

(1,453,838)

2018

(118,806 )

Total with expiration

(3,246,397)

No expiration

 

Short-term

(303,267)

Long-term

(165,938 )

Total no expiration

(469,205 )

Total capital loss carryforward

$ (3,715,602 )

 

 

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities and in-kind transactions, aggregated $5,381,700 and $5,378,954, respectively.

Securities received and delivered in-kind through subscriptions and redemptions totaled $12,425,455 and $12,702,057, respectively.

5. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .24% of the Fund's average net assets.

Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by FMR for providing these services.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted a Distribution and Service Plan. The Fund pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a distribution fee based on .09% of the Fund's average net assets. FDC pays these fees to NASDAQ OMX Group for marketing services provided to the Fund. The Fund does not pay a service fee.

Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

5. Fees and Other Transactions with Affiliates - continued

Accounting and Security Lending Fees - continued

administers the security lending program. The security lending fee is based on the number and duration of lending transactions.

Licensing Fees. Under the terms of a license agreement, FMR pays NASDAQ OMX Group an annual licensing fee for the use of the NASDAQ Composite Index. FMR has entered into a sub-license agreement with the Fund whereby the Fund pays FMR the amount of the license fee at the rate of up to .06% of the Fund's average net assets.

6. 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, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. During the period, there were no securities loaned to FCM.

7. Expense Reductions.

FMR contractually agreed to waive expenses of the Fund to the extent annual operating expenses exceeded .30% of average net assets. This waiver will remain in place through January 31, 2004. Some expenses, for example interest expense, are excluded from this waiver. During the period this waiver reduced the Fund's expenses by $216,960.

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 custody expenses by $25.

Semiannual Report

8. Share Transactions.

The Fund issues and redeems shares at Net Asset Value only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated stocks to the Fund and redemption proceeds are paid with a basket of securities from the Fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. The Fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of the Fund. The transaction fee is used to defray the costs associated with the issuance and redemption of Creation Units.

9. 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

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

JPMorgan Chase Bank
New York, NY

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank
New York, NY

The Fidelity Telephone Connection

1-800-FIDELITY

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com 

ETF-USAN-0713
1.802769.109

Fidelity ®

Nasdaq Composite Index ®

Fund

Semiannual Report

May 31, 2013

(Fidelity Cover Art)

Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Nasdaq®, OMX®, NASDAQ OMX®, Nasdaq Composite®, and The Nasdaq Stock Market®, Inc. are registered trademarks of The NASDAQ OMX Group, Inc. (which with its Affiliates are the Corporations) and are licensed for use by Fidelity. The product has not been passed on by the Corporations as to its legality or suitability. The product is not issued, endorsed or sold by the Corporations. The Corporations make no warranties and bear no liability with respect to shares of the product.

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. © 2013 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

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2012 to May 31, 2013).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. 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 provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

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

Semiannual Report

Shareholder Expense Example - continued

 

Annualized
Expense Ratio B

Beginning
Account Value
December 1, 2012

Ending
Account Value
May 31, 2013

Expenses Paid
During Period *
December 1, 2012
to May 31, 2013

Actual

.35%

$ 1,000.00

$ 1,154.00

$ 1.88

Hypothetical A

 

$ 1,000.00

$ 1,023.19

$ 1.77

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

Semiannual Report

Investment Changes (Unaudited)

Top Ten Stocks as of May 31, 2013

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

7.8

11.7

Microsoft Corp.

5.4

4.8

Google, Inc. Class A

4.3

3.9

Oracle Corp.

3.0

3.3

Cisco Systems, Inc.

2.4

2.2

Amazon.com, Inc.

2.3

2.4

Intel Corp.

2.2

2.1

QUALCOMM, Inc.

2.0

2.3

Comcast Corp. Class A

1.7

1.7

Gilead Sciences, Inc.

1.5

1.2

 

32.6

Market Sectors as of May 31, 2013

 

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

47.4

50.4

Consumer Discretionary

18.1

17.2

Health Care

13.9

12.7

Financials

6.7

6.6

Industrials

4.3

4.1

Consumer Staples

3.9

4.0

Energy

1.3

1.3

Telecommunication Services

1.2

1.2

Materials

0.8

1.0

Utilities

0.1

0.1

Asset Allocation (% of fund's net assets)

To match the Nasdaq Composite Index, Fidelity Nasdaq Composite Index Fund seeks 100% investment exposure to stocks at all times.

Semiannual Report

Investments May 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 97.7%

Shares

Value

CONSUMER DISCRETIONARY - 18.1%

Auto Components - 0.2%

Ballard Power Systems, Inc. (a)(d)

6,442

$ 10,874

China Automotive Systems, Inc. (a)(d)

2,230

11,551

China XD Plastics Co. Ltd. (a)

4,588

19,545

Dorman Products, Inc. (d)

3,747

166,854

Exide Technologies (a)

2,463

1,113

Federal-Mogul Corp. Class A (a)(d)

9,337

91,036

Fuel Systems Solutions, Inc. (a)(d)

2,518

39,256

Gentex Corp.

14,463

330,769

Gentherm, Inc. (a)

2,521

46,437

Motorcar Parts of America, Inc. (a)

1,158

7,191

Quantum Fuel Systems Technologies Worldwide, Inc. (a)

963

572

Remy International, Inc.

1,058

19,033

Shiloh Industries, Inc.

4,105

40,804

SORL Auto Parts, Inc. (a)

1,464

3,821

Spartan Motors, Inc.

2,787

16,861

Strattec Security Corp.

415

15,791

The Goodyear Tire & Rubber Co. (a)

24,026

363,754

 

1,185,262

Automobiles - 0.2%

Kandi Technolgies, Inc. (a)(d)

3,592

13,470

Tesla Motors, Inc. (a)

11,446

1,118,961

 

1,132,431

Distributors - 0.2%

Core-Mark Holding Co., Inc.

1,067

63,156

LKQ Corp. (a)(d)

29,922

732,491

Pool Corp.

4,785

246,188

VOXX International Corp. (a)

1,524

16,947

Weyco Group, Inc.

1,086

26,118

 

1,084,900

Diversified Consumer Services - 0.3%

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

1,702

64,744

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

11,379

227,466

Ascent Capital Group, Inc. (a)

1,360

98,614

Cambium Learning Group, Inc. (a)

3,505

4,977

Capella Education Co. (a)(d)

1,212

52,795

Career Education Corp. (a)

5,375

16,018

ChinaEdu Corp. sponsored ADR (a)

1,016

6,086

Coinstar, Inc. (a)

2,977

173,380

Collectors Universe, Inc.

712

9,284

Corinthian Colleges, Inc. (a)

7,598

19,755

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Diversified Consumer Services - continued

Education Management Corp. (a)(d)

12,940

$ 83,592

Grand Canyon Education, Inc. (a)(d)

4,304

138,244

JTH Holding, Inc. Class A (a)

3,685

59,697

Learning Tree International, Inc. (a)

1,097

3,302

Lincoln Educational Services Corp.

1,850

12,747

Matthews International Corp. Class A

2,914

111,752

National American University Holdings, Inc.

1,829

6,914

Steiner Leisure Ltd. (a)

1,932

98,126

Stewart Enterprises, Inc. Class A

7,912

102,856

Strayer Education, Inc. (d)

1,129

60,390

 

1,350,739

Hotels, Restaurants & Leisure - 2.4%

AFC Enterprises, Inc. (a)

2,049

74,707

Ambassadors Group, Inc.

1,175

4,171

Ameristar Casinos, Inc.

3,013

78,941

Asia Entertainment & Resources Ltd. (d)

2,800

11,900

BJ's Restaurants, Inc. (a)(d)

2,772

104,061

Bloomin' Brands, Inc.

11,974

278,515

Bob Evans Farms, Inc.

3,295

152,097

Bravo Brio Restaurant Group, Inc. (a)

2,791

50,238

Buffalo Wild Wings, Inc. (a)(d)

1,987

190,673

Caesars Entertainment Corp. (a)(d)

12,071

174,909

Carrols Restaurant Group, Inc. (a)

1,559

8,886

Century Casinos, Inc. (a)

2,256

7,670

China Lodging Group Ltd. ADR (a)(d)

2,181

34,820

Churchill Downs, Inc.

1,815

152,351

Chuys Holdings, Inc. (d)

1,871

65,204

Cosi, Inc. (a)

499

1,018

Cracker Barrel Old Country Store, Inc.

2,261

202,269

Del Frisco's Restaurant Group, Inc. (a)

2,911

54,115

Denny's Corp. (a)

7,593

45,786

Dunkin' Brands Group, Inc.

10,223

404,831

Einstein Noah Restaurant Group, Inc.

641

8,974

Famous Dave's of America, Inc. (a)

1,074

12,899

Fiesta Restaurant Group, Inc. (a)(d)

2,187

77,792

Gaming Partners International Corp.

597

4,836

Home Inns & Hotels Management, Inc. sponsored ADR (a)(d)

3,973

115,177

Icahn Enterprises LP

10,649

825,617

Ignite Restaurant Group, Inc. (a)

2,411

44,121

International Speedway Corp. Class A

3,385

117,324

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Hotels, Restaurants & Leisure - continued

Interval Leisure Group, Inc.

6,529

$ 141,092

Isle of Capri Casinos, Inc. (a)

3,470

26,788

Jack in the Box, Inc. (a)

4,029

147,018

Jamba, Inc. (a)

5,661

16,926

Lakes Entertainment, Inc. (a)

2,346

8,563

Melco PBL Entertainment (Macau) Ltd. sponsored ADR (a)

17,970

427,327

Monarch Casino & Resort, Inc. (a)

1,459

22,483

Morgans Hotel Group Co. (a)

2,367

15,883

MTR Gaming Group, Inc. (a)

1,922

7,284

Multimedia Games Holding Co., Inc. (a)

2,225

56,938

Nathan's Famous, Inc. (a)(d)

496

25,360

Norwegian Cruise Line Holdings Ltd. (d)

20,178

620,474

Panera Bread Co. Class A (a)

2,726

522,929

Papa John's International, Inc. (a)

2,235

144,001

Penn National Gaming, Inc. (a)(d)

7,861

432,669

PokerTek, Inc. (a)

228

262

Premier Exhibitions, Inc. (a)

3,637

7,274

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

1,253

65,795

Rick's Cabaret International, Inc. (a)

1,724

14,292

Ruth's Hospitality Group, Inc.

3,483

39,010

Scientific Games Corp. Class A (a)

9,867

107,452

SHFL Entertainment, Inc. (a)

6,968

120,198

Sonic Corp. (a)(d)

5,467

71,782

Starbucks Corp.

73,461

4,633,185

Texas Roadhouse, Inc. Class A

7,090

167,679

The Cheesecake Factory, Inc.

5,266

210,219

Town Sports International Holdings, Inc.

1,521

16,761

Wendy's Co.

37,909

225,559

Wynn Resorts Ltd. (d)

9,957

1,353,057

 

12,952,162

Household Durables - 0.2%

Bassett Furniture Industries, Inc.

931

12,811

Cavco Industries, Inc. (a)(d)

650

31,142

Dixie Group, Inc. (a)

767

5,691

Flexsteel Industries, Inc.

253

5,751

Garmin Ltd.

19,176

669,818

Helen of Troy Ltd. (a)

3,230

128,134

Hooker Furniture Corp.

696

12,180

iRobot Corp. (a)(d)

2,647

89,442

Lifetime Brands, Inc.

658

8,857

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Household Durables - continued

SGOCO Technology Ltd. (a)

1,000

$ 1,130

Skullcandy, Inc. (a)

2,787

16,109

SodaStream International Ltd. (a)(d)

2,259

144,124

Stanley Furniture Co., Inc. (a)

825

3,374

Universal Electronics, Inc. (a)

1,279

34,149

Zagg, Inc. (a)(d)

3,197

16,145

 

1,178,857

Internet & Catalog Retail - 4.2%

1-800-FLOWERS.com, Inc. Class A (a)

1,747

10,639

Amazon.com, Inc. (a)

44,630

12,006,809

Blue Nile, Inc. (a)

1,382

49,144

CafePress, Inc. (a)(d)

1,330

8,658

Ctrip.com International Ltd. sponsored ADR (a)

14,858

462,827

dELiA*s, Inc. (a)

2,226

2,115

eLong, Inc. sponsored ADR (a)

893

12,565

Expedia, Inc.

12,262

704,575

Gaiam, Inc. Class A (a)

1,930

7,817

Geeknet, Inc. (a)

449

6,519

Groupon, Inc. Class A (a)(d)

64,142

492,611

Hollywood Media Corp. (a)

3,540

5,062

HomeAway, Inc. (a)(d)

8,039

245,833

HSN, Inc.

5,374

305,727

Liberty Media Corp.:

Interactive Series A (a)

52,702

1,183,160

Series A (a)

3,561

290,471

MakeMyTrip Ltd. (a)(d)

4,155

53,142

Mecox Lane Ltd. ADR (a)

160

437

Netflix, Inc. (a)(d)

5,479

1,239,624

NutriSystem, Inc.

3,003

27,117

Overstock.com, Inc. (a)(d)

2,066

53,551

PetMed Express, Inc.

1,606

21,504

priceline.com, Inc. (a)(d)

4,887

3,928,806

Shutterfly, Inc. (a)(d)

3,440

167,666

TripAdvisor, Inc. (a)(d)

12,796

825,214

U.S. Auto Parts Network, Inc. (a)

2,459

3,049

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

5,170

26,109

Vitacost.com, Inc. (a)(d)

3,923

32,090

 

22,172,841

Leisure Equipment & Products - 0.4%

Arctic Cat, Inc.

1,267

59,410

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Leisure Equipment & Products - continued

Black Diamond, Inc. (a)(d)

4,678

$ 41,962

Escalade, Inc.

749

4,614

Hasbro, Inc.

12,598

560,359

JAKKS Pacific, Inc.

3,085

31,159

Johnson Outdoors, Inc. Class A (a)

771

19,082

Mattel, Inc.

33,008

1,477,108

Smith & Wesson Holding Corp. (a)(d)

6,189

56,382

Summer Infant, Inc. (a)

1,750

5,723

 

2,255,799

Media - 7.1%

AirMedia Group, Inc. ADR (a)

3,030

5,636

AMC Networks, Inc. Class A (a)

5,945

380,599

Beasley Broadcast Group, Inc. Class A

689

5,043

Bona Film Group Ltd. sponsored ADR (a)

1,803

8,564

Carmike Cinemas, Inc. (a)

1,268

22,469

Central European Media Enterprises Ltd. Class A (a)(d)

9,690

32,365

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

9,958

1,114,499

China Yida Holding Co. (a)(d)

388

1,564

ChinaNet Online Holdings, Inc. (a)(d)

1,300

689

Comcast Corp.:

Class A (d)

218,478

8,771,892

Class A (special) (non-vtg.)

40,668

1,577,918

Crown Media Holdings, Inc. Class A (a)

32,822

67,285

CTC Media, Inc.

16,757

200,079

Cumulus Media, Inc. Class A (a)(d)

13,687

50,779

Daily Journal Corp. (a)

220

24,794

Digital Generation, Inc. (a)

2,630

18,384

DIRECTV (a)

56,295

3,441,313

Discovery Communications, Inc. (a)(d)

14,508

1,144,101

Discovery Communications, Inc.:

Class B (a)

715

56,285

Class C (non-vtg.) (a)

8,490

594,045

DISH Network Corp. Class A

21,180

816,277

DreamWorks Animation SKG, Inc. Class A (a)

8,372

183,682

Emmis Communications Corp. Class A (a)

2,486

4,127

Fisher Communications, Inc.

802

32,970

Global Sources Ltd. (a)

3,344

22,773

Harris Interactive, Inc. (a)

4,199

7,768

Insignia Systems, Inc. (a)

738

1,469

Lamar Advertising Co. Class A (a)

7,912

369,728

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Media - continued

Liberty Global, Inc.:

Class A (a)(d)

14,138

$ 1,041,971

Class B (a)

247

16,991

Class C (a)

10,878

747,210

Liberty Media Corp. Class A (a)

11,443

1,428,773

Loral Space & Communications Ltd.

2,333

140,493

MDC Partners, Inc. Class A (sub. vtg.)

2,702

47,636

Morningstar, Inc.

5,112

351,603

National CineMedia, Inc.

3,661

60,809

Navarre Corp. (a)

2,626

6,197

News Corp.:

Class A

139,617

4,483,102

Class B

87,914

2,834,347

Nexstar Broadcasting Group, Inc. Class A

1,166

32,648

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

3,233

7,533

ReachLocal, Inc. (a)(d)

2,733

37,989

Reading International, Inc. Class A (a)

2,789

16,957

Rentrak Corp. (a)

996

23,047

RLJ Entertainment, Inc. (a)

120

449

RRSat Global Communications Network Ltd.

1,296

10,860

Salem Communications Corp. Class A

2,027

15,121

Scholastic Corp. (d)

3,140

94,954

Sinclair Broadcast Group, Inc. Class A

7,200

194,616

Sirius XM Radio, Inc.

639,157

2,224,266

Spanish Broadcasting System, Inc. Class A (a)

311

1,288

Starz - Liberty Capital Series A (a)(d)

12,373

285,569

The Madison Square Garden Co. Class A (a)

6,384

373,656

Value Line, Inc.

658

5,975

Viacom, Inc.:

Class A

2,824

189,490

Class B (non-vtg.)

45,721

3,012,557

Virgin Media, Inc.

26,031

1,292,699

VisionChina Media, Inc. ADR (a)

267

609

WPP PLC ADR

1,128

95,959

 

38,032,471

Multiline Retail - 0.3%

Dollar Tree, Inc. (a)

22,318

1,072,157

Fred's, Inc. Class A

3,106

49,261

Gordmans Stores, Inc. (a)

2,098

26,875

Sears Holdings Corp. (a)(d)

10,388

507,246

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Multiline Retail - continued

The Bon-Ton Stores, Inc.

1,410

$ 30,019

Tuesday Morning Corp. (a)

4,055

36,130

 

1,721,688

Specialty Retail - 2.0%

America's Car Mart, Inc. (a)

822

37,064

Ascena Retail Group, Inc. (a)

16,070

326,703

bebe stores, Inc.

8,147

44,483

Bed Bath & Beyond, Inc. (a)(d)

22,106

1,508,735

Big 5 Sporting Goods Corp.

1,981

39,640

Body Central Corp. (a)

1,200

14,748

Books-A-Million, Inc. (a)(d)

1,634

4,918

Cache, Inc. (a)

659

2,774

Citi Trends, Inc. (a)

1,148

15,200

Coldwater Creek, Inc. (a)(d)

1,716

6,332

Conn's, Inc. (a)(d)

3,311

163,001

Destination Maternity Corp.

1,585

39,482

Destination XL Group, Inc. (a)(d)

4,191

20,787

Finish Line, Inc. Class A

5,933

124,949

Five Below, Inc. (d)

5,654

216,209

Francescas Holdings Corp. (a)

4,186

119,510

Hastings Entertainment, Inc.

1,374

4,191

Hibbett Sports, Inc. (a)(d)

2,734

155,920

Hot Topic, Inc. (d)

3,405

47,636

Jos. A. Bank Clothiers, Inc. (a)(d)

3,035

136,363

Kirkland's, Inc. (a)

1,743

26,075

Mattress Firm Holding Corp. (a)(d)

3,253

116,978

Monro Muffler Brake, Inc.

3,614

169,930

O'Reilly Automotive, Inc. (a)

10,755

1,171,327

Orchard Supply Hardware Stores Corp. Class A (a)(d)

370

877

Pacific Sunwear of California, Inc. (a)

6,909

22,731

Perfumania Holdings, Inc. (a)

1,858

10,925

PetSmart, Inc. (d)

10,666

719,955

Rent-A-Center, Inc. (d)

5,975

218,566

Ross Stores, Inc.

21,722

1,396,725

rue21, Inc. (a)

2,293

96,283

Sears Hometown & Outlet Stores, Inc. (a)

2,200

122,364

Select Comfort Corp. (a)(d)

5,898

130,877

Shoe Carnival, Inc.

