Quarterly Holdings Report
for
Fidelity® Series Large Cap Stock Fund
September 30, 2024
MHT-NPRT1-1124
1.951037.111
Common Stocks - 97.3%
 
  
Shares
Value ($)
 
BELGIUM - 0.8%
 
  
  
Health Care - 0.8%
  
  
  
Pharmaceuticals - 0.8%
  
  
  
UCB SA
 
879,200
158,546,401
BRAZIL - 0.1%
 
  
  
Industrials - 0.1%
  
  
  
Aerospace & Defense - 0.1%
  
  
  
Embraer SA ADR (a)(g)
  
584,400
20,670,228
CANADA - 1.9%
 
  
  
Energy - 1.4%
  
  
  
Oil, Gas & Consumable Fuels - 1.4%
  
  
  
Imperial Oil Ltd
 
3,121,200
219,588,288
MEG Energy Corp
 
2,649,850
49,785,714
 
  
  
269,374,002
Industrials - 0.2%
  
  
  
Aerospace & Defense - 0.2%
  
  
  
Bombardier Inc Class B (a)
  
526,900
40,092,631
Materials - 0.3%
  
  
  
Metals & Mining - 0.3%
  
  
  
Ivanhoe Mine Ltd Class A (a)
  
4,074,100
60,609,185
TOTAL CANADA
  
  
370,075,818
FRANCE - 0.5%
 
  
  
Consumer Staples - 0.1%
  
  
  
Beverages - 0.1%
  
  
  
Pernod Ricard SA
 
143,600
21,675,435
Industrials - 0.4%
  
  
  
Aerospace & Defense - 0.4%
  
  
  
Airbus SE
 
474,200
69,402,174
Information Technology - 0.0%
  
  
  
Software - 0.0%
  
  
  
Dassault Systemes SE
 
221,700
8,806,099
TOTAL FRANCE
  
  
99,883,708
GERMANY - 1.0%
 
  
  
Information Technology - 1.0%
  
  
  
Software - 1.0%
  
  
  
SAP SE ADR
 
895,746
205,215,409
GHANA - 0.1%
 
  
  
Energy - 0.1%
  
  
  
Oil, Gas & Consumable Fuels - 0.1%
  
  
  
Kosmos Energy Ltd (a)
  
4,100,355
16,524,431
INDIA - 0.0%
 
  
  
Financials - 0.0%
  
  
  
Banks - 0.0%
  
  
  
HDFC Bank Ltd ADR
 
62,300
3,897,487
ITALY - 0.1%
 
  
  
Consumer Staples - 0.0%
  
  
  
Beverages - 0.0%
  
  
  
Davide Campari-Milano NV
 
473,600
4,006,628
Industrials - 0.1%
  
  
  
Passenger Airlines - 0.1%
  
  
  
Ryanair Holdings PLC ADR
 
283,500
12,808,530
TOTAL ITALY
  
  
16,815,158
KOREA (SOUTH) - 0.1%
 
  
  
Information Technology - 0.1%
  
  
  
Technology Hardware, Storage & Peripherals - 0.1%
  
  
  
Samsung Electronics Co Ltd
 
553,130
25,790,759
NETHERLANDS - 0.8%
 
  
  
Communication Services - 0.4%
  
  
  
Entertainment - 0.4%
  
  
  
Universal Music Group NV
 
2,806,081
73,410,509
Health Care - 0.3%
  
  
  
Biotechnology - 0.1%
  
  
  
Argenx SE ADR (a)
  
24,200
13,118,336
Merus NV (a)
  
203,100
10,146,876
 
  
  
23,265,212
Health Care Equipment & Supplies - 0.2%
  
  
  
Koninklijke Philips NV depository receipt
 
798,894
26,139,812
TOTAL HEALTH CARE
  
  
49,405,024
 
  
  
  
Information Technology - 0.1%
  
  
  
Semiconductors & Semiconductor Equipment - 0.1%
  
  
  
ASML Holding NV depository receipt
 
17,900
14,915,175
BE Semiconductor Industries NV
 
140,462
17,754,142
 
  
  
