N-CSRS 1 main.htm

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 811-21990

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

82 Devonshire St., Boston, Massachusetts 02109
 (Address of principal executive offices)       (Zip code)

Marc Bryant, Secretary

82 Devonshire St.

Boston, Massachusetts 02109
(Name and address of agent for service)

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

Date of fiscal year end:

February 29

 

 

Date of reporting period:

August 31, 2011

Item 1. Reports to Stockholders

Fidelity® Large Cap Growth Enhanced Index Fund
Fidelity Large Cap Value Enhanced Index Fund
Fidelity Large Cap Core Enhanced Index Fund
Fidelity Mid Cap Enhanced Index Fund
Fidelity Small Cap Enhanced Index Fund
Fidelity International Enhanced Index Fund

Semiannual Report

(2_fidelity_logos) (Registered_Trademark)

August 31, 2011

Contents

Shareholder Expense Example

<Click Here>

An example of shareholder expenses

 

Fidelity® Large Cap Growth Enhanced Index Fund

<Click Here>

Investment Changes

 

<Click Here>

Investments

 

<Click Here>

Financial Statements

 

Fidelity Large Cap Value Enhanced Index Fund

<Click Here>

Investment Changes

 

<Click Here>

Investments

 

<Click Here>

Financial Statements

 

Fidelity Large Cap Core Enhanced Index Fund

<Click Here>

Investment Changes

 

<Click Here>

Investments

 

<Click Here>

Financial Statements

 

 

 

Fidelity Mid Cap Enhanced Index Fund

<Click Here>

Investment Changes

 

<Click Here>

Investments

 

<Click Here>

Financial Statements

 

Fidelity Small Cap Enhanced Index Fund

<Click Here>

Investment Changes

 

<Click Here>

Investments

 

<Click Here>

Financial Statements

 

Fidelity International Enhanced Index Fund

<Click Here>

Investment Changes

 

<Click Here>

Investments

 

<Click Here>

Financial Statements

 

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.

This report and the financial statements contained herein are submitted for the general information of the shareholders of the funds. This report is not authorized for distribution to prospective investors in the funds 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 funds nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Shareholder Expense Example

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including redemption fees, 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 Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2011 to August 31, 2011).

Actual Expenses

The first line of the accompanying table for each fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table for each fund provides information about hypothetical account values and hypothetical expenses based on a fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, 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. An annual index fund fee of $10 that is charged once a year may apply for certain accounts with a value of less than $10,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, each Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.

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

 

Annualized
Expense Ratio

Beginning
Account Value
March 1, 2011

Ending
Account Value
August 31, 2011

Expenses Paid
During Period*
March 1, 2011 to August 31, 2011

Fidelity Large Cap Growth Enhanced Index Fund

.45%

 

 

 

Actual

 

$ 1,000.00

$ 950.60

$ 2.21

HypotheticalA

 

$ 1,000.00

$ 1,022.87

$ 2.29

Fidelity Large Cap Value Enhanced Index Fund

.45%

 

 

 

Actual

 

$ 1,000.00

$ 917.40

$ 2.17

HypotheticalA

 

$ 1,000.00

$ 1,022.87

$ 2.29

Fidelity Large Cap Core Enhanced Index Fund

.45%

 

 

 

Actual

 

$ 1,000.00

$ 941.00

$ 2.20

HypotheticalA

 

$ 1,000.00

$ 1,022.87

$ 2.29

Fidelity Mid Cap Enhanced Index Fund

.60%

 

 

 

Actual

 

$ 1,000.00

$ 916.60

$ 2.89

HypotheticalA

 

$ 1,000.00

$ 1,022.12

$ 3.05

Fidelity Small Cap Enhanced Index Fund

.67%

 

 

 

Actual

 

$ 1,000.00

$ 911.10

$ 3.22

HypotheticalA

 

$ 1,000.00

$ 1,021.77

$ 3.40

Fidelity International Enhanced Index Fund

.62%

 

 

 

Actual

 

$ 1,000.00

$ 892.90

$ 2.95

HypotheticalA

 

$ 1,000.00

$ 1,022.02

$ 3.15

A 5% return per year before expenses

* Expenses are equal to each Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).

Semiannual Report

Fidelity Large Cap Growth Enhanced Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Apple, Inc.

5.2

4.5

Exxon Mobil Corp.

3.9

5.8

Microsoft Corp.

3.4

2.1

International Business Machines Corp.

3.1

3.1

Google, Inc. Class A

2.4

2.0

Philip Morris International, Inc.

2.0

1.6

The Coca-Cola Co.

1.8

1.4

Oracle Corp.

1.8

1.8

Abbott Laboratories

1.3

0.8

United Technologies Corp.

1.3

1.0

 

26.2

Market Sectors as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

26.4

30.0

Consumer Discretionary

14.5

13.9

Consumer Staples

13.6

8.0

Industrials

11.2

12.6

Health Care

11.2

9.3

Energy

10.3

12.9

Materials

5.4

5.4

Financials

2.8

5.4

Telecommunication Services

1.0

0.7

Utilities

0.8

0.0

Semiannual Report

Fidelity Large Cap Growth Enhanced Index Fund

Investments August 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 97.2%

Shares

Value

CONSUMER DISCRETIONARY - 14.5%

Auto Components - 0.2%

Autoliv, Inc.

3,510

$ 195,928

Lear Corp.

200

9,556

 

205,484

Automobiles - 0.6%

Ford Motor Co. (a)(e)

42,304

470,420

Distributors - 0.4%

Genuine Parts Co.

5,700

313,614

Diversified Consumer Services - 0.3%

ITT Educational Services, Inc. (a)(e)

3,700

266,992

Hotels, Restaurants & Leisure - 3.6%

Brinker International, Inc.

12,151

274,370

International Game Technology

18,836

287,437

McDonald's Corp.

9,900

895,554

Panera Bread Co. Class A (a)(e)

1,700

195,755

Starbucks Corp. (e)

16,700

644,954

Wynn Resorts Ltd.

900

139,248

Yum! Brands, Inc.

10,200

554,574

 

2,991,892

Internet & Catalog Retail - 1.6%

Amazon.com, Inc. (a)(e)

3,262

702,276

Priceline.com, Inc. (a)

1,160

623,222

 

1,325,498

Leisure Equipment & Products - 0.4%

Polaris Industries, Inc.

2,769

304,230

Media - 2.4%

CBS Corp. Class B

6,193

155,135

Comcast Corp. Class A

3,000

64,530

DIRECTV (a)

16,100

707,917

DISH Network Corp. Class A (a)

10,600

263,516

Liberty Media Corp. Starz Series A (a)

400

27,548

McGraw-Hill Companies, Inc.

1,900

80,009

Sirius XM Radio, Inc. (a)(e)

171,300

308,340

Time Warner Cable, Inc.

4,300

281,650

Viacom, Inc. Class B (non-vtg.)

1,300

62,712

 

1,951,357

Multiline Retail - 1.1%

Dollar Tree, Inc. (a)

2,450

174,979

Kohl's Corp.

9,100

421,694

Macy's, Inc.

9,100

236,145

Nordstrom, Inc.

2,100

95,466

 

928,284

Specialty Retail - 2.3%

AutoZone, Inc. (a)(e)

1,050

322,350

Bed Bath & Beyond, Inc. (a)(e)

3,300

187,638

Home Depot, Inc.

3,360

112,157

Limited Brands, Inc.

10,624

400,950

PetSmart, Inc.

8,000

337,440

Signet Jewelers Ltd.

7,100

276,474

 

Shares

Value

TJX Companies, Inc. (e)

700

$ 38,234

Williams-Sonoma, Inc.

6,800

225,148

 

1,900,391

Textiles, Apparel & Luxury Goods - 1.6%

Coach, Inc.

9,337

524,926

NIKE, Inc. Class B

7,100

615,215

VF Corp.

1,300

152,178

 

1,292,319

TOTAL CONSUMER DISCRETIONARY

11,950,481

CONSUMER STAPLES - 13.6%

Beverages - 4.5%

Brown-Forman Corp. Class B (non-vtg.)

3,061

219,627

Coca-Cola Enterprises, Inc.

12,100

334,202

Dr Pepper Snapple Group, Inc.

10,100

388,648

Hansen Natural Corp. (a)

3,961

337,953

PepsiCo, Inc.

15,612

1,005,881

The Coca-Cola Co.

20,853

1,469,094

 

3,755,405

Food & Staples Retailing - 2.9%

Costco Wholesale Corp.

3,600

282,744

Kroger Co.

15,500

365,180

Safeway, Inc. (e)

6,200

113,646

Wal-Mart Stores, Inc. (e)

16,600

883,286

Walgreen Co.

15,570

548,220

Whole Foods Market, Inc. (e)

2,644

174,583

 

2,367,659

Food Products - 2.1%

ConAgra Foods, Inc.

9,053

221,074

Hershey Co. (e)

6,061

355,478

Hormel Foods Corp. (e)

11,100

306,471

Mead Johnson Nutrition Co. Class A

4,400

313,500

Sara Lee Corp.

20,133

363,199

Tyson Foods, Inc. Class A

9,300

162,471

 

1,722,193

Household Products - 1.0%

Clorox Co. (e)

3,621

252,384

Colgate-Palmolive Co.

5,200

467,844

Kimberly-Clark Corp.

1,100

76,076

 

796,304

Personal Products - 0.4%

Herbalife Ltd.

6,049

337,534

Tobacco - 2.7%

Altria Group, Inc.

10,600

288,214

Lorillard, Inc.

2,500

278,550

Philip Morris International, Inc.

24,300

1,684,476

 

2,251,240

TOTAL CONSUMER STAPLES

11,230,335

Common Stocks - continued

Shares

Value

ENERGY - 10.3%

Energy Equipment & Services - 3.1%

Core Laboratories NV

2,764

$ 308,407

Halliburton Co.

11,187

496,367

Helmerich & Payne, Inc. (e)

2,942

167,753

National Oilwell Varco, Inc.

4,193

277,241

Schlumberger Ltd.

13,482

1,053,214

SEACOR Holdings, Inc. (e)

3,100

275,094

 

2,578,076

Oil, Gas & Consumable Fuels - 7.2%

Chevron Corp.

4,300

425,313

ConocoPhillips

3,500

238,245

CVR Energy, Inc. (a)

9,800

279,006

EOG Resources, Inc. (e)

362

33,518

Exxon Mobil Corp.

43,500

3,220,740

HollyFrontier Corp.

5,983

429,340

Marathon Oil Corp.

7,800

209,976

Marathon Petroleum Corp.

7,800

289,068

Murphy Oil Corp.

2,200

117,876

Noble Energy, Inc. (e)

2,100

185,556

Occidental Petroleum Corp.

1,377

119,441

Tesoro Corp. (a)

3,000

72,180

Valero Energy Corp.

12,700

288,544

 

5,908,803

TOTAL ENERGY

8,486,879

FINANCIALS - 2.8%

Consumer Finance - 1.2%

American Express Co. (e)

12,500

621,375

Credit Acceptance Corp. (a)

854

59,046

Discover Financial Services

11,470

288,585

 

969,006

Real Estate Investment Trusts - 1.6%

Annaly Capital Management, Inc. (e)

13,100

237,503

Apartment Investment & Management Co. Class A

9,800

260,386

Public Storage

3,800

470,174

Rayonier, Inc. (e)

7,353

308,385

Simon Property Group, Inc. (e)

400

47,000

 

1,323,448

TOTAL FINANCIALS

2,292,454

HEALTH CARE - 11.2%

Biotechnology - 1.7%

Amgen, Inc.

2,311

128,041

Biogen Idec, Inc. (a)

6,056

570,475

Celgene Corp. (a)

1,114

66,250

 

Shares

Value

Gilead Sciences, Inc. (a)(e)

8,483

$ 338,344

United Therapeutics Corp. (a)

7,200

310,680

 

1,413,790

Health Care Equipment & Supplies - 2.1%

Baxter International, Inc.

11,513

644,498

Becton, Dickinson & Co.

2,300

187,174

C. R. Bard, Inc. (e)

2,100

200,046

CareFusion Corp. (a)

352

9,015

Covidien PLC

4,900

255,682

Hill-Rom Holdings, Inc.

6,973

211,282

Medtronic, Inc.

5,999

210,385

Stryker Corp.

351

17,143

 

1,735,225

Health Care Providers & Services - 3.2%

Aetna, Inc.

7,000

280,210

AMERIGROUP Corp. (a)(e)

4,300

212,721

AmerisourceBergen Corp.

7,895

312,484

Cardinal Health, Inc. (e)

8,876

377,230

Express Scripts, Inc. (a)

669

31,403

Humana, Inc.

3,618

280,902

McKesson Corp.

1,100

87,923

Medco Health Solutions, Inc. (a)

3,043

164,748

Quest Diagnostics, Inc. (e)

3,600

180,252

UnitedHealth Group, Inc.

5,900

280,368

Wellcare Health Plans, Inc. (a)

2,400

109,992

WellPoint, Inc.

4,500

284,850

 

2,603,083

Life Sciences Tools & Services - 0.2%

Agilent Technologies, Inc. (a)

2,200

81,114

Pharmaceutical Product Development, Inc.

1,600

50,368

 

131,482

Pharmaceuticals - 4.0%

Abbott Laboratories

21,100

1,107,961

Allergan, Inc.

189

15,462

Bristol-Myers Squibb Co. (e)

9,600

285,600

Eli Lilly & Co. (e)

12,677

475,514

Forest Laboratories, Inc. (a)(e)

7,097

243,001

Johnson & Johnson

7,900

519,820

Pfizer, Inc.

11,700

222,066

Sanofi-Aventis rights (a)

691

726

Warner Chilcott PLC

7,981

136,156

Watson Pharmaceuticals, Inc. (a)(e)

4,400

295,328

 

3,301,634

TOTAL HEALTH CARE

9,185,214

INDUSTRIALS - 11.2%

Aerospace & Defense - 3.8%

General Dynamics Corp.

4,400

281,952

Honeywell International, Inc.

7,950

380,090

L-3 Communications Holdings, Inc.

4,200

284,844

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Aerospace & Defense - continued

Lockheed Martin Corp.

6,014

$ 446,179

Northrop Grumman Corp.

5,100

278,562

Rockwell Collins, Inc. (e)

700

35,322

The Boeing Co. (e)

4,926

329,352

United Technologies Corp.

14,665

1,088,876

 

3,125,177

Air Freight & Logistics - 0.6%

United Parcel Service, Inc. Class B (e)

6,703

451,715

Construction & Engineering - 0.8%

Fluor Corp.

6,800

412,896

KBR, Inc.

8,700

261,435

 

674,331

Electrical Equipment - 0.4%

Cooper Industries PLC Class A

900

42,642

Emerson Electric Co.

6,331

294,708

 

337,350

Industrial Conglomerates - 1.2%

3M Co. (e)

6,590

546,838

Danaher Corp.

752

34,449

General Electric Co.

13,800

225,078

Tyco International Ltd.

3,800

158,004

 

964,369

Machinery - 3.4%

Caterpillar, Inc. (e)

6,600

600,600

CNH Global NV (a)(e)

5,000

165,600

Cummins, Inc.

1,518

141,053

Deere & Co. (e)

3,700

299,034

Dover Corp.

3,600

207,072

Eaton Corp.

1,250

53,688

Illinois Tool Works, Inc. (e)

2,704

125,844

Joy Global, Inc.

4,058

338,640

Navistar International Corp. (a)

100

4,140

Pall Corp. (e)

6,100

311,893

Parker Hannifin Corp.

4,800

352,464

Timken Co.

4,900

192,815

 

2,792,843

Professional Services - 0.3%

Towers Watson & Co.

4,200

247,758

Road & Rail - 0.7%

CSX Corp.

14,100

309,354

Union Pacific Corp.

3,117

287,294

 

596,648

TOTAL INDUSTRIALS

9,190,191

INFORMATION TECHNOLOGY - 26.4%

Communications Equipment - 1.6%

Cisco Systems, Inc.

16,619

260,586

 

Shares

Value

Motorola Solutions, Inc.

6,700

$ 282,003

QUALCOMM, Inc.

15,711

808,488

 

1,351,077

Computers & Peripherals - 6.5%

Apple, Inc. (a)

11,025

4,242,751

Dell, Inc. (a)(e)

29,108

432,690

EMC Corp. (a)

13,500

304,965

NetApp, Inc. (a)(e)

8,638

324,962

 

5,305,368

Electronic Equipment & Components - 0.2%

Vishay Intertechnology, Inc. (a)(e)

14,137

161,162

Internet Software & Services - 2.4%

Google, Inc. Class A (a)

3,653

1,976,127

IT Services - 6.7%

Accenture PLC Class A (e)

13,300

712,747

Amdocs Ltd. (a)

9,000

247,230

Automatic Data Processing, Inc.

542

27,116

Cognizant Technology Solutions Corp. Class A (a)

2,300

145,935

DST Systems, Inc.

3,000

140,760

Fiserv, Inc. (a)

3,400

189,822

Global Payments, Inc.