1,800

43,704

Staples, Inc. (d)

65,975

989,625

Stein Mart, Inc.

3,807

49,225

Common Stocks - continued

Shares

Value

CONSUMER DISCRETIONARY - continued

Specialty Retail - continued

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

2,146

$ 114,446

Tile Shop Holdings, Inc. (a)

4,954

126,822

Tractor Supply Co.

6,838

765,719

Trans World Entertainment Corp.

1,445

6,806

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

6,306

572,333

Urban Outfitters, Inc. (a)

14,397

603,666

West Marine, Inc. (a)

2,166

25,082

Wet Seal, Inc. Class A (a)

7,436

36,883

Winmark Corp.

446

26,657

Zumiez, Inc. (a)(d)

3,571

113,629

 

10,706,855

Textiles, Apparel & Luxury Goods - 0.6%

Cherokee, Inc.

881

11,911

Columbia Sportswear Co.

3,598

216,672

Crocs, Inc. (a)

9,159

161,565

Deckers Outdoor Corp. (a)

3,656

196,254

Exceed Co. Ltd. (a)

1,935

2,419

Fossil, Inc. (a)

5,759

611,606

G-III Apparel Group Ltd. (a)(d)

1,887

79,462

Iconix Brand Group, Inc. (a)(d)

6,536

196,668

Joe's Jeans, Inc. (a)

4,434

7,626

Kingold Jewelry, Inc. (a)(d)

5,932

7,356

LJ International, Inc. (a)

2,378

4,685

lululemon athletica, Inc. (a)(d)

11,089

862,835

Perry Ellis International, Inc.

1,343

28,351

R.G. Barry Corp.

1,275

18,271

Rocky Brands, Inc.

397

5,804

Steven Madden Ltd. (a)

4,431

214,904

Superior Uniform Group, Inc.

90

1,043

Tandy Brands Accessories, Inc. (a)

905

543

True Religion Apparel, Inc.

2,372

75,524

Vera Bradley, Inc. (a)(d)

4,144

97,384

 

2,800,883

TOTAL CONSUMER DISCRETIONARY

96,574,888

CONSUMER STAPLES - 3.9%

Beverages - 0.2%

Coca-Cola Bottling Co. CONSOLIDATED

844

50,463

Craft Brew Alliance, Inc. (a)

6,177

46,822

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Beverages - continued

MGP Ingredients, Inc.

1,799

$ 9,625

Monster Beverage Corp. (a)

16,317

890,745

National Beverage Corp.

5,140

84,450

Primo Water Corp. (a)

1,600

2,672

 

1,084,777

Food & Staples Retailing - 1.5%

Andersons, Inc.

2,027

103,255

Arden Group, Inc. Class A

231

24,615

Casey's General Stores, Inc. (d)

4,025

244,559

Chefs' Warehouse Holdings (a)(d)

2,181

41,177

China Jo-Jo Drugstores, Inc. (a)

1,100

693

Costco Wholesale Corp.

42,677

4,680,387

Fresh Market, Inc. (a)(d)

5,000

247,700

G Willi-Food International Ltd. (a)

177

1,209

Ingles Markets, Inc. Class A

1,211

26,666

Nash-Finch Co.

1,029

22,360

PriceSmart, Inc. (d)

3,193

269,585

QKL Stores, Inc. (a)

137

567

Spartan Stores, Inc.

1,954

34,723

The Pantry, Inc. (a)

2,076

25,971

United Natural Foods, Inc. (a)

4,895

259,043

Village Super Market, Inc. Class A

1,257

47,012

Whole Foods Market, Inc. (d)

36,384

1,886,874

 

7,916,396

Food Products - 2.1%

Alico, Inc.

753

34,751

Boulder Brands, Inc. (a)(d)

5,745

60,265

Bridgford Foods Corp.

433

3,377

Cal-Maine Foods, Inc.

2,345

104,915

Calavo Growers, Inc.

1,103

32,770

Diamond Foods, Inc. (a)

2,254

34,960

Farmer Brothers Co. (a)

1,539

21,623

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

14,553

1,064,261

Griffin Land & Nurseries, Inc.

515

15,337

Hain Celestial Group, Inc. (a)(d)

4,643

309,317

Inventure Foods, Inc. (a)

1,520

11,430

J&J Snack Foods Corp.

1,993

151,269

John B. Sanfilippo & Son, Inc.

641

12,416

Kraft Foods Group, Inc.

57,934

3,193,901

Lancaster Colony Corp.

3,007

247,987

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food Products - continued

Le Gaga Holdings Ltd. ADR (a)(d)

950

$ 3,553

Lifeway Foods, Inc.

1,830

32,043

Limoneira Co. (d)

1,164

22,617

Mondelez International, Inc.

174,218

5,132,462

Origin Agritech Ltd. (a)

2,765

4,258

Pilgrims Pride Corp. (a)

27,321

326,759

Sanderson Farms, Inc.

2,148

148,040

Seneca Foods Corp. Class A (a)

1,052

33,611

SkyPeople Fruit Juice, Inc. (a)

1,700

3,655

Snyders-Lance, Inc.

7,344

190,356

SunOpta, Inc. (a)

8,249

64,687

Zhongpin, Inc. (a)(d)

3,594

47,692

 

11,308,312

Household Products - 0.0%

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

5,332

40,470

WD-40 Co.

1,986

107,721

 

148,191

Personal Products - 0.1%

Elizabeth Arden, Inc. (a)(d)

3,272

154,111

Inter Parfums, Inc.

4,023

120,610

LifeVantage Corp. (a)

10,300

22,660

Mannatech, Inc. (a)

170

1,700

Nature's Sunshine Products, Inc.

1,394

21,440

Neptune Technologies & Bioressources, Inc. (a)

6,363

18,596

Neptune Technologies & Bioressources, Inc.:

Class A (d)

213

0

warrants (a)(d)

427

0

Nutraceutical International Corp.

889

17,567

Reliv International, Inc.

923

1,228

Star Scientific, Inc. (a)(d)

16,201

24,139

Synutra International, Inc. (a)

5,975

28,083

The Female Health Co. (d)

3,903

36,337

United-Guardian, Inc.

81

2,102

 

448,573

TOTAL CONSUMER STAPLES

20,906,249

ENERGY - 1.3%

Energy Equipment & Services - 0.2%

Bolt Technology Corp.

1,828

29,796

Common Stocks - continued

Shares

Value

ENERGY - continued

Energy Equipment & Services - continued

Dawson Geophysical Co. (a)

534

$ 19,176

ENGlobal Corp. (a)

1,250

800

Exterran Partners LP

3,740

103,635

Forbes Energy Services Ltd. (a)

1,723

5,807

Geospace Technologies Corp. (a)

1,398

121,430

Gulf Island Fabrication, Inc.

1,159

23,910

Hercules Offshore, Inc. (a)

18,157

125,465

Lufkin Industries, Inc.

3,296

290,905

Matrix Service Co. (a)

1,981

32,667

Mitcham Industries, Inc. (a)(d)

966

15,079

Ocean Rig UDW, Inc. (United States) (a)

13,532

235,592

Patterson-UTI Energy, Inc.

14,636

307,502

PHI, Inc. (non-vtg.) (a)

1,185

41,499

RigNet, Inc. (a)

1,200

29,928

Tesco Corp. (a)

3,830

48,871

TGC Industries, Inc.

1,383

11,659

 

1,443,721

Oil, Gas & Consumable Fuels - 1.1%

Abraxas Petroleum Corp. (a)

3,109

7,244

Alliance Holdings GP, LP

6,410

408,509

Alliance Resource Partners LP

3,897

281,675

Amyris, Inc. (a)(d)

5,997

17,931

APCO Oil and Gas International, Inc. (a)

981

12,047

Approach Resources, Inc. (a)(d)

4,111

103,556

BioFuel Energy Corp. (a)(d)

1,164

4,772

BreitBurn Energy Partners LP

8,339

154,522

Calumet Specialty Products Partners LP

6,296

215,008

Capital Product Partners LP

5,919

54,336

Carrizo Oil & Gas, Inc. (a)(d)

3,936

100,998

Ceres, Inc. (a)(d)

2,501

5,402

Clayton Williams Energy, Inc. (a)

1,164

50,785

Clean Energy Fuels Corp. (a)(d)

9,504

126,118

Crimson Exploration, Inc. (a)

5,112

14,723

Crosstex Energy LP

8,462

162,978

Crosstex Energy, Inc.

4,072

77,572

Diamondback Energy, Inc. (d)

3,400

114,818

Dorchester Minerals LP

2,982

71,866

Double Eagle Petroleum Co. (a)

564

2,324

Eagle Rock Energy Partners LP

14,449

122,239

Energy XXI (Bermuda) Ltd.

8,067

205,951

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

EV Energy Partners LP

4,514

$ 171,803

FX Energy, Inc. (a)(d)

4,499

18,401

Gevo, Inc. (a)(d)

4,703

8,418

Golar LNG Ltd. (NASDAQ)

8,215

279,310

Golar LNG Partners LP

3,659

121,918

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

2,634

41,802

Gulfport Energy Corp. (a)(d)

7,874

375,511

Hallador Energy Co.

2,945

23,236

Isramco, Inc. (a)

239

23,362

Ivanhoe Energy, Inc. (a)(d)

10,891

13,446

James River Coal Co. (a)

2,824

7,314

KiOR, Inc. Class A (a)

4,185

19,377

Knightsbridge Tankers Ltd. (d)

1,852

13,038

L&L Energy, Inc. (a)

2,643

10,678

Legacy Reserves LP

5,830

154,495

LINN Energy LLC/LINN Energy Finance Corp.

23,094

759,793

LinnCo LLC (d)

3,446

125,073

Magellan Petroleum Corp. (a)

4,557

4,603

Marine Petroleum Trust

339

5,753

Martin Midstream Partners LP

3,139

128,887

Memorial Production Partners LP

2,474

46,536

Mid-Con Energy Partners LP

2,281

53,193

Pacific Ethanol, Inc. (a)(d)

796

3,494

PDC Energy, Inc. (a)(d)

3,209

164,269

PostRock Energy Corp. (a)

1,147

1,560

PrimeEnergy Corp. (a)

333

9,937

Renewable Energy Group, Inc. (a)(d)

4,128

55,852

Rex Energy Corp. (a)(d)

5,334

88,598

Rosetta Resources, Inc. (a)

5,991

280,738

Sino Clean Energy, Inc. rights (a)

623

0

Solazyme, Inc. (a)(d)

6,225

76,692

StealthGas, Inc. (a)

3,775

39,902

Syntroleum Corp. (a)

705

4,808

Top Ships, Inc. (a)

189

272

TORM A/S ADR (a)

34

92

TransGlobe Energy Corp. (a)

7,931

58,445

Uranium Resources, Inc. (a)(d)

678

2,000

US Energy Corp. (a)

3,179

5,754

Vanguard Natural Resources LLC

6,500

182,975

Verenium Corp. (a)

1,612

3,611

Warren Resources, Inc. (a)

6,353

18,614

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Westmoreland Coal Co. (a)

1,067

$ 12,804

ZaZa Energy Corp. (a)(d)

10,467

14,654

Zion Oil & Gas, Inc. (a)(d)

3,214

5,496

 

5,751,888

TOTAL ENERGY

7,195,609

FINANCIALS - 6.7%

Capital Markets - 1.0%

BGC Partners, Inc. Class A

10,962

60,401

Calamos Asset Management, Inc. Class A

1,792

18,852

Capital Southwest Corp.

449

61,913

Carlyle Group LP

4,400

128,304

CIFI Corp. (a)

1,822

14,011

Cowen Group, Inc. Class A (a)

21,595

66,729

Diamond Hill Investment Group, Inc.

278

22,738

E*TRADE Financial Corp. (a)

28,963

336,840

FBR & Co. (a)

1,363

32,985

Financial Engines, Inc.

4,945

213,228

Gleacher & Co., Inc. (a)

621

8,533

Harris & Harris Group, Inc. (a)

3,415

11,953

Horizon Technology Finance Corp.

560

7,851

ICG Group, Inc. (a)(d)

3,834

42,596

INTL FCStone, Inc. (a)(d)

3,647

64,734

LPL Financial

10,676

395,866

Medallion Financial Corp.

1,715

25,485

Northern Trust Corp.

22,978

1,336,171

SEI Investments Co.

16,877

516,605

Siebert Financial Corp. (a)

2,067

3,101

T. Rowe Price Group, Inc.

25,018

1,897,865

U.S. Global Investments, Inc. Class A

870

2,358

Virtus Investment Partners, Inc. (a)

760

176,214

WisdomTree Investments, Inc. (a)

11,977

148,994

 

5,594,327

Commercial Banks - 2.8%

1st Source Corp.

2,125

51,446

1st United Bancorp, Inc.

2,920

18,688

Access National Corp.

974

12,594

ACNB Corp.

1,852

31,428

American National Bankshares, Inc.

1,283

27,828

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

American River Bankshares (a)

684

$ 5,684

Ameris Bancorp (a)

2,404

39,714

Ames National Corp.

710

14,576

Arrow Financial Corp.

1,194

29,408

Associated Banc-Corp.

15,849

244,233

Auburn National Bancorp., Inc.

32

703

BancFirst Corp.

1,957

83,877

Bancorp, Inc., Delaware (a)

3,061

43,987

Bank of Commerce Holdings

3,459

17,260

Bank of Kentucky Financial Corp.

771

20,007

Bank of Marin Bancorp

628

24,467

Bank of the Ozarks, Inc. (d)

4,048

176,695

Banner Bank

1,488

47,735

BBCN Bancorp, Inc.

9,438

121,656

BCB Bancorp, Inc.

1,563

15,958

Berkshire Bancorp, Inc.

1,100

8,910

BNC Bancorp

1,672

18,074

BOK Financial Corp.

5,204

338,780

Boston Private Financial Holdings, Inc.

8,549

84,208

Bridge Bancorp, Inc.

828

17,727

Bridge Capital Holdings (a)

1,197

18,182

Bryn Mawr Bank Corp.

1,221

27,692

BSB Bancorp, Inc. (a)

800

10,912

C & F Financial Corp.

186

8,928

Camden National Corp.

695

26,132

Capital Bank Financial Corp.:

rights

910

0

Series A

3,533

63,241

Capital City Bank Group, Inc. (a)(d)

1,669

19,010

Cardinal Financial Corp.

3,902

59,076

Cascade Bancorp (a)(d)

8,151

46,868

Cathay General Bancorp

8,818

178,917

Center Bancorp, Inc.

1,687

21,897

Centerstate Banks of Florida, Inc.

2,198

18,859

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

620

22,004

Chemical Financial Corp.

3,660

95,489

Chemung Financial Corp.

187

6,265

Citizens & Northern Corp.

1,323

25,799

Citizens Holding Co.

2,908

56,153

City Holding Co.

1,241

49,168

CNB Financial Corp., Pennsylvania

1,343

22,240

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

CoBiz, Inc.

3,409

$ 29,488

Colony Bankcorp, Inc. (a)

217

1,549

Columbia Banking Systems, Inc.

5,117

111,755

Commerce Bancshares, Inc.

8,620

375,142

Community Trust Bancorp, Inc.

1,314

46,227

Crescent Financial Bancshares, Inc. (a)

110

460

CU Bancorp (a)

2,523

37,416

CVB Financial Corp. (d)

10,632

121,949

Eagle Bancorp, Inc., Maryland

2,059

46,348

East West Bancorp, Inc. (d)

13,517

356,038

Eastern Virginia Bankshares, Inc. (a)

469

2,486

Eastern Virginia Bankshares, Inc. rights (a)

469

64

Enterprise Bancorp, Inc.

972

16,087

Enterprise Financial Services Corp.

1,516

23,149

Farmers Capital Bank Corp. (a)

684

14,665

Farmers National Banc Corp.

3,366

21,172

Fidelity Southern Corp.

1,390

17,834

Fifth Third Bancorp

84,875

1,544,725

Financial Institutions, Inc.

990

19,315

First Bancorp, North Carolina

1,220

17,385

First Busey Corp.

7,187

31,479

First California Financial Group, Inc. (a)

3,569

30,337

First Citizen Bancshares, Inc.

994

196,086

First Community Bancshares, Inc.

2,372

36,126

First Connecticut Bancorp, Inc.

1,300

18,512

First Financial Bancorp, Ohio

5,246

80,841

First Financial Bankshares, Inc. (d)

3,550

195,250

First Financial Corp., Indiana

1,005

30,904

First Financial Holdings, Inc.

1,653

34,829

First Financial Service Corp. (a)

413

1,433

First Interstate Bancsystem, Inc.

1,287

25,470

First Merchants Corp.

2,657

44,000

First Midwest Bancorp, Inc., Delaware

7,182

94,515

First NBC Bank Holding Co.

1,615

40,569

First Niagara Financial Group, Inc.

34,984

341,794

First of Long Island Corp.

928

29,167

First Security Group, Inc. (a)

57

242

First Security Group, Inc. rights (a)

57

314

First South Bancorp, Inc., Virginia (a)

619

4,073

First United Corp. (a)

493

3,668

Firstbank Corp., Michigan

3,229

43,753

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

FirstMerit Corp.

16,273

$ 307,072

FNB United Corp. (a)(d)

2,207

18,804

Fulton Financial Corp.

20,369

234,040

German American Bancorp, Inc.

1,177

25,729

Glacier Bancorp, Inc.

8,302

161,391

Great Southern Bancorp, Inc.

2,013

54,170

Grupo Financiero Galicia SA sponsored ADR (a)(d)

3,399

18,796

Guaranty Bancorp

1,586

17,129

Hampton Roads Bankshares, Inc. (a)(d)

14,778

19,211

Hancock Holding Co.

8,935

255,094

Hanmi Financial Corp. (a)

3,531

55,578

Hawthorn Bancshares, Inc.

603

7,176

Heartland Financial USA, Inc.

1,458

39,716

Heritage Commerce Corp. (a)

2,406

16,241

Heritage Financial Corp., Washington

1,562

21,571

Heritage Oaks Bancorp (a)

5,290

31,317

Home Bancshares, Inc.

3,451

145,287

HomeTrust Bancshares, Inc.

1,926

31,298

Horizon Bancorp Industries

771

15,096

Huntington Bancshares, Inc.

79,765

618,179

IBERIABANK Corp.

3,244

167,196

Independent Bank Corp. (a)

135

857

Independent Bank Corp., Massachusetts (d)

2,646

87,186

Independent Bank Group, Inc.

1,120

31,808

International Bancshares Corp.

6,421

139,849

Intervest Bancshares Corp. Class A (a)

2,142

13,923

Investors Bancorp, Inc.

11,593

229,310

Lakeland Bancorp, Inc. (d)

4,347

43,079

Lakeland Financial Corp.

1,444

39,826

LCNB Corp.

72

1,343

LNB Bancorp, Inc.

836

7,917

Macatawa Bank Corp. (a)

1,576

8,668

MainSource Financial Group, Inc.

1,798

24,992

MB Financial, Inc.

5,568

142,040

MBT Financial Corp. (a)

578

2,220

Mercantile Bank Corp.

1,976

33,177

Merchants Bancshares, Inc.

610

17,306

Metro Bancorp, Inc. (a)

1,268

24,485

Metrocorp Bancshares, Inc. (a)

1,279

12,509

Middleburg Financial Corp.

1,778

33,871

MidWestOne Financial Group, Inc.

1,033

24,482

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

National Bankshares, Inc.

744

$ 24,842

National Penn Bancshares, Inc.

17,248

170,410

NBT Bancorp, Inc.

3,796

75,464

NewBridge Bancorp (a)

1,464

8,696

North Valley Bancorp (a)

616

11,008

Northeast Bancorp

1,292

12,597

Northrim Bancorp, Inc.

787

17,526

Norwood Financial Corp.

895

27,969

OBA Financial Services, Inc. (a)

155

2,838

Ohio Valley Banc Corp.

2,509

51,309

Old Point Financial Corp.