32,669,317
TOTAL NETHERLANDS
  
  
155,484,850
PORTUGAL - 0.2%
 
  
  
Energy - 0.2%
  
  
  
Oil, Gas & Consumable Fuels - 0.2%
  
  
  
Galp Energia SGPS SA
 
1,904,500
35,615,902
SPAIN - 0.2%
 
  
  
Communication Services - 0.2%
  
  
  
Diversified Telecommunication Services - 0.2%
  
  
  
Cellnex Telecom SA (b)(c)
  
856,200
34,712,749
SWITZERLAND - 0.1%
 
  
  
Health Care - 0.1%
  
  
  
Pharmaceuticals - 0.1%
  
  
  
Galderma Group AG (a)
  
253,510
23,543,317
TAIWAN - 0.4%
 
  
  
Information Technology - 0.4%
  
  
  
Semiconductors & Semiconductor Equipment - 0.4%
  
  
  
Taiwan Semiconductor Manufacturing Co Ltd ADR
 
469,700
81,572,799
UNITED KINGDOM - 0.7%
 
  
  
Consumer Discretionary - 0.1%
  
  
  
Specialty Retail - 0.1%
  
  
  
JD Sports Fashion PLC
 
11,479,720
23,643,304
Consumer Staples - 0.3%
  
  
  
Beverages - 0.3%
  
  
  
Diageo PLC ADR
 
394,900
55,420,266
Tobacco - 0.0%
  
  
  
British American Tobacco PLC ADR
 
261,700
9,572,986
TOTAL CONSUMER STAPLES
  
  
64,993,252
 
  
  
  
Financials - 0.0%
  
  
  
Capital Markets - 0.0%
  
  
  
3i Group PLC
 
219,700
9,732,380
Industrials - 0.2%
  
  
  
Aerospace & Defense - 0.2%
  
  
  
Rolls-Royce Holdings PLC (a)
  
4,357,000
30,836,636
Information Technology - 0.1%
  
  
  
Software - 0.1%
  
  
  
Sage Group PLC/The
 
1,188,000
16,272,099
TOTAL UNITED KINGDOM
  
  
145,477,671
UNITED STATES - 89.3%
 
  
  
Communication Services - 9.4%
  
  
  
Entertainment - 0.5%
  
  
  
Walt Disney Co/The
 
934,993
89,936,977
Interactive Media & Services - 7.1%
  
  
  
Alphabet Inc Class A
 
2,192,725
363,663,442
Alphabet Inc Class C
 
1,918,260
320,713,889
Match Group Inc (a)(g)
  
1,229,300
46,516,711
Meta Platforms Inc Class A (g)
  
1,097,800
628,424,632
Snap Inc Class A (a)
  
4,531,898
48,491,309
 
  
  
1,407,809,983
Media - 1.8%
  
  
  
Charter Communications Inc Class A (a)
  
29,300
9,495,544
Comcast Corp Class A
 
7,055,642
294,714,166
Interpublic Group of Cos Inc/The (g)
  
1,421,470
44,961,096
 
  
  
349,170,806
TOTAL COMMUNICATION SERVICES
  
  
1,846,917,766
 
  
  
  
Consumer Discretionary - 3.1%
  
  
  
Automobiles - 0.0%
  
  
  
Rivian Automotive Inc Class A (a)
  
924,800
10,376,256
Broadline Retail - 0.0%
  
  
  
Amazon.com Inc (a)
  
85,900
16,005,747
Hotels, Restaurants & Leisure - 1.7%
  
  
  
Booking Holdings Inc
 
48,637
204,864,880
Expedia Group Inc Class A (a)
  
181,500
26,865,630
Marriott International Inc/MD Class A1
 
234,900
58,396,140
Starbucks Corp
 
364,400
35,525,356
 
  
  
325,652,006
Household Durables - 0.3%
  
  
  
Mohawk Industries Inc (a)(g)
  
284,389
45,695,625
Whirlpool Corp
 
114,363
12,236,841
 
  
  
57,932,466
Specialty Retail - 1.0%
  
  
  
Lowe's Cos Inc
 
616,107
166,872,581
RH (a)
  