6,300

288,729

International Business Machines Corp. (e)

15,005

2,579,510

MasterCard, Inc. Class A

832

274,319

Teradata Corp. (a)(e)

3,000

157,080

The Western Union Co.

16,800

277,536

Visa, Inc. Class A (e)

5,300

465,764

 

5,506,548

Office Electronics - 0.2%

Zebra Technologies Corp. Class A (a)

4,119

147,996

Semiconductors & Semiconductor Equipment - 1.3%

Altera Corp.

9,446

343,733

Avago Technologies Ltd.

10,900

360,899

Broadcom Corp. Class A

1,100

39,215

Intel Corp.

11,910

239,748

Texas Instruments, Inc.

2,400

62,904

 

1,046,499

Software - 7.5%

Activision Blizzard, Inc. (e)

23,400

277,056

Adobe Systems, Inc. (a)

12,603

318,100

Autodesk, Inc. (a)

9,700

273,540

BMC Software, Inc. (a)

6,450

261,935

CA, Inc. (e)

11,600

243,484

Electronic Arts, Inc. (a)(e)

15,100

340,958

Intuit, Inc. (e)

5,000

246,650

Microsoft Corp.

104,186

2,771,348

Oracle Corp.

51,923

1,457,479

 

6,190,550

TOTAL INFORMATION TECHNOLOGY

21,685,327

Common Stocks - continued

Shares

Value

MATERIALS - 5.4%

Chemicals - 3.8%

Albemarle Corp.

3,608

$ 182,962

CF Industries Holdings, Inc.

2,601

475,515

E.I. du Pont de Nemours & Co.

6,700

323,409

Eastman Chemical Co.

3,500

289,555

Huntsman Corp.

14,500

190,095

LyondellBasell Industries NV Class A

8,500

294,525

Monsanto Co.

4,561

314,390

PPG Industries, Inc. (e)

1,848

141,538

Praxair, Inc.

900

88,641

Rockwood Holdings, Inc. (a)

5,707

291,057

The Mosaic Co.

7,100

505,023

 

3,096,710

Metals & Mining - 1.4%

Cliffs Natural Resources, Inc.

1,410

116,819

Freeport-McMoRan Copper & Gold, Inc.

17,900

843,806

Newmont Mining Corp.

3,050

190,991

 

1,151,616

Paper & Forest Products - 0.2%

Domtar Corp.

2,474

198,712

TOTAL MATERIALS

4,447,038

TELECOMMUNICATION SERVICES - 1.0%

Diversified Telecommunication Services - 0.9%

AT&T, Inc.

7,995

227,698

Verizon Communications, Inc.

14,202

513,686

 

741,384

Wireless Telecommunication Services - 0.1%

Sprint Nextel Corp. (a)(e)

13,000

48,880

TOTAL TELECOMMUNICATION SERVICES

790,264

UTILITIES - 0.8%

Electric Utilities - 0.3%

Northeast Utilities

8,100

281,070

Multi-Utilities - 0.5%

Ameren Corp.

4,300

130,118

CenterPoint Energy, Inc.

14,100

282,141

 

412,259

TOTAL UTILITIES

693,329

TOTAL COMMON STOCKS

(Cost $72,846,883)

79,951,512

U.S. Treasury Obligations - 0.7%

 

Principal Amount

Value

U.S. Treasury Bills, yield at date of purchase 0.05% to 0.1% 11/17/11 to 1/19/12 (f)
(Cost $514,877)

$ 515,000

$ 514,969

Money Market Funds - 30.5%

Shares

 

Dreyfus Cash Management Institutional Shares, 0.10% (c)

6,612,559

6,612,559

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

18,480,953

18,480,953

TOTAL MONEY MARKET FUNDS

(Cost $25,093,512)

25,093,512

TOTAL INVESTMENT PORTFOLIO - 128.4%

(Cost $98,455,272)

105,559,993

NET OTHER ASSETS (LIABILITIES) - (28.4)%

(23,325,843)

NET ASSETS - 100%

$ 82,234,150

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/(Depreciation)

Purchased

Equity Index Contracts

34 CME E-mini S&P 500 Index Contracts

Sept. 2011

$ 2,070,090

$ 163,081

The face value of futures purchased as a percentage of net assets is 2.5%

Legend

(a) Non-income producing

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

(c) The rate quoted is the annualized seven-day yield of the fund at period end.

(d) Investment made with cash collateral received from securities on loan.

(e) Security or a portion of the security is on loan at period end.

(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $514,969.

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 Securities Lending Cash Central Fund

$ 4,329

Other Information

The following is a summary of the inputs used, as of August 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 11,950,481

$ 11,950,481

$ -

$ -

Consumer Staples

11,230,335

11,230,335

-

-

Energy

8,486,879

8,486,879

-

-

Financials

2,292,454

2,292,454

-

-

Health Care

9,185,214

9,185,214

-

-

Industrials

9,190,191

9,190,191

-

-

Information Technology

21,685,327

21,685,327

-

-

Materials

4,447,038

4,447,038

-

-

Telecommunication Services

790,264

790,264

-

-

Utilities

693,329

693,329

-

-

U.S. Government and Government Agency Obligations

514,969

-

514,969

-

Money Market Funds

25,093,512

25,093,512

-

-

Total Investments in Securities:

$ 105,559,993

$ 105,045,024

$ 514,969

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 163,081

$ 163,081

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 163,081

$ -

Total Value of Derivatives

$ 163,081

$ -

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities.

Income Tax Information

At February 28, 2011, the Fund had a capital loss carryforward of approximately $6,700,751 of which $97,236, $3,305,345 and $3,298,170 will expire in fiscal 2016, 2017 and 2018, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited.

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

Semiannual Report

Fidelity Large Cap Growth Enhanced Index Fund

Financial Statements

Statement of Assets and Liabilities

  

August 31, 2011 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $18,111,423) - See accompanying schedule:

Unaffiliated issuers (cost $79,974,319)

$ 87,079,040

 

Fidelity Central Funds (cost $18,480,953)

18,480,953

 

Total Investments (cost $98,455,272)

 

$ 105,559,993

Receivable for investments sold

4,829,736

Receivable for fund shares sold

273,708

Dividends receivable

158,630

Interest receivable

58

Distributions receivable from Fidelity Central Funds

886

Receivable for daily variation margin on futures contracts

91,510

Total assets

110,914,521

 

 

 

Liabilities

Payable for investments purchased

$ 10,141,448

Payable for fund shares redeemed

29,086

Accrued management fee

19,280

Other affiliated payables

9,604

Collateral on securities loaned, at value

18,480,953

Total liabilities

28,680,371

 

 

 

Net Assets

$ 82,234,150

Net Assets consist of:

 

Paid in capital

$ 80,586,288

Undistributed net investment income

404,559

Accumulated undistributed net realized gain (loss) on investments

(6,024,499)

Net unrealized appreciation (depreciation) on investments

7,267,802

Net Assets, for 8,501,862 shares outstanding

$ 82,234,150

Net Asset Value, offering price and redemption price per share ($82,234,150 ÷ 8,501,862 shares)

$ 9.67

Statement of Operations

Six months ended August 31, 2011 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 582,999

Interest

 

1,588

Income from Fidelity Central Funds

 

4,329

Total income

 

588,916

 

 

 

Expenses

Management fee

$ 113,474

Transfer agent fees

56,845

Independent trustees' compensation

217

Miscellaneous

106

Total expenses

170,642

Net investment income (loss)

418,274

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

1,258,713

Futures contracts

(447,758)

Total net realized gain (loss)

 

810,955

Change in net unrealized appreciation (depreciation) on:

Investment securities

(5,333,039)

Futures contracts

142,784

Total change in net unrealized appreciation (depreciation)

 

(5,190,255)

Net gain (loss)

(4,379,300)

Net increase (decrease) in net assets resulting from operations

$ (3,961,026)

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

Semiannual Report

Statement of Changes in Net Assets

  

Six months ended August 31, 2011 (Unaudited)

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 418,274

$ 624,173

Net realized gain (loss)

810,955

118,632

Change in net unrealized appreciation (depreciation)

(5,190,255)

9,180,999

Net increase (decrease) in net assets resulting from operations

(3,961,026)

9,923,804

Distributions to shareholders from net investment income

(121,617)

(603,819)

Share transactions
Proceeds from sales of shares

35,104,939

32,035,214

Reinvestment of distributions

116,470

566,082

Cost of shares redeemed

(17,019,479)

(23,618,873)

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

18,201,930

8,982,423

Total increase (decrease) in net assets

14,119,287

18,302,408

 

 

 

Net Assets

Beginning of period

68,114,863

49,812,455

End of period (including undistributed net investment income of $404,559 and undistributed net investment income of $107,902, respectively)

$ 82,234,150

$ 68,114,863

Other Information

Shares

Sold

3,507,289

3,413,789

Issued in reinvestment of distributions

11,419

59,959

Redeemed

(1,701,396)

(2,689,220)

Net increase (decrease)

1,817,312

784,528

Financial Highlights

 

Six months ended August 31, 2011

Years ended February 28,

 

(Unaudited)

2011

2010

2009

2008 G

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 10.19

$ 8.44

$ 5.60

$ 9.25

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .06

.11

.11

.09

.08

Net realized and unrealized gain (loss)

  (.56)

1.75

2.83

(3.65)

(.78)

Total from investment operations

  (.50)

1.86

2.94

(3.56)

(.70)

Distributions from net investment income

  (.02)

(.11)

(.10)

(.09)

(.05)

Net asset value, end of period

$ 9.67

$ 10.19

$ 8.44

$ 5.60

$ 9.25

Total Return B, C

  (4.94)%

22.14%

52.50%

(38.61)%

(7.05)%

Ratios to Average Net Assets E, H

 

 

 

 

 

Expenses before reductions

  .45% A

.45%

.45%

.45%

.45% A

Expenses net of fee waivers, if any

  .45% A

.45%

.45%

.45%

.45% A

Expenses net of all reductions

  .45% A

.45%

.45%

.45%

.45% A

Net investment income (loss)

  1.11% A

1.25%

1.42%

1.14%

.89% A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 82,234

$ 68,115

$ 49,812

$ 22,104

$ 34,942

Portfolio turnover rate F

  82% A

80%

35% I

58% I

36% A

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period April 19, 2007 (commencement of operations) to February 29, 2008.

H 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.

I Reflects adjustments to exclude transactions in money market mutual funds.

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

Semiannual Report

Fidelity Large Cap Value Enhanced Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Chevron Corp.

3.3

2.9

General Electric Co.

3.0

2.6

AT&T, Inc.

2.9

2.4

Pfizer, Inc.

2.6

2.2

JPMorgan Chase & Co.

2.4

2.9

Procter & Gamble Co.

2.2

2.3

Johnson & Johnson

2.2

2.0

Wells Fargo & Co.

1.9

2.3

Berkshire Hathaway, Inc. Class B

1.9

2.2

Cisco Systems, Inc.

1.7

0.0

 

24.1

Market Sectors as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

24.2

27.0

Health Care

13.5

13.1

Energy

11.5

13.8

Information Technology

9.0

7.0

Consumer Staples

8.6

8.1

Consumer Discretionary

8.2

8.1

Industrials

8.1

9.3

Utilities

6.8

5.1

Telecommunication Services

4.7

4.4

Materials

3.2

3.3

Semiannual Report

Fidelity Large Cap Value Enhanced Index Fund

Investments August 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 97.8%

Shares

Value

CONSUMER DISCRETIONARY - 8.2%

Auto Components - 0.8%

Autoliv, Inc.

5,100

$ 284,682

Lear Corp.

7,300

348,794

 

633,476

Automobiles - 0.1%

Ford Motor Co. (a)(d)

4,500

50,040

Diversified Consumer Services - 0.3%

ITT Educational Services, Inc. (a)(d)

4,000

288,640

Hotels, Restaurants & Leisure - 0.4%

Brinker International, Inc.

5,753

129,903

International Game Technology

12,600

192,276

 

322,179

Leisure Equipment & Products - 0.3%

Polaris Industries, Inc.

2,610

286,761

Media - 2.1%

Comcast Corp. Class A

12,977

279,135

DISH Network Corp. Class A (a)

11,100

275,946

Liberty Media Corp. Starz Series A (a)

1,600

110,192

News Corp. Class A

12,055

208,190

The Walt Disney Co.

16,355

557,051

Time Warner, Inc.

5,197

164,537

Washington Post Co. Class B

400

142,304

 

1,737,355

Multiline Retail - 1.0%

Kohl's Corp.

6,700

310,478

Macy's, Inc.

14,063

364,935

Target Corp.

3,600

186,012

 

861,425

Specialty Retail - 2.1%

American Eagle Outfitters, Inc.

7,800

86,346

Best Buy Co., Inc. (d)

13,400

342,906

Foot Locker, Inc. (d)

15,200

317,224

Limited Brands, Inc.

7,400

279,276

Lowe's Companies, Inc.

7,100

141,503

PetSmart, Inc.

6,800

286,824

Signet Jewelers Ltd.

7,743

301,512

 

1,755,591

Textiles, Apparel & Luxury Goods - 1.1%

Coach, Inc.

4,700

264,234

NIKE, Inc. Class B

3,400

294,610

VF Corp.

3,000

351,180

 

910,024

TOTAL CONSUMER DISCRETIONARY

6,845,491

CONSUMER STAPLES - 8.6%

Beverages - 1.1%

Coca-Cola Enterprises, Inc.

11,600

320,392

 

Shares

Value

Dr Pepper Snapple Group, Inc.

7,513

$ 289,100

PepsiCo, Inc.

4,353

280,464

 

889,956

Food & Staples Retailing - 2.3%

CVS Caremark Corp. (d)

12,508

449,162

Kroger Co.

14,548

342,751

Safeway, Inc. (d)

12,000

219,960

Wal-Mart Stores, Inc. (d)

11,000

585,310

Walgreen Co.

8,400

295,764

 

1,892,947

Food Products - 1.9%

ConAgra Foods, Inc.

16,178

395,067

Hershey Co. (d)

3,700

217,005

Kraft Foods, Inc. Class A

13,262

464,435

Smithfield Foods, Inc. (a)(d)

9,500

208,240

Tyson Foods, Inc. Class A

20,217

353,191

 

1,637,938

Household Products - 2.7%

Clorox Co.

5,700

397,290

Procter & Gamble Co.

29,346

1,868,753

 

2,266,043

Tobacco - 0.6%

Lorillard, Inc.

4,100

456,822

Philip Morris International, Inc.

400

27,728

 

484,550

TOTAL CONSUMER STAPLES

7,171,434

ENERGY - 11.5%

Energy Equipment & Services - 1.1%

National Oilwell Varco, Inc.

9,002

595,212

SEACOR Holdings, Inc. (d)

3,300

292,842

 

888,054

Oil, Gas & Consumable Fuels - 10.4%

Anadarko Petroleum Corp.

1,532

112,985

Apache Corp.

739

76,169

Chevron Corp.

27,496

2,719,625

ConocoPhillips

20,300

1,381,821

CVR Energy, Inc. (a)

9,995

284,558

Devon Energy Corp.

1,256

85,194

Exxon Mobil Corp.

13,500

999,540

Hess Corp.

800

47,472

HollyFrontier Corp.

5,074

364,110

Marathon Oil Corp.

19,951

537,081

Marathon Petroleum Corp.

12,525

464,177

Murphy Oil Corp.

4,600

246,468

Occidental Petroleum Corp.

10,218

886,309

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Valero Energy Corp.

20,300

$ 461,216

Williams Companies, Inc.

1,500

40,485

 

8,707,210

TOTAL ENERGY

9,595,264

FINANCIALS - 24.2%

Capital Markets - 1.7%

Bank of New York Mellon Corp. (d)

5,775

119,369

Goldman Sachs Group, Inc.

5,836

678,260

Morgan Stanley

34,235

599,113

 

1,396,742

Commercial Banks - 4.9%

BB&T Corp. (d)

1,700

37,893

Fifth Third Bancorp

36,200

384,444

First Citizen Bancshares, Inc.

900

143,100

Huntington Bancshares, Inc.

58,900

296,267

KeyCorp

33,500

222,440

M&T Bank Corp.

3,000

228,210

PNC Financial Services Group, Inc.

11,785

590,900

Popular, Inc. (a)

31,800

66,144

U.S. Bancorp

21,886

507,974

Wells Fargo & Co.

60,705

1,584,401

 

4,061,773

Consumer Finance - 2.2%

American Express Co. (d)

11,300

561,723

Capital One Financial Corp.

11,813

543,989

Credit Acceptance Corp. (a)(d)

987

68,241

Discover Financial Services

18,471

464,730

SLM Corp.

15,900

218,307

 

1,856,990

Diversified Financial Services - 5.4%

Bank of America Corp.

120,212

982,132

Citigroup, Inc.

31,050

964,103

CME Group, Inc.

1,311

350,194

JPMorgan Chase & Co.

52,905

1,987,112

The NASDAQ Stock Market, Inc. (a)

10,700

253,483

 

4,537,024

Insurance - 6.8%

ACE Ltd.

9,121

589,034

AFLAC, Inc.