453

5,966

Old Second Bancorp, Inc. (a)

929

5,305

OmniAmerican Bancorp, Inc. (a)

1,053

23,450

Orrstown Financial Services, Inc. (a)

901

14,236

Pacific Continental Corp.

1,605

17,976

Pacific Mercantile Bancorp (a)

1,383

7,662

Pacific Premier Bancorp, Inc. (a)

1,446

17,077

PacWest Bancorp

4,057

116,963

Park Sterling Corp. (a)

4,301

25,161

Patriot National Bancorp, Inc. (a)

2,549

3,441

Peapack-Gladstone Financial Corp.

1,047

16,061

Penns Woods Bancorp, Inc.

598

24,273

Peoples Bancorp, Inc.

991

19,860

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

3,472

87,147

Popular, Inc. (a)

9,825

294,750

Porter Bancorp, Inc. (a)

520

437

Preferred Bank, Los Angeles (a)

1,901

30,739

PrivateBancorp, Inc.

7,788

150,776

Renasant Corp. (d)

3,552

84,644

Republic Bancorp, Inc., Kentucky Class A (d)

1,696

40,382

Republic First Bancorp, Inc. (a)

1,871

5,763

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

504

756

S&T Bancorp, Inc.

4,187

80,977

S.Y. Bancorp, Inc.

1,269

30,583

Sandy Spring Bancorp, Inc.

3,605

77,219

SB Financial Group, Inc.

723

6,080

SCBT Financial Corp.

1,755

87,838

Seacoast Banking Corp., Florida (a)

10,180

21,480

Shore Bancshares, Inc. (a)

765

5,585

Sierra Bancorp

1,527

20,935

Signature Bank (a)(d)

4,718

364,135

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Commercial Banks - continued

Simmons First National Corp. Class A

1,418

$ 36,485

Southcoast Financial Corp.

776

4,198

Southern National Bancorp of Virginia, Inc.

6,418

65,785

Southside Bancshares, Inc.

1,529

34,617

Southwest Bancorp, Inc., Oklahoma (a)

1,648

22,017

State Bank Financial Corp.

3,324

51,422

StellarOne Corp.

1,819

28,467

Sterling Financial Corp.

7,158

161,914

Suffolk Bancorp (a)

1,100

16,566

Summit Financial Group, Inc. (a)

583

4,676

Sun Bancorp, Inc., New Jersey (a)

13,515

41,626

Susquehanna Bancshares, Inc.

18,440

221,464

SVB Financial Group (a)

4,473

346,165

Taylor Capital Group, Inc. (a)(d)

2,397

39,814

Texas Capital Bancshares, Inc. (a)(d)

3,893

171,915

The First Bancorp, Inc.

846

13,485

TowneBank (d)

2,694

39,171

Trico Bancshares

1,437

28,683

Trustmark Corp.

6,219

158,522

UMB Financial Corp.

3,930

208,644

Umpqua Holdings Corp.

12,607

170,447

Union Bankshares, Inc.

244

5,244

Union First Market Bankshares Corp.

3,797

76,016

United Bankshares, Inc., West Virginia

4,749

123,521

United Community Banks, Inc., Georgia (a)

4,318

51,168

United Security Bancshares, Inc. (a)

450

3,879

United Security Bancshares, California

1,063

4,550

Univest Corp. of Pennsylvania

1,663

29,784

Virginia Commerce Bancorp, Inc. (a)

3,098

42,133

Washington Banking Co., Oak Harbor

1,292

17,623

Washington Trust Bancorp, Inc.

1,289

35,937

WesBanco, Inc.

2,535

63,502

West Bancorp., Inc.

1,654

19,153

Westamerica Bancorp.

2,278

102,578

Wilshire Bancorp, Inc.

3,320

21,912

Wintrust Financial Corp. (d)

3,578

135,034

Yadkin Financial Corp. (a)

222

2,782

Zions Bancorporation

17,509

491,127

 

14,720,372

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Consumer Finance - 0.4%

Asset Acceptance Capital Corp. (a)

2,070

$ 14,055

Asta Funding, Inc.

1,124

10,330

Atlanticus Holdings Corp. (a)

2,291

8,958

Consumer Portfolio Services, Inc. (a)

1,184

9,200

Credit Acceptance Corp. (a)

2,385

271,556

DFC Global Corp. (a)(d)

4,082

60,822

Encore Capital Group, Inc. (a)(d)

2,247

80,150

EZCORP, Inc. (non-vtg.) Class A (a)

4,598

87,960

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

3,005

161,699

Netspend Holdings, Inc. (a)

6,992

111,942

Nicholas Financial, Inc.

402

5,966

Portfolio Recovery Associates, Inc. (a)

1,702

259,164

QC Holdings, Inc.

1,821

5,481

SLM Corp.

45,123

1,071,220

World Acceptance Corp. (a)

1,274

117,667

 

2,276,170

Diversified Financial Services - 0.7%

BGS Acquisition Corp. (a)

1,035

10,340

California First National Bancorp

901

14,839

CBOE Holdings, Inc.

7,578

304,181

CME Group, Inc.

32,711

2,222,058

Interactive Brokers Group, Inc.

4,321

68,142

Life Partners Holdings, Inc.

1,553

5,653

MarketAxess Holdings, Inc.

3,955

171,489

Marlin Business Services Corp.

1,512

35,351

MicroFinancial, Inc.

4,210

30,523

NewStar Financial, Inc. (a)(d)

4,899

62,707

PICO Holdings, Inc. (a)

2,275

51,392

Resource America, Inc. Class A

1,085

10,427

The NASDAQ Stock Market, Inc.

15,909

500,497

Universal Business Payment Solutions Acquisition Corp. (a)

3,116

8,725

 

3,496,324

Insurance - 0.7%

American National Insurance Co.

2,732

272,872

Amerisafe, Inc.

1,905

64,637

Amtrust Financial Services, Inc. (d)

6,435

212,548

Arch Capital Group Ltd. (a)(d)

13,265

679,301

Argo Group International Holdings, Ltd.

3,054

120,969

Baldwin & Lyons, Inc. Class B

1,289

30,536

Cincinnati Financial Corp.

15,030

711,520

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Insurance - continued

CNinsure, Inc. ADR (a)

2,816

$ 17,375

Donegal Group, Inc. Class A

2,616

38,717

Eastern Insurance Holdings, Inc.

468

8,625

eHealth, Inc. (a)(d)

1,626

40,032

EMC Insurance Group

1,487

41,235

Enstar Group Ltd. (a)

1,357

171,348

Erie Indemnity Co. Class A

4,903

372,187

Federated National Holding Co.

878

7,902

Global Indemnity PLC (a)

1,582

35,848

Greenlight Capital Re, Ltd. (a)

3,753

90,785

Hallmark Financial Services, Inc. (a)

1,598

14,526

Infinity Property & Casualty Corp.

1,255

72,476

Investors Title Co.

130

9,313

Kansas City Life Insurance Co.

1,480

56,062

Maiden Holdings Ltd.

7,077

75,582

National Interstate Corp.

1,751

50,797

National Western Life Insurance Co. Class A

391

76,632

Navigators Group, Inc. (a)

1,545

90,104

Safety Insurance Group, Inc.

1,894

99,170

Selective Insurance Group, Inc.

5,832

138,393

State Auto Financial Corp.

4,148

75,742

Tower Group International Ltd.

4,083

78,924

United Fire Group, Inc.

2,926

78,563

 

3,832,721

Real Estate Investment Trusts - 0.3%

American Capital Agency Corp.

38,329

988,888

American Capital Mortgage Investment Corp.

5,608

118,161

American Realty Capital Properties, Inc.

15,626

237,828

CyrusOne, Inc.

1,950

42,276

Gladstone Commercial Corp.

1,389

27,141

Gyrodyne Co. of America, Inc.

286

20,921

New York Mortgage Trust, Inc.

5,700

38,532

Potlatch Corp.

3,907

177,495

Retail Opportunity Investments Corp.

4,678

65,679

Sabra Health Care REIT, Inc.

4,057

109,742

 

1,826,663

Real Estate Management & Development - 0.1%

Altisource Portfolio Solutions SA (d)

2,481

233,884

AV Homes, Inc. (a)

1,147

15,186

China HGS Real Estate, Inc. (a)(d)

4,000

38,640

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Real Estate Management & Development - continued

China Housing & Land Development, Inc. (a)(d)

4,266

$ 8,617

Cresud S.A.C.I.F. y A. sponsored ADR (a)

4,719

38,177

Elbit Imaging Ltd. (a)

2,178

4,770

FirstService Corp. (sub. vtg.)

2,970

94,536

Stratus Properties, Inc. (a)

1,162

17,941

ZipRealty, Inc. (a)

624

1,778

 

453,529

Thrifts & Mortgage Finance - 0.7%

America First Tax Exempt Investors LP

2,764

19,182

ASB Bancorp, Inc. (a)

402

6,750

Atlantic Coast Financial Corp. (a)

130

651

Bank Mutual Corp.

4,433

25,268

BankFinancial Corp.

781

6,232

Beneficial Mutual Bancorp, Inc. (a)

9,312

79,618

BofI Holding, Inc. (a)

1,341

62,786

Brookline Bancorp, Inc., Delaware

6,005

50,922

Camco Financial Corp. (a)

727

2,457

Cape Bancorp, Inc.

2,034

19,059

Capitol Federal Financial, Inc.

11,769

139,698

CFS Bancorp, Inc.

2,034

21,255

Charter Financial Corp.

1,995

19,950

Cheviot Financial Corp.

3,308

37,810

Chicopee Bancorp, Inc.

629

10,932

Clifton Savings Bancorp, Inc.

1,864

22,107

Dime Community Bancshares, Inc.

2,984

42,999

ESB Financial Corp.

1,795

22,527

ESSA Bancorp, Inc.

1,042

11,399

First Defiance Financial Corp.

1,088

23,892

First Federal Bancshares of Arkansas, Inc. (a)

1,752

17,082

First Financial Northwest, Inc.

1,666

16,560

First PacTrust Bancorp, Inc.

542

7,138

Flushing Financial Corp.

4,303

67,256

Fox Chase Bancorp, Inc.

3,841

63,645

Franklin Financial Corp./VA

1,350

24,489

Greene County Bancorp, Inc.

20

423

Heritage Financial Group, Inc.

1,347

19,249

Hingham Institution for Savings

1,006

64,112

HMN Financial, Inc. (a)

448

3,293

Home Bancorp, Inc. (a)

1,999

35,022

Home Federal Bancorp, Inc.

1,430

17,432

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Home Loan Servicing Solutions Ltd.

5,901

$ 134,779

HomeStreet, Inc.

1,706

38,999

HopFed Bancorp, Inc.

199

2,151

Hudson City Bancorp, Inc.

49,291

418,974

Kearny Financial Corp. (a)

9,382

92,882

LSB Financial Corp.

136

3,078

Meridian Interstate Bancorp, Inc. (a)

2,072

37,317

Meta Financial Group, Inc.

1,629

43,820

MutualFirst Financial, Inc.

1,656

25,569

NASB Financial, Inc. (a)(d)

741

18,162

New Hampshire Thrift Bancshare

70

919

Northeast Community Bancorp, Inc.

696

4,315

Northfield Bancorp, Inc.

4,884

55,971

Northwest Bancshares, Inc.

10,985

136,214

Ocean Shore Holding Co.

4,265

59,497

OceanFirst Financial Corp.

1,772

24,542

Oconee Federal Financial Corp.

27

416

Oneida Financial Corp.

115

1,542

Oritani Financial Corp.

4,328

66,348

People's United Financial, Inc. (d)

30,151

414,878

Provident Financial Holdings, Inc.

1,514

23,043

Prudential Bancorp, Inc. of Pennsylvania (a)

1,172

10,196

Pulaski Financial Corp.

1,793

18,432

PVF Capital Corp. (a)

1,421

5,457

Riverview Bancorp, Inc. (a)

4,177

9,941

Rockville Financial, Inc.

3,776

49,239

Roma Financial Corp.

2,638

44,978

Severn Bancorp, Inc. (a)

677

3,283

SI Financial Group, Inc.

395

4,140

Simplicity Bancorp, Inc.

1,220

17,141

Southern Missouri Bancorp, Inc.

2,465

63,745

Territorial Bancorp, Inc.

974

22,538

TFS Financial Corp. (a)

33,039

362,768

Tree.com, Inc.

969

19,099

Trustco Bank Corp., New York

11,125

62,189

United Community Financial Corp. (a)

1,934

7,910

United Community Financial Corp. rights (a)

1,934

143

United Financial Bancorp, Inc.

1,560

23,821

ViewPoint Financial Group

4,717

89,293

Washington Federal, Inc.

10,675

186,706

Waterstone Financial, Inc. (a)

3,109

24,685

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Thrifts & Mortgage Finance - continued

Westfield Financial, Inc.

2,783

$ 20,928

WSFS Financial Corp.

1,404

70,537

 

3,681,780

TOTAL FINANCIALS

35,881,886

HEALTH CARE - 13.9%

Biotechnology - 8.2%

Aastrom Biosciences, Inc. (a)

2,172

1,242

ACADIA Pharmaceuticals, Inc. (a)

5,114

71,954

Achillion Pharmaceuticals, Inc. (a)

8,670

72,308

Acorda Therapeutics, Inc. (a)

3,714

124,233

Aegerion Pharmaceuticals, Inc. (a)(d)

3,091

225,118

AEterna Zentaris, Inc. (sub. vtg.) (a)(d)

1,514

3,134

Affymax, Inc. (a)(d)

3,457

7,156

Agenus, Inc. (a)(d)

1,609

6,484

Alexion Pharmaceuticals, Inc. (a)(d)

19,258

1,878,425

Alkermes PLC (a)(d)

13,267

414,594

Alnylam Pharmaceuticals, Inc. (a)

6,298

192,908

AMAG Pharmaceuticals, Inc. (a)

1,731

32,024

Amarin Corp. PLC ADR (a)(d)

15,843

110,743

Amgen, Inc.

73,668

7,405,844

Amicus Therapeutics, Inc. (a)

4,812

16,024

Anacor Pharmaceuticals, Inc. (a)(d)

2,805

15,343

Anthera Pharmaceuticals, Inc. (a)

8,201

4,798

Arena Pharmaceuticals, Inc. (a)

22,450

198,458

ARIAD Pharmaceuticals, Inc. (a)

18,112

332,174

ArQule, Inc. (a)

5,654

15,322

Array Biopharma, Inc. (a)

14,003

81,778

Arrowhead Research Corp. (a)(d)

535

1,177

Astex Pharmaceuticals, Inc. (a)

7,419

35,982

Athersys, Inc. (a)

2,708

4,712

AVEO Pharmaceuticals, Inc. (a)

4,054

10,378

BioCryst Pharmaceuticals, Inc. (a)(d)

4,571

7,816

Biogen Idec, Inc. (a)

23,268

5,525,917

BioMarin Pharmaceutical, Inc. (a)

13,665

856,796

Biospecifics Technologies Corp. (a)

2,036

32,352

Biota Pharmaceuticals, Inc.

4,051

14,665

Burcon NutraScience Corp. (a)

2,165

5,743

Celgene Corp. (a)

41,175

5,091,289

Cell Therapeutics, Inc. (a)(d)

7,005

8,616

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Celldex Therapeutics, Inc. (a)(d)

6,996

$ 89,479

Celsion Corp. (a)(d)

3,390

5,729

Cepheid, Inc. (a)(d)

7,025

244,189

Chelsea Therapeutics International Ltd. (a)

4,899

9,455

ChemoCentryx, Inc. (a)(d)

3,544

47,879

Chimerix, Inc.

2,340

50,310

China Biologic Products, Inc. (a)(d)

2,981

75,986

Cleveland Biolabs, Inc. (a)(d)

3,204

5,014

Clovis Oncology, Inc. (a)

2,341

85,634

Codexis, Inc. (a)

3,083

7,091

Coronado Biosciences, Inc. (a)

3,308

32,683

Cubist Pharmaceuticals, Inc. (a)

6,922

380,364

Cubist Pharmaceuticals, Inc. rights (a)

5,544

0

Curis, Inc. (a)(d)

6,461

24,229

Cyclacel Pharmaceuticals, Inc. (a)

968

3,272

Cytokinetics, Inc. (a)

18,833

22,600

Cytori Therapeutics, Inc. (a)(d)

4,179

10,280

CytRx Corp. (a)

1,968

4,723

Dendreon Corp. (a)(d)

14,699

58,796

Discovery Laboratories, Inc. (a)

4,509

8,071

Durata Therapeutics, Inc.

1,551

11,400

Dyax Corp. (a)

8,481

26,630

Dynavax Technologies Corp. (a)(d)

18,336

47,857

EntreMed, Inc. (a)

899

1,618

Enzon Pharmaceuticals, Inc.

3,917

11,986

Exact Sciences Corp. (a)(d)

6,364

71,531

Exelixis, Inc. (a)(d)

20,419

98,828

Galena Biopharma, Inc. (a)(d)

6,891

16,194

Genomic Health, Inc. (a)(d)

3,364

122,719

Gentium SpA sponsored ADR (a)

532

4,463

GenVec, Inc. (a)

764

317

Geron Corp. (a)(d)

11,707

12,761

Gilead Sciences, Inc. (a)(d)

149,626

8,151,624

Grifols SA ADR

9,696

264,313

GTx, Inc. (a)(d)

5,496

32,481

Halozyme Therapeutics, Inc. (a)(d)

10,886

76,964

Hyperion Therapeutics, Inc. (d)

1,387

27,837

Idenix Pharmaceuticals, Inc. (a)(d)

12,186

57,762

Idera Pharmaceuticals, Inc. (a)

1,411

1,030

ImmunoGen, Inc. (a)

8,280

152,104

Immunomedics, Inc. (a)

5,451

21,313

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Incyte Corp. (a)(d)

13,612

$ 301,778

Infinity Pharmaceuticals, Inc. (a)

4,782

128,875

Insmed, Inc. (a)

2,201

29,537

Intercept Pharmaceuticals, Inc.

1,450

48,488

InterMune, Inc. (a)

6,273

61,977

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

7,744

103,382

Isis Pharmaceuticals, Inc. (a)(d)

10,784

233,474

Keryx Biopharmaceuticals, Inc. (a)(d)

7,584

60,748

KYTHERA Biopharmaceuticals, Inc. (d)

1,645

35,187

Lexicon Pharmaceuticals, Inc. (a)(d)

56,307

134,574

Ligand Pharmaceuticals, Inc.:

Class B (a)(d)

1,810

54,137

General CVR

1,518

26

Glucagon CVR (a)

1,518

46

MRK CVR rights (a)

1,639

0

Roche CVR rights (a)

1,518

21

TR Beta CVR (a)

1,518

8

MannKind Corp. (a)(d)

30,526

203,608

Maxygen, Inc.

13,492

31,976

Medivation, Inc. (a)

7,394

359,053

MEI Pharma, Inc. (a)

103

865

Merrimack Pharmaceuticals, Inc. (a)(d)

9,665

53,544

Metabolix, Inc. (a)(d)

2,402

3,939

MiMedx Group, Inc. (a)(d)

8,900

64,080

Momenta Pharmaceuticals, Inc. (a)

5,798

76,302

Myriad Genetics, Inc. (a)(d)

8,040

258,084

Nanosphere, Inc. (a)(d)

6,121

25,647

Neurocrine Biosciences, Inc. (a)

8,611

111,340

NewLink Genetics Corp. (a)

2,123

34,626

Novavax, Inc. (a)

12,491

23,858

NPS Pharmaceuticals, Inc. (a)(d)

7,824

123,228

Nymox Pharmaceutical Corp. (a)(d)

3,188

16,450

OncoGenex Pharmaceuticals, Inc. (a)(d)

4,385

45,166

Oncolytics Biotech, Inc. (a)(d)

8,292

21,675

Oncothyreon, Inc. (a)(d)

4,953

9,163

Onyx Pharmaceuticals, Inc. (a)(d)

6,879

656,601

Orexigen Therapeutics, Inc. (a)

10,377

65,686

Osiris Therapeutics, Inc. (a)(d)

3,059

34,383

OXiGENE, Inc. (a)

7

23

Oxygen Biotherapeutics, Inc. (a)

75

280

PDL BioPharma, Inc. (d)

13,383

110,410

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Biotechnology - continued

Peregrine Pharmaceuticals, Inc. (a)(d)

9,357

$ 15,439

Pharmacyclics, Inc. (a)(d)

7,100

650,644

Pluristem Therapeutics, Inc. (a)(d)

3,372

10,588

Progenics Pharmaceuticals, Inc. (a)(d)

3,007

11,968

QLT, Inc.