60,900
20,366,787
 
  
  
187,239,368
Textiles, Apparel & Luxury Goods - 0.1%
  
  
  
NIKE Inc Class B
 
201,800
17,839,120
TOTAL CONSUMER DISCRETIONARY
  
  
615,044,963
 
  
  
  
Consumer Staples - 4.8%
  
  
  
Beverages - 1.6%
  
  
  
Coca-Cola Co/The
 
2,204,695
158,429,383
Keurig Dr Pepper Inc
 
3,873,700
145,186,276
Monster Beverage Corp (a)
  
198,400
10,350,528
 
  
  
313,966,187
Consumer Staples Distribution & Retail - 1.4%
  
  
  
Performance Food Group Co (a)
  
399,700
31,324,489
Sysco Corp
 
1,048,800
81,869,328
Target Corp
 
312,300
48,675,078
US Foods Holding Corp (a)
  
475,600
29,249,400
Walmart Inc (g)
  
1,096,100
88,510,075
 
  
  
279,628,370
Food Products - 0.1%
  
  
  
Lamb Weston Holdings Inc
 
184,900
11,970,426
Personal Care Products - 1.6%
  
  
  
Estee Lauder Cos Inc/The Class A
 
405,200
40,394,388
Haleon PLC ADR (d)
  
13,760,236
145,583,297
Kenvue Inc
 
5,854,311
135,410,213
 
  
  
321,387,898
Tobacco - 0.1%
  
  
  
Philip Morris International Inc
 
146,900
17,833,660
TOTAL CONSUMER STAPLES
  
  
944,786,541
 
  
  
  
Energy - 7.2%
  
  
  
Energy Equipment & Services - 0.1%
  
  
  
Tidewater Inc (a)
  
235,400
16,899,366
Oil, Gas & Consumable Fuels - 7.1%
  
  
  
Exxon Mobil Corp
 
9,991,218
1,171,170,574
Hess Corp
 
12,800
1,738,240
Shell PLC ADR
 
3,319,800
218,940,810
 
  
  
1,391,849,624
TOTAL ENERGY
  
  
1,408,748,990
 
  
  
  
Financials - 15.6%
  
  
  
Banks - 10.7%
  
  
  
Bank of America Corp (g)
  
12,034,294
477,520,786
JPMorgan Chase & Co
 
924,771
194,997,213
M&T Bank Corp
 
456,820
81,368,778
PNC Financial Services Group Inc/The
 
1,084,121
200,399,767
US Bancorp
 
3,030,919
138,603,926
Wells Fargo & Co
 
18,087,789
1,021,779,201
 
  
  
2,114,669,671
Capital Markets - 2.1%
  
  
  
Charles Schwab Corp/The
 
158,800
10,291,828
CME Group Inc Class A
 
19,900
4,390,935
KKR & Co Inc Class A
 
1,445,551
188,760,050
Moody's Corp
 
31,500
14,949,585
Morgan Stanley
 
254,924
26,573,278
MSCI Inc
 
11,300
6,587,109
Northern Trust Corp
 
1,614,946
145,393,588
Raymond James Financial Inc
 
106,903
13,091,341
 
  
  
410,037,714
Financial Services - 2.4%
  
  
  
Corpay Inc (a)
  
69,600
21,768,096
Fidelity National Information Services Inc
 
129,900
10,879,125
Global Payments Inc
 
156,300
16,008,246
Mastercard Inc Class A
 
152,889
75,496,588
PayPal Holdings Inc (a)
  
373,900
29,175,417
Visa Inc Class A
 
1,178,493
324,026,651
 
  
  
477,354,123
Insurance - 0.4%
  
  
  
Arthur J Gallagher & Co
 
127,500
35,874,674
Chubb Ltd
 
140,597
40,546,769
 
  
  
76,421,443
TOTAL FINANCIALS
  
  
3,078,482,951
 
  
  
  
Health Care - 10.6%
  
  
  
Biotechnology - 0.5%
  
  
  
Alnylam Pharmaceuticals Inc (a)
  