1,581

59,635

Allied World Assurance Co. Holdings Ltd.

5,000

259,500

Allstate Corp.

2,600

68,198

American International Group, Inc. (a)(d)

13,200

334,356

Axis Capital Holdings Ltd.

4,160

119,226

Berkshire Hathaway, Inc. Class B (a)(d)

21,300

1,554,900

Endurance Specialty Holdings Ltd.

800

28,928

Fidelity National Financial, Inc. Class A

8,100

137,619

Hartford Financial Services Group, Inc.

4,800

91,872

 

Shares

Value

HCC Insurance Holdings, Inc.

2,900

$ 84,796

Mercury General Corp.

4,900

193,599

MetLife, Inc.

3,345

112,392

Principal Financial Group, Inc.

3,900

98,904

Progressive Corp.

4,000

76,720

Prudential Financial, Inc.

10,995

552,059

Reinsurance Group of America, Inc.

5,200

277,524

The Chubb Corp.

1,093

67,646

The Travelers Companies, Inc.

11,132

561,721

Torchmark Corp. (d)

2,743

104,810

Validus Holdings Ltd.

11,086

286,241

 

5,659,680

Real Estate Investment Trusts - 3.1%

Annaly Capital Management, Inc. (d)

26,262

476,130

Apartment Investment & Management Co. Class A

11,400

302,898

Equity Residential (SBI) (d)

1,750

107,065

Highwoods Properties, Inc. (SBI)

4,000

131,040

Liberty Property Trust (SBI) (d)

10,900

369,946

MFA Financial, Inc.

21,000

157,290

Public Storage

2,700

334,071

Rayonier, Inc.

6,600

276,804

Simon Property Group, Inc. (d)

2,095

246,163

Vornado Realty Trust (d)

1,800

154,638

 

2,556,045

Thrifts & Mortgage Finance - 0.1%

First Niagara Financial Group, Inc.

880

9,469

New York Community Bancorp, Inc. (d)

6,000

76,860

 

86,329

TOTAL FINANCIALS

20,154,583

HEALTH CARE - 13.5%

Biotechnology - 1.1%

Amgen, Inc.

11,100

614,996

Biogen Idec, Inc. (a)

2,986

281,281

 

896,277

Health Care Equipment & Supplies - 0.1%

Zimmer Holdings, Inc. (a)(d)

1,800

102,402

Health Care Providers & Services - 3.5%

Aetna, Inc.

11,911

476,797

AMERIGROUP Corp. (a)(d)

1,600

79,152

Cardinal Health, Inc. (d)

9,002

382,585

Humana, Inc.

5,517

428,340

McKesson Corp.

1,600

127,888

UnitedHealth Group, Inc.

17,874

849,372

WellPoint, Inc.

9,263

586,348

 

2,930,482

Life Sciences Tools & Services - 0.0%

Thermo Fisher Scientific, Inc. (a)

100

5,493

Pharmaceuticals - 8.8%

Bristol-Myers Squibb Co.

31,950

950,513

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Pharmaceuticals - continued

Eli Lilly & Co.

17,165

$ 643,859

Forest Laboratories, Inc. (a)(d)

11,037

377,907

Johnson & Johnson

27,925

1,837,465

Merck & Co., Inc.

37,227

1,232,958

Pfizer, Inc.

116,351

2,208,342

Warner Chilcott PLC

5,466

93,250

 

7,344,294

TOTAL HEALTH CARE

11,278,948

INDUSTRIALS - 8.1%

Aerospace & Defense - 2.6%

General Dynamics Corp.

8,475

543,078

ITT Corp.

1,500

71,010

L-3 Communications Holdings, Inc. (d)

5,630

381,827

Lockheed Martin Corp.

4,100

304,179

Northrop Grumman Corp.

8,800

480,656

Raytheon Co.

8,226

355,610

 

2,136,360

Air Freight & Logistics - 0.0%

FedEx Corp.

300

23,616

Airlines - 0.2%

Southwest Airlines Co. (d)

20,100

173,262

Industrial Conglomerates - 3.2%

General Electric Co.

152,316

2,484,274

Tyco International Ltd.

5,200

216,216

 

2,700,490

Machinery - 0.9%

AGCO Corp. (a)

1,800

77,112

CNH Global NV (a)(d)

8,300

274,896

Eaton Corp.

2,800

120,260

Pall Corp. (d)

2,000

102,260

Parker Hannifin Corp.

2,000

146,860

 

721,388

Road & Rail - 1.2%

CSX Corp.

11,772

258,278

Norfolk Southern Corp.

3,764

254,748

Union Pacific Corp.

5,100

470,067

 

983,093

TOTAL INDUSTRIALS

6,738,209

INFORMATION TECHNOLOGY - 9.0%

Communications Equipment - 2.2%

Cisco Systems, Inc.

90,500

1,419,040

EchoStar Holding Corp. Class A (a)

200

4,870

Motorola Solutions, Inc.

10,721

451,247

 

1,875,157

 

Shares

Value

Computers & Peripherals - 1.0%

Dell, Inc. (a)(d)

18,900

$ 280,949

Hewlett-Packard Co.

21,000

546,630

 

827,579

Electronic Equipment & Components - 0.6%

Corning, Inc.

8,180

122,945

Tech Data Corp. (a)

3,600

169,488

Vishay Intertechnology, Inc. (a)(d)

22,387

255,212

 

547,645

IT Services - 1.6%

Accenture PLC Class A (d)

5,100

273,309

Amdocs Ltd. (a)

5,500

151,085

CACI International, Inc. Class A (a)(d)

3,400

187,204

Computer Sciences Corp.

10,300

315,798

Fiserv, Inc. (a)

1,200

66,996

International Business Machines Corp. (d)

1,041

178,958

Visa, Inc. Class A (d)

1,600

140,608

 

1,313,958

Semiconductors & Semiconductor Equipment - 2.3%

Avago Technologies Ltd.

8,600

284,746

Intel Corp.

56,447

1,136,278

KLA-Tencor Corp. (d)

3,000

110,040

Marvell Technology Group Ltd. (a)

27,200

357,680

 

1,888,744

Software - 1.3%

Activision Blizzard, Inc. (d)

32,100

380,064

Microsoft Corp.

12,200

324,520

Oracle Corp.

3,845

107,929

Symantec Corp. (a)

15,928

273,165

 

1,085,678

TOTAL INFORMATION TECHNOLOGY

7,538,761

MATERIALS - 3.2%

Chemicals - 1.9%

Cabot Corp.

1,800

61,974

Dow Chemical Co.

5,190

147,656

Huntsman Corp.

18,100

237,291

LyondellBasell Industries NV Class A

12,100

419,265

PPG Industries, Inc. (d)

3,395

260,023

Rockwood Holdings, Inc. (a)

2,763

140,913

The Mosaic Co.

4,600

327,198

 

1,594,320

Containers & Packaging - 0.3%

Sealed Air Corp.

15,400

283,668

Metals & Mining - 0.5%

Freeport-McMoRan Copper & Gold, Inc.

6,054

285,386

Newmont Mining Corp.

2,100

131,502

 

416,888

Common Stocks - continued

Shares

Value

MATERIALS - continued

Paper & Forest Products - 0.5%

Domtar Corp.

3,728

$ 299,433

International Paper Co.

2,500

67,875

 

367,308

TOTAL MATERIALS

2,662,184

TELECOMMUNICATION SERVICES - 4.7%

Diversified Telecommunication Services - 4.5%

AT&T, Inc.

83,996

2,392,206

Verizon Communications, Inc.

35,845

1,296,514

 

3,688,720

Wireless Telecommunication Services - 0.2%

Sprint Nextel Corp. (a)(d)

48,678

183,029

TOTAL TELECOMMUNICATION SERVICES

3,871,749

UTILITIES - 6.8%

Electric Utilities - 4.3%

American Electric Power Co., Inc.

5,770

222,895

Cleco Corp. (d)

5,300

188,309

DPL, Inc.

7,633

228,379

Duke Energy Corp. (d)

19,900

376,309

Edison International

608

22,612

Entergy Corp.

6,957

453,666

Exelon Corp. (d)

7,864

339,096

FirstEnergy Corp. (d)

2,100

92,925

NextEra Energy, Inc.

4,622

262,160

Northeast Utilities

10,547

365,981

Pinnacle West Capital Corp. (d)

4,783

211,600

PPL Corp.

13,439

388,118

Progress Energy, Inc.

869

42,407

Southern Co.

8,984

371,578

 

3,566,035

Gas Utilities - 0.4%

UGI Corp.

11,200

333,312

Multi-Utilities - 2.1%

Ameren Corp.

13,922

421,280

CenterPoint Energy, Inc.

19,800

396,198

Dominion Resources, Inc.

1,674

81,591

PG&E Corp.

3,719

157,500

Public Service Enterprise Group, Inc.

9,800

334,474

Sempra Energy (d)

6,400

336,128

Xcel Energy, Inc. (d)

708

17,466

 

1,744,637

TOTAL UTILITIES

5,643,984

TOTAL COMMON STOCKS

(Cost $80,142,412)

81,500,607

U.S. Treasury Obligations - 0.2%

 

Principal Amount

Value

U.S. Treasury Bills, yield at date of purchase 0.06% to 0.09% 11/17/11 to 12/15/11 (e)
(Cost $199,962)

$ 200,000

$ 199,989

Money Market Funds - 19.4%

Shares

 

Dreyfus Cash Management Institutional Shares, 0.10% (f)

2,291,123

2,291,123

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

13,910,529

13,910,529

TOTAL MONEY MARKET FUNDS

(Cost $16,201,652)

16,201,652

TOTAL INVESTMENT PORTFOLIO - 117.4%

(Cost $96,544,026)

97,902,248

NET OTHER ASSETS (LIABILITIES) - (17.4)%

(14,521,121)

NET ASSETS - 100%

$ 83,381,127

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/(Depreciation)

Purchased

Equity Index Contracts

30 CME E-mini S&P 500 Index Contracts

Sept. 2011

$ 1,826,550

$ (380)

 

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

(c) Investment made with cash collateral received from securities on loan.

(d) Security or a portion of the security is on loan at period end.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $199,989.

(f) The rate quoted is the annualized seven-day yield 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 Securities Lending Cash Central Fund

$ 7,284

Other Information

The following is a summary of the inputs used, as of August 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 6,845,491

$ 6,845,491

$ -

$ -

Consumer Staples

7,171,434

7,171,434

-

-

Energy

9,595,264

9,595,264

-

-

Financials

20,154,583

20,154,583

-

-

Health Care

11,278,948

11,278,948

-

-

Industrials

6,738,209

6,738,209

-

-

Information Technology

7,538,761

7,538,761

-

-

Materials

2,662,184

2,662,184

-

-

Telecommunication Services

3,871,749

3,871,749

-

-

Utilities

5,643,984

5,643,984

-

-

U.S. Government and Government Agency Obligations

199,989

-

199,989

-

Money Market Funds

16,201,652

16,201,652

-

-

Total Investments in Securities:

$ 97,902,248

$ 97,702,259

$ 199,989

$ -

Derivative Instruments:

Liabilities

Futures Contracts

$ (380)

$ (380)

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ -

$ (380)

Total Value of Derivatives

$ -

$ (380)

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities.

Income Tax Information

At February 28, 2011, the Fund had a capital loss carryforward of approximately $187,547 all of which will expire in fiscal 2017. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited.

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

Semiannual Report

Fidelity Large Cap Value Enhanced Index Fund

Financial Statements

Statement of Assets and Liabilities

  

August 31, 2011 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $13,678,074) - See accompanying schedule:

Unaffiliated issuers (cost $82,633,497)

$ 83,991,719

 

Fidelity Central Funds (cost $13,910,529)

13,910,529

 

Total Investments (cost $96,544,026)

 

$ 97,902,248

Receivable for investments sold

4,911,216

Receivable for fund shares sold

113,367

Dividends receivable

216,046

Interest receivable

22

Distributions receivable from Fidelity Central Funds

891

Receivable for daily variation margin on futures contracts

30,012

Total assets

103,173,802

 

 

 

Liabilities

Payable for investments purchased

$ 5,772,379

Payable for fund shares redeemed

79,545

Accrued management fee

20,171

Other affiliated payables

10,051

Collateral on securities loaned, at value

13,910,529

Total liabilities

19,792,675

 

 

 

Net Assets

$ 83,381,127

Net Assets consist of:

 

Paid in capital

$ 77,942,827

Undistributed net investment income

773,099

Accumulated undistributed net realized gain (loss) on investments

3,307,359

Net unrealized appreciation (depreciation) on investments

1,357,842

Net Assets, for 11,500,364 shares outstanding

$ 83,381,127

Net Asset Value, offering price and redemption price per share ($83,381,127 ÷ 11,500,364 shares)

$ 7.25

Statement of Operations

Six months ended August 31, 2011 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 983,603

Interest

 

960

Income from Fidelity Central Funds

 

7,284

Total income

 

991,847

 

 

 

Expenses

Management fee

$ 131,100

Transfer agent fees

65,676

Independent trustees' compensation

251

Miscellaneous

132

Total expenses

197,159

Net investment income (loss)

794,688

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

3,983,276

Futures contracts

(122,784)

Total net realized gain (loss)

 

3,860,492

Change in net unrealized appreciation (depreciation) on:

Investment securities

(12,195,547)

Futures contracts

(21,522)

Total change in net unrealized appreciation (depreciation)

 

(12,217,069)

Net gain (loss)

(8,356,577)

Net increase (decrease) in net assets resulting from operations

$ (7,561,889)

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

Semiannual Report

Statement of Changes in Net Assets

  

Six months ended August 31, 2011 (Unaudited)

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 794,688

$ 1,234,031

Net realized gain (loss)

3,860,492

1,469,805

Change in net unrealized appreciation (depreciation)

(12,217,069)

10,756,617

Net increase (decrease) in net assets resulting from operations

(7,561,889)

13,460,453

Distributions to shareholders from net investment income

(188,919)

(1,184,075)

Share transactions
Proceeds from sales of shares

18,667,625

22,891,708

Reinvestment of distributions

184,249

1,155,878

Cost of shares redeemed

(12,843,029)

(20,225,202)

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

6,008,845

3,822,384

Total increase (decrease) in net assets

(1,741,963)

16,098,762

 

 

 

Net Assets

Beginning of period

85,123,090

69,024,328

End of period (including undistributed net investment income of $773,099 and undistributed net investment income of $167,330, respectively)

$ 83,381,127

$ 85,123,090

Other Information

Shares

Sold

2,415,174

3,182,934

Issued in reinvestment of distributions

23,205

158,090

Redeemed

(1,681,477)

(2,904,695)

Net increase (decrease)

756,902

436,329

Financial Highlights

 

Six months ended August 31, 2011

Years ended February 28,

 

(Unaudited)

2011

2010

2009

2008 G

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 7.92

$ 6.70

$ 4.59

$ 8.68

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .07

.12

.13

.20

.18

Net realized and unrealized gain (loss)

  (.72)

1.22

2.11

(4.14)

(1.37)

Total from investment operations

  (.65)

1.34

2.24

(3.94)

(1.19)

Distributions from net investment income

  (.02)

(.12)

(.13)

(.15)

(.13)

Net asset value, end of period

$ 7.25

$ 7.92

$ 6.70

$ 4.59

$ 8.68

Total Return B, C

  (8.26)%

20.15%

48.83%

(45.82)%

(12.00)%

Ratios to Average Net Assets E, H

 

 

 

 

 

Expenses before reductions

  .45% A

.45%

.45%

.45%

.45% A

Expenses net of fee waivers, if any

  .45% A

.45%

.45%

.45%

.45% A

Expenses net of all reductions

  .45% A

.45%

.45%

.45%

.45% A

Net investment income (loss)

  1.82% A

1.76%

2.11%

2.81%

2.12% A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 83,381

$ 85,123

$ 69,024

$ 20,162

$ 24,379

Portfolio turnover rate F

  87% A

83%

89% I

72% I

65% A

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period April 19, 2007 (commencement of operations) to February 29, 2008.

H 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.

I Reflects adjustments to exclude transactions in money market mutual funds.

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

Semiannual Report

Fidelity Large Cap Core Enhanced Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Exxon Mobil Corp.

3.3

3.9

Apple, Inc.

3.2

3.1

Chevron Corp.

2.2

2.1

Microsoft Corp.

2.1

1.9

International Business Machines Corp.

1.9

1.8

General Electric Co.

1.8

2.3

AT&T, Inc.

1.7

1.5

Johnson & Johnson

1.7

1.4

Pfizer, Inc.

1.7

1.1

Wells Fargo & Co.

1.6

1.5

 

21.2

Market Sectors as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Information Technology

18.9

20.0

Financials

12.9

15.1

Health Care

12.6

11.2

Consumer Staples

12.2

8.6

Energy

12.0

14.3

Consumer Discretionary

9.5

11.1

Industrials

9.3

10.3

Materials

4.4

4.4

Telecommunication Services

3.0

2.8

Utilities

2.8

1.7

Semiannual Report

Fidelity Large Cap Core Enhanced Index Fund

Investments August 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 97.6%

Shares

Value

CONSUMER DISCRETIONARY - 9.5%

Automobiles - 0.2%

Ford Motor Co. (a)(e)

15,877

$ 176,552

Diversified Consumer Services - 0.4%

ITT Educational Services, Inc. (a)(e)

3,800

274,208

Hotels, Restaurants & Leisure - 2.0%

Brinker International, Inc.