4,361

34,190

Raptor Pharmaceutical Corp. (a)

3,878

29,434

Regeneron Pharmaceuticals, Inc. (a)(d)

9,391

2,271,401

Regulus Therapeutics, Inc.

5,769

51,690

Repligen Corp. (a)(d)

3,646

30,189

Rigel Pharmaceuticals, Inc. (a)

8,710

40,240

Sangamo Biosciences, Inc. (a)(d)

4,425

35,400

Sarepta Therapeutics, Inc. (a)(d)

3,369

119,094

Savient Pharmaceuticals, Inc. (a)

5,462

3,004

Seattle Genetics, Inc. (a)(d)

11,897

408,305

SIGA Technologies, Inc. (a)(d)

3,606

13,450

Sinovac Biotech Ltd. (a)(d)

2,849

11,368

Spectrum Pharmaceuticals, Inc.

5,774

47,405

StemCells, Inc. (a)

1,913

3,367

Sunesis Pharmaceuticals, Inc. (a)

4,329

23,333

Synageva BioPharma Corp. (a)(d)

2,575

106,142

Synergy Pharmaceuticals, Inc. (a)

6,125

31,238

Synta Pharmaceuticals Corp. (a)(d)

8,372

61,785

Targacept, Inc. (a)

2,644

14,886

Telik, Inc. (a)

90

126

TESARO, Inc.

2,876

98,388

Theravance, Inc. (a)

9,617

336,980

Threshold Pharmaceuticals, Inc. (a)

5,054

28,909

Trius Therapeutics, Inc. (a)(d)

7,463

57,241

Trovagene, Inc. (a)(d)

2,998

20,776

United Therapeutics Corp. (a)(d)

5,047

335,474

Vanda Pharmaceuticals, Inc. (a)

2,216

20,232

Venaxis, Inc. (a)

51

68

Verastem, Inc. (a)

1,981

18,938

Vertex Pharmaceuticals, Inc. (a)(d)

21,368

1,716,064

Vical, Inc. (a)(d)

13,452

47,082

XOMA Corp. (a)

11,286

47,401

Zalicus, Inc. (a)

9,513

5,969

ZIOPHARM Oncology, Inc. (a)(d)

11,631

25,472

 

43,488,948

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - 1.5%

Abaxis, Inc. (d)

1,943

$ 85,511

Abiomed, Inc. (a)(d)

4,438

95,728

Accuray, Inc. (a)

6,327

33,976

Align Technology, Inc. (a)(d)

7,886

281,925

Alphatec Holdings, Inc. (a)

5,917

11,538

Analogic Corp.

1,339

106,437

Angiodynamics, Inc. (a)(d)

5,344

58,143

Anika Therapeutics, Inc. (a)

1,002

14,790

Antares Pharma, Inc. (a)(d)

14,208

57,684

ArthroCare Corp. (a)

3,211

108,949

Atricure, Inc. (a)

1,732

15,675

Atrion Corp.

170

37,482

BioLase Technology, Inc.

2,462

11,670

BSD Medical Corp. (a)

812

1,023

Cardica, Inc. (a)

1,278

1,649

Cardiovascular Systems, Inc. (a)(d)

1,580

32,469

Cerus Corp. (a)

5,389

27,699

Conceptus, Inc. (a)

3,516

108,926

CONMED Corp.

3,472

114,333

Cutera, Inc. (a)

1,010

9,504

Cyberonics, Inc. (a)(d)

3,024

144,275

Cynosure, Inc. Class A (a)

1,961

48,849

Delcath Systems, Inc. (a)

5,700

2,445

DENTSPLY International, Inc. (d)

14,114

589,401

Derma Sciences, Inc. (a)

2,812

37,512

DexCom, Inc. (a)(d)

7,959

165,786

EDAP TMS SA sponsored ADR (a)

1,813

6,998

Endologix, Inc. (a)(d)

7,361

98,932

EnteroMedics, Inc. (a)(d)

11,433

15,092

Exactech, Inc. (a)

1,007

18,327

Genmark Diagnostics, Inc. (a)

3,364

50,124

Given Imaging Ltd. (a)

3,044

43,651

Hansen Medical, Inc. (a)(d)

11,167

19,096

HeartWare International, Inc. (a)(d)

1,511

137,909

Hologic, Inc. (a)(d)

26,332

546,389

ICU Medical, Inc. (a)

1,797

128,288

IDEXX Laboratories, Inc. (a)(d)

5,309

437,674

Imris, Inc. (a)

3,300

8,467

Insulet Corp. (a)(d)

5,630

168,112

Integra LifeSciences Holdings Corp. (a)(d)

2,438

92,376

Intuitive Surgical, Inc. (a)

3,942

1,961,263

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

LeMaitre Vascular, Inc.

1,743

$ 11,434

MAKO Surgical Corp. (a)(d)

5,970

73,789

Masimo Corp. (d)

5,644

122,193

Medical Action Industries, Inc. (a)

1,561

13,112

MELA Sciences, Inc. (a)(d)

3,083

3,391

Meridian Bioscience, Inc. (d)

4,718

101,956

Merit Medical Systems, Inc. (a)

4,873

48,097

Natus Medical, Inc. (a)

2,216

31,223

Neogen Corp. (a)

2,220

120,923

NeuroMetrix, Inc. (a)

13

25

Novadaq Technologies, Inc. (a)

3,721

50,457

NuVasive, Inc. (a)(d)

4,400

95,568

NxStage Medical, Inc. (a)

6,740

94,023

OraSure Technologies, Inc. (a)

6,612

28,961

Orthofix International NV (a)

2,537

70,123

Palomar Medical Technologies, Inc. (a)

1,877

25,396

PhotoMedex, Inc. (a)(d)

1,894

30,891

Quidel Corp. (a)

3,010

71,969

Rochester Medical Corp. (a)

1,184

16,848

Rockwell Medical Technologies, Inc. (a)

1,656

6,839

RTI Biologics, Inc. (a)

5,687

23,032

Sirona Dental Systems, Inc. (a)

5,669

402,159

Solta Medical, Inc. (a)

4,423

9,509

Staar Surgical Co. (a)

2,835

25,232

Stereotaxis, Inc. (a)

567

992

SurModics, Inc. (a)

1,470

34,898

Synergetics USA, Inc. (a)

1,143

3,715

Syneron Medical Ltd. (a)

2,826

25,151

TearLab Corp. (a)(d)

2,994

31,497

The Spectranetics Corp. (a)

2,907

54,361

ThermoGenesis Corp. (a)

1,101

1,288

Thoratec Corp. (a)

5,787

180,381

Tornier NV (a)(d)

4,822

76,236

TranS1, Inc.

1,691

3,483

Trinity Biotech PLC sponsored ADR

1,741

30,520

Unilife Corp. (a)(d)

7,036

23,219

Uroplasty, Inc. (a)

2,392

6,339

Utah Medical Products, Inc.

362

16,750

Vascular Solutions, Inc. (a)

1,180

17,901

Vision Sciences, Inc. (a)

2,813

3,010

Volcano Corp. (a)

5,692

108,717

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Equipment & Supplies - continued

Wright Medical Group, Inc. (a)(d)

4,407

$ 110,307

Zeltiq Aesthetics, Inc. (a)(d)

3,348

17,376

 

8,159,368

Health Care Providers & Services - 1.7%

Acadia Healthcare Co., Inc. (a)(d)

4,044

135,029

Air Methods Corp. (d)

3,912

146,465

Almost Family, Inc.

863

17,062

Amedisys, Inc. (a)(d)

2,885

35,543

American CareSource Holdings, Inc. (a)

366

721

AmSurg Corp. (a)

3,341

118,706

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

2,512

77,495

BioScrip, Inc. (a)(d)

5,766

80,609

CardioNet, Inc. (a)

1,581

4,411

Catamaran Corp. (a)

20,174

989,679

Chindex International, Inc. (a)

1,481

23,992

Corvel Corp. (a)

957

49,697

Cross Country Healthcare, Inc. (a)

3,098

16,141

Express Scripts Holding Co. (a)

80,294

4,987,863

Gentiva Health Services, Inc. (a)

3,221

34,336

Healthways, Inc. (a)

3,193

42,946

Henry Schein, Inc. (a)(d)

8,474

815,961

IPC The Hospitalist Co., Inc. (a)(d)

1,428

69,629

LCA-Vision, Inc. (a)

1,176

3,798

LHC Group, Inc. (a)

1,263

27,773

LifePoint Hospitals, Inc. (a)

4,456

221,597

Magellan Health Services, Inc. (a)

2,822

153,799

MWI Veterinary Supply, Inc. (a)

1,301

158,085

National Research Corp.:

Class A (a)

2,214

36,199

Class B

369

12,590

Patterson Companies, Inc.

10,323

403,423

PDI, Inc. (a)

1,717

7,469

Providence Service Corp. (a)

350

9,226

RadNet, Inc. (a)

2,333

6,066

Sharps Compliance Corp. (a)(d)

2,640

7,920

The Ensign Group, Inc.

3,081

111,132

USMD Holdings, Inc. (a)

3,264

44,880

VCA Antech, Inc. (a)(d)

8,378

214,142

 

9,064,384

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Technology - 0.6%

Allscripts Healthcare Solutions, Inc. (a)

17,686

$ 244,951

athenahealth, Inc. (a)

3,666

309,960

Authentidate Holding Corp. (a)

1,782

2,014

Cerner Corp. (a)(d)

16,806

1,651,694

Computer Programs & Systems, Inc.

939

47,025

HealthStream, Inc. (a)(d)

3,395

90,918

HMS Holdings Corp. (a)(d)

8,951

222,880

iCAD, Inc. (a)

949

5,685

MedAssets, Inc. (a)

5,481

89,888

Medidata Solutions, Inc. (a)

2,453

169,306

Merge Healthcare, Inc. (a)

8,773

28,951

Omnicell, Inc. (a)

2,959

53,647

Quality Systems, Inc.

7,108

127,091

 

3,044,010

Life Sciences Tools & Services - 0.7%

Affymetrix, Inc. (a)(d)

6,582

24,683

Albany Molecular Research, Inc. (a)

3,021

33,231

Apricus Biosciences, Inc. (a)(d)

2,588

7,117

BG Medicine, Inc. (a)

1,419

2,554

Bruker BioSciences Corp. (a)

17,101

282,680

CombiMatrix Corp. (a)

14

44

Compugen Ltd. (a)(d)

3,805

22,221

Fluidigm Corp. (a)(d)

1,898

32,342

Furiex Pharmaceuticals, Inc. (a)

973

35,972

Harvard Bioscience, Inc. (a)

2,115

10,744

ICON PLC (a)

5,700

195,738

Illumina, Inc. (a)(d)

12,175

856,146

Life Technologies Corp. (a)

16,658

1,234,358

Luminex Corp. (a)

4,108

79,161

NeoGenomics, Inc. (a)(d)

7,505

26,718

Pacific Biosciences of California, Inc. (a)

4,115

10,905

PAREXEL International Corp. (a)(d)

5,695

260,205

pSivida Corp. (a)

1,100

3,575

QIAGEN NV (a)

24,140

450,935

Sequenom, Inc. (a)(d)

12,977

53,725

Techne Corp.

3,676

244,491

 

3,867,545

Pharmaceuticals - 1.2%

AcelRx Pharmaceuticals, Inc. (a)

6,090

54,262

Acura Pharmaceuticals, Inc. (a)(d)

4,909

11,094

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Akorn, Inc. (a)(d)

9,857

$ 143,222

Alexza Pharmaceuticals, Inc. (a)

428

1,930

Alimera Sciences, Inc. (a)(d)

2,500

10,850

Ampio Pharmaceuticals, Inc. (a)(d)

2,700

15,336

Auxilium Pharmaceuticals, Inc. (a)

4,987

74,406

AVANIR Pharmaceuticals Class A (a)

12,342

40,975

Biodel, Inc. (a)

350

1,635

Biodelivery Sciences International, Inc. (a)

2,742

12,065

BioSante Pharmaceuticals, Inc. (a)(d)

1,389

1,695

Cadence Pharmaceuticals, Inc. (a)

8,714

57,948

Cardiome Pharma Corp. (a)

1,097

2,222

Cempra, Inc. (a)

5,300

42,612

Columbia Laboratories, Inc. (a)

6,149

3,881

Corcept Therapeutics, Inc. (a)(d)

10,274

18,699

Cornerstone Therapeutics, Inc. (a)

2,560

22,374

Cumberland Pharmaceuticals, Inc. (a)(d)

1,718

8,332

DepoMed, Inc. (a)(d)

9,288

53,499

Durect Corp. (a)

8,664

7,276

Echo Therapeutics, Inc. (a)

2,817

1,620

Endo Health Solutions, Inc. (a)

10,725

389,318

Endocyte, Inc. (a)(d)

3,058

41,864

Flamel Technologies SA sponsored ADR (a)

2,626

12,657

Hi-Tech Pharmacal Co., Inc. (d)

1,911

61,076

Horizon Pharma, Inc.

3,476

8,238

Impax Laboratories, Inc. (a)

7,145

135,398

Jazz Pharmaceuticals PLC (a)

5,961

405,169

Mylan, Inc. (a)

38,399

1,170,402

Nektar Therapeutics (a)(d)

11,482

108,735

Novogen Ltd. sponsored ADR (a)

19

69

NuPathe, Inc. (a)

1,000

3,210

Omeros Corp. (a)(d)

2,026

10,738

Optimer Pharmaceuticals, Inc. (a)

4,314

64,192

Pacira Pharmaceuticals, Inc. (a)

3,000

87,900

Pain Therapeutics, Inc.

3,313

8,846

Pernix Therapeutics Holdings, Inc. (a)(d)

175

632

Perrigo Co.

9,261

1,073,443

Pozen, Inc. (a)

3,117

16,520

ProPhase Labs, Inc. (a)

1,566

2,490

Questcor Pharmaceuticals, Inc. (d)

5,975

204,166

Repros Therapeutics, Inc. (a)(d)

1,463

25,339

Sagent Pharmaceuticals, Inc. (a)(d)

3,256

58,641

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Salix Pharmaceuticals Ltd. (a)

6,122

$ 371,422

Santarus, Inc. (a)(d)

5,499

122,463

SciClone Pharmaceuticals, Inc. (a)(d)

5,359

25,777

Shire PLC sponsored ADR

3,987

392,600

Skystar Bio-Pharmaceutical Co. Ltd. (a)

1,359

1,903

Sucampo Pharmaceuticals, Inc. Class A (a)

6,917

58,587

Supernus Pharmaceuticals, Inc. (a)(d)

4,590

31,717

The Medicines Company (a)(d)

5,487

176,736

Transcept Pharmaceuticals, Inc. (a)

1,571

4,650

Ventrus Biosciences, Inc. (a)

879

2,268

ViroPharma, Inc. (a)(d)

6,589

181,198

VIVUS, Inc. (a)(d)

10,755

158,099

Warner Chilcott PLC

26,102

501,158

XenoPort, Inc. (a)

4,387

24,129

Zogenix, Inc. (a)

8,170

12,173

 

6,539,856

TOTAL HEALTH CARE

74,164,111

INDUSTRIALS - 4.3%

Aerospace & Defense - 0.2%

AeroVironment, Inc. (a)(d)

2,770

55,594

American Science & Engineering, Inc.

864

51,875

API Technologies Corp. (a)

4,000

11,080

Ascent Solar Technologies, Inc. (a)

1,977

1,538

Astronics Corp. (a)

811

29,107

BE Aerospace, Inc. (a)

10,233

649,182

Elbit Systems Ltd.

4,303

185,373

Erickson Air-Crane, Inc. (a)(d)

1,074

26,710

Innovative Solutions & Support, Inc.

1,668

12,827

KEYW Holding Corp. (a)

3,488

51,448

Kratos Defense & Security Solutions, Inc. (a)(d)

5,337

31,008

LMI Aerospace, Inc. (a)

964

18,297

Sypris Solutions, Inc.

1,434

4,732

Taser International, Inc. (a)

4,353

41,310

TAT Technologies Ltd.

863

5,411

 

1,175,492

Air Freight & Logistics - 0.5%

Air Transport Services Group, Inc. (a)

6,093

36,863

Atlas Air Worldwide Holdings, Inc. (a)

2,883

133,829

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Air Freight & Logistics - continued

C.H. Robinson Worldwide, Inc.

15,742

$ 892,414

Echo Global Logistics, Inc. (a)

1,882

33,631

Expeditors International of Washington, Inc.

19,915

777,282

Forward Air Corp.

2,968

115,069

Hub Group, Inc. Class A (a)

3,812

138,414

Pacer International, Inc. (a)

4,028

24,611

Park-Ohio Holdings Corp. (a)

1,224

45,521

UTI Worldwide, Inc.

11,935

188,931

 

2,386,565

Airlines - 0.3%

Allegiant Travel Co. (d)

1,980

183,170

Hawaiian Holdings, Inc. (a)(d)

4,459

26,576

JetBlue Airways Corp. (a)

29,878

185,542

Republic Airways Holdings, Inc. (a)

4,760

51,075

Ryanair Holdings PLC sponsored ADR

11,687

570,793

SkyWest, Inc.

5,329

74,766

Spirit Airlines, Inc. (a)

7,364

224,087

 

1,316,009

Building Products - 0.1%

AAON, Inc.

3,587

119,232

American Woodmark Corp. (a)

1,276

46,344

Apogee Enterprises, Inc.

3,424

91,352

Builders FirstSource, Inc. (a)(d)

9,440

63,626

China Ceramics Co. Ltd. (a)

1,500

3,270

Gibraltar Industries, Inc. (a)

2,751

44,649

Insteel Industries, Inc.

1,187

21,259

Nortek, Inc. (a)

1,362

96,225

Patrick Industries, Inc. (a)

1,326

25,844

PGT, Inc. (a)

4,454

36,746

Universal Forest Products, Inc.

2,353

92,967

 

641,514

Commercial Services & Supplies - 0.7%

A.T. Cross Co. Class A (a)

980

13,720

Acorn Energy, Inc.

1,217

10,770

Casella Waste Systems, Inc. Class A (a)

8,680

34,807

CECO Environmental Corp. (d)

977

11,792

China Recycling Energy Corp. (a)

2,900

2,697

Cintas Corp. (d)

12,271

560,233

Copart, Inc. (a)

12,784

439,642

Courier Corp.

1,323

17,927

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Commercial Services & Supplies - continued

EnerNOC, Inc. (a)(d)

3,061

$ 40,956

Fuel Tech, Inc. (a)

2,055

8,015

G&K Services, Inc. Class A

1,732

83,673

Guanwei Recycling Corp. (a)

700

987

Healthcare Services Group, Inc. (d)

6,516

147,848

Heritage-Crystal Clean, Inc. (a)(d)

2,262

34,043

Herman Miller, Inc.

5,712

160,564

Hudson Technologies, Inc. (a)

2,825

10,283

Industrial Services of America, Inc. (a)

694

2,256

InnerWorkings, Inc. (a)(d)

4,624

50,124

Interface, Inc.

6,043

101,522

Intersections, Inc.

1,282

11,833

Kimball International, Inc. Class B

2,252

22,047

McGrath RentCorp.

2,396

79,140

Mobile Mini, Inc. (a)

4,841

162,900

Multi-Color Corp.

1,696

49,845

Performant Financial Corp.