165,850
45,613,726
Gilead Sciences Inc
 
140,800
11,804,672
Vaxcyte Inc (a)
  
432,100
49,376,067
 
  
  
106,794,465
Health Care Equipment & Supplies - 2.0%
  
  
  
Abbott Laboratories
 
157,200
17,922,372
Becton Dickinson & Co
 
144,706
34,888,617
Boston Scientific Corp (a)
  
3,748,219
314,100,752
Masimo Corp (a)
  
95,300
12,706,349
Solventum Corp
 
223,718
15,597,619
 
  
  
395,215,709
Health Care Providers & Services - 4.8%
  
  
  
Cardinal Health Inc
 
824,258
91,096,994
Cigna Group/The
 
659,711
228,550,279
CVS Health Corp
 
646,752
40,667,766
Guardant Health Inc (a)
  
390,000
8,946,600
Humana Inc
 
232,900
73,768,746
McKesson Corp
 
280,921
138,892,961
UnitedHealth Group Inc
 
604,181
353,252,547
 
  
  
935,175,893
Life Sciences Tools & Services - 0.5%
  
  
  
Danaher Corp
 
293,900
81,710,078
Thermo Fisher Scientific Inc
 
13,200
8,165,123
 
  
  
89,875,201
Pharmaceuticals - 2.8%
  
  
  
Bristol-Myers Squibb Co
 
2,923,060
151,239,124
Eli Lilly & Co
 
183,600
162,658,584
GSK PLC ADR
 
3,149,428
128,748,617
Johnson & Johnson
 
709,777
115,026,461
 
  
  
557,672,786
TOTAL HEALTH CARE
  
  
2,084,734,054
 
  
  
  
Industrials - 15.3%
  
  
  
Aerospace & Defense - 8.5%
  
  
  
Boeing Co (a)
  
2,672,546
406,333,894
GE Aerospace (g)
  
5,812,506
1,096,122,382
General Dynamics Corp
 
203,360
61,455,392
Huntington Ingalls Industries Inc
 
147,250
38,929,955
Spirit AeroSystems Holdings Inc Class A (a)
  
1,955,082
63,559,716
Textron Inc
 
123,000
10,895,340
 
  
  
1,677,296,679
Air Freight & Logistics - 1.3%
  
  
  
FedEx Corp
 
146,447
40,079,615
United Parcel Service Inc Class B
 
1,548,856
211,171,027
 
  
  
251,250,642
Commercial Services & Supplies - 0.2%
  
  
  
ACV Auctions Inc Class A (a)
  
682,400
13,873,192
GFL Environmental Inc Subordinate Voting Shares
 
501,800
20,017,088
Veralto Corp
 
101,866
11,394,730
 
  
  
45,285,010
Construction & Engineering - 0.0%
  
  
  
Centuri Holdings Inc
 
71,000
1,146,650
Electrical Equipment - 3.8%
  
  
  
Acuity Brands Inc
 
30,069
8,280,702
GE Vernova Inc (g)
  
1,837,326
468,481,383
Hubbell Inc
 
136,414
58,432,937
Regal Rexnord Corp
 
308,400
51,157,392
Vertiv Holdings Co Class A
 
1,622,100
161,382,729
 
  
  
747,735,143
Ground Transportation - 0.3%
  
  
  
Knight-Swift Transportation Holdings Inc
 
1,077,015
58,104,959
Machinery - 1.0%
  
  
  
Allison Transmission Holdings Inc
 
258,300
24,814,881
Chart Industries Inc (a)(d)
  
163,000
20,234,820
Cummins Inc
 
91,900
29,756,301
Deere & Co
 
90,500
37,768,365
Fortive Corp
 
367,500
29,006,775
Nordson Corp
 
20,300
5,331,389
Otis Worldwide Corp
 
238,884
24,829,603
Stanley Black & Decker Inc
 
145,300
16,001,889
Westinghouse Air Brake Technologies Corp
 
103,585
18,828,645
 
  
  
206,572,668
Professional Services - 0.1%
  
  
  
Equifax Inc
 
52,400
15,398,264
Trading Companies & Distributors - 0.1%
  
  
  