3,618

81,694

McDonald's Corp.

7,591

686,682

Starbucks Corp.

12,464

481,360

Wynn Resorts Ltd.

736

113,874

Yum! Brands, Inc.

5,100

277,287

 

1,640,897

Internet & Catalog Retail - 0.5%

Amazon.com, Inc. (a)(e)

1,243

267,605

Liberty Media Corp. Interactive Series A (a)

2,700

42,714

Priceline.com, Inc. (a)

83

44,593

 

354,912

Leisure Equipment & Products - 0.3%

Polaris Industries, Inc.

2,486

273,137

Media - 2.2%

Comcast Corp. Class A

23,877

513,594

DIRECTV (a)

6,203

272,746

DISH Network Corp. Class A (a)

9,900

246,114

Liberty Media Corp. Starz Series A (a)

4,000

275,480

The Walt Disney Co.

6,620

225,477

Washington Post Co. Class B

725

257,926

 

1,791,337

Multiline Retail - 1.0%

Kohl's Corp.

7,900

366,086

Macy's, Inc.

11,724

304,238

Target Corp.

2,038

105,303

 

775,627

Specialty Retail - 1.6%

Bed Bath & Beyond, Inc. (a)(e)

2,874

163,416

Express, Inc.

8,185

156,252

Home Depot, Inc.

8,661

289,104

Limited Brands, Inc.

9,000

339,660

Lowe's Companies, Inc.

584

11,639

RadioShack Corp.

1,300

16,913

Signet Jewelers Ltd.

7,000

272,580

 

1,249,564

Textiles, Apparel & Luxury Goods - 1.3%

Coach, Inc.

7,000

393,540

NIKE, Inc. Class B

6,136

531,684

VF Corp.

1,226

143,516

 

1,068,740

TOTAL CONSUMER DISCRETIONARY

7,604,974

 

Shares

Value

CONSUMER STAPLES - 12.2%

Beverages - 3.0%

Brown-Forman Corp. Class B (non-vtg.)

1,440

$ 103,320

Coca-Cola Enterprises, Inc.

12,700

350,774

Constellation Brands, Inc. Class A (sub. vtg.) (a)(e)

12,932

255,666

Dr Pepper Snapple Group, Inc.

8,744

336,469

PepsiCo, Inc.

7,492

482,710

The Coca-Cola Co.

13,017

917,048

 

2,445,987

Food & Staples Retailing - 3.3%

Costco Wholesale Corp.

1,372

107,757

CVS Caremark Corp. (e)

11,401

409,410

Kroger Co.

16,600

391,096

Safeway, Inc. (e)

8,666

158,848

Wal-Mart Stores, Inc. (e)

19,852

1,056,325

Walgreen Co.

13,814

486,391

 

2,609,827

Food Products - 1.6%

ConAgra Foods, Inc.

12,100

295,482

General Mills, Inc. (e)

914

34,650

Hershey Co. (e)

4,945

290,024

Kraft Foods, Inc. Class A

5,119

179,267

Smithfield Foods, Inc. (a)(e)

6,260

137,219

Tyson Foods, Inc. Class A

18,137

316,853

 

1,253,495

Household Products - 1.6%

Colgate-Palmolive Co.

1,748

157,268

Kimberly-Clark Corp.

732

50,625

Procter & Gamble Co.

17,284

1,100,645

 

1,308,538

Personal Products - 0.4%

Nu Skin Enterprises, Inc. Class A (e)

8,100

342,549

Tobacco - 2.3%

Altria Group, Inc.

10,337

281,063

Lorillard, Inc.

3,490

388,856

Philip Morris International, Inc.

16,526

1,145,582

 

1,815,501

TOTAL CONSUMER STAPLES

9,775,897

ENERGY - 12.0%

Energy Equipment & Services - 2.0%

Baker Hughes, Inc.

172

10,511

Halliburton Co.

9,170

406,873

National Oilwell Varco, Inc.

6,152

406,770

Schlumberger Ltd.

6,293

491,609

SEACOR Holdings, Inc.

3,000

266,220

 

1,581,983

Oil, Gas & Consumable Fuels - 10.0%

Anadarko Petroleum Corp.

540

39,825

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - continued

Apache Corp.

28

$ 2,886

Chevron Corp.

17,834

1,763,961

ConocoPhillips

14,968

1,018,872

CVR Energy, Inc. (a)

9,100

259,077

Exxon Mobil Corp.

36,284

2,686,467

HollyFrontier Corp.

4,879

350,117

Marathon Oil Corp.

15,378

413,976

Marathon Petroleum Corp.

9,889

366,486

Murphy Oil Corp.

3,344

179,172

Occidental Petroleum Corp.

6,809

590,613

Valero Energy Corp.

16,186

367,746

 

8,039,198

TOTAL ENERGY

9,621,181

FINANCIALS - 12.9%

Capital Markets - 0.7%

Bank of New York Mellon Corp. (e)

737

15,234

Franklin Resources, Inc. (e)

901

108,048

Goldman Sachs Group, Inc.

2,385

277,185

Morgan Stanley

9,430

165,025

 

565,492

Commercial Banks - 2.5%

Fifth Third Bancorp

17,100

181,602

KeyCorp

24,074

159,851

PNC Financial Services Group, Inc.

4,536

227,435

U.S. Bancorp

8,711

202,182

Wells Fargo & Co.

48,300

1,260,630

 

2,031,700

Consumer Finance - 2.0%

American Express Co. (e)

13,405

666,363

Capital One Financial Corp.

9,131

420,483

Discover Financial Services

15,106

380,067

SLM Corp.

12,450

170,939

 

1,637,852

Diversified Financial Services - 2.8%

Bank of America Corp.

42,173

344,553

Citigroup, Inc.

14,680

455,814

JPMorgan Chase & Co.

29,902

1,123,119

Moody's Corp. (e)

2,675

82,470

The NASDAQ Stock Market, Inc. (a)

10,503

248,816

 

2,254,772

Insurance - 3.2%

ACE Ltd.

6,709

433,267

Berkshire Hathaway, Inc. Class B (a)(e)

11,235

820,155

Marsh & McLennan Companies, Inc.

6,000

178,320

MetLife, Inc.

602

20,227

Prudential Financial, Inc.

7,277

365,378

Reinsurance Group of America, Inc.

898

47,926

 

Shares

Value

The Travelers Companies, Inc.

8,469

$ 427,346

Validus Holdings Ltd.

10,000

258,200

 

2,550,819

Real Estate Investment Trusts - 1.7%

Annaly Capital Management, Inc. (e)

13,704

248,454

Liberty Property Trust (SBI) (e)

9,200

312,248

Public Storage

548

67,804

Rayonier, Inc.

5,857

245,643

Simon Property Group, Inc. (e)

3,162

371,535

Vornado Realty Trust (e)

973

83,590

Weyerhaeuser Co.

2,100

37,863

 

1,367,137

TOTAL FINANCIALS

10,407,772

HEALTH CARE - 12.6%

Biotechnology - 1.0%

Amgen, Inc.

6,740

373,430

Biogen Idec, Inc. (a)

4,415

415,893

 

789,323

Health Care Equipment & Supplies - 1.0%

Baxter International, Inc.

9,029

505,443

Becton, Dickinson & Co.

1,578

128,418

Covidien PLC

2,377

124,032

Medtronic, Inc.

1,818

63,757

 

821,650

Health Care Providers & Services - 3.2%

Aetna, Inc.

9,601

384,328

AMERIGROUP Corp. (a)(e)

3,500

173,145

AmerisourceBergen Corp.

2,595

102,710

Cardinal Health, Inc. (e)

9,117

387,473

Humana, Inc.

4,869

378,029

McKesson Corp.

1,152

92,079

UnitedHealth Group, Inc.

13,561

644,419

WellPoint, Inc.

6,948

439,808

 

2,601,991

Life Sciences Tools & Services - 0.1%

Agilent Technologies, Inc. (a)

2,432

89,668

Pharmaceuticals - 7.3%

Abbott Laboratories

16,925

888,732

Bristol-Myers Squibb Co.

22,850

679,788

Eli Lilly & Co.

15,608

585,456

Forest Laboratories, Inc. (a)(e)

2,989

102,343

Johnson & Johnson

20,769

1,366,600

Merck & Co., Inc.

22,779

754,440

Pfizer, Inc.

71,654

1,359,993

Warner Chilcott PLC

6,549

111,726

 

5,849,078

TOTAL HEALTH CARE

10,151,710

Common Stocks - continued

Shares

Value

INDUSTRIALS - 9.3%

Aerospace & Defense - 3.8%

General Dynamics Corp.

6,769

$ 433,758

Honeywell International, Inc.

5,697

272,374

L-3 Communications Holdings, Inc. (e)

4,840

328,249

Lockheed Martin Corp.

5,062

375,550

Northrop Grumman Corp.

7,049

385,016

Raytheon Co.

8,746

378,090

The Boeing Co.

2,112

141,208

United Technologies Corp.

10,225

759,206

 

3,073,451

Air Freight & Logistics - 0.5%

United Parcel Service, Inc. Class B (e)

6,405

431,633

Airlines - 0.0%

Alaska Air Group, Inc. (a)

317

18,300

Electrical Equipment - 0.1%

Emerson Electric Co.

1,158

53,905

Industrial Conglomerates - 2.5%

3M Co. (e)

4,653

386,106

General Electric Co.

92,436

1,507,631

Tyco International Ltd.

3,403

141,497

 

2,035,234

Machinery - 1.6%

Caterpillar, Inc. (e)

4,649

423,059

Cummins, Inc.

311

28,898

Deere & Co. (e)

1,271

102,722

Eaton Corp.

2,481

106,559

Illinois Tool Works, Inc. (e)

1,349

62,782

Joy Global, Inc.

631

52,657

Pall Corp. (e)

6,200

317,006

Parker Hannifin Corp.

2,837

208,321

 

1,302,004

Road & Rail - 0.8%

CSX Corp.

11,638

255,338

Norfolk Southern Corp.

2,481

167,914

Union Pacific Corp.

1,889

174,109

 

597,361

TOTAL INDUSTRIALS

7,511,888

INFORMATION TECHNOLOGY - 18.9%

Communications Equipment - 2.2%

Cisco Systems, Inc.

60,398

947,041

Motorola Solutions, Inc.

9,200

387,228

QUALCOMM, Inc.

8,228

423,413

 

1,757,682

Computers & Peripherals - 4.0%

Apple, Inc. (a)

6,637

2,554,117

Dell, Inc. (a)(e)

26,594

395,320

 

Shares

Value

EMC Corp. (a)

2,106

$ 47,575

Hewlett-Packard Co.

7,741

201,498

 

3,198,510

Electronic Equipment & Components - 0.4%

Corning, Inc.

9,534

143,296

Vishay Intertechnology, Inc. (a)(e)

16,127

183,848

 

327,144

Internet Software & Services - 1.5%

Google, Inc. Class A (a)

2,242

1,212,832

IT Services - 4.9%

Accenture PLC Class A (e)

9,821

526,307

Amdocs Ltd. (a)

10,000

274,700

Computer Sciences Corp.

2,000

61,320

DST Systems, Inc.

2,389

112,092

Fiserv, Inc. (a)

2,410

134,550

Global Payments, Inc.

5,317

243,678

International Business Machines Corp. (e)

9,089

1,562,490

MasterCard, Inc. Class A

649

213,982

The Western Union Co.

10,742

177,458

Visa, Inc. Class A (e)

6,920

608,130

 

3,914,707

Semiconductors & Semiconductor Equipment - 1.9%

Altera Corp.

2,299

83,661

Avago Technologies Ltd.

8,300

274,813

Intel Corp.

46,968

945,466

KLA-Tencor Corp. (e)

2,024

74,240

Texas Instruments, Inc.

7,335

192,250

 

1,570,430

Software - 4.0%

Activision Blizzard, Inc.

24,000

284,160

BMC Software, Inc. (a)

4,744

192,654

CA, Inc. (e)

12,372

259,688

Microsoft Corp.

63,036

1,676,758

Oracle Corp.

27,328

767,097

Symantec Corp. (a)

2,848

48,843

 

3,229,200

TOTAL INFORMATION TECHNOLOGY

15,210,505

MATERIALS - 4.4%

Chemicals - 2.2%

CF Industries Holdings, Inc.

897

163,990

E.I. du Pont de Nemours & Co.

5,881

283,876

Eastman Chemical Co.

600

49,638

Huntsman Corp.

15,700

205,827

LyondellBasell Industries NV Class A

7,700

266,805

Monsanto Co.

558

38,463

PPG Industries, Inc. (e)

3,202

245,241

Rockwood Holdings, Inc. (a)

3,418

174,318

The Mosaic Co.

4,500

320,085

 

1,748,243

Common Stocks - continued

Shares

Value

MATERIALS - continued

Containers & Packaging - 0.3%

Sealed Air Corp.

14,200

$ 261,564

Metals & Mining - 1.6%

Cliffs Natural Resources, Inc.

3,850

318,973

Freeport-McMoRan Copper & Gold, Inc.

12,606

594,247

Newmont Mining Corp.

6,320

395,758

 

1,308,978

Paper & Forest Products - 0.3%

Domtar Corp. (e)

3,154

253,329

TOTAL MATERIALS

3,572,114

TELECOMMUNICATION SERVICES - 3.0%

Diversified Telecommunication Services - 2.9%

AT&T, Inc.

48,345

1,376,862

Verizon Communications, Inc.

27,566

997,062

 

2,373,924

Wireless Telecommunication Services - 0.1%

Sprint Nextel Corp. (a)(e)

14,531

54,637

TOTAL TELECOMMUNICATION SERVICES

2,428,561

UTILITIES - 2.8%

Electric Utilities - 1.5%

American Electric Power Co., Inc.

4,035

155,872

Duke Energy Corp. (e)

4,510

85,284

Entergy Corp.

5,800

378,218

Exelon Corp. (e)

4,056

174,895

NextEra Energy, Inc.

1,311

74,360

Northeast Utilities

2,369

82,204

PPL Corp.

7,700

222,376

Southern Co.

1,823

75,399

 

1,248,608

Gas Utilities - 0.4%

UGI Corp.

9,500

282,720

Multi-Utilities - 0.9%

Ameren Corp.

10,900

329,834

CenterPoint Energy, Inc.

16,800

336,168

Sempra Energy (e)

1,538

80,776

 

746,778

TOTAL UTILITIES

2,278,106

TOTAL COMMON STOCKS

(Cost $97,726,971)

78,562,708

U.S. Treasury Obligations - 0.4%

 

Principal Amount

Value

U.S. Treasury Bills, yield at date of purchase 0.06% to 0.1% 12/15/11 (f)
(Cost $299,925)

$ 300,000

$ 299,987

Money Market Funds - 21.2%

Shares

 

Dreyfus Cash Management Institutional Shares, 0.10% (c)

2,879,780

2,879,780

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

14,225,525

14,225,525

TOTAL MONEY MARKET FUNDS

(Cost $17,105,305)

17,105,305

TOTAL INVESTMENT PORTFOLIO - 119.2%

(Cost $115,132,201)

95,968,000

NET OTHER ASSETS (LIABILITIES) - (19.2)%

(15,431,188)

NET ASSETS - 100%

$ 80,536,812

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/(Depreciation)

Purchased

Equity Index Contracts

32 CME E-mini S&P 500 Index Contracts

Sept. 2011

$ 1,948,320

$ 66,739

 

The face value of futures purchased as a percentage of net assets is 2.4%

Legend

(a) Non-income producing

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

(c) The rate quoted is the annualized seven-day yield of the fund at period end.

(d) Investment made with cash collateral received from securities on loan.

(e) Security or a portion of the security is on loan at period end.

(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $299,987.

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 Securities Lending Cash Central Fund

$ 17,794

Other Information

The following is a summary of the inputs used, as of August 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 7,604,974

$ 7,604,974

$ -

$ -

Consumer Staples

9,775,897

9,775,897

-

-

Energy

9,621,181

9,621,181

-

-

Financials

10,407,772

10,407,772

-

-

Health Care

10,151,710

10,151,710

-

-

Industrials

7,511,888

7,511,888

-

-

Information Technology

15,210,505

15,210,505

-

-

Materials

3,572,114

3,572,114

-

-

Telecommunication Services

2,428,561

2,428,561

-

-

Utilities

2,278,106

2,278,106

-

-

U.S. Government and Government Agency Obligations

299,987

-

299,987

-

Money Market Funds

17,105,305

17,105,305

-

-

Total Investments in Securities:

$ 95,968,000

$ 95,668,013

$ 299,987

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 66,739

$ 66,739

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 66,739

$ -

Total Value of Derivatives

$ 66,739

$ -

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities.