3,975

43,844

Perma-Fix Environmental Services, Inc. (a)

4,865

3,260

R.R. Donnelley & Sons Co. (d)

19,072

253,085

Standard Parking Corp. (a)(d)

3,413

76,144

Stericycle, Inc. (a)(d)

8,554

938,887

Swisher Hygiene, Inc. (Canada) (a)

18,251

18,981

Tetra Tech, Inc. (a)

6,156

169,721

United Stationers, Inc.

4,733

163,336

US Ecology, Inc.

1,521

41,645

Virco Manufacturing Co. (a)

1,086

2,291

West Corp.

8,075

184,918

 

3,953,736

Construction & Engineering - 0.1%

Aegion Corp. (a)(d)

4,531

103,443

Foster Wheeler AG (a)

10,394

239,270

Great Lakes Dredge & Dock Corp. (d)

2,798

23,223

Integrated Electrical Services, Inc. (a)

652

3,645

Layne Christensen Co. (a)(d)

1,710

36,748

MYR Group, Inc. (a)

2,014

40,763

Northwest Pipe Co. (a)

758

20,837

Primoris Services Corp.

4,572

97,429

Sterling Construction Co., Inc. (a)

573

5,931

UniTek Global Services, Inc. (a)

2,812

5,343

 

576,632

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Electrical Equipment - 0.2%

Active Power, Inc. (a)

1,672

$ 7,190

Altair Nanotechnologies, Inc. (a)

613

1,520

American Superconductor Corp. (a)

2,136

5,682

Broadwind Energy, Inc. (a)

819

3,907

Capstone Turbine Corp. (a)(d)

52,473

60,869

China BAK Battery, Inc. (a)

782

790

Coleman Cable, Inc.

1,787

33,238

Deswell Industries, Inc.

1,530

4,070

Ecotality, Inc. (a)

654

988

Encore Wire Corp.

1,808

62,575

Enphase Energy, Inc. (a)(d)

4,012

30,973

Franklin Electric Co., Inc.

4,474

151,266

FuelCell Energy, Inc. (a)(d)

18,058

22,934

Global Power Equipment Group, Inc. (d)

1,441

22,912

Highpower International, Inc. (a)

815

848

Hydrogenics Corp. (a)(d)

700

8,386

II-VI, Inc. (a)

6,186

102,688

Jinpan International Ltd.

1,698

8,473

Lihua International, Inc. (a)(d)

1,279

7,188

Lime Energy Co. (a)

1,937

1,453

LSI Industries, Inc.

2,044

16,659

Ocean Power Technologies, Inc. (a)

1,435

2,239

Plug Power, Inc. (a)

631

240

Powell Industries, Inc. (a)

1,530

72,338

PowerSecure International, Inc. (a)

3,129

42,179

Preformed Line Products Co.

492

34,204

Revolution Lighting Technologies, Inc. (a)(d)

956

3,652

SolarCity Corp. (d)

7,721

349,375

Ultralife Corp. (a)

1,473

5,597

Vicor Corp. (a)

2,510

13,529

 

1,077,962

Industrial Conglomerates - 0.0%

Raven Industries, Inc.

3,540

107,227

Machinery - 0.9%

Altra Holdings, Inc.

3,583

103,226

American Railcar Industries, Inc.

1,959

66,606

Astec Industries, Inc.

2,039

72,017

Chart Industries, Inc. (a)(d)

2,983

290,186

Cleantech Solutions International, Inc. (a)(d)

197

1,349

Columbus McKinnon Corp. (NY Shares) (a)

1,499

31,704

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Machinery - continued

Commercial Vehicle Group, Inc. (a)

2,120

$ 16,663

Dynamic Materials Corp.

1,149

18,499

Eastern Co.

613

9,060

Edwards Group Ltd. ADR (a)

1,710

13,355

Energy Recovery, Inc. (a)(d)

3,989

16,475

Flow International Corp. (a)

3,549

14,090

FreightCar America, Inc.

1,099

19,936

Gencor Industries, Inc. (a)

519

3,659

Hardinge, Inc.

417

5,317

Hurco Companies, Inc. (a)

804

23,075

Key Technology, Inc. (a)

313

4,767

L.B. Foster Co. Class A

891

39,480

Lincoln Electric Holdings, Inc.

7,875

470,925

Manitex International, Inc. (a)

2,422

26,279

MFRI, Inc. (a)

997

7,667

Middleby Corp. (a)

1,918

313,574

NN, Inc. (a)

1,502

13,909

Nordson Corp.

6,502

463,072

Omega Flex, Inc.

1,368

18,427

PACCAR, Inc.

34,290

1,837,944

PMFG, Inc. (a)

2,024

12,933

RBC Bearings, Inc. (a)

2,436

119,267

Shengkai Innovations, Inc. (a)

1,025

595

Sun Hydraulics Corp.

3,435

111,466

Tecumseh Products Co.:

Class A (non-vtg.) (a)

1,265

11,613

Class B (a)

262

2,332

TriMas Corp. (a)

3,886

125,324

Twin Disc, Inc.

1,109

27,647

Westport Innovations, Inc. (a)(d)

5,993

181,648

Woodward, Inc.

7,287

285,286

 

4,779,372

Marine - 0.0%

Diana Containerships, Inc.

1,986

11,141

DryShips, Inc. (a)(d)

42,597

78,804

Eagle Bulk Shipping, Inc. (a)(d)

1,118

4,886

Euroseas Ltd.

2,727

3,027

FreeSeas, Inc. (a)

35

21

Newlead Holdings Ltd. (a)

1,300

247

Rand Logistics, Inc. (a)

1,744

9,766

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Marine - continued

Seanergy Martime Holdings Corp. (a)

799

$ 1,262

Star Bulk Carriers Corp.

408

2,403

Ultrapetrol (Bahamas) Ltd. (a)

2,469

7,209

 

118,766

Professional Services - 0.4%

51job, Inc. sponsored ADR (a)

1,360

81,600

Acacia Research Corp.

5,559

138,975

Advisory Board Co. (a)(d)

3,439

181,614

Barrett Business Services, Inc.

849

49,522

CRA International, Inc. (a)

945

16,925

Exponent, Inc.

1,445

80,920

Heidrick & Struggles International, Inc.

1,475

21,255

Hudson Global, Inc. (a)

2,817

6,507

Huron Consulting Group, Inc. (a)

2,114

94,517

ICF International, Inc. (a)

2,881

86,862

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

4,389

77,729

Kforce, Inc.

3,428

51,043

Lightbridge Corp. (a)(d)

2,205

3,726

National Technical Systems, Inc. (a)

2,738

35,265

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

6,577

21,573

Pendrell Corp. (a)

19,022

46,984

RCM Technologies, Inc.

2,327

12,961

Resources Connection, Inc.

3,700

40,552

RPX Corp. (a)

2,966

45,498

Verisk Analytics, Inc. (a)

16,395

964,354

VSE Corp.

427

14,484

 

2,072,866

Road & Rail - 0.5%

AMERCO

1,955

337,042

Arkansas Best Corp. (d)

2,434

46,465

Avis Budget Group, Inc. (a)(d)

10,856

359,985

Covenant Transport Group, Inc. Class A (a)

1,650

9,306

Frozen Food Express Industries, Inc. (a)

1,931

2,993

Heartland Express, Inc.

8,247

118,344

J.B. Hunt Transport Services, Inc. (d)

11,224

826,760

Landstar System, Inc.

4,873

257,246

Marten Transport Ltd.

2,011

48,244

Old Dominion Freight Lines, Inc. (a)

8,665

373,115

P.A.M. Transportation Services, Inc.

668

7,234

Patriot Transportation Holding, Inc. (a)(d)

1,246

36,109

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Road & Rail - continued

Quality Distribution, Inc. (a)

2,343

$ 21,345

Saia, Inc. (a)

1,454

69,479

Student Transportation, Inc.

9,179

58,080

Universal Truckload Services, Inc. (a)

3,284

83,906

USA Truck, Inc. (a)

1,050

6,794

Vitran Corp., Inc. (a)

1,634

7,754

Werner Enterprises, Inc. (d)

7,174

179,565

YRC Worldwide, Inc. (a)

547

10,880

 

2,860,646

Trading Companies & Distributors - 0.4%

Aceto Corp.

1,016

12,934

Beacon Roofing Supply, Inc. (a)(d)

5,127

211,335

DXP Enterprises, Inc. (a)

1,259

74,369

Essex Rental Corp. (a)

2,219

9,852

Fastenal Co. (d)

29,061

1,516,403

General Finance Corp. (a)

1,165

5,196

H&E Equipment Services, Inc.

4,201

94,018

Houston Wire & Cable Co.

1,495

20,945

Lawson Products, Inc.

645

9,611

Rush Enterprises, Inc.:

Class A (a)(d)

2,683

68,953

Class B (a)

1,009

22,359

Titan Machinery, Inc. (a)(d)

1,925

39,482

Willis Lease Finance Corp. (a)

1,056

13,992

 

2,099,449

Transportation Infrastructure - 0.0%

Grupo Aeroportuario Norte S.A.B. de CV ADR

550

15,345

TOTAL INDUSTRIALS

23,181,581

INFORMATION TECHNOLOGY - 47.4%

Communications Equipment - 5.4%

ADTRAN, Inc.

6,053

139,945

Alliance Fiber Optic Products, Inc.

180

3,771

Alvarion Ltd. (a)

543

983

Ambient Corp. (a)(d)

1,100

1,892

Anaren, Inc. (a)

1,155

27,743

Arris Group, Inc. (a)(d)

10,951

165,689

Aruba Networks, Inc. (a)

11,541

172,423

AudioCodes Ltd. (a)

2,694

11,153

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Aviat Networks, Inc. (a)

4,784

$ 12,678

Aware, Inc.

5,644

30,760

Bel Fuse, Inc.:

Class A

300

4,290

Class B (non-vtg.)

558

8,883

Black Box Corp.

1,429

38,454

Brocade Communications Systems, Inc. (a)

46,620

253,147

CalAmp Corp. (a)(d)

2,414

31,792

Ceragon Networks Ltd. (a)

1,796

6,968

China TechFaith Wireless Communication Technology Ltd. sponsored ADR (a)

1,783

1,926

Ciena Corp. (a)(d)

10,345

173,175

Cisco Systems, Inc.

522,354

12,578,284

Cogo Group, Inc. (a)(d)

3,330

6,560

Communications Systems, Inc.

3,274

33,297

Comtech Telecommunications Corp.

1,521

40,154

Digi International, Inc. (a)

2,136

20,484

DragonWave, Inc. (a)(d)

2,480

6,646

EchoStar Holding Corp. Class A (a)

4,590

182,269

EMCORE Corp. (a)(d)

1,475

5,045

EXFO, Inc. (sub. vtg.) (a)

2,252

10,101

Extreme Networks, Inc. (a)(d)

7,442

26,494

F5 Networks, Inc. (a)(d)

7,571

629,983

Finisar Corp. (a)(d)

10,307

135,022

Gilat Satellite Networks Ltd. (a)

5,055

27,752

Globecomm Systems, Inc. (a)

1,887

24,172

Harmonic, Inc. (a)

11,702

71,382

Infinera Corp. (a)

13,841

145,746

InterDigital, Inc.

4,223

194,216

Ituran Location & Control Ltd.

2,549

43,155

Ixia (a)(d)

7,772

122,176

JDS Uniphase Corp. (a)

23,538

320,588

KVH Industries, Inc. (a)

1,563

20,616

Meru Networks, Inc. (a)

1,641

6,728

Mitel Networks, Inc. (a)

3,745

13,445

NETGEAR, Inc. (a)(d)

4,275

142,272

NumereX Corp. Class A (a)

2,247

24,717

Oclaro, Inc. (a)(d)

6,326

6,516

Oplink Communications, Inc. (a)

1,737

29,564

Parkervision, Inc. (a)(d)

7,644

33,328

PC-Tel, Inc.

2,538

18,604

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Communications Equipment - continued

Performance Technologies, Inc. (a)

470

$ 606

Polycom, Inc. (a)(d)

18,421

208,710

Procera Networks, Inc. (a)(d)

2,618

38,642

QUALCOMM, Inc.

168,355

10,687,175

Radware Ltd. (a)(d)

3,823

57,498

Research In Motion Ltd. (a)(d)

50,096

698,839

Riverbed Technology, Inc. (a)(d)

15,745

243,418

ShoreTel, Inc. (a)

4,564

18,439

Sierra Wireless, Inc. (a)(d)

2,705

30,788

Silicom Ltd.

1,049

35,299

Sonus Networks, Inc. (a)

31,557

101,298

Symmetricom, Inc. (a)

3,327

16,435

Telefonaktiebolaget LM Ericsson (B Shares) sponsored ADR (d)

18,490

215,778

Telestone Technologies Corp. (a)(d)

578

480

Tellabs, Inc. (d)

36,061

74,646

Telular Corp.

2,245

28,152

Tessco Technologies, Inc.

550

12,573

Ubiquiti Networks, Inc. (d)

8,870

167,732

UTStarcom Holdings Corp. (a)

4,655

13,220

ViaSat, Inc. (a)

4,740

332,084

Westell Technologies, Inc. Class A (a)

3,694

8,090

Wi-Lan, Inc.

14,813

63,010

Zhone Technologies, Inc. (a)

2,208

1,943

 

29,059,843

Computers & Peripherals - 9.5%

Apple, Inc.

92,276

41,494,630

Avid Technology, Inc. (a)(d)

3,536

22,560

Concurrent Computer Corp.

867

6,537

Cray, Inc. (a)(d)

3,431

62,479

Datalink Corp. (a)

818

9,374

Dell, Inc.

170,648

2,278,151

Dot Hill Systems Corp. (a)

4,517

8,808

Electronics for Imaging, Inc. (a)

4,305

120,066

Hutchinson Technology, Inc. (a)(d)

1,552

8,908

iGO, Inc. (a)

172

401

Immersion Corp. (a)

2,166

33,270

Intevac, Inc. (a)

1,753

8,432

Logitech International SA

16,274

112,453

NetApp, Inc. (d)

35,563

1,334,679

Novatel Wireless, Inc. (a)

2,420

8,276

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Computers & Peripherals - continued

OCZ Technology Group, Inc. (a)

6,689

$ 9,766

Overland Storage, Inc. (a)

3,560

4,130

QLogic Corp. (a)

9,664

94,127

Rimage Corp.

799

6,464

SanDisk Corp. (a)

23,468

1,385,081

Seagate Technology

35,256

1,518,828

Silicon Graphics International Corp. (a)

2,986

45,089

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

3,897

5,074

STEC, Inc. (a)(d)

3,803

13,463

Stratasys Ltd. (a)(d)

3,994

335,696

Super Micro Computer, Inc. (a)(d)

4,382

45,178

Synaptics, Inc. (a)(d)

3,033

125,142

Transact Technologies, Inc.

1,837

14,769

Western Digital Corp.

23,694

1,500,304

Xyratex Ltd.

3,114

32,946

 

50,645,081

Electronic Equipment & Components - 1.1%

Agilysys, Inc. (a)

2,256

25,854

Audience, Inc.

2,217

31,038

Cognex Corp.

4,795

215,439

Coherent, Inc.

2,382

136,727

CUI Global, Inc. (a)(d)

1,439

8,389

Daktronics, Inc.

3,527

36,222

Digital Ally, Inc. (a)

179

1,119

DTS, Inc. (a)

1,687

33,335

Echelon Corp. (a)

3,399

7,988

Electro Rent Corp.

3,981

67,717

Electro Scientific Industries, Inc.

4,034

45,786

FARO Technologies, Inc. (a)

1,765

66,046

FEI Co. (d)

3,752

270,182

Flextronics International Ltd. (a)(d)

65,854

491,271

FLIR Systems, Inc.

14,321

348,860

Frequency Electronics, Inc.

801

8,186

GSI Group, Inc. (a)

3,002

24,436

HLS Systems International Ltd. (a)(d)

6,494

76,240

I. D. Systems Inc. (a)

730

3,730

Identive Group, Inc. (a)

4,784

4,253

Insight Enterprises, Inc. (a)

4,185

80,561

IPG Photonics Corp. (d)

4,981

295,373

Itron, Inc. (a)(d)

4,275

179,550

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

KEY Tronic Corp. (a)(d)

2,433

$ 27,639

Littelfuse, Inc.

2,475

181,888

LoJack Corp. (a)

1,208

4,083

LRAD Corp. (a)

2,260

2,170

Magal Security Systems Ltd. (a)

1,252

4,657

Maxwell Technologies, Inc. (a)(d)

2,392

17,294

Measurement Specialties, Inc. (a)

1,277

56,763

Mercury Systems, Inc. (a)

2,848

24,892

Mesa Laboratories, Inc.

635

33,617

MicroVision, Inc. (a)(d)

1,233

3,687

MOCON, Inc.

1,486

20,269

Molex, Inc. (d)

9,596

281,547

Molex, Inc. Class A (non-vtg.) (d)

7,145

175,481

MTS Systems Corp.

1,471

88,790

Multi-Fineline Electronix, Inc. (a)

2,217

35,250

National Instruments Corp. (d)

12,218

346,991

Neonode, Inc. (a)(d)

3,560

19,331

NetList, Inc. (a)

1,689

1,047

Newport Corp. (a)

3,551

46,731

Orbotech Ltd. (a)

5,875

68,679

OSI Systems, Inc. (a)

1,986

114,870

Parametric Sound Corp. (a)(d)

937

15,657

PC Connection, Inc.

2,121

35,612

PC Mall, Inc. (a)

1,383

10,594

Perceptron, Inc.

784

5,543

Planar Systems, Inc. (a)

480

835

Plexus Corp. (a)

4,007

116,924

Power-One, Inc. (a)

11,703

74,080

RadiSys Corp. (a)

1,899

9,495

Research Frontiers, Inc. (a)

1,108

4,066

Richardson Electronics Ltd.

1,588

18,992

Rofin-Sinar Technologies, Inc. (a)

3,325

88,977

Sanmina Corp. (a)

8,739

118,676

ScanSource, Inc. (a)

2,885

92,118

Tech Data Corp. (a)

3,687

184,792

Trimble Navigation Ltd. (a)

24,886

694,319

TTM Technologies, Inc. (a)

7,898

63,816

Uni-Pixel, Inc. (a)(d)

1,194

18,161

Universal Display Corp. (a)

4,968

147,947

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Electronic Equipment & Components - continued

Viasystems Group, Inc. (a)

2,351

$ 29,670

Zygo Corp. (a)(d)

1,484

23,610

 

5,767,862

Internet Software & Services - 9.1%

21Vianet Group, Inc. ADR (a)

3,322

30,363

Akamai Technologies, Inc. (a)(d)

17,709

816,739

Angie's List, Inc. (a)

5,766

135,270

Autobytel, Inc. (a)

631

3,111

Baidu.com, Inc. sponsored ADR (a)(d)

26,997

2,608,990

Bazaarvoice, Inc. (a)(d)

6,688

50,093

Blucora, Inc. (a)(d)

3,969

72,434

Brightcove, Inc. (a)(d)

2,608

19,508

BroadVision, Inc. (a)

599

5,307

Carbonite, Inc. (a)

2,600

27,482

China Finance Online Co. Ltd. ADR (a)

2,033

3,090

ChinaCache International Holdings Ltd. sponsored ADR (a)

2,750

12,568

Commtouch Software Ltd. (a)

7,845

22,358

comScore, Inc. (a)

3,739

73,957

Constant Contact, Inc. (a)

3,257

48,594

Cornerstone OnDemand, Inc. (a)(d)

5,702

231,729

CoStar Group, Inc. (a)(d)

2,977

332,858

DealerTrack Holdings, Inc. (a)(d)

4,200

135,408

Digital River, Inc. (a)

3,351

58,542

E2open, Inc. (d)

2,190

31,996

EarthLink, Inc.