Watsco Inc
 
24,100
11,854,308
TOTAL INDUSTRIALS
  
  
3,014,644,323
 
  
  
  
Information Technology - 20.6%
  
  
  
IT Services - 0.3%
  
  
  
EPAM Systems Inc (a)
  
37,000
7,364,110
International Business Machines Corp
 
140,100
30,973,308
Twilio Inc Class A (a)
  
316,700
20,655,174
 
  
  
58,992,592
Semiconductors & Semiconductor Equipment - 7.8%
  
  
  
Analog Devices Inc
 
162,738
37,457,405
Applied Materials Inc
 
323,102
65,282,759
Broadcom Inc
 
892,200
153,904,500
Lam Research Corp
 
66,400
54,187,712
Marvell Technology Inc
 
2,113,385
152,417,326
Micron Technology Inc
 
61,300
6,357,423
NVIDIA Corp (g)
  
7,593,700
922,178,928
QUALCOMM Inc
 
658,731
112,017,207
Teradyne Inc
 
217,000
29,062,810
 
  
  
1,532,866,070
Software - 9.5%
  
  
  
Adobe Inc (a)
  
295,700
153,107,546
Autodesk Inc (a)
  
221,828
61,109,177
DoubleVerify Holdings Inc (a)
  
224,600
3,782,264
Elastic NV (a)
  
224,800
17,255,648
Intuit Inc (g)
  
81,100
50,363,100
Microsoft Corp
 
3,221,105
1,386,041,482
Oracle Corp
 
1,000,600
170,502,240
Salesforce Inc
 
91,500
25,044,465
Workday Inc Class A (a)
  
35,600
8,700,996
 
  
  
1,875,906,918
Technology Hardware, Storage & Peripherals - 3.0%
  
  
  
Apple Inc
 
2,375,014
553,378,262
Dell Technologies Inc Class C
 
351,400
41,654,956
 
  
  
595,033,218
TOTAL INFORMATION TECHNOLOGY
  
  
4,062,798,798
 
  
  
  
Materials - 0.6%
  
  
  
Chemicals - 0.2%
  
  
  
Air Products and Chemicals Inc
 
127,500
37,961,850
Sherwin-Williams Co/The
 
29,100
11,106,597
 
  
  
49,068,447
Metals & Mining - 0.4%
  
  
  
Freeport-McMoRan Inc
 
1,313,642
65,577,009
TOTAL MATERIALS
  
  
114,645,456
 
  
  
  
Real Estate - 0.9%
  
  
  
Industrial REITs - 0.1%
  
  
  
Terreno Realty Corp
 
254,600
17,014,918
Residential REITs - 0.0%
  
  
  
Sun Communities Inc
 
50,300
6,798,045
Specialized REITs - 0.8%
  
  
  
American Tower Corp
 
265,981
61,856,541
Crown Castle Inc
 
671,500
79,660,045
Equinix Inc
 
4,422
3,925,100
 
  
  
145,441,686
TOTAL REAL ESTATE
  
  
169,254,649
 
  
  
  
Utilities - 1.2%
  
  
  
Electric Utilities - 1.1%
  
  
  
Duke Energy Corp
 
71,400
8,232,420
Edison International
 
154,200
13,429,278
Entergy Corp
 
110,700
14,569,227
Southern Co/The (g)
  
1,969,600
177,618,528
 
  
  
213,849,453
Independent Power and Renewable Electricity Producers - 0.1%
  
  
  
Vistra Corp
 
122,200
14,485,588
TOTAL UTILITIES
  
  
228,335,041
 
  
  
  
TOTAL UNITED STATES
  
  
17,568,393,532
ZAMBIA - 1.0%
 
  
  
Materials - 1.0%
  
  
  
Metals & Mining - 1.0%
  
  
  
First Quantum Minerals Ltd
 
14,704,000
200,481,911
 
TOTAL COMMON STOCKS
 (Cost $10,104,007,789)
  
  
  
19,162,702,130
 
  
  
  
Money Market Funds - 2.0%
 
  
Yield (%)
Shares
Value ($)
 