Income Tax Information

At February 28, 2011, the Fund had a capital loss carryforward of approximately $85,601,774 of which $45,690,051 and $39,911,723 will expire in fiscal 2017 and 2018, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited.

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

Semiannual Report

Fidelity Large Cap Core Enhanced Index Fund

Financial Statements

Statement of Assets and Liabilities

  

August 31, 2011 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $13,976,131) - See accompanying schedule:

Unaffiliated issuers (cost $100,906,676)

$ 81,742,475

 

Fidelity Central Funds (cost $14,225,525)

14,225,525

 

Total Investments (cost $115,132,201)

 

$ 95,968,000

Receivable for investments sold

3,941,600

Receivable for fund shares sold

13,707

Dividends receivable

213,903

Interest receivable

23

Distributions receivable from Fidelity Central Funds

680

Receivable for daily variation margin on futures contracts

39,203

Total assets

100,177,116

 

 

 

Liabilities

Payable for investments purchased

$ 5,370,894

Payable for fund shares redeemed

14,491

Accrued management fee

19,620

Other affiliated payables

9,774

Collateral on securities loaned, at value

14,225,525

Total liabilities

19,640,304

 

 

 

Net Assets

$ 80,536,812

Net Assets consist of:

 

Paid in capital

$ 167,797,374

Undistributed net investment income

3,290,630

Accumulated undistributed net realized gain (loss) on investments

(71,453,730)

Net unrealized appreciation (depreciation) on investments

(19,097,462)

Net Assets, for 9,437,703 shares outstanding

$ 80,536,812

Net Asset Value, offering price and redemption price per share ($80,536,812 ÷ 9,437,703 shares)

$ 8.53

Statement of Operations

Six months ended August 31, 2011 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 4,576,274

Interest

 

8,771

Income from Fidelity Central Funds

 

17,794

Total income

 

4,602,839

 

 

 

Expenses

Management fee

$ 742,179

Transfer agent fees

364,092

Independent trustees' compensation

1,328

Interest

1,769

Miscellaneous

1,278

Total expenses before reductions

1,110,646

Expense reductions

(32)

1,110,614

Net investment income (loss)

3,492,225

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

17,814,095

Futures contracts

(35,727)

Total net realized gain (loss)

 

17,778,368

Change in net unrealized appreciation (depreciation) on:

Investment securities

(50,199,307)

Futures contracts

100,366

Total change in net unrealized appreciation (depreciation)

 

(50,098,941)

Net gain (loss)

(32,320,573)

Net increase (decrease) in net assets resulting from operations

$ (28,828,348)

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

Semiannual Report

Statement of Changes in Net Assets

  

Six months ended August 31, 2011 (Unaudited)

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 3,492,225

$ 15,016,843

Net realized gain (loss)

17,778,368

64,507,363

Change in net unrealized appreciation (depreciation)

(50,098,941)

92,870,217

Net increase (decrease) in net assets resulting from operations

(28,828,348)

172,394,423

Distributions to shareholders from net investment income

(2,264,397)

(15,976,149)

Share transactions
Proceeds from sales of shares

43,182,372

140,360,567

Reinvestment of distributions

2,249,226

15,540,824

Cost of shares redeemed

(902,447,748)

(349,858,780)

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

(857,016,150)

(193,957,389)

Total increase (decrease) in net assets

(888,108,895)

(37,539,115)

 

 

 

Net Assets

Beginning of period

968,645,707

1,006,184,822

End of period (including undistributed net investment income of $3,290,630 and undistributed net investment income of $2,062,802, respectively)

$ 80,536,812

$ 968,645,707

Other Information

Shares

Sold

4,768,990

17,443,766

Issued in reinvestment of distributions

247,985

1,846,723

Redeemed

(102,138,561)

(43,600,768)

Net increase (decrease)

(97,121,586)

(24,310,279)

Financial Highlights

 

Six months ended August 31, 2011

Years ended February 28,

 

(Unaudited)

2011

2010

2009

2008 G

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 9.09

$ 7.69

$ 5.27

$ 9.20

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .06

.13

.12

.16

.15

Net realized and unrealized gain (loss)

  (.59)

1.42

2.43

(3.95)

(.90)

Total from investment operations

  (.53)

1.55

2.55

(3.79)

(.75)

Distributions from net investment income

  (.03)

(.15)

(.13)

(.14)

(.05)

Net asset value, end of period

$ 8.53

$ 9.09

$ 7.69

$ 5.27

$ 9.20

Total Return B, C

  (5.90)%

20.25%

48.52%

(41.51)%

(7.59)%

Ratios to Average Net Assets E, H

 

 

 

 

 

Expenses before reductions

  .45% A

.45%

.45%

.45%

.45% A

Expenses net of fee waivers, if any

  .45% A

.45%

.45%

.45%

.45% A

Expenses net of all reductions

  .45% A

.45%

.45%

.45%

.45% A

Net investment income (loss)

  1.41% A

1.58%

1.76%

2.05%

1.83% A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 80,537

$ 968,646

$ 1,006,185

$ 723,548

$ 834,523

Portfolio turnover rate F

  68% A

64%

60% I

45% I

5% A

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period April 19, 2007 (commencement of operations) to February 29, 2008.

H 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.

I Reflects adjustments to exclude transactions in money market mutual funds.

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

Semiannual Report

Fidelity Mid Cap Enhanced Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Bed Bath & Beyond, Inc.

0.8

0.1

Annaly Capital Management, Inc.

0.8

0.4

Humana, Inc.

0.8

0.7

Discover Financial Services

0.8

0.6

CF Industries Holdings, Inc.

0.8

0.6

VF Corp.

0.8

0.5

Entergy Corp.

0.8

0.0

HollyFrontier Corp.

0.8

0.0

Valero Energy Corp.

0.7

0.5

Republic Services, Inc.

0.7

0.0

 

7.8

Market Sectors as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Consumer Discretionary

17.1

12.1

Financials

16.2

15.5

Information Technology

12.8

15.6

Industrials

10.7

13.1

Health Care

10.1

10.1

Materials

8.2

7.1

Consumer Staples

7.9

4.1

Energy

7.3

10.6

Utilities

4.6

3.5

Telecommunication Services

0.8

1.4

Semiannual Report

Fidelity Mid Cap Enhanced Index Fund

Investments August 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 95.7%

Shares

Value

CONSUMER DISCRETIONARY - 17.1%

Auto Components - 0.7%

Autoliv, Inc.

3,949

$ 220,433

TRW Automotive Holdings Corp. (a)

6,920

288,495

 

508,928

Automobiles - 0.2%

Ford Motor Co. (a)(e)

14,225

158,182

Diversified Consumer Services - 1.0%

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

8,063

377,550

ITT Educational Services, Inc. (a)(e)

4,608

332,513

 

710,063

Hotels, Restaurants & Leisure - 1.7%

Brinker International, Inc.

12,324

278,276

International Game Technology

11,797

180,022

MGM Mirage, Inc. (a)

2,925

32,380

Panera Bread Co. Class A (a)

1,267

145,895

Wyndham Worldwide Corp.

1,019

33,097

Wynn Resorts Ltd.

3,199

494,949

 

1,164,619

Household Durables - 1.1%

Leggett & Platt, Inc.

16,048

356,105

Tupperware Brands Corp.

5,846

388,759

 

744,864

Leisure Equipment & Products - 0.9%

Mattel, Inc.

7,391

198,596

Polaris Industries, Inc.

3,541

389,050

 

587,646

Media - 2.8%

DISH Network Corp. Class A (a)

14,238

353,957

Liberty Media Corp. Starz Series A (a)

5,362

369,281

McGraw-Hill Companies, Inc.

11,352

478,033

Sirius XM Radio, Inc. (a)(e)

221,130

398,034

Virgin Media, Inc. (e)

13,662

346,468

 

1,945,773

Multiline Retail - 1.4%

Dollar Tree, Inc. (a)

6,211

443,590

Macy's, Inc.

18,394

477,324

Nordstrom, Inc.

180

8,183

 

929,097

Specialty Retail - 6.1%

Aarons, Inc. Class A

13,065

348,052

AutoZone, Inc. (a)

1,443

443,001

Bed Bath & Beyond, Inc. (a)

9,971

566,951

Best Buy Co., Inc. (e)

15,892

406,676

Limited Brands, Inc.

12,532

472,958

PetSmart, Inc.

9,285

391,641

RadioShack Corp.

15,307

199,144

Ross Stores, Inc.

3,900

298,448

Signet Jewelers Ltd.

8,576

333,949

Staples, Inc.

2,242

33,047

 

Shares

Value

TJX Companies, Inc.

5,749

$ 314,010

Williams-Sonoma, Inc.

11,017

364,773

 

4,172,650

Textiles, Apparel & Luxury Goods - 1.2%

Coach, Inc.

5,204

292,569

VF Corp.

4,532

530,516

 

823,085

TOTAL CONSUMER DISCRETIONARY

11,744,907

CONSUMER STAPLES - 7.9%

Beverages - 2.2%

Brown-Forman Corp. Class B (non-vtg.)

5,506

395,056

Coca-Cola Enterprises, Inc.

16,893

466,585

Constellation Brands, Inc. Class A (sub. vtg.) (a)

14,775

292,102

Dr Pepper Snapple Group, Inc.

9,869

379,759

 

1,533,502

Food & Staples Retailing - 1.2%

BJ's Wholesale Club, Inc. (a)

7,605

386,486

Safeway, Inc.

20,625

378,056

SUPERVALU, Inc. (e)

5,460

43,516

 

808,058

Food Products - 3.3%

Bunge Ltd.

2,925

189,277

ConAgra Foods, Inc.

1,365

33,333

Corn Products International, Inc.

5,811

271,722

Hershey Co.

7,289

427,500

Mead Johnson Nutrition Co. Class A

1,339

95,404

Sara Lee Corp.

9,435

170,207

Smithfield Foods, Inc. (a)(e)

13,368

293,027

The J.M. Smucker Co.

5,543

399,595

Tyson Foods, Inc. Class A

20,370

355,864

 

2,235,929

Personal Products - 1.2%

Avon Products, Inc.

1,214

27,388

Herbalife Ltd.

7,869

439,090

Nu Skin Enterprises, Inc. Class A

8,775

371,095

 

837,573

TOTAL CONSUMER STAPLES

5,415,062

ENERGY - 7.3%

Energy Equipment & Services - 3.0%

Cameron International Corp. (a)

1,084

56,325

Core Laboratories NV

3,523

393,096

Diamond Offshore Drilling, Inc. (e)

4,431

282,388

Helix Energy Solutions Group, Inc. (a)

16,575

279,952

Helmerich & Payne, Inc.

6,163

351,414

Oceaneering International, Inc.

9,454

403,591

SEACOR Holdings, Inc.

3,607

320,085

 

2,086,851

Common Stocks - continued

Shares

Value

ENERGY - continued

Oil, Gas & Consumable Fuels - 4.3%

Alpha Natural Resources, Inc. (a)

2,760

$ 91,273

Arch Coal, Inc.

876

17,792

El Paso Corp.

6,670

127,664

Energen Corp.

3,644

178,920

HollyFrontier Corp.

7,322

525,427

Murphy Oil Corp.

7,414

397,242

Noble Energy, Inc. (e)

3,300

291,588

Peabody Energy Corp.

7,334

357,899

Pioneer Natural Resources Co.

253

19,777

Stone Energy Corp. (a)

2,416

63,807

Tesoro Corp. (a)

13,044

313,839

Valero Energy Corp.

22,078

501,612

W&T Offshore, Inc.

2,925

61,776

 

2,948,616

TOTAL ENERGY

5,035,467

FINANCIALS - 16.2%

Capital Markets - 0.3%

American Capital Ltd. (a)

20,345

177,205

Raymond James Financial, Inc.

1,738

48,803

 

226,008

Commercial Banks - 4.2%

BOK Financial Corp.

1,744

85,805

East West Bancorp, Inc.

14,819

247,329

Fifth Third Bancorp

31,426

333,744

First Citizen Bancshares, Inc.

975

155,025

Huntington Bancshares, Inc.

66,007

332,015

KeyCorp

44,699

296,801

M&T Bank Corp.

5,385

409,637

Popular, Inc. (a)

142,642

296,695

Regions Financial Corp.

76,245

346,152

SunTrust Banks, Inc.

17,434

346,937

 

2,850,140

Consumer Finance - 1.9%

Credit Acceptance Corp. (a)(e)

3,925

271,375

Discover Financial Services

21,500

540,940

Nelnet, Inc. Class A

4,290

82,368

SLM Corp.

28,860

396,248

 

1,290,931

Diversified Financial Services - 1.1%

Interactive Brokers Group, Inc.

17,160

257,572

Moody's Corp. (e)

2,060

63,510

NYSE Euronext

3,952

107,811

The NASDAQ Stock Market, Inc. (a)

14,207

336,564

 

765,457

Insurance - 1.9%

American International Group, Inc. (a)(e)

10,651

269,790

American International Group, Inc. warrants 1/19/21 (a)

574

4,305

 

Shares

Value

American National Insurance Co.

975

$ 73,086

Aon Corp.

2,556

119,442

HCC Insurance Holdings, Inc.

1,462

42,749

Marsh & McLennan Companies, Inc.

4,093

121,644

Progressive Corp.

4,140

79,405

Reinsurance Group of America, Inc.

5,344

285,209

Validus Holdings Ltd.

12,285

317,199

 

1,312,829

Real Estate Investment Trusts - 6.4%

Alexanders, Inc.

156

67,532

Annaly Capital Management, Inc.

30,734

557,207

AvalonBay Communities, Inc. (e)

292

39,823

Camden Property Trust (SBI)

6,337

423,438

Equity Lifestyle Properties, Inc.

3,315

228,470

Equity Residential (SBI)

2,391

146,281

Hospitality Properties Trust (SBI)

12,187

286,151

Host Hotels & Resorts, Inc.

1,195

14,137

Liberty Property Trust (SBI)

11,992

407,008

MFA Financial, Inc.

26,368

197,496

Prologis, Inc.

2,047

55,740

Public Storage

2,840

351,393

Rayonier, Inc.

9,330

391,300

SL Green Realty Corp.

4,276

308,898

Ventas, Inc.

7,878

421,315

Vornado Realty Trust (e)

5,586

479,893

Weyerhaeuser Co.

1,256

22,646

 

4,398,728

Real Estate Management & Development - 0.4%

CB Richard Ellis Group, Inc. Class A (a)

16,406

248,715

TOTAL FINANCIALS

11,092,808

HEALTH CARE - 10.1%

Biotechnology - 1.0%

AVEO Pharmaceuticals, Inc. (a)

8,580

145,688

Biogen Idec, Inc. (a)

3,009

283,448

Myriad Genetics, Inc. (a)(e)

11,596

229,949

United Therapeutics Corp. (a)

758

32,708

Vertex Pharmaceuticals, Inc. (a)

253

11,453

 

703,246

Health Care Equipment & Supplies - 0.7%

Boston Scientific Corp. (a)

4,972

33,710

C. R. Bard, Inc.

76

7,240

Hill-Rom Holdings, Inc.

1,072

32,482

Kinetic Concepts, Inc. (a)

2,574

173,848

Varian Medical Systems, Inc. (a)(e)

3,702

210,866

Zimmer Holdings, Inc. (a)

585

33,281

 

491,427

Health Care Providers & Services - 3.8%

AMERIGROUP Corp. (a)

5,377

266,000

AmerisourceBergen Corp.

8,618

341,100

CIGNA Corp.

9,911

463,240

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Health Net, Inc. (a)

12,090

$ 298,502

Humana, Inc.

7,009

544,179

Laboratory Corp. of America Holdings (a)

1,550

129,472

Magellan Health Services, Inc. (a)

6,142

306,302

Quest Diagnostics, Inc.

4,689

234,778

 

2,583,573

Life Sciences Tools & Services - 2.6%

Agilent Technologies, Inc. (a)

12,304

453,648

Bio-Rad Laboratories, Inc. Class A (a)

2,673

268,209

PerkinElmer, Inc.

11,645

266,321

Pharmaceutical Product Development, Inc.

10,065

316,846

Techne Corp.

975

70,658

Waters Corp. (a)

4,652

371,555

 

1,747,237

Pharmaceuticals - 2.0%

Endo Pharmaceuticals Holdings, Inc. (a)

6,337

202,214

Forest Laboratories, Inc. (a)

11,906

407,661

ViroPharma, Inc. (a)

6,657

131,875

Warner Chilcott PLC

9,394

160,262

Watson Pharmaceuticals, Inc. (a)

6,990

469,169

 

1,371,181

TOTAL HEALTH CARE

6,896,664

INDUSTRIALS - 10.7%

Aerospace & Defense - 0.9%

Goodrich Corp.

534

47,622

ITT Corp.

585

27,694

L-3 Communications Holdings, Inc.

5,433

368,466

Rockwell Collins, Inc.

3,129

157,889

 

601,671

Air Freight & Logistics - 0.6%

Expeditors International of Washington, Inc.