10,002

59,312

eBay, Inc. (a)

127,272

6,885,415

eGain Communications Corp. (a)

3,510

28,185

Equinix, Inc. (a)(d)

4,762

964,972

Facebook, Inc. Class A

165,576

4,031,776

FriendFinder Networks, Inc. (a)(d)

2,000

660

GigaMedia Ltd. (a)

5,039

4,989

Global Eagle Entertainment, Inc. (a)(d)

2,886

28,283

Google, Inc. Class A (a)

26,255

22,852,615

IAC/InterActiveCorp (d)

8,211

398,069

Internap Network Services Corp. (a)(d)

4,621

36,876

iPass, Inc. (a)(d)

4,991

8,485

j2 Global, Inc.

4,473

182,901

Keynote Systems, Inc.

1,401

17,653

Ku6 Media Co. Ltd. sponsored ADR (a)

2,051

2,646

Limelight Networks, Inc. (a)

7,958

18,860

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

Liquidity Services, Inc. (a)(d)

3,383

$ 135,354

LivePerson, Inc. (a)(d)

6,112

56,475

Local Corp. (a)(d)

545

883

LogMeIn, Inc. (a)

2,380

60,571

Marchex, Inc. Class B

2,468

14,314

Market Leader, Inc. (a)

3,144

33,641

MercadoLibre, Inc.

4,348

498,368

Move, Inc. (a)

3,598

40,981

NetEase.com, Inc. sponsored ADR

7,222

461,702

NIC, Inc.

7,609

127,222

Open Text Corp.

6,064

412,650

OpenTable, Inc. (a)(d)

2,233

148,941

Perficient, Inc. (a)

4,731

59,611

Perion Network Ltd. (a)(d)

2,392

33,632

Points International Ltd. (a)

1,800

30,456

QuinStreet, Inc. (a)

3,529

27,314

RealNetworks, Inc. (a)

2,721

19,754

Rediff.com India Ltd. sponsored ADR (a)(d)

371

1,024

Reis, Inc. (a)

2,925

54,376

Remark Media, Inc. (a)

212

676

Responsys, Inc. (a)

5,878

57,487

SciQuest, Inc. (a)

2,059

47,254

Selectica, Inc. (a)

245

2,107

Sify Technologies Ltd. sponsored ADR (a)(d)

1,965

3,871

SINA Corp. (a)(d)

6,819

393,456

Sohu.com, Inc. (a)(d)

3,908

250,815

SPS Commerce, Inc. (a)

1,840

99,305

Stamps.com, Inc. (a)

1,389

52,949

Support.com, Inc. (a)

3,686

17,619

Synacor, Inc. (a)(d)

2,654

10,006

TechTarget, Inc. (a)

3,566

15,833

TheStreet.com, Inc.

1,783

3,530

Travelzoo, Inc. (a)(d)

1,494

42,938

United Online, Inc.

8,242

56,128

Unwired Planet, Inc. (a)

8,604

17,724

ValueClick, Inc. (a)(d)

7,372

194,178

Velti PLC (a)(d)

6,123

10,776

VeriSign, Inc. (a)(d)

14,771

694,828

VistaPrint Ltd. (a)(d)

3,485

160,136

Vocus, Inc. (a)

2,078

18,162

Web.com Group, Inc. (a)(d)

4,909

103,040

Common Stocks - continued

Shares

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INFORMATION TECHNOLOGY - continued

Internet Software & Services - continued

WebMD Health Corp. (a)

5,245

$ 154,832

WebMediaBrands, Inc. (a)

208

277

Xoom Corp. (d)

3,245

60,389

Yahoo!, Inc. (a)

115,861

3,047,144

Yandex NV (a)

23,630

641,791

Zillow, Inc. (a)(d)

2,702

151,690

Zix Corp. (a)

5,859

23,377

 

48,791,681

IT Services - 1.9%

Acxiom Corp. (a)

7,793

171,368

Automatic Data Processing, Inc.

47,094

3,236,300

Cardtronics, Inc. (a)

4,436

126,559

Cass Information Systems, Inc.

1,664

74,680

China Information Technology, Inc. (a)

1,650

4,274

Cognizant Technology Solutions Corp. Class A (a)

29,466

1,904,977

Computer Task Group, Inc.

2,070

46,202

CSG Systems International, Inc. (a)

3,230

69,865

Dynamics Research Corp. (a)

900

4,500

Edgewater Technology, Inc. (a)

1,090

4,262

Euronet Worldwide, Inc. (a)

5,005

152,653

ExlService Holdings, Inc. (a)

3,384

99,253

Fiserv, Inc. (a)(d)

13,033

1,135,956

Forrester Research, Inc.

2,212

80,141

Hackett Group, Inc.

3,105

15,649

iGate Corp. (a)

6,608

95,882

Information Services Group, Inc. (a)

2,794

5,476

Innodata, Inc. (a)

1,720

5,435

Jack Henry & Associates, Inc.

8,620

404,537

Lionbridge Technologies, Inc. (a)

5,275

15,614

ManTech International Corp. Class A

2,289

62,009

Mattersight Corp. (a)(d)

1,970

6,146

ModusLink Global Solutions, Inc. (a)

3,600

10,332

MoneyGram International, Inc. (a)

5,400

106,272

NCI, Inc. Class A (a)

868

4,106

Newtek Business Services, Inc. (a)

2,552

5,385

Official Payments Holdings, Inc. (a)

2,301

14,841

Pactera Technology International Ltd. ADR

3,293

21,997

Paychex, Inc. (d)

34,716

1,292,477

PFSweb, Inc. (a)

1,898

8,142

PRG-Schultz International, Inc. (a)

2,112

11,574

Common Stocks - continued

Shares

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INFORMATION TECHNOLOGY - continued

IT Services - continued

Rainmaker Systems, Inc. (a)

1,909

$ 830

Sapient Corp. (a)

15,168

195,364

ServiceSource International, Inc. (a)

7,209

58,753

Sykes Enterprises, Inc. (a)

3,992

63,114

Syntel, Inc.

4,408

281,715

Teletech Holdings, Inc. (a)

7,252

163,097

Virtusa Corp. (a)

2,378

55,788

 

10,015,525

Office Electronics - 0.1%

Zebra Technologies Corp. Class A (a)

5,706

260,536

Semiconductors & Semiconductor Equipment - 7.6%

Actions Semiconductor Co. Ltd. ADR (a)

5,005

14,815

Advanced Energy Industries, Inc. (a)

3,336

61,382

Aixtron AG sponsored ADR (d)

770

13,760

Alpha & Omega Semiconductor Ltd. (a)

2,548

20,104

Altera Corp.

31,330

1,039,843

Ambarella, Inc. (a)(d)

3,374

54,558

Amkor Technology, Inc. (a)(d)

16,037

72,808

Amtech Systems, Inc. (a)

792

4,158

ANADIGICS, Inc. (a)

5,180

10,671

Analog Devices, Inc.

29,281

1,344,876

Applied Materials, Inc.

116,580

1,772,016

Applied Micro Circuits Corp. (a)

8,815

67,964

ARM Holdings PLC sponsored ADR (d)

10,730

470,832

ASM International NV (depositary receipt)

565

20,103

ASML Holding NV (d)

7,182

583,681

Atmel Corp. (a)

43,991

346,209

ATMI, Inc. (a)

2,939

70,154

Avago Technologies Ltd.

24,015

905,606

Axcelis Technologies, Inc. (a)

7,148

11,437

AXT, Inc. (a)

2,879

8,176

Broadcom Corp. Class A

50,590

1,816,687

Brooks Automation, Inc.

7,616

81,110

BTU International, Inc. (a)

667

1,647

Cabot Microelectronics Corp. (a)(d)

2,125

75,969

Camtek Ltd. (a)

1,772

3,420

Canadian Solar, Inc. (a)(d)

3,257

27,717

Cascade Microtech, Inc. (a)

1,205

7,941

Cavium, Inc. (a)(d)

5,383

176,347

Ceva, Inc. (a)

2,062

34,580

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

China Sunergy Co. Ltd. ADR (a)

811

$ 1,500

ChipMOS TECHNOLOGIES (Bermuda) Ltd.

3,194

58,259

Cirrus Logic, Inc. (a)(d)

6,650

121,363

Cohu, Inc.

2,800

30,968

Cree, Inc. (a)(d)

11,659

726,939

CVD Equipment Corp. (a)(d)

958

9,235

Cypress Semiconductor Corp.

14,149

159,035

Diodes, Inc. (a)

6,177

145,777

DSP Group, Inc. (a)

1,709

13,569

Entegris, Inc. (a)

13,615

141,868

Entropic Communications, Inc. (a)(d)

8,091

34,629

Exar Corp. (a)(d)

3,484

39,300

EZchip Semiconductor Ltd. (a)

3,149

85,149

First Solar, Inc. (a)(d)

8,524

463,535

FormFactor, Inc. (a)

4,723

27,818

GSI Technology, Inc. (a)

893

5,001

GT Advanced Technologies, Inc. (a)(d)

11,116

49,466

Hanwha Solarone Co. Ltd. ADR (a)(d)

4,357

6,971

Himax Technologies, Inc. sponsored ADR (d)

6,926

49,936

Hittite Microwave Corp. (a)(d)

3,194

173,370

Ikanos Communications, Inc. (a)

7,650

10,328

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

16,817

143,281

Integrated Silicon Solution, Inc. (a)

2,319

25,092

Intel Corp.

485,709

11,793,015

Intermolecular, Inc. (a)

4,427

37,807

Intersil Corp. Class A

14,332

117,522

IXYS Corp.

2,709

30,883

JA Solar Holdings Co. Ltd. ADR (a)

1,901

13,953

KLA-Tencor Corp.

16,255

914,994

Kopin Corp. (a)

6,229

22,113

Kulicke & Soffa Industries, Inc. (a)

7,932

98,357

Lam Research Corp. (a)

15,712

735,007

Lattice Semiconductor Corp. (a)(d)

13,458

69,309

Linear Technology Corp.

20,329

762,338

LSI Corp. (a)

55,726

412,372

LTX-Credence Corp. (a)

3,814

21,625

M/A-COM Technology Solutions, Inc. (a)

4,539

63,228

Marvell Technology Group Ltd.

53,941

584,720

Mattson Technology, Inc. (a)

3,129

6,164

Maxim Integrated Products, Inc.

28,775

848,575

Mellanox Technologies Ltd. (a)(d)

4,449

230,770

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

MEMSIC, Inc. (a)

1,776

$ 7,246

Micrel, Inc.

6,146

61,153

Microchip Technology, Inc.

19,021

693,886

Micron Technology, Inc. (a)

99,863

1,166,400

Microsemi Corp. (a)

10,171

223,050

Mindspeed Technologies, Inc. (a)(d)

3,673

11,937

MKS Instruments, Inc.

5,243

147,590

Monolithic Power Systems, Inc. (d)

3,194

78,477

MoSys, Inc. (a)

2,523

11,480

Nanometrics, Inc. (a)

2,245

32,440

Nova Measuring Instruments Ltd. (a)

2,306

21,723

NVE Corp. (a)

453

23,434

NVIDIA Corp.

60,667

879,065

NXP Semiconductors NV (a)

24,600

758,910

O2Micro International Ltd. sponsored ADR (a)(d)

3,450

11,903

Omnivision Technologies, Inc. (a)(d)

5,064

93,532

ON Semiconductor Corp. (a)

44,060

377,154

PDF Solutions, Inc. (a)

2,505

45,917

Peregrine Semiconductor Corp.

3,014

32,642

Pericom Semiconductor Corp. (a)

2,086

14,623

Photronics, Inc. (a)(d)

8,213

62,665

Pixelworks, Inc. (a)

3,092

9,307

PLX Technology, Inc. (a)

5,702

25,773

PMC-Sierra, Inc. (a)

22,033

132,418

Power Integrations, Inc.

3,028

129,265

QuickLogic Corp. (a)(d)

4,310

10,172

Rambus, Inc. (a)(d)

10,601

83,536

RDA Microelectronics, Inc. sponsored ADR

1,650

17,672

RF Micro Devices, Inc. (a)

26,801

147,942

Rubicon Technology, Inc. (a)(d)

2,238

18,956

Rudolph Technologies, Inc. (a)(d)

2,800

34,328

SemiLEDs Corp. (a)

2,000

3,220

Semtech Corp. (a)(d)

6,904

252,272

Sigma Designs, Inc. (a)

2,862

13,137

Silicon Image, Inc. (a)

8,358

50,900

Silicon Laboratories, Inc. (a)(d)

4,673

200,752

Silicon Motion Technology Corp. sponsored ADR (d)

3,200

35,968

Siliconware Precision Industries Co. Ltd. sponsored ADR (d)

9,531

54,803

Skyworks Solutions, Inc. (a)

19,520

465,747

Spreadtrum Communications, Inc. ADR (d)

3,944

76,750

SunPower Corp. (a)(d)

11,780

227,354

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - continued

Supertex, Inc.

1,164

$ 25,783

Tessera Technologies, Inc.

4,845

100,534

Texas Instruments, Inc.

107,952

3,874,397

Tower Semiconductor Ltd. (a)

1,741

10,777

TranSwitch Corp. (a)

1,874

956

TriQuint Semiconductor, Inc. (a)(d)

19,496

137,252

Ultra Clean Holdings, Inc. (a)

1,865

10,836

Ultratech, Inc. (a)

2,491

90,822

Veeco Instruments, Inc. (a)

3,733

158,242

Vimicro International Corp. sponsored ADR (a)

1,883

2,712

Volterra Semiconductor Corp. (a)

2,284

32,113

Xilinx, Inc.

25,285

1,027,835

 

40,621,470

Software - 12.7%

Accelrys, Inc. (a)

8,192

68,321

ACI Worldwide, Inc. (a)(d)

4,259

198,086

Activision Blizzard, Inc.

109,467

1,579,609

Actuate Corp. (a)

4,500

30,375

Adobe Systems, Inc. (a)(d)

48,708

2,090,060

Advent Software, Inc. (a)

5,185

172,038

Allot Communications Ltd. (a)(d)

3,016

37,248

American Software, Inc. Class A

2,162

18,377

ANSYS, Inc. (a)

9,301

692,925

AsiaInfo-Linkage, Inc. (a)(d)

7,921

91,804

Aspen Technology, Inc. (a)

9,217

282,225

Attunity Ltd. (a)

1,304

7,420

Autodesk, Inc. (a)

21,481

810,478

AutoNavi Holdings Ltd. ADR (a)

1,797

21,528

Blackbaud, Inc.

5,447

165,262

BluePhoenix Solutions Ltd. (a)

285

1,140

BMC Software, Inc. (a)

13,605

616,238

Bottomline Technologies, Inc. (a)(d)

3,622

100,076

BroadSoft, Inc. (a)(d)

2,902

80,443

CA Technologies, Inc.

44,167

1,206,201

Cadence Design Systems, Inc. (a)(d)

28,362

429,117

Callidus Software, Inc. (a)

2,708

16,275

Changyou.com Ltd. (A Shares) ADR (d)

1,356

41,697

Check Point Software Technologies Ltd. (a)(d)

20,036

1,003,403

Cinedigm Digital Cinema Corp. (a)

4,170

6,422

Citrix Systems, Inc. (a)

18,295

1,177,283

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

ClickSoftware Technologies Ltd.

2,678

$ 20,728

CommVault Systems, Inc. (a)

4,723

330,610

Compuware Corp.

21,608

242,658

Comverse, Inc.

2,187

65,304

Concur Technologies, Inc. (a)(d)

5,659

456,851

CounterPath Corp. (a)

305

519

Datawatch Corp. (a)

596

8,767

Descartes Systems Group, Inc. (a)

6,375

70,714

Digimarc Corp.

697

16,038

Ebix, Inc.

3,374

66,940

Electronic Arts, Inc. (a)

30,356

697,884

Envivio, Inc. (a)

4,709

7,817

EPIQ Systems, Inc.

3,174

38,501

ePlus, Inc.

1,018

50,625

Evolving Systems, Inc.

1,208

7,888

FalconStor Software, Inc. (a)

4,107

5,503

Fortinet, Inc. (a)

16,539

318,541

Glu Mobile, Inc. (a)(d)

5,808

15,740

Guidance Software, Inc. (a)

2,847

26,249

Informatica Corp. (a)(d)

10,900

396,324

Interactive Intelligence Group, Inc. (a)(d)

1,647

82,679

Intuit, Inc.

28,572

1,669,748

Jive Software, Inc. (a)

7,320

123,708

KongZhong Corp. sponsored ADR (a)

2,588

17,081

Magic Software Enterprises Ltd. (d)

8,370

45,114

Majesco Entertainment Co. (a)

3,390

2,228

Manhattan Associates, Inc. (a)(d)

1,860

139,556

Mentor Graphics Corp.

11,212

212,916

MICROS Systems, Inc. (a)(d)

8,079

340,934

Microsoft Corp. (d)

822,564

28,691,032

MicroStrategy, Inc. Class A (a)

912

83,430

Mitek Systems, Inc. (a)

2,622

16,597

Monotype Imaging Holdings, Inc.

3,416

77,748

Net 1 UEPS Technologies, Inc. (a)

4,905

35,414

NetScout Systems, Inc. (a)

4,930

120,046

NetSol Technologies, Inc. (a)

525

5,402

NICE Systems Ltd. sponsored ADR

3,822

141,032

Nuance Communications, Inc. (a)(d)

30,816

585,504

Oracle Corp. (d)

464,939

15,696,341

Parametric Technology Corp. (a)(d)

12,516

314,277

Pegasystems, Inc.

3,459

111,829

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

Perfect World Co. Ltd. sponsored ADR Class B (d)

4,134

$ 63,788

Progress Software Corp. (a)

6,324

148,677

Proofpoint, Inc. (a)(d)

2,950

59,590

QAD, Inc. Class A

1,432

17,943

QLIK Technologies, Inc. (a)(d)

9,043

278,163

Qualys, Inc.

3,340

46,760

RealPage, Inc. (a)(d)

7,345

139,849

Rovi Corp. (a)

10,542

271,984

Sapiens International Corp. NV (d)

5,316

27,537

SeaChange International, Inc. (a)

2,919

31,408

Shanda Games Ltd. sponsored ADR (a)

6,211

25,589

Smith Micro Software, Inc. (a)

2,943

3,796

Sonic Foundry, Inc. (a)

478

3,948

Sourcefire, Inc. (a)(d)

3,175

177,673

Splunk, Inc. (a)

9,953

465,402

SS&C Technologies Holdings, Inc. (a)

8,277

261,802

Symantec Corp.

66,700

1,493,413

Synchronoss Technologies, Inc. (a)(d)

3,905

122,422

Synopsys, Inc. (a)

14,469

527,395

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

8,758

145,733

Tangoe, Inc. (a)(d)

3,946

58,835

TeleCommunication Systems, Inc. Class A (a)

4,258

10,006

TeleNav, Inc. (a)

3,300

16,797

The9 Ltd. sponsored ADR (a)

1,168

3,703

TIBCO Software, Inc. (a)

16,533

352,649

TigerLogic Corp. (a)

4,013

7,544

TiVo, Inc. (a)

12,092

156,470

Trunkbow International Holdings Ltd. (a)(d)

2,500

2,140

Ultimate Software Group, Inc. (a)(d)

2,715

302,180

Vasco Data Security International, Inc. (a)

3,654

30,621

Verint Systems, Inc. (a)

5,147

172,785

Voltari Corp. (a)(d)

320

1,392

Wave Systems Corp. Class A (a)(d)

5,662

2,152

Websense, Inc. (a)

3,468

86,180

Zynga, Inc. (a)(d)

59,423

202,038

 

68,019,232

TOTAL INFORMATION TECHNOLOGY

253,181,230

Common Stocks - continued

Shares

Value

MATERIALS - 0.8%

Chemicals - 0.4%

A. Schulman, Inc.

2,693

$ 77,828

ADA-ES, Inc. (a)

913

34,101

American Pacific Corp. (a)

617

17,153

Balchem Corp.

3,520

168,995

Fuwei Films Holdings Co. Ltd. (a)

926

907

Gulf Resources, Inc. (a)(d)

3,255

3,971

Hawkins, Inc.

1,179

47,019

Innophos Holdings, Inc.