Fidelity Cash Central Fund (e)
  
4.89
390,720,298
390,798,442
Fidelity Securities Lending Cash Central Fund (e)(f)
  
4.89
7,699,641
7,700,410
 
TOTAL MONEY MARKET FUNDS
 (Cost $398,498,852)
  
  
  
398,498,852
 
  
  
  
  
 
TOTAL INVESTMENT IN SECURITIES - 99.3%
 (Cost $10,502,506,641)
 
  
 
19,561,200,982
NET OTHER ASSETS (LIABILITIES) - 0.7%  
132,780,698
NET ASSETS - 100.0%
19,693,981,680
 
  
 Written Options
 
Counterparty
Number
of Contracts
Notional
Amount ($)
Exercise
Price ($)
Expiration
Date
Value ($)
Call Options
  
  
  
  
  
  
Bank of America Corp
Chicago Board Options Exchange
6,007
23,835,776
43.00
10/18/24
(75,088)
Embraer SA ADR
Chicago Board Options Exchange
5,534
19,573,758
35.00
10/18/24
(788,595)
GE Aerospace
Chicago Board Options Exchange
2,092
39,450,936
210.00
11/15/24
(411,078)
GE Vernova Inc
Chicago Board Options Exchange
899
22,922,702
280.00
11/15/24
(858,545)
GE Vernova Inc
Chicago Board Options Exchange
899
22,922,702
220.00
10/18/24
(3,240,895)
GE Aerospace
Chicago Board Options Exchange
2,926
55,178,508
190.00
10/25/24
(1,799,490)
General Electric Co
Chicago Board Options Exchange
2,933
55,310,514
195.00
11/15/24
(1,803,795)
Interpublic Group of Companies Inc
Chicago Board Options Exchange
514
1,625,782
33.00
10/18/24
(11,565)
Intuit Inc
Chicago Board Options Exchange
44
2,732,400
690.00
10/18/24
(2,970)
Match Group Inc
Chicago Board Options Exchange
11,038
41,767,792
40.00
10/18/24
(342,178)
Meta Platforms Inc Class A
Chicago Board Options Exchange
1,058
60,564,152
575.00
10/18/24
(1,430,945)
Mohawk Industries Inc
Chicago Board Options Exchange
690
11,086,920
160.00
10/18/24
(369,150)
NVIDIA Corp
Chicago Board Options Exchange
3,785
45,965,040
145.00
10/25/24
(160,863)
Southern Co/The
Chicago Board Options Exchange
4,038
36,414,684
95.00
11/15/24
(272,565)
Walmart Inc
Chicago Board Options Exchange
1,105
8,922,875
72.00
10/18/24
(900,575)
 
  
  
  
  
  
  
 
  
  
  
  
  
(12,468,297)
TOTAL WRITTEN OPTIONS
  
  
  
  
  
(12,468,297)
 
 
Legend
 
(a)
Non-income producing
 
(b)
Security is exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $34,712,749 or 0.2% of net assets.
 
(c)
Security exempt from registration under Rule 144A of the Securities Act of 1933.  These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $34,712,749 or 0.2% of net assets.
 
(d)
Security or a portion of the security is on loan at period end.
 
(e)
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.
 
(f)
Investment made with cash collateral received from securities on loan.
 
(g)
Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $448,274,541.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund
285,088,259
493,361,379
387,651,196
4,383,751
-
-
390,798,442
0.8%
Fidelity Securities Lending Cash Central Fund
33,071,211
55,506,702
80,877,502
19,947
-
-
7,700,411
0.0%
Total
318,159,470
548,868,081
468,528,698
4,403,698
-
-
398,498,853
  
 
  
  
  
  
  
  
  
  
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.
 
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund 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.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.   
 
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - Unadjusted 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 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 service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For any foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
 
Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy.
 
Investments in any open-end mutual 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.
 
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative 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 gain exposure to certain types of assets and/or 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(s):
 
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.
 
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. 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.  
 
Options: Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
 
The Fund used exchange-traded options to manage its exposure to the stock market.
 
Open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions." Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
 
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.
 
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.
 
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