8,460

384,930

Airlines - 0.9%

Alaska Air Group, Inc. (a)

4,436

256,090

Southwest Airlines Co.

43,192

372,315

 

628,405

Commercial Services & Supplies - 0.9%

R.R. Donnelley & Sons Co. (e)

8,945

136,411

Republic Services, Inc.

16,380

497,297

 

633,708

Construction & Engineering - 0.7%

Fluor Corp.

6,803

413,078

KBR, Inc.

2,997

90,060

 

503,138

 

Shares

Value

Electrical Equipment - 0.6%

Cooper Industries PLC Class A

3,380

$ 160,144

Hubbell, Inc. Class B

3,198

189,098

Rockwell Automation, Inc.

549

35,207

 

384,449

Machinery - 5.7%

AGCO Corp. (a)

5,770

247,187

CNH Global NV (a)

8,970

297,086

Cummins, Inc.

3,312

307,751

Dover Corp.

8,040

462,461

Eaton Corp.

9,003

386,679

Ingersoll-Rand Co. Ltd.

1,773

59,413

Joy Global, Inc.

3,722

310,601

Kennametal, Inc.

9,067

334,210

Pall Corp.

7,914

404,643

Parker Hannifin Corp.

6,176

453,504

SPX Corp.

975

55,468

Timken Co.

7,965

313,423

Toro Co.

5,453

297,570

 

3,929,996

Road & Rail - 0.4%

AMERCO (a)

3,324

243,682

TOTAL INDUSTRIALS

7,309,979

INFORMATION TECHNOLOGY - 12.8%

Computers & Peripherals - 1.3%

NetApp, Inc. (a)

6,209

233,583

SanDisk Corp. (a)

9,269

339,709

Western Digital Corp. (a)

10,699

315,514

 

888,806

Electronic Equipment & Components - 0.7%

AVX Corp.

13,162

172,422

Vishay Intertechnology, Inc. (a)

24,612

280,577

 

452,999

Internet Software & Services - 0.2%

IAC/InterActiveCorp (a)

3,464

136,932

IT Services - 3.8%

Amdocs Ltd. (a)

14,192

389,854

Computer Sciences Corp.

11,559

354,399

DST Systems, Inc.

5,479

257,075

Fidelity National Information Services, Inc.

14,250

401,565

Fiserv, Inc. (a)

7,137

398,459

Global Payments, Inc.

7,957

364,669

The Western Union Co.

26,211

433,006

 

2,599,027

Office Electronics - 0.5%

Xerox Corp.

6,374

52,904

Zebra Technologies Corp. Class A (a)

8,783

315,573

 

368,477

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Semiconductors & Semiconductor Equipment - 2.9%

Altera Corp.

11,563

$ 420,778

Analog Devices, Inc.

12,953

427,708

Lam Research Corp. (a)

7,505

278,886

Linear Technology Corp.

6,064

173,612

Marvell Technology Group Ltd. (a)

30,907

406,427

Micron Technology, Inc. (a)

37,413

221,111

NVIDIA Corp. (a)

2,001

26,633

 

1,955,155

Software - 3.4%

Activision Blizzard, Inc.

35,782

423,659

Autodesk, Inc. (a)

12,653

356,815

BMC Software, Inc. (a)

7,669

311,438

CA, Inc. (e)

17,624

369,928

Citrix Systems, Inc. (a)

960

58,013

Intuit, Inc.

9,453

466,316

MICROS Systems, Inc. (a)

5,850

278,811

Solera Holdings, Inc.

1,273

74,661

 

2,339,641

TOTAL INFORMATION TECHNOLOGY

8,741,037

MATERIALS - 8.2%

Chemicals - 4.2%

Albemarle Corp.

5,897

299,037

Cabot Corp.

9,166

315,585

CF Industries Holdings, Inc.

2,920

533,834

Eastman Chemical Co.

3,701

306,184

Huntsman Corp.

20,475

268,427

International Flavors & Fragrances, Inc.

5,414

314,120

PPG Industries, Inc.

5,975

457,625

Rockwood Holdings, Inc. (a)

6,956

354,756

Sigma Aldrich Corp.

872

56,148

 

2,905,716

Containers & Packaging - 1.3%

Aptargroup, Inc.

5,655

285,464

Crown Holdings, Inc. (a)

8,796

311,994

Sealed Air Corp.

16,965

312,495

 

909,953

Metals & Mining - 1.3%

Cliffs Natural Resources, Inc.

5,183

429,412

Hecla Mining Co. (a)

25,053

192,157

Walter Energy, Inc.

2,926

239,171

 

860,740

Paper & Forest Products - 1.4%

Domtar Corp.

3,886

312,124

 

Shares

Value

International Paper Co.

15,631

$ 424,382

MeadWestvaco Corp.

7,084

194,952

 

931,458

TOTAL MATERIALS

5,607,867

TELECOMMUNICATION SERVICES - 0.8%

Diversified Telecommunication Services - 0.8%

CenturyLink, Inc.

7,865

284,320

Vonage Holdings Corp. (a)

71,467

258,711

 

543,031

UTILITIES - 4.6%

Electric Utilities - 2.2%

DPL, Inc.

5,952

178,081

Entergy Corp.

8,092

527,679

FirstEnergy Corp.

5,794

256,385

Northeast Utilities

4,083

141,680

NV Energy, Inc.

3,315

49,460

Pinnacle West Capital Corp.

6,220

275,173

Progress Energy, Inc.

1,975

96,380

 

1,524,838

Gas Utilities - 0.5%

UGI Corp.

12,306

366,227

Independent Power Producers & Energy Traders - 1.2%

NRG Energy, Inc. (a)

18,037

422,787

The AES Corp. (a)

36,632

397,824

 

820,611

Multi-Utilities - 0.3%

NiSource, Inc.

8,092

172,845

Water Utilities - 0.4%

American Water Works Co., Inc.

9,750

290,355

TOTAL UTILITIES

3,174,876

TOTAL COMMON STOCKS

(Cost $65,367,038)

65,561,698

U.S. Treasury Obligations - 0.3%

 

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.06% to 0.1% 12/15/11 to 3/1/12 (f)
(Cost $229,932)

$ 230,000

229,984

Money Market Funds - 9.8%

Shares

Value

Dreyfus Cash Management Institutional Shares, 0.10% (c)

2,582,403

$ 2,582,403

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

4,108,723

4,108,723

TOTAL MONEY MARKET FUNDS

(Cost $6,691,126)

6,691,126

TOTAL INVESTMENT PORTFOLIO - 105.8%

(Cost $72,288,096)

72,482,808

NET OTHER ASSETS (LIABILITIES) - (5.8)%

(3,968,395)

NET ASSETS - 100%

$ 68,514,413

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/(Depreciation)

Purchased

Equity Index Contracts

32 CME E-mini S&P Midcap 400 Index Contracts

Sept. 2011

$ 2,798,080

$ 118,034

 

The face value of futures purchased as a percentage of net assets is 4.1%

Legend

(a) Non-income producing

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

(c) The rate quoted is the annualized seven-day yield of the fund at period end.

(d) Investment made with cash collateral received from securities on loan.

(e) Security or a portion of the security is on loan at period end.

(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $199,991.

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 Securities Lending Cash Central Fund

$ 9,385

Other Information

The following is a summary of the inputs used, as of August 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 11,744,907

$ 11,744,907

$ -

$ -

Consumer Staples

5,415,062

5,415,062

-

-

Energy

5,035,467

5,035,467

-

-

Financials

11,092,808

11,092,808

-

-

Health Care

6,896,664

6,896,664

-

-

Industrials

7,309,979

7,309,979

-

-

Information Technology

8,741,037

8,741,037

-

-

Materials

5,607,867

5,607,867

-

-

Telecommunication Services

543,031

543,031

-

-

Utilities

3,174,876

3,174,876

-

-

U.S. Government and Government Agency Obligations

229,984

-

229,984

-

Money Market Funds

6,691,126

6,691,126

-

-

Total Investments in Securities:

$ 72,482,808

$ 72,252,824

$ 229,984

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 118,034

$ 118,034

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 118,034

$ -

Total Value of Derivatives

$ 118,034

$ -

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities.

Income Tax Information

At February 28, 2011, the Fund had a capital loss carryforward of approximately $2,108,052 of which $320,881, $1,278,726 and $508,445 will expire in fiscal 2017, 2018 and 2019, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited.

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

Semiannual Report

Fidelity Mid Cap Enhanced Index Fund

Financial Statements

Statement of Assets and Liabilities

  

August 31, 2011 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $4,015,445) - See accompanying schedule:

Unaffiliated issuers (cost $68,179,373)

$ 68,374,085

 

Fidelity Central Funds (cost $4,108,723)

4,108,723

 

Total Investments (cost $72,288,096)

 

$ 72,482,808

Segregated cash with broker for futures contracts

2,100

Receivable for fund shares sold

99,121

Dividends receivable

99,652

Interest receivable

18

Distributions receivable from Fidelity Central Funds

409

Receivable for daily variation margin on futures contracts

25,280

Other receivables

42

Total assets

72,709,430

 

 

 

Liabilities

Payable for investments purchased

$ 29,991

Payable for fund shares redeemed

23,359

Accrued management fee

24,708

Other affiliated payables

8,236

Collateral on securities loaned, at value

4,108,723

Total liabilities

4,195,017

 

 

 

Net Assets

$ 68,514,413

Net Assets consist of:

 

Paid in capital

$ 65,242,944

Undistributed net investment income

317,414

Accumulated undistributed net realized gain (loss) on investments

2,641,309

Net unrealized appreciation (depreciation) on investments

312,746

Net Assets, for 7,433,349 shares outstanding

$ 68,514,413

Net Asset Value, offering price and redemption price per share ($68,514,413 ÷ 7,433,349 shares)

$ 9.22

Statement of Operations

Six months ended August 31, 2011 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 509,702

Interest

 

1,462

Income from Fidelity Central Funds

 

9,385

Total income

 

520,549

 

 

 

Expenses

Management fee

$ 159,733

Transfer agent fees

53,314

Independent trustees' compensation

207

Miscellaneous

99

Total expenses

213,353

Net investment income (loss)

307,196

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

5,181,804

Futures contracts

(298,764)

Total net realized gain (loss)

 

4,883,040

Change in net unrealized appreciation (depreciation) on:

Investment securities

(11,996,882)

Futures contracts

29,928

Total change in net unrealized appreciation (depreciation)

 

(11,966,954)

Net gain (loss)

(7,083,914)

Net increase (decrease) in net assets resulting from operations

$ (6,776,718)

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

Semiannual Report

Statement of Changes in Net Assets

  

Six months ended August 31, 2011 (Unaudited)

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 307,196

$ 492,189

Net realized gain (loss)

4,883,040

1,994,944

Change in net unrealized appreciation (depreciation)

(11,966,954)

8,683,577

Net increase (decrease) in net assets resulting from operations

(6,776,718)

11,170,710

Distributions to shareholders from net investment income

(33,614)

(484,592)

Distributions to shareholders from net realized gain

(1,478,998)

(1,597,001)

Total distributions

(1,512,612)

(2,081,593)

Share transactions
Proceeds from sales of shares

30,741,934

33,715,367

Reinvestment of distributions

1,469,202

2,003,001

Cost of shares redeemed

(17,515,437)

(16,323,316)

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

14,695,699

19,395,052

Redemption fees

4,083

2,930

Total increase (decrease) in net assets

6,410,452

28,487,099

 

 

 

Net Assets

Beginning of period

62,103,961

33,616,862

End of period (including undistributed net investment income of $317,414 and undistributed net investment income of $43,832, respectively)

$ 68,514,413

$ 62,103,961

Other Information

Shares

Sold

3,048,603

3,640,627

Issued in reinvestment of distributions

143,337

217,027

Redeemed

(1,801,880)

(1,848,838)

Net increase (decrease)

1,390,060

2,008,816

Financial Highlights

 

Six months ended August 31, 2011

Years ended February 28,

 

(Unaudited)

2011

2010

2009

2008 G

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 10.28

$ 8.33

$ 5.12

$ 9.16

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .04

.10

.09

.10

.02

Net realized and unrealized gain (loss)

  (.87)

2.30

3.20

(4.07)

(.86)

Total from investment operations

  (.83)

2.40

3.29

(3.97)

(.84)

Distributions from net investment income

  (.01)

(.10)

(.08)

(.08)

-

Distributions from net realized gain

  (.22)

(.35)

-

-

-

Total distributions

  (.23)

(.45)

(.08)

(.08)

-

Redemption fees added to paid in capital D

  - I

- I

- I

.01

- I

Net asset value, end of period

$ 9.22

$ 10.28

$ 8.33

$ 5.12

$ 9.16

Total Return B, C

  (8.34)%

29.44%

64.37%

(43.40)%

(8.40)%

Ratios to Average Net Assets E, H

 

 

 

 

 

Expenses before reductions

  .60% A

.60%

.60%

.60%

.60% A

Expenses net of fee waivers, if any

  .60% A

.60%

.60%

.60%

.60% A

Expenses net of all reductions

  .60% A

.60%

.60%

.60%

.60% A

Net investment income (loss)

  .87% A

1.16%

1.21%

1.39%

1.25% A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 68,514

$ 62,104

$ 33,617

$ 14,235

$ 5,967

Portfolio turnover rate F

  105% A

59%

80% J

58% J

16%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period December 20, 2007 (commencement of operations) to February 29, 2008.

H 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.

I Amount represents less than $.01 per share.

J Reflects adjustments to exclude transactions in money market mutual funds.

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

Semiannual Report

Fidelity Small Cap Enhanced Index Fund

Investment Changes (Unaudited)

Top Ten Stocks as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

CVR Energy, Inc.

0.8

0.6

Home Properties, Inc.

0.7

0.0

Nu Skin Enterprises, Inc. Class A

0.7

0.6

Wellcare Health Plans, Inc.

0.7

0.0

Esterline Technologies Corp.

0.7

0.2

Hexcel Corp.

0.7

0.0

MFA Financial, Inc.

0.7

0.7

Equity Lifestyle Properties, Inc.

0.6

0.0

PriceSmart, Inc.

0.7

0.4

Ruddick Corp.

0.6

0.0

 

6.9

Market Sectors as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

19.1

15.8

Information Technology

15.2

20.6

Consumer Discretionary

14.0

12.1

Industrials

12.9

14.8

Health Care

10.5

8.4

Energy

7.2

9.1

Materials

6.5

7.3

Consumer Staples

5.0

3.2

Utilities

3.1

1.0

Telecommunication Services

1.3

0.7

Semiannual Report

Fidelity Small Cap Enhanced Index Fund

Investments August 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 94.8%

Shares

Value

CONSUMER DISCRETIONARY - 14.0%

Auto Components - 0.7%

Dana Holding Corp. (a)

38,196

$ 486,999

Standard Motor Products, Inc.

16,863

222,086

Superior Industries International, Inc.

5,928

102,080

 

811,165

Distributors - 0.0%

Audiovox Corp. Class A (a)

4,800

30,768

Diversified Consumer Services - 0.5%

Lincoln Educational Services Corp.

32,300

317,509

Sotheby's Class A (Ltd. vtg.)

7,405

275,540

 

593,049

Hotels, Restaurants & Leisure - 3.9%

AFC Enterprises, Inc. (a)

2,499

32,462

Ameristar Casinos, Inc.

25,168

469,887

Biglari Holdings, Inc. (a)

618

203,483

Bob Evans Farms, Inc.

16,400

520,864

Carrols Restaurant Group, Inc. (a)

4,700

43,428

CEC Entertainment, Inc.

2,000

62,120

DineEquity, Inc. (a)

9,107

381,583

Domino's Pizza, Inc. (a)

24,397

676,529

Krispy Kreme Doughnuts, Inc. (a)

58,000

527,220

Papa John's International, Inc. (a)

9,300

276,675

Ruth's Hospitality Group, Inc. (a)

18,847

99,701

Scientific Games Corp. Class A (a)

23,900

210,798

Shuffle Master, Inc. (a)

2,043

18,101

Sonic Corp. (a)

54,665

506,745

The Cheesecake Factory, Inc. (a)

11,800

323,910

 

4,353,506

Household Durables - 2.1%

American Greetings Corp. Class A (e)

12,259

260,136

Blyth, Inc.

6,096

346,984

Helen of Troy Ltd. (a)

13,925

418,029

iRobot Corp. (a)

7,119

198,051

Libbey, Inc. (a)

7,710

99,922

Lifetime Brands, Inc.

3,104

32,902

Tempur-Pedic International, Inc. (a)

7,641

445,012

Tupperware Brands Corp.

7,394

491,701

 

2,292,737

Leisure Equipment & Products - 1.0%

Arctic Cat, Inc. (a)

16,519

259,018

Polaris Industries, Inc.

4,764

523,421

Steinway Musical Instruments, Inc. (a)

866

21,537

Sturm Ruger & Co., Inc.

10,365

344,844

 

1,148,820

Media - 0.4%

Global Sources Ltd. (a)

53,046

433,916

Specialty Retail - 4.1%

America's Car Mart, Inc. (a)

2,100

63,105

 

Shares

Value

Barnes & Noble, Inc. (e)

20,400

$ 272,136

bebe Stores, Inc.