2,523

127,613

Innospec, Inc.

2,724

111,766

Landec Corp. (a)

2,417

33,935

Material Sciences Corp. (a)

1,000

9,800

Methanex Corp.

9,404

416,071

Penford Corp. (a)

697

8,273

Senomyx, Inc. (a)

3,104

6,425

Sigma Aldrich Corp.

10,360

866,718

Yongye International, Inc. (a)(d)

4,112

21,876

Zoltek Companies, Inc. (a)

2,884

36,858

 

1,989,309

Construction Materials - 0.0%

CaesarStone Sdot-Yam Ltd. (a)

3,434

98,762

China Advanced Construction Materials Group, Inc. (a)

1,617

501

U.S. Concrete, Inc. (a)

2,219

35,615

United States Lime & Minerals, Inc. (a)

477

23,788

 

158,666

Containers & Packaging - 0.1%

AEP Industries, Inc. (a)

553

46,164

Silgan Holdings, Inc.

6,488

303,444

UFP Technologies, Inc. (a)

1,423

27,307

 

376,915

Metals & Mining - 0.3%

Century Aluminum Co. (a)(d)

10,170

100,785

China Gerui Adv Mat Group Ltd. (a)(d)

5,824

10,949

China Natural Resources, Inc. (a)

1,718

6,958

China Precision Steel, Inc. (a)(d)

271

339

Globe Specialty Metals, Inc.

7,665

94,050

Handy & Harman Ltd. (a)

2,127

34,309

Haynes International, Inc.

1,358

66,461

Horsehead Holding Corp. (a)(d)

3,155

36,314

Kaiser Aluminum Corp.

1,921

121,868

Olympic Steel, Inc.

1,959

49,621

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - continued

Pan American Silver Corp.

16,085

$ 196,398

Prospect Global Resources, Inc. (a)

16,479

3,667

Prospect Global Resources, Inc. rights 6/4/13 (a)

12,375

31

Randgold Resources Ltd. sponsored ADR (d)

5,093

399,189

Royal Gold, Inc. (d)

6,258

342,688

Schnitzer Steel Industries, Inc. Class A

2,367

58,465

Silver Standard Resources, Inc. (a)

7,860

61,780

SinoCoking Coal and Coke Chemical Industries, Inc. (a)(d)

1,300

2,054

Steel Dynamics, Inc. (d)

20,726

317,937

Sutor Technology Group Ltd. (a)

5,943

11,767

Synalloy Corp.

766

11,253

Universal Stainless & Alloy Products, Inc. (a)

559

17,715

 

1,944,598

Paper & Forest Products - 0.0%

Mercer International, Inc. (SBI) (a)(d)

8,448

58,122

Pope Resources, Inc. LP

396

26,817

 

84,939

TOTAL MATERIALS

4,554,427

TELECOMMUNICATION SERVICES - 1.2%

Diversified Telecommunication Services - 0.4%

8x8, Inc. (a)(d)

6,659

55,070

Alaska Communication Systems Group, Inc.

3,895

6,388

Atlantic Tele-Network, Inc.

1,469

73,112

B Communications Ltd. (a)

2,234

17,202

Cbeyond, Inc. (a)

2,879

24,731

Cogent Communications Group, Inc.

5,494

151,030

Consolidated Communications Holdings, Inc.

3,932

66,923

FairPoint Communications, Inc. (a)(d)

2,654

22,559

Frontier Communications Corp. (d)

103,769

429,604

General Communications, Inc. Class A (a)

3,238

28,138

Hawaiian Telcom Holdco, Inc. (a)

740

19,070

HickoryTech Corp.

5,938

62,230

Hong Kong Television Network Ltd. sponsored ADR (d)

1,671

11,279

inContact, Inc. (a)

7,718

56,033

Internet Gold Golden Lines Ltd. (a)

1,546

4,715

Iridium Communications, Inc. (a)(d)

7,393

52,712

Lumos Networks Corp.

1,653

22,712

Neutral Tandem, Inc.

2,667

15,522

Common Stocks - continued

Shares

Value

TELECOMMUNICATION SERVICES - continued

Diversified Telecommunication Services - continued

ORBCOMM, Inc. (a)

2,897

$ 11,356

Towerstream Corp. (a)

5,027

12,919

TW telecom, Inc. (a)(d)

15,255

435,225

VocalTec Communications Ltd. (a)(d)

1,700

25,381

Windstream Corp. (d)

58,389

468,864

 

2,072,775

Wireless Telecommunication Services - 0.8%

America Movil S.A.B. de CV Series A sponsored ADR

968

19,331

Boingo Wireless, Inc. (a)(d)

3,209

23,265

Clearwire Corp. Class A (a)

70,189

314,447

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

7,668

43,324

Linktone Ltd. sponsored ADR (a)

452

1,690

NII Holdings, Inc. (a)(d)

17,070

131,610

NTELOS Holdings Corp.

2,909

47,620

Partner Communications Co. Ltd. ADR

1,446

8,777

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

12,004

903,541

Shenandoah Telecommunications Co.

1,983

32,997

USA Mobility, Inc.

1,749

23,577

Vodafone Group PLC sponsored ADR

96,831

2,803,257

 

4,353,436

TOTAL TELECOMMUNICATION SERVICES

6,426,211

UTILITIES - 0.1%

Electric Utilities - 0.1%

MGE Energy, Inc.

2,169

115,760

Otter Tail Corp.

3,441

94,008

 

209,768

Gas Utilities - 0.0%

Delta Natural Gas Co., Inc.

1,210

26,293

RGC Resources, Inc.

94

1,916

 

28,209

Independent Power Producers & Energy Traders - 0.0%

Synthesis Energy Systems, Inc. (a)

3,632

3,087

Water Utilities - 0.0%

Artesian Resources Corp. Class A

575

12,713

Cadiz, Inc. (a)(d)

1,425

8,379

Connecticut Water Service, Inc.

871

24,710

Consolidated Water Co., Inc.

1,157

12,484

Common Stocks - continued

Shares

Value

UTILITIES - continued

Water Utilities - continued

Middlesex Water Co.

1,342

$ 25,834

Pure Cycle Corp. (a)

3,377

22,356

Tri-Tech Holding, Inc. (a)

664

1,082

York Water Co.

1,176

22,438

 

129,996

TOTAL UTILITIES

371,060

TOTAL COMMON STOCKS

(Cost $341,782,240)


522,437,252

U.S. Treasury Obligations - 0.1%

 

Principal
Amount

 

U.S. Treasury Bills, yield at date of purchase 0.08% 9/19/13 (e)
(Cost $499,881)

$ 500,000


499,929

Money Market Funds - 19.1%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)

10,473,109

10,473,109

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

91,501,794

91,501,794

TOTAL MONEY MARKET FUNDS

(Cost $101,974,903)


101,974,903

TOTAL INVESTMENT PORTFOLIO - 116.9%

(Cost $444,257,024)

624,912,084

NET OTHER ASSETS (LIABILITIES) - (16.9)%

(90,513,256 )

NET ASSETS - 100%

$ 534,398,828

Futures Contracts

Expiration
Date

Underlying Face
Amount at
Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

200 CME E-mini NASDAQ 100 Index Contracts

June 2013

$ 11,921,000

$ 445,716

 

The face value of futures purchased as a percentage of net assets is 2.2%

Legend

(a) Non-income producing

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements 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 $446,937.

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

$ 4,939

Fidelity Securities Lending Cash Central Fund

318,008

Total

$ 322,947

Other Information

The following is a summary of the inputs used, as of May 31, 2013, 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 Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 96,574,888

$ 96,574,888

$ -

$ -

Consumer Staples

20,906,249

20,906,249

-

-

Energy

7,195,609

7,195,609

-

-

Financials

35,881,886

35,881,365

521

-

Health Care

74,164,111

74,164,111

-

-

Industrials

23,181,581

23,181,581

-

-

Information Technology

253,181,230

253,180,750

-

480

Materials

4,554,427

4,532,520

31

21,876

Telecommunication Services

6,426,211

6,426,211

-

-

Utilities

371,060

371,060

-

-

U.S. Government and Government Agency Obligations

499,929

-

499,929

-

Money Market Funds

101,974,903

101,974,903

-

-

Total Investments in Securities:

$ 624,912,084

$ 624,389,247

$ 500,481

$ 22,356

Derivative Instruments:

Assets

Futures Contracts

$ 445,716

$ 445,716

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2013. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure /
Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 445,716

$ -

Total Value of Derivatives

$ 445,716

$ -

(a) Reflects cumulative appreciation/depreciation on futures contracts as disclosed in the Schedule of Investments. Only the period end variation margin is separately disclosed in the Statement of Assets and Liabilities and is included in the receivable/payable for daily variation margin on derivative instruments line-items.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

  

May 31, 2013 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $88,201,425) - See accompanying schedule:

Unaffiliated issuers (cost $342,282,121)

$ 522,937,181

 

Fidelity Central Funds (cost $101,974,903)

101,974,903

 

Total Investments (cost $444,257,024)

 

$ 624,912,084

Cash

 

64,024

Receivable for investments sold

329,296

Receivable for fund shares sold

593,173

Dividends receivable

525,890

Distributions receivable from Fidelity Central Funds

60,183

Prepaid expenses

237

Receivable from investment adviser for expense reductions

89,724

Other receivables

956

Total assets

626,575,567

 

 

 

Liabilities

Payable for fund shares redeemed

$ 196,576

Accrued management fee

106,091

Distribution and service plan fees payable

77,406

Payable for daily variation margin on futures contracts

113,348

Other affiliated payables

75,654

Other payables and accrued expenses

105,870

Collateral on securities loaned, at value

91,501,794

Total liabilities

92,176,739

 

 

 

Net Assets

$ 534,398,828

Net Assets consist of:

 

Paid in capital

$ 355,311,120

Undistributed net investment income

1,715,063

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

(3,728,136)

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

181,100,781

Net Assets , for 11,597,700 shares outstanding

$ 534,398,828

Net Asset Value , offering price and redemption price per share ($534,398,828 ÷ 11,597,700 shares)

$ 46.08

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

Semiannual Report

Financial Statements - continued

Statement of Operations

  

Six months ended May 31, 2013 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 3,908,810

Interest

 

218

Income from Fidelity Central Funds (including $318,008 from security lending)

 

322,947

Total income

 

4,231,975

 

 

 

Expenses

Management fee

$ 609,660

Transfer agent fees

351,659

Distribution and service plan fees

152,427

Licensing fees

152,427

Accounting and security lending fees

102,901

Custodian fees and expenses

7,366

Independent trustees' compensation

1,536

Registration fees

21,093

Audit

28,352

Legal

567

Miscellaneous

2,185

Total expenses before reductions

1,430,173

Expense reductions

(541,055 )

889,118

Net investment income (loss)

3,342,857

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

716,170

Foreign currency transactions

(172)

Futures contracts

452,090

Total net realized gain (loss)

 

1,168,088

Change in net unrealized appreciation (depreciation) on:

Investment securities

67,886,640

Assets and liabilities in foreign currencies

83

Futures contracts

359,600

Total change in net unrealized appreciation (depreciation)

 

68,246,323

Net gain (loss)

69,414,411

Net increase (decrease) in net assets resulting from operations

$ 72,757,268

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

Semiannual Report

Statement of Changes in Net Assets

  

Six months ended May 31, 2013
(Unaudited)

Year ended
November 30, 2012

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 3,342,857

$ 4,614,889

Net realized gain (loss)

1,168,088

4,159,483

Change in net unrealized appreciation (depreciation)

68,246,323

41,786,809

Net increase (decrease) in net assets resulting
from operations

72,757,268

50,561,181

Distributions to shareholders from net investment income

(5,666,240 )

(2,376,699 )

Share transactions
Proceeds from sales of shares

81,692,393

231,778,282

Reinvestment of distributions

5,480,594

2,275,159

Cost of shares redeemed

(101,218,073 )

(112,190,691 )

Net increase (decrease) in net assets resulting from share transactions

(14,045,086 )

121,862,750

Redemption fees

33,175

144,852

Total increase (decrease) in net assets

53,079,117

170,192,084

 

 

 

Net Assets

Beginning of period

481,319,711

311,127,627

End of period (including undistributed net investment income of $1,715,063 and undistributed net investment income of $4,038,446, respectively)

$ 534,398,828

$ 481,319,711

Ot her Information

Shares

Sold

1,935,949

5,831,849

Issued in reinvestment of distributions

138,877

67,074

Redeemed

(2,388,237 )

(2,865,865 )

Net increase (decrease)

(313,411 )

3,033,058

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

Semiannual Report

Financial Highlights

 

Six months ended May 31, 2013

Years ended November 30,

 

(Unaudited)

2012

2011

2010

2009

2008

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 40.41

$ 35.04

$ 33.35

$ 28.54

$ 20.48

$ 35.88

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .28

  .44

  .28

  .22

  .18

  .22

Net realized and unrealized gain (loss)

  5.87

  5.19

  1.63

  4.73

  8.07

  (14.96 )

Total from investment operations

  6.15

  5.63

  1.91

  4.95

  8.25

  (14.74 )

Distributions from net investment income

  (.48)

  (.27)

  (.23)

  (.15)

  (.20)

  (.18)

Distributions from net realized gain

  -

  -

  -

  -

  -

  (.50 )

Total distributions

  (.48 )

  (.27 )

  (.23 )

  (.15 )

  (.20 )

  (.68 )

Redemption fees added to paid in capital D

  - H

  .01

  .01

  .01

  .01

  .02

Net asset value, end of period

$ 46.08

$ 40.41

$ 35.04

$ 33.35

$ 28.54

$ 20.48

Total Return B, C

  15.40%

  16.24%

  5.74%

  17.45%

  40.70%

  (41.83)%

Ratios to Average Net Assets E, G

 

 

 

 

 

Expenses before reductions

  .56% A

  .58%

  .58%

  .58%

  .62%

  .61%

Expenses net of fee waivers, if any

  .35% A

  .35%

  .35%

  .35%

  .35%

  .35%

Expenses net of all reductions

  .35% A

  .35%

  .35%

  .35%

  .35%

  .35%

Net investment income (loss)

  1.32% A

  1.13%

  .80%

  .73%

  .75%

  .72%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 534,399

$ 481,320

$ 311,128

$ 280,150

$ 220,902

$ 118,655

Portfolio turnover rate F

  9% A

  10%

  12%

  8%

  3%

  13%

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 Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

H Amount represents less than $.01 per share.

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

Semiannual Report

Notes to Financial Statements

For the period ended May 31, 2013 (Unaudited)

1. Organization.

Fidelity® Nasdaq Composite Index® Fund (the Fund) is a fund of Fidelity Commonwealth 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.

2. Investments in Fidelity Central Funds.

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

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website 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:

Investment 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 vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by FMR Fair Value Committee (the

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Investment Valuation - continued

Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and 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 market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2.

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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Semiannual Report

3. Significant Accounting Policies - continued

Investment Valuation - continued

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

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 May 31, 2013 is included at the end of the Fund's Schedule of Investments.

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

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and 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. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income and

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

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 contracts, foreign currency transactions, Passive Foreign Investment Companies (PFIC), partnerships, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.

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

Gross unrealized appreciation

$ 207,057,872

Gross unrealized depreciation

(27,908,687 )

Net unrealized appreciation (depreciation) on securities and other investments

$ 179,149,185

 

 

Tax cost

$ 445,762,899

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. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

Fiscal year of expiration

 

2017

$ (170,108)

2018

(2,223,511)

2019

(70,840 )

Total capital loss carryforward

$ (2,464,459 )

Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 90 days may have been subject to a redemption fee equal to .75% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.

New Accounting Pronouncement. The Financial Accounting Standards Board issued in December 2011, Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities , and in January 2013, Accounting Standards Update No. 2013-1 Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities . These updates create 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.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

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 asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

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

Equity Risk

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

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

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

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

Semiannual Report

4. Derivative Instruments - continued

Futures Contracts - continued

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, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Any open futures contracts at period end are presented 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 or index 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 $452,090 and a change in net unrealized appreciation (depreciation) of $359,600 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, aggregated $21,852,495 and $42,560,495, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .24% of the Fund's average net assets.

Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by FMR for providing these services.

Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted a Distribution and Service Plan. The Fund pays Fidelity Distributors Corporation (FDC), an affiliate of FMR, a distribution fee based on .06% of the Fund's average net assets. FDC pays these fees to NASDAQ OMX Group for marketing services provided to the Fund. The Fund does not pay a service fee.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

6. Fees and Other Transactions with Affiliates - continued

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to account size and type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annualized rate of .14% of average net assets.

Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.

Licensing Fees. Under the terms of a license agreement, FMR pays NASDAQ OMX Group an annual licensing fee for the use of the NASDAQ Composite Index. FMR has entered into a sub-license agreement with the Fund whereby the Fund pays FMR the amount of the license fee at the rate of up to .06% of the Fund's average net assets.

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 $644 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, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement

Semiannual Report

8. Security Lending - continued

of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. During the period, there were no securities loaned to FCM.

9. Expense Reductions.

FMR contractually agreed to waive expenses of the Fund to the extent annual operating expenses exceeded .35% of average net assets. This waiver will remain in place through January 31, 2014. Some expenses, for example interest expense, including commitment fees, are excluded from this waiver. During the period this waiver reduced the Fund's expenses by $540,430.

In addition, FMR reimbursed a portion of the Fund's operating expenses during the period in the amount of $599.

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 custody expenses by $26.

10. Other.

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

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

JPMorgan Chase Bank
New York, NY

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST®) GHJ1169339
1-800-544-5555

GHJ1169339
Automated line for quickest service

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com 

EIF-USAN-0713
1.802767.109

Fidelity ® Series

100 Index

Fund

Semiannual Report

May 31, 2013

(Fidelity Cover Art)

Contents

Shareholder Expense Example

(Click Here)

An example of shareholder expenses.

Investment Changes

(Click Here)

A summary of major shifts in the fund's investments over the past six months.

Investments

(Click Here)

A complete list of the fund's investments with their market values.

Financial Statements

(Click Here)

Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights.

Notes

(Click Here)

Notes to the financial statements.

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2013 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

Shareholder Expense Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2012 to May 31, 2013).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, 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 B

Beginning
Account Value
December 1, 2012

Ending
Account Value
May 31, 2013

Expenses Paid
During Period *
December 1, 2012
to May 31, 2013

Actual

.20%

$ 1,000.00

$ 1,147.70

$ 1.07

Hypothetical A

 

$ 1,000.00

$ 1,023.93

$ 1.01

A 5% return per year before expenses

B Annualized expense ratio reflects expenses net of applicable fee waivers.

* Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).

Semiannual Report

Investment Changes (Unaudited)

Top Ten Stocks as of May 31, 2013

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

4.6

6.7

Exxon Mobil Corp.

4.4

5.0

Microsoft Corp.

2.9

2.5

General Electric Co.

2.6

2.7

Chevron Corp.

2.6

2.5

Johnson & Johnson

2.6

2.4

Google, Inc. Class A

2.5

2.3

IBM Corp.

2.4

2.5

Procter & Gamble Co.

2.3

2.4

JPMorgan Chase & Co.

2.3

1.9

 

29.2

Market Sectors as of May 31, 2013

 

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

22.1

23.6

Financials

14.8

12.7

Health Care

12.4

12.0

Consumer Staples

12.2

12.7

Energy

12.0

12.5

Consumer Discretionary

9.8

9.3

Industrials

9.6

9.3

Telecommunication Services

3.6

3.9

Materials

2.0

2.0

Utilities

0.9

1.0

Semiannual Report

Investments May 31, 2013 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 99.4%

Shares

Value

CONSUMER DISCRETIONARY - 9.8%

Automobiles - 0.7%

Ford Motor Co.

998,960

$ 15,663,693

Hotels, Restaurants & Leisure - 1.6%

McDonald's Corp.

255,402

24,664,171

Starbucks Corp.