15,900

109,074

Big 5 Sporting Goods Corp.

2,200

16,346

Conn's, Inc. (a)

17,900

102,567

Express, Inc.

25,487

486,547

Finish Line, Inc. Class A

29,658

596,126

GNC Holdings, Inc. (e)

5,100

123,420

Group 1 Automotive, Inc.

5,210

217,518

Pier 1 Imports, Inc. (a)

53,668

573,174

Rent-A-Center, Inc.

25,047

705,824

Select Comfort Corp. (a)

26,126

414,881

Stein Mart, Inc.

9,900

70,092

Systemax, Inc. (a)

2,400

32,400

The Cato Corp. Class A (sub. vtg.)

19,328

490,545

Tractor Supply Co.

4,437

272,299

 

4,546,054

Textiles, Apparel & Luxury Goods - 1.3%

Crocs, Inc. (a)

8,760

239,674

Fossil, Inc. (a)

4,275

413,008

Iconix Brand Group, Inc. (a)

27,800

544,324

Movado Group, Inc.

20,125

276,920

 

1,473,926

TOTAL CONSUMER DISCRETIONARY

15,683,941

CONSUMER STAPLES - 5.0%

Beverages - 0.2%

Coca-Cola Bottling Co. Consolidated

3,943

220,808

MGP Ingredients, Inc.

1,482

9,085

National Beverage Corp.

1,453

23,960

 

253,853

Food & Staples Retailing - 1.8%

Casey's General Stores, Inc.

8,100

364,500

Ingles Markets, Inc. Class A

800

12,264

PriceSmart, Inc.

10,987

719,209

Rite Aid Corp. (a)

61,800

67,980

Ruddick Corp.

17,459

713,899

Spartan Stores, Inc.

7,300

117,822

Susser Holdings Corp. (a)

1,900

40,090

Village Super Market, Inc. Class A

100

2,503

 

2,038,267

Food Products - 1.6%

B&G Foods, Inc. Class A

28,554

519,968

Darling International, Inc. (a)

29,827

502,585

Fresh Del Monte Produce, Inc.

18,610

449,245

Seneca Foods Corp. Class A (a)

695

16,270

Smart Balance, Inc. (a)

49,509

250,020

 

1,738,088

Personal Products - 1.4%

Elizabeth Arden, Inc. (a)

12,968

417,829

Inter Parfums, Inc.

8,131

134,649

Nature's Sunshine Products, Inc. (a)(e)

5,261

90,542

Common Stocks - continued

Shares

Value

CONSUMER STAPLES - continued

Personal Products - continued

Nu Skin Enterprises, Inc. Class A

19,117

$ 808,458

Nutraceutical International Corp. (a)

800

11,160

Schiff Nutrition International, Inc.

3,900

40,092

USANA Health Sciences, Inc. (a)(e)

2,200

56,628

 

1,559,358

TOTAL CONSUMER STAPLES

5,589,566

ENERGY - 7.2%

Energy Equipment & Services - 3.1%

Bristow Group, Inc.

4,352

191,401

Complete Production Services, Inc. (a)

22,811

662,888

Gulf Island Fabrication, Inc.

8,301

204,205

Helix Energy Solutions Group, Inc. (a)

41,761

705,343

Hercules Offshore, Inc. (a)

73,082

308,406

Newpark Resources, Inc. (a)

63,926

529,307

OYO Geospace Corp. (a)

5,464

402,697

RigNet, Inc.

11,641

178,922

Tesco Corp. (a)(e)

17,430

291,081

 

3,474,250

Oil, Gas & Consumable Fuels - 4.1%

Alon USA Energy, Inc.

25,500

236,895

Callon Petroleum Co. (a)

22,861

131,451

CAMAC Energy, Inc. (a)(e)

18,981

15,754

Cloud Peak Energy, Inc. (a)

21,936

438,720

Crosstex Energy, Inc.

34,340

401,435

CVR Energy, Inc. (a)

29,688

845,217

Delek US Holdings, Inc.

13,171

195,063

Golar LNG Ltd. (NASDAQ)

8,700

287,013

Petroquest Energy, Inc. (a)(e)

13,224

100,502

Rex American Resources Corp. (a)

6,031

99,753

Stone Energy Corp. (a)

20,099

530,815

Targa Resources Corp.

3,900

116,376

Vaalco Energy, Inc. (a)

72,899

464,367

Warren Resources, Inc. (a)

30,987

104,736

Western Refining, Inc. (a)

32,600

568,544

 

4,536,641

TOTAL ENERGY

8,010,891

FINANCIALS - 19.1%

Capital Markets - 1.2%

American Capital Ltd. (a)

56,974

496,244

Arlington Asset Investment Corp.

5,162

133,180

Artio Global Investors, Inc. Class A

9,673

87,928

Gleacher & Co., Inc. (a)

29,872

38,535

Kohlberg Capital Corp.

12,800

83,328

Medallion Financial Corp.

2,647

26,020

Prospect Capital Corp.

7,082

62,180

 

Shares

Value

TICC Capital Corp.

19,050

$ 181,928

Triangle Capital Corp.

16,385

274,449

 

1,383,792

Commercial Banks - 3.9%

Alliance Financial Corp.

2,608

79,022

American National Bankshares, Inc.

3,203

59,256

BancFirst Corp.

1,979

70,690

Banco Latin Americano de Exporaciones SA (BLADEX) Series E

29,205

488,016

Bank of Marin Bancorp

2,098

74,710

Bank of the Ozarks, Inc.

13,750

312,400

Banner Bank

29,100

449,886

Boston Private Financial Holdings, Inc.

2,700

16,821

Central Pacific Financial Corp. (a)

6,100

74,359

Citizens & Northern Corp.

5,531

90,211

Community Bank System, Inc.

4,013

100,445

Eagle Bancorp, Inc., Maryland (a)(e)

5,939

73,584

Financial Institutions, Inc.

532

8,384

First Merchants Corp.

10,847

82,329

Hanmi Financial Corp. (a)(e)

202,770

196,687

MainSource Financial Group, Inc.

3,635

32,315

Merchants Bancshares, Inc.

12,912

351,594

Old National Bancorp, Indiana

24,338

238,756

Orrstown Financial Services, Inc.

69

987

Pacific Capital Bancorp NA (a)(e)

14,328

392,157

PrivateBancorp, Inc.

17,000

150,960

Prosperity Bancshares, Inc.

1,694

64,118

Republic Bancorp, Inc., Kentucky Class A

16,229

288,876

SCBT Financial Corp.

1,517

42,552

Southside Bancshares, Inc.

4,486

89,182

Southwest Bancorp, Inc., Oklahoma (a)

5,135

26,189

State Bank Financial Corp. (a)

9,515

134,828

Susquehanna Bancshares, Inc.

3,700

24,827

Washington Banking Co., Oak Harbor

459

5,095

Washington Trust Bancorp, Inc.

6,033

130,252

WesBanco, Inc.

9,172

177,753

 

4,327,241

Consumer Finance - 3.0%

Advance America Cash Advance Centers, Inc.

59,900

500,764

Cash America International, Inc.

11,594

647,873

Credit Acceptance Corp. (a)

4,873

336,919

EZCORP, Inc. (non-vtg.) Class A (a)

19,122

641,543

First Cash Financial Services, Inc. (a)

10,062

469,996

Nelnet, Inc. Class A

26,943

517,306

Nicholas Financial, Inc.

269

2,986

World Acceptance Corp. (a)(e)

2,563

166,979

 

3,284,366

Diversified Financial Services - 0.9%

Compass Diversified Holdings (e)

6,300

86,436

Encore Capital Group, Inc. (a)

10,028

237,363

MarketAxess Holdings, Inc.

10,281

303,084

NewStar Financial, Inc. (a)

19,087

196,023

Common Stocks - continued

Shares

Value

FINANCIALS - continued

Diversified Financial Services - continued

PHH Corp. (a)

7,300

$ 138,481

Vector Capital Corp. rights (a)

8,300

0

 

961,387

Insurance - 1.0%

Amtrust Financial Services, Inc.

5,267

127,409

FBL Financial Group, Inc. Class A

15,260

445,134

Flagstone Reinsurance Holdings Ltd.

17,228

122,319

Maiden Holdings Ltd.

52,300

445,596

 

1,140,458

Real Estate Investment Trusts - 8.3%

Alexanders, Inc.

1,073

464,502

Anworth Mortgage Asset Corp.

88,909

639,256

Capstead Mortgage Corp.

48,843

650,100

CBL & Associates Properties, Inc.

38,119

560,730

Crexus Investment Corp.

37,700

352,495

Dynex Capital, Inc.

19,891

182,599

Education Realty Trust, Inc.

14,900

134,100

Equity Lifestyle Properties, Inc.

10,563

728,002

Extra Space Storage, Inc.

15,113

324,930

Hatteras Financial Corp. (e)

1,455

40,173

Highwoods Properties, Inc. (SBI)

18,503

606,158

Home Properties, Inc.

12,306

822,902

LTC Properties, Inc.

19,228

518,964

MFA Financial, Inc.

97,769

732,290

Mid-America Apartment Communities, Inc.

4,915

351,324

Mission West Properties, Inc.

13,202

103,240

National Health Investors, Inc.

2,486

113,610

NorthStar Realty Finance Corp.

16,657

63,630

Pennymac Mortgage Investment Trust

12,038

205,128

PS Business Parks, Inc.

10,010

547,247

RAIT Financial Trust (e)

30,900

120,201

Saul Centers, Inc.

6,438

227,776

U-Store-It Trust

27,000

289,980

Universal Health Realty Income Trust (SBI)

1,667

62,379

Urstadt Biddle Properties, Inc. Class A

2,522

42,395

Walter Investment Management Corp.

8,500

211,225

Winthrop Realty Trust

17,408

177,910

 

9,273,246

Thrifts & Mortgage Finance - 0.8%

BofI Holding, Inc. (a)(e)

27,543

390,560

Dime Community Bancshares, Inc.

19,380

233,723

Doral Financial Corp. (a)

36,500

59,495

Flushing Financial Corp.

9,587

110,059

Fox Chase Bancorp, Inc.

5,400

69,714

 

Shares

Value

Kaiser Federal Financial Group, Inc.

4,828

$ 57,115

NASB Financial, Inc. (a)

705

7,142

 

927,808

TOTAL FINANCIALS

21,298,298

HEALTH CARE - 10.5%

Biotechnology - 1.7%

Affymax, Inc. (a)

8,800

41,272

Alkermes, Inc. (a)

4,300

74,562

AVEO Pharmaceuticals, Inc. (a)

23,073

391,780

Emergent BioSolutions, Inc. (a)

5,800

104,806

Nabi Biopharmaceuticals (a)

51,004

95,888

Neurocrine Biosciences, Inc. (a)

6,325

38,836

Osiris Therapeutics, Inc. (a)(e)

5,786

30,955

PDL BioPharma, Inc.

101,402

619,566

SciClone Pharmaceuticals, Inc. (a)

48,535

227,144

SuperGen, Inc. (a)

102,328

220,005

 

1,844,814

Health Care Equipment & Supplies - 3.4%

Accuray, Inc. (a)

939

4,639

ArthroCare Corp. (a)

16,802

544,889

Atrion Corp.

200

42,980

Cantel Medical Corp.

10,710

267,000

CONMED Corp. (a)

5,000

117,250

Greatbatch, Inc. (a)

18,169

406,077

Haemonetics Corp. (a)

1,724

107,767

Invacare Corp.

17,330

435,330

Kensey Nash Corp. (a)

10,968

301,181

OraSure Technologies, Inc. (a)

6,200

45,446

RTI Biologics, Inc. (a)

67,563

227,012

Sirona Dental Systems, Inc. (a)

10,262

478,825

SurModics, Inc. (a)

5,200

55,432

Symmetry Medical, Inc. (a)

4,452

37,085

Thoratec Corp. (a)

15,355

526,062

Young Innovations, Inc.

7,269

199,243

 

3,796,218

Health Care Providers & Services - 4.2%

Alliance Healthcare Services, Inc. (a)

4,100

6,519

American Dental Partners, Inc. (a)

18,867

207,160

AMERIGROUP Corp. (a)

8,063

398,877

Centene Corp. (a)

21,054

671,412

Chemed Corp.

5,212

302,557

Chindex International, Inc. (a)

5,922

62,536

Continucare Corp. (a)(e)

21,370

135,913

Five Star Quality Care, Inc. (a)

93,135

302,689

Magellan Health Services, Inc. (a)

13,350

665,765

Molina Healthcare, Inc. (a)

22,300

428,829

National Healthcare Corp.

461

15,872

PharMerica Corp. (a)

41,835

616,230

Providence Service Corp. (a)

9,538

101,484

Select Medical Holdings Corp. (a)

711

5,155

Common Stocks - continued

Shares

Value

HEALTH CARE - continued

Health Care Providers & Services - continued

Triple-S Management Corp. (a)

2,700

$ 46,035

Wellcare Health Plans, Inc. (a)

16,512

756,745

 

4,723,778

Health Care Technology - 0.2%

Computer Programs & Systems, Inc.

2,500

177,050

HealthStream, Inc. (a)

6,400

79,424

 

256,474

Life Sciences Tools & Services - 0.3%

Affymetrix, Inc. (a)

52,416

293,530

Medtox Scientific, Inc.

1,600

22,400

 

315,930

Pharmaceuticals - 0.7%

Cornerstone Therapeutics, Inc. (a)

6,486

50,526

Par Pharmaceutical Companies, Inc. (a)

3,297

98,020

ViroPharma, Inc. (a)

29,854

591,408

 

739,954

TOTAL HEALTH CARE

11,677,168

INDUSTRIALS - 12.9%

Aerospace & Defense - 3.5%

AAR Corp.

1,374

32,413

AeroVironment, Inc. (a)(e)

17,200

492,952

American Science & Engineering, Inc.

776

52,333

Ceradyne, Inc. (a)

14,476

453,967

Cubic Corp.

6,179

259,085

Curtiss-Wright Corp.

21,837

672,361

Ducommun, Inc.

2,200

40,832

Esterline Technologies Corp. (a)

9,992

752,298

Hexcel Corp. (a)

32,000

735,040

LMI Aerospace, Inc. (a)

3,189

62,887

Moog, Inc. Class A (a)

9,803

390,944

 

3,945,112

Air Freight & Logistics - 0.5%

Atlas Air Worldwide Holdings, Inc. (a)(e)

10,168

499,045

Park-Ohio Holdings Corp. (a)

4,124

65,448

 

564,493

Airlines - 0.6%

Alaska Air Group, Inc. (a)

11,268

650,502

Spirit Airlines, Inc. (a)

3,933

47,511

 

698,013

Building Products - 0.1%

Gibraltar Industries, Inc. (a)

15,119

134,257

Commercial Services & Supplies - 1.8%

APAC Customer Services, Inc. (a)

27,800

234,910

Consolidated Graphics, Inc. (a)

6,820

263,116

Courier Corp.

1,000

7,410

Ennis, Inc.

2,700

42,849

 

Shares

Value

G&K Services, Inc. Class A

17,539

$ 494,951

Intersections, Inc.

13,500

205,200

M&F Worldwide Corp. (a)

4,500

98,550

Multi-Color Corp.

3,614

94,036

Steelcase, Inc. Class A

21,900

181,332

Tetra Tech, Inc. (a)

10,152

202,126

TMS International Corp.

3,100

22,847

Unifirst Corp. Massachusetts

3,900

201,942

 

2,049,269

Construction & Engineering - 0.8%

Great Lakes Dredge & Dock Corp.

66,286

324,139

Layne Christensen Co. (a)

8,400

235,788

MasTec, Inc. (a)

9,432

209,390

Pike Electric Corp. (a)

2,693

22,729

Sterling Construction Co., Inc. (a)

6,050

77,198

 

869,244

Electrical Equipment - 0.4%

Brady Corp. Class A

2,212

60,830

Franklin Electric Co., Inc.

9,931

426,139

 

486,969

Industrial Conglomerates - 0.1%

Tredegar Corp.

3,411

57,100

Machinery - 3.2%

Alamo Group, Inc.

2,600

59,618

Albany International Corp. Class A

8,643

187,899

Ampco-Pittsburgh Corp.

900

19,197

Astec Industries, Inc. (a)

4,714

163,152

Briggs & Stratton Corp.

4,492

72,546

Cascade Corp.

6,700

286,425

CLARCOR, Inc.

9,296

432,636

Colfax Corp. (a)

13,418

336,523

Hurco Companies, Inc. (a)

2,133

58,615

Kadant, Inc. (a)

18,477

430,514

L.B. Foster Co. Class A

3,193

78,229

Nordson Corp.

10,416

457,262

RBC Bearings, Inc. (a)

7,300

255,135

Sauer-Danfoss, Inc. (a)

2,700

116,721

Sun Hydraulics Corp.

688

20,255

Tennant Co.

7,820

343,767

Twin Disc, Inc.