190,840

12,036,279

 

36,700,450

Internet & Catalog Retail - 1.0%

Amazon.com, Inc. (a)

92,616

24,916,482

Media - 3.7%

Comcast Corp. Class A

672,254

26,990,998

News Corp. Class A

509,310

16,353,944

The Walt Disney Co. (d)

459,828

29,005,950

Time Warner, Inc.

238,082

13,896,846

 

86,247,738

Multiline Retail - 0.5%

Target Corp.

165,751

11,519,695

Specialty Retail - 1.8%

Home Depot, Inc.

380,808

29,954,357

Lowe's Companies, Inc.

282,707

11,904,792

 

41,859,149

Textiles, Apparel & Luxury Goods - 0.5%

NIKE, Inc. Class B

184,785

11,393,843

TOTAL CONSUMER DISCRETIONARY

228,301,050

CONSUMER STAPLES - 12.2%

Beverages - 3.0%

PepsiCo, Inc.

392,932

31,737,118

The Coca-Cola Co.

976,173

39,037,158

 

70,774,276

Food & Staples Retailing - 3.1%

Costco Wholesale Corp.

110,952

12,168,106

CVS Caremark Corp.

313,574

18,055,591

Wal-Mart Stores, Inc.

426,000

31,881,840

Walgreen Co.

219,046

10,461,637

 

72,567,174

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Food Products - 0.8%

H.J. Heinz Co.

81,667

$ 5,909,424

Mondelez International, Inc.

452,913

13,342,817

 

19,252,241

Household Products - 2.9%

Colgate-Palmolive Co.

223,942

12,952,805

Procter & Gamble Co.

695,726

53,403,928

 

66,356,733

Tobacco - 2.4%

Altria Group, Inc.

511,891

18,479,265

Philip Morris International, Inc.

419,676

38,152,745

 

56,632,010

TOTAL CONSUMER STAPLES

285,582,434

ENERGY - 12.0%

Energy Equipment & Services - 2.0%

Baker Hughes, Inc.

112,524

5,117,592

Halliburton Co.

237,324

9,932,009

National Oilwell Varco, Inc.

108,661

7,638,868

Schlumberger Ltd.

338,294

24,705,611

 

47,394,080

Oil, Gas & Consumable Fuels - 10.0%

Anadarko Petroleum Corp.

127,489

11,151,463

Apache Corp.

99,777

8,194,685

Chevron Corp.

494,787

60,735,104

ConocoPhillips

310,975

19,075,207

Devon Energy Corp.

96,166

5,467,037

Exxon Mobil Corp.

1,141,129

103,237,941

Occidental Petroleum Corp.

205,157

18,888,805

The Williams Companies, Inc.

173,580

6,106,544

 

232,856,786

TOTAL ENERGY

280,250,866

FINANCIALS - 14.8%

Capital Markets - 1.5%

Bank of New York Mellon Corp.

296,330

8,907,680

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Capital Markets - continued

Goldman Sachs Group, Inc.

111,446

$ 18,063,168

Morgan Stanley

349,660

9,056,194

 

36,027,042

Commercial Banks - 2.9%

U.S. Bancorp

474,587

16,639,020

Wells Fargo & Co.

1,248,473

50,625,580

 

67,264,600

Consumer Finance - 1.2%

American Express Co.

244,770

18,531,537

Capital One Financial Corp.

148,293

9,035,492

 

27,567,029

Diversified Financial Services - 5.6%

Bank of America Corp.

2,755,823

37,644,542

Citigroup, Inc.

773,943

40,237,297

JPMorgan Chase & Co.

974,820

53,215,424

 

131,097,263

Insurance - 3.0%

Allstate Corp.

121,601

5,866,032

Berkshire Hathaway, Inc. Class B (a)

464,540

52,990,078

MetLife, Inc.

278,527

12,313,679

 

71,169,789

Real Estate Investment Trusts - 0.6%

Simon Property Group, Inc.

79,890

13,296,892

TOTAL FINANCIALS

346,422,615

HEALTH CARE - 12.4%

Biotechnology - 1.7%

Amgen, Inc.

190,618

19,162,828

Gilead Sciences, Inc. (a)(d)

387,739

21,124,021

 

40,286,849

Health Care Equipment & Supplies - 1.6%

Abbott Laboratories

400,037

14,669,357

Baxter International, Inc.

139,043

9,778,894

Medtronic, Inc.

257,583

13,139,309

 

37,587,560

Health Care Providers & Services - 0.7%

UnitedHealth Group, Inc.

261,039

16,348,873

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - 8.4%

AbbVie, Inc.

402,581

$ 17,186,183

Bristol-Myers Squibb Co.

417,019

19,187,044

Eli Lilly & Co.

254,253

13,516,089

Johnson & Johnson

711,942

59,931,278

Merck & Co., Inc.

769,769

35,948,212

Pfizer, Inc.

1,830,987

49,857,776

 

195,626,582

TOTAL HEALTH CARE

289,849,864

INDUSTRIALS - 9.6%

Aerospace & Defense - 3.1%

General Dynamics Corp.

84,618

6,524,048

Honeywell International, Inc.

199,623

15,662,421

Lockheed Martin Corp.

68,192

7,216,759

Raytheon Co.

82,865

5,522,124

The Boeing Co.

173,330

17,163,137

United Technologies Corp.

214,783

20,382,907

 

72,471,396

Air Freight & Logistics - 1.0%

FedEx Corp.

74,484

7,175,789

United Parcel Service, Inc. Class B

182,126

15,644,623

 

22,820,412

Electrical Equipment - 0.4%

Emerson Electric Co.

183,905

10,567,181

Industrial Conglomerates - 3.4%

3M Co.

161,675

17,827,902

General Electric Co.

2,648,342

61,759,335

 

79,587,237

Machinery - 0.6%

Caterpillar, Inc.

166,835

14,314,443

Road & Rail - 1.1%

Norfolk Southern Corp.

80,104

6,135,165

Union Pacific Corp.

119,526

18,481,110

 

24,616,275

TOTAL INDUSTRIALS

224,376,944

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - 22.1%

Communications Equipment - 2.6%

Cisco Systems, Inc.

1,358,004

$ 32,700,736

QUALCOMM, Inc.

437,592

27,778,340

 

60,479,076

Computers & Peripherals - 5.7%

Apple, Inc.

239,169

107,549,516

EMC Corp.

535,979

13,270,840

Hewlett-Packard Co.

497,340

12,145,043

 

132,965,399

Internet Software & Services - 3.2%

eBay, Inc. (a)

297,189

16,077,925

Google, Inc. Class A (a)

68,009

59,195,714

 

75,273,639

IT Services - 4.6%

Accenture PLC Class A

164,106

13,474,744

IBM Corp.

266,824

55,504,728

MasterCard, Inc. Class A

26,891

15,334,593

Visa, Inc. Class A

131,345

23,397,798

 

107,711,863

Semiconductors & Semiconductor Equipment - 1.8%

Intel Corp.

1,259,700

30,585,516

Texas Instruments, Inc.

281,379

10,098,692

 

40,684,208

Software - 4.2%

Microsoft Corp.

1,920,016

66,970,158

Oracle Corp.

940,509

31,751,584

 

98,721,742

TOTAL INFORMATION TECHNOLOGY

515,835,927

MATERIALS - 2.0%

Chemicals - 1.6%

E.I. du Pont de Nemours & Co.

237,954

13,275,454

Monsanto Co.

136,467

13,734,039

The Dow Chemical Co.

306,740

10,570,260

 

37,579,753

Common Stocks - continued

Shares

Value

MATERIALS - continued

Metals & Mining - 0.4%

Freeport-McMoRan Copper & Gold, Inc.

264,368

$ 8,208,626

TOTAL MATERIALS

45,788,379

TELECOMMUNICATION SERVICES - 3.6%

Diversified Telecommunication Services - 3.6%

AT&T, Inc.

1,398,661

48,939,148

Verizon Communications, Inc.

727,976

35,292,276

 

84,231,424

UTILITIES - 0.9%

Electric Utilities - 0.9%

American Electric Power Co., Inc.

123,695

5,667,705

Exelon Corp.

217,765

6,824,755

Southern Co.

221,319

9,715,904

 

22,208,364

TOTAL COMMON STOCKS

(Cost $2,417,361,611)


2,322,847,867

U.S. Treasury Obligations - 0.0%

 

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.1% 6/27/13 (e)
(Cost $999,929)

$ 1,000,000


999,987

Money Market Funds - 1.3%

Shares

 

Fidelity Cash Central Fund, 0.12% (b)

8,114,341

8,114,341

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

22,725,000

22,725,000

TOTAL MONEY MARKET FUNDS

(Cost $30,839,341)


30,839,341

TOTAL INVESTMENT PORTFOLIO - 100.7%

(Cost $2,449,200,881)

2,354,687,195

NET OTHER ASSETS (LIABILITIES) - (0.7)%

(17,008,814 )

NET ASSETS - 100%

$ 2,337,678,381

Futures Contracts

Expiration
Date

Underlying
Face Amount
at Value

Unrealized
Appreciation/
(Depreciation)

Purchased

Equity Index Contracts

94 CME E-mini S&P 500 Index Contracts

June 2013

$ 7,656,300

$ 157,004

19 CME S&P 500 Index Contracts

June 2013

7,737,750

(66,754 )

TOTAL EQUITY INDEX CONTRACTS

$ 15,394,050

$ 90,250

 

The face value of futures purchased as a percentage of net assets is 0.7%

Legend

(a) Non-income producing

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements 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 $679,991.

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

$ 12,179

Fidelity Securities Lending Cash Central Fund

24,123

Total

$ 36,302

Other Information

The following is a summary of the inputs used, as of May 31, 2013, 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 Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 228,301,050

$ 228,301,050

$ -

$ -

Consumer Staples

285,582,434

285,582,434

-

-

Energy

280,250,866

280,250,866

-

-

Financials

346,422,615

346,422,615

-

-

Health Care

289,849,864

289,849,864

-

-

Industrials

224,376,944

224,376,944

-

-

Information Technology

515,835,927

515,835,927

-

-

Materials

45,788,379

45,788,379

-

-

Telecommunication Services

84,231,424

84,231,424

-

-

Utilities

22,208,364

22,208,364

-

-

U.S. Government and Government Agency Obligations

999,987

-

999,987

-

Money Market Funds

30,839,341

30,839,341

-

-

Total Investments in Securities:

$ 2,354,687,195

$ 2,353,687,208

$ 999,987

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 157,004

$ 157,004

$ -

$ -

Liabilities

Futures Contracts

$ (66,754 )

$ (66,754 )

$ -

$ -

Total Derivative Instruments:

$ 90,250

$ 90,250

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of May 31, 2013. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Primary Risk Exposure /
Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 157,004

$ (66,754 )

Total Value of Derivatives

$ 157,004

$ (66,754 )

(a) Reflects cumulative appreciation/depreciation on futures contracts as disclosed in the Schedule of Investments. Only the period end variation margin is separately disclosed in the Statement of Assets and Liabilities and is included in the receivable/payable for daily variation margin on derivative instruments line-items.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

  

May 31, 2013 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $21,719,940) - See accompanying schedule:

Unaffiliated issuers (cost $2,418,361,540)

$ 2,323,847,854

 

Fidelity Central Funds (cost $30,839,341)

30,839,341

 

Total Investments (cost $2,449,200,881)

 

$ 2,354,687,195

Segregated cash with broker for futures contracts

19,600

Receivable for fund shares sold

2,034,893

Dividends receivable

5,818,348

Distributions receivable from Fidelity Central Funds

4,369

Total assets

2,362,564,405

 

 

 

Liabilities

Payable for investments purchased

$ 717,274

Payable for fund shares redeemed

847,619

Accrued management fee

390,651

Payable for daily variation margin on futures contracts

205,480

Collateral on securities loaned, at value

22,725,000

Total liabilities

24,886,024

 

 

 

Net Assets

$ 2,337,678,381

Net Assets consist of:

 

Paid in capital

$ 2,559,118,889

Undistributed net investment income

20,277,805

Accumulated undistributed net realized gain (loss) on investments

(147,294,877)

Net unrealized appreciation (depreciation) on investments

(94,423,436 )

Net Assets , for 216,673,597 shares outstanding

$ 2,337,678,381

Net Asset Value , offering price and redemption price per share ($2,337,678,381 ÷ 216,673,597 shares)

$ 10.79

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

Semiannual Report

Statement of Operations

Six months ended May 31, 2013 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 32,513,604

Interest

 

878

Income from Fidelity Central Funds

 

36,302

Total income

 

32,550,784

 

 

 

Expenses

Management fee

$ 2,429,016

Independent trustees' compensation

10,594

Miscellaneous

5,743

Total expenses before reductions

2,445,353

Expense reductions

(64 )

2,445,289

Net investment income (loss)

30,105,495

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

4,931,248

Redemption in-kind with affiliated entities

572,292,493

 

Futures contracts

2,394,375

Total net realized gain (loss)

 

579,618,116

Change in net unrealized appreciation (depreciation) on:

Investment securities

(310,740,467)

Futures contracts

389,900

Total change in net unrealized appreciation (depreciation)

 

(310,350,567 )

Net gain (loss)

269,267,549

Net increase (decrease) in net assets resulting from operations

$ 299,373,044

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

  

Six months ended
May 31, 2013
(Unaudited)

Year ended
November 30,
2012

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 30,105,495

$ 159,288,044

Net realized gain (loss)

579,618,116

71,075,255

Change in net unrealized appreciation (depreciation)

(310,350,567 )

929,655,891

Net increase (decrease) in net assets resulting
from operations

299,373,044

1,160,019,190

Distributions to shareholders from net investment income

(159,727,139 )

(129,639,109 )

Share transactions
Proceeds from sales of shares

183,459,655

2,133,947,895

Reinvestment of distributions

159,727,139

129,639,109

Cost of shares redeemed

(6,164,683,440 )

(1,687,805,507 )

Net increase (decrease) in net assets resulting from share transactions

(5,821,496,646 )

575,781,497

Total increase (decrease) in net assets

(5,681,850,741)

1,606,161,578

 

 

 

Net Assets

Beginning of period

8,019,529,122

6,413,367,544

End of period (including undistributed net investment income of $20,277,805 and undistributed net investment income of $149,899,449, respectively)

$ 2,337,678,381

$ 8,019,529,122

Ot her Information

Shares

Sold

18,157,696

222,489,890

Issued in reinvestment of distributions

16,902,343

14,782,110

Redeemed

(605,434,292 )

(175,218,824 )

Net increase (decrease)

(570,374,253 )

62,053,176

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

Semiannual Report

Financial Highlights

 

Six months ended
May 31, 2013

Years ended November 30,

 

(Unaudited)

2012

2011

2010

2009

2008

Selected Per-Share Data

 

 

 

 

 

 

Net asset value, beginning of period

$ 10.19

$ 8.85

$ 8.33

$ 8.05

$ 6.84

$ 10.79

Income from Investment Operations

 

 

 

 

 

 

Net investment income (loss) D

  .13

  .21

  .18

  .17

  .18

  .22

Net realized and unrealized gain (loss)

  1.26

  1.31

  .51

  .29

  1.23

  (4.06 )

Total from investment operations

  1.39

  1.52

  .69

  .46

  1.41

  (3.84 )

Distributions from net investment income

  (.79 )

  (.18 )

  (.17 )

  (.18 )

  (.20 )

  (.11 )

Net asset value, end of period

$ 10.79

$ 10.19

$ 8.85

$ 8.33

$ 8.05

$ 6.84

Total Return B, C

  14.77%

  17.49%

  8.34%

  5.83%

  21.29%

  (35.95)%

Ratios to Average Net Assets E, G

 

 

 

 

 

 

Expenses before reductions

  .20% A

  .20%

  .20%

  .20%

  .20%

  .20%

Expenses net of fee waivers, if any

  .20% A

  .20%

  .20%

  .20%

  .20%

  .20%

Expenses net of all reductions

  .20% A

  .20%

  .20%

  .20%

  .20%

  .19%

Net investment income (loss)

  2.47% A

  2.17%

  2.05%

  2.06%

  2.64%

  2.38%

Supplemental Data

 

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 2,337,678

$ 8,019,529

$ 6,413,368

$ 5,796,424

$ 5,838,679

$ 5,217,501

Portfolio turnover rate F

  8% A

  10%

  6%

  6%

  18%

  6%

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 Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.

Semiannual Report

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

Notes to Financial Statements

For the period ended May 31, 2013 (Unaudited)

1. Organization.

Fidelity® Series 100 Index Fund (the Fund) is a fund of Fidelity Commonwealth Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares of the Fund are only available for purchase by mutual funds for which Fidelity Management & Research Company (FMR) or an affiliate serves as an investment manager. 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.

2. Investments in Fidelity Central Funds.

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

The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC website 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:

Investment 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 vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or

Semiannual Report

3. Significant Accounting Policies - continued

Investment Valuation - continued

reliable, investments will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and 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 market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2.

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. 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.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Investment Valuation - continued

Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

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 May 31, 2013, 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. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

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.

Semiannual Report

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

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 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, contributions in-kind, market discount, capital loss carryforwards, and losses deferred due to wash sales.

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

Gross unrealized appreciation

$ 311,418,943

Gross unrealized depreciation

(420,651,178 )

Net unrealized appreciation (depreciation) on securities and other investments

$ (109,232,235 )

 

 

Tax cost

$ 2,463,919,430

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.

Fiscal year of expiration

 

2017

$ (393,833,481)

2018

(297,318,580 )

Total capital loss carryforward

$ (691,152,061 )

New Accounting Pronouncement. The Financial Accounting Standards Board issued in December 2011, Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities , and in January 2013, Accounting Standards Update No. 2013-1

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

New Accounting Pronouncement - continued

Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities . These updates create 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 asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

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

Equity Risk

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

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

Semiannual Report

4. Derivative Instruments - continued

Risk Exposures and the Use of Derivative Instruments - continued

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, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

Any open futures contracts at period end are presented 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 or index 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. Cash deposited to meet initial margin requirements is presented as segregated cash in the Statement of Assets and Liabilities.

During the period the Fund recognized net realized gain (loss) of $2,394,375 and a change in net unrealized appreciation (depreciation) of $389,900 related to its investment in futures contracts. These amounts are included in the Statement of Operations.

5. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, aggregated $113,814,685 and $5,997,074,108, respectively.

6. Fees and Other Transactions with Affiliates.

Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of .20% of the Fund's average net assets. Under the management

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

6. Fees and Other Transactions with Affiliates - continued

Management Fee - continued

contract, FMR pays all other expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees. The management fee paid to FMR by the Fund is reduced by an amount equal to the fees and expenses paid by the Fund to the independent Trustees.

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.

Redemptions In-Kind. During the period, 587,282,406 shares of the Fund held by affiliated entities were redeemed for cash and securities with a value of $5,982,058,589. The net realized gain of $572,292,493 on securities delivered through in-kind redemptions is included in the accompanying Statement of Operations. The amount of in-kind redemptions is included in share transactions in the accompanying Statement of Changes in Net Assets. The Fund recognized no gain or loss for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR or an affiliate in a $4.25 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 $5,743 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, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement

Semiannual Report

8. Security Lending - continued

of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period amounted to $24,123.

9. Expense Reductions.

Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's management fee. During the period, these credits reduced the Fund's management fee by $64.

10. Other.

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

At the end of the period, mutual funds managed by FMR or an FMR affiliate were the owners of record of all of the outstanding shares of the Fund.

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Geode Capital Management, LLC

General Distributor

Fidelity Distributors Corporation

Smithfield, RI

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JPMorgan Chase Bank

New York, NY

(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com 

HUN-SANN-0713
1.842446.106

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Investments

(a) Not applicable.

(b) Not applicable

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Commonwealth Trust's Board of Trustees.

Item 11. Controls and Procedures

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Commonwealth Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 12. Exhibits

(a)

(1)

Not applicable.

(a)

(2)

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.

(a)

(3)

Not applicable.

(b)

 

Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Fidelity Commonwealth Trust

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

July 24, 2013

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

July 24, 2013

By:

/s/Christine Reynolds

 

Christine Reynolds

 

Chief Financial Officer

 

 

Date:

July 24, 2013

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