4,882

189,568

 

3,508,062

Professional Services - 0.9%

Barrett Business Services, Inc.

400

5,724

CBIZ, Inc. (a)(e)

11,681

79,548

GP Strategies Corp. (a)

2,004

24,970

Huron Consulting Group, Inc. (a)

1,059

33,666

ICF International, Inc. (a)

3,300

74,811

Insperity, Inc.

10,964

273,004

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

12,649

192,265

On Assignment, Inc. (a)

4,129

31,380

SFN Group, Inc. (a)

17,753

248,720

 

964,088

Common Stocks - continued

Shares

Value

INDUSTRIALS - continued

Road & Rail - 0.7%

AMERCO (a)

6,037

$ 442,572

Arkansas Best Corp.

10,900

225,085

Quality Distribution, Inc. (a)

4,500

54,990

 

722,647

Trading Companies & Distributors - 0.3%

Applied Industrial Technologies, Inc.

8,656

265,047

DXP Enterprises, Inc. (a)

1,962

47,265

SeaCube Container Leasing Ltd.

4,300

57,147

 

369,459

TOTAL INDUSTRIALS

14,368,713

INFORMATION TECHNOLOGY - 15.2%

Communications Equipment - 1.4%

Anaren, Inc. (a)

20,185

400,269

Black Box Corp.

3,915

96,779

Communications Systems, Inc.

2,600

37,908

Comtech Telecommunications Corp.

10,200

283,968

DG FastChannel, Inc. (a)

19,151

419,407

Plantronics, Inc.

7,720

247,426

Riverbed Technology, Inc. (a)

2,735

67,773

 

1,553,530

Computers & Peripherals - 0.1%

Cray, Inc. (a)

12,530

70,982

Xyratex Ltd.

6,300

54,054

 

125,036

Electronic Equipment & Components - 3.0%

Anixter International, Inc.

9,759

575,879

Brightpoint, Inc. (a)

22,305

212,567

Coherent, Inc. (a)

9,634

425,919

Daktronics, Inc.

2,900

27,956

Electro Scientific Industries, Inc. (a)

21,600

326,592

Insight Enterprises, Inc. (a)

17,839

335,730

Measurement Specialties, Inc. (a)

5,703

178,105

MTS Systems Corp.

2,585

93,370

Multi-Fineline Electronix, Inc. (a)

3,513

66,852

Newport Corp. (a)

28,807

372,763

OSI Systems, Inc. (a)

6,671

259,502

PC Connection, Inc. (a)

1,800

16,038

Pulse Electronics Corp.

52,106

175,076

Rogers Corp. (a)

420

20,945

SYNNEX Corp. (a)

5,000

131,700

Tessco Technologies, Inc.

3,561

51,884

Vishay Precision Group, Inc. (a)

4,100

61,500

X-Rite, Inc. (a)

8,933

32,695

 

3,365,073

Internet Software & Services - 0.4%

InfoSpace, Inc. (a)

24,223

231,572

 

Shares

Value

Liquidity Services, Inc. (a)

5,672

$ 136,128

Perficient, Inc. (a)

2,900

25,520

 

393,220

IT Services - 3.0%

CACI International, Inc. Class A (a)

12,013

661,436

Cardtronics, Inc. (a)

12,700

314,452

CSG Systems International, Inc. (a)

2,855

38,143

Euronet Worldwide, Inc. (a)

9,201

149,700

Global Cash Access Holdings, Inc. (a)

12,400

37,200

Heartland Payment Systems, Inc.

2,874

61,820

Jack Henry & Associates, Inc.

9,923

290,149

Maximus, Inc.

14,934

552,409

Ness Technologies, Inc. (a)

51,600

395,256

Teletech Holdings, Inc. (a)

27,126

481,215

Unisys Corp. (a)

173

3,043

VeriFone Systems, Inc. (a)

11,916

419,682

 

3,404,505

Semiconductors & Semiconductor Equipment - 1.8%

ATMI, Inc. (a)

3,372

57,762

DSP Group, Inc. (a)

98

634

Entegris, Inc. (a)

63,418

476,903

GT Advanced Technologies, Inc. (a)(e)

32,887

401,550

Kulicke & Soffa Industries, Inc. (a)

54,566

474,724

Lattice Semiconductor Corp. (a)(e)

36,735

206,818

LTX-Credence Corp. (a)

55,951

318,361

Tessera Technologies, Inc. (a)

2,398

33,764

 

1,970,516

Software - 5.5%

ACI Worldwide, Inc. (a)

17,645

527,762

Actuate Corp. (a)

6,300

40,131

Aspen Technology, Inc. (a)

39,800

668,242

Fair Isaac Corp.

22,322

570,327

JDA Software Group, Inc. (a)

10,000

264,100

Manhattan Associates, Inc. (a)

16,067

573,431

Monotype Imaging Holdings, Inc. (a)

39,324

460,484

NetScout Systems, Inc. (a)

4,182

57,712

Opnet Technologies, Inc.

11,270

388,815

Progress Software Corp. (a)

22,032

458,927

QAD, Inc.:

Class A

10,828

124,089

Class B

3,690

37,896

Quest Software, Inc. (a)

23,001

396,307

Renaissance Learning, Inc.

5,670

88,225

S1 Corp. (a)

6,800

62,492

Take-Two Interactive Software, Inc. (a)

38,337

506,815

TeleCommunication Systems, Inc. Class A (a)

25,560

96,872

TeleNav, Inc. (a)

28,032

259,296

Common Stocks - continued

Shares

Value

INFORMATION TECHNOLOGY - continued

Software - continued

TIBCO Software, Inc. (a)

20,024

$ 448,137

Verint Systems, Inc. (a)

5,038

143,986

 

6,174,046

TOTAL INFORMATION TECHNOLOGY

16,985,926

MATERIALS - 6.5%

Chemicals - 3.6%

Ferro Corp. (a)

24,385

204,102

FutureFuel Corp.

1,641

18,527

Georgia Gulf Corp. (a)

10,679

226,288

H.B. Fuller Co.

26,755

593,158

Innophos Holdings, Inc.

7,400

307,914

Innospec, Inc. (a)

10,400

281,320

LSB Industries, Inc. (a)

12,600

503,370

Minerals Technologies, Inc.

2,500

145,025

OM Group, Inc. (a)

15,473

489,411

Rockwood Holdings, Inc. (a)

9,492

484,092

Senomyx, Inc. (a)(e)

13,975

59,673

Sensient Technologies Corp.

3,614

131,369

TPC Group, Inc. (a)

14,010

446,919

W.R. Grace & Co. (a)

4,068

160,361

 

4,051,529

Containers & Packaging - 0.1%

Myers Industries, Inc.

11,791

128,286

Metals & Mining - 1.4%

Golden Star Resources Ltd. (a)

108,842

264,547

Handy & Harman Ltd. (a)

2,452

34,867

Hecla Mining Co. (a)

78,117

599,157

Noranda Aluminium Holding Corp. (a)

15,298

173,938

Worthington Industries, Inc.

27,500

446,875

 

1,519,384

Paper & Forest Products - 1.4%

Buckeye Technologies, Inc.

21,798

592,688

Domtar Corp.

6,113

490,996

Glatfelter

16,652

239,123

Kapstone Paper & Packaging Corp. (a)

18,466

277,544

 

1,600,351

TOTAL MATERIALS

7,299,550

TELECOMMUNICATION SERVICES - 1.3%

Diversified Telecommunication Services - 1.3%

Consolidated Communications Holdings, Inc.

19,248

367,829

Global Crossing Ltd. (a)

14,938

424,986

HickoryTech Corp.

1,858

17,744

 

Shares

Value

inContact, Inc. (a)

3,120

$ 12,449

Premiere Global Services, Inc. (a)

5,500

45,980

Vonage Holdings Corp. (a)

146,554

530,525

 

1,399,513

UTILITIES - 3.1%

Electric Utilities - 2.1%

Cleco Corp.

19,099

678,587

El Paso Electric Co.

19,436

672,291

Empire District Electric Co.

10,361

214,991

MGE Energy, Inc.

4,158

175,260

Portland General Electric Co.

26,299

634,332

 

2,375,461

Gas Utilities - 0.4%

Chesapeake Utilities Corp.

5,751

234,567

Piedmont Natural Gas Co., Inc.

1,164

35,968

Southwest Gas Corp.

4,389

162,481

 

433,032

Multi-Utilities - 0.5%

Avista Corp.

4,723

119,870

NorthWestern Energy Corp.

14,198

481,454

 

601,324

Water Utilities - 0.1%

California Water Service Group

3,372

63,663

TOTAL UTILITIES

3,473,464

TOTAL COMMON STOCKS

(Cost $103,251,305)

105,787,030

U.S. Treasury Obligations - 0.6%

 

Principal Amount

 

U.S. Treasury Bills, yield at date of purchase 0.03% to 0.06% 12/15/11 to 3/8/12 (f)
(Cost $719,867)

$ 720,000

719,917

Money Market Funds - 7.1%

Shares

Value

Dreyfus Cash Management Institutional Shares, 0.10% (c)

3,723,727

$ 3,723,727

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

4,175,129

4,175,129

TOTAL MONEY MARKET FUNDS

(Cost $7,898,856)

7,898,856

TOTAL INVESTMENT PORTFOLIO - 102.5%

(Cost $111,870,028)

114,405,803

NET OTHER ASSETS (LIABILITIES) - (2.5)%

(2,772,152)

NET ASSETS - 100%

$ 111,633,651

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/(Depreciation)

Purchased

Equity Index Contracts

80 NYFE Russell Mini Index Contracts

Sept. 2011

$ 5,809,600

$ 271,845

 

The face value of futures purchased as a percentage of net assets is 5.2%

Legend

(a) Non-income producing

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

(c) The rate quoted is the annualized seven-day yield of the fund at period end.

(d) Investment made with cash collateral received from securities on loan.

(e) Security or a portion of the security is on loan at period end.

(f) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $519,965.

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 Securities Lending Cash Central Fund

$ 32,877

Other Information

The following is a summary of the inputs used, as of August 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Consumer Discretionary

$ 15,683,941

$ 15,683,941

$ -

$ -

Consumer Staples

5,589,566

5,589,566

-

-

Energy

8,010,891

8,010,891

-

-

Financials

21,298,298

21,298,298

-

-

Health Care

11,677,168

11,677,168

-

-

Industrials

14,368,713

14,368,713

-

-

Information Technology

16,985,926

16,985,926

-

-

Materials

7,299,550

7,299,550

-

-

Telecommunication Services

1,399,513

1,399,513

-

-

Utilities

3,473,464

3,473,464

-

-

U.S. Government and Government Agency Obligations

719,917

-

719,917

-

Money Market Funds

7,898,856

7,898,856

-

-

Total Investments in Securities:

$ 114,405,803

$ 113,685,886

$ 719,917

$ -

Derivative Instruments:

Assets

Futures Contracts

$ 271,845

$ 271,845

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ 271,845

$ -

Total Value of Derivatives

$ 271,845

$ -

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities.

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

Semiannual Report

Fidelity Small Cap Enhanced Index Fund

Financial Statements

Statement of Assets and Liabilities

  

August 31, 2011 (Unaudited)

 

 

 

Assets

Investment in securities, at value (including securities loaned of $3,988,440) - See accompanying schedule:

Unaffiliated issuers (cost $107,694,899)

$ 110,230,674

 

Fidelity Central Funds (cost $4,175,129)

4,175,129

 

Total Investments (cost $111,870,028)

 

$ 114,405,803

Segregated cash with broker for futures contracts

149,600

Receivable for investments sold

1,348,734

Receivable for fund shares sold

149,619

Dividends receivable

52,843

Interest receivable

14

Distributions receivable from Fidelity Central Funds

2,859

Receivable for daily variation margin on futures contracts

31,574

Other receivables

205

Total assets

116,141,251

 

 

 

Liabilities

Payable for investments purchased

$ 199,940

Payable for fund shares redeemed

72,472

Accrued management fee

46,613

Other affiliated payables

13,446

Collateral on securities loaned, at value

4,175,129

Total liabilities

4,507,600

 

 

 

Net Assets

$ 111,633,651

Net Assets consist of:

 

Paid in capital

$ 98,335,267

Undistributed net investment income

345,980

Accumulated undistributed net realized gain (loss) on investments

10,144,784

Net unrealized appreciation (depreciation) on investments

2,807,620

Net Assets, for 11,757,170 shares outstanding

$ 111,633,651

Net Asset Value, offering price and redemption price per share ($111,633,651 ÷ 11,757,170 shares)

$ 9.49

Statement of Operations

Six months ended August 31, 2011 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 706,938

Interest

 

2,798

Income from Fidelity Central Funds

 

32,877

Total income

 

742,613

 

 

 

Expenses

Management fee

$ 307,353

Transfer agent fees

88,760

Independent trustees' compensation

347

Miscellaneous

184

Total expenses before reductions

396,644

Expense reductions

(11)

396,633

Net investment income (loss)

345,980

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

10,328,395

Futures contracts

238,420

Total net realized gain (loss)

 

10,566,815

Change in net unrealized appreciation (depreciation) on:

Investment securities

(22,687,635)

Futures contracts

10,717

Total change in net unrealized appreciation (depreciation)

 

(22,676,918)

Net gain (loss)

(12,110,103)

Net increase (decrease) in net assets resulting from operations

$ (11,764,123)

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

Semiannual Report

Statement of Changes in Net Assets

  

Six months ended August 31, 2011 (Unaudited)

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 345,980

$ 640,023

Net realized gain (loss)

10,566,815

11,838,428

Change in net unrealized appreciation (depreciation)

(22,676,918)

17,477,961

Net increase (decrease) in net assets resulting from operations

(11,764,123)

29,956,412

Distributions to shareholders from net investment income

-

(740,549)

Distributions to shareholders from net realized gain

(3,429,144)

-

Share transactions
Proceeds from sales of shares

35,033,021

62,154,022

Reinvestment of distributions

3,277,320

708,498

Cost of shares redeemed

(25,383,887)

(63,524,536)

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

12,926,454

(662,016)

Redemption fees

71,295

32,519

Total increase (decrease) in net assets

(2,195,518)

28,586,366

 

 

 

Net Assets

Beginning of period

113,829,169

85,242,803

End of period (including undistributed net investment income of $345,980 and undistributed net investment income of $0, respectively)

$ 111,633,651

$ 113,829,169

Other Information

Shares

Sold

3,339,547

6,638,981

Issued in reinvestment of distributions

311,236

71,090

Redeemed

(2,515,236)

(6,671,411)

Net increase (decrease)

1,135,547

38,660

Financial Highlights

 

Six months ended August 31, 2011

Years ended February 28,

 

(Unaudited)

2011

2010

2009

2008 G

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 10.72

$ 8.05

$ 5.20

$ 9.03

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .03

.06

.05

.09

.02

Net realized and unrealized gain (loss)

  (.96)

2.67

2.86

(3.87)

(.99)

Total from investment operations

  (.93)

2.73

2.91

(3.78)

(.97)

Distributions from net investment income

  -

(.06)

(.06)

(.06)

-

Distributions from net realized gain

  (.31)

-

-

-

-

Redemption fees added to paid in capital D

  .01

- I

- I

.01

- I

Net asset value, end of period

$ 9.49

$ 10.72

$ 8.05

$ 5.20

$ 9.03

Total Return B, C

  (8.89)%

34.01%

55.93%

(41.94)%

(9.70)%

Ratios to Average Net Assets E, H

 

 

 

 

 

Expenses before reductions

  .67% A

.67%

.67%

.67%

.67% A

Expenses net of fee waivers, if any

  .67% A

.67%

.67%

.67%

.67% A

Expenses net of all reductions

  .67% A

.67%

.67%

.67%

.67% A

Net investment income (loss)

  .59% A

.63%

.77%

1.29%

1.19% A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 111,634

$ 113,829

$ 85,243

$ 57,443

$ 6,343

Portfolio turnover rate F

  131% A

90%

98% J

36% J

16%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period December 20, 2007 (commencement of operations) to February 29, 2008.

H 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.

I Amount represents less than $.01 per share.

J Reflects adjustments to exclude transactions in money market mutual funds.

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

Semiannual Report

Fidelity International Enhanced Index Fund

Investment Changes (Unaudited)

Geographic Diversification (% of fund's net assets)

As of August 31, 2011

fid34

Japan

22.2%

 

fid36

United Kingdom

18.8%

 

fid38

Australia

8.6%

 

fid40

France

8.2%

 

fid42

Switzerland

7.2%

 

fid44

Germany

7.0%

 

fid46

United States of America

3.7%

 

fid48

Spain

3.1%

 

fid50

Hong Kong

2.9%

 

fid52

Other

18.3%

 

fid54

Percentages are adjusted for the effect of futures contracts, if applicable.

As of February 28, 2011

fid34

Japan

20.6%

 

fid36

United Kingdom

18.6%

 

fid38

Australia

9.3%

 

fid40

Germany

8.7%

 

fid42

France

7.9%

 

fid44

United States of America

6.7%

 

fid46

Switzerland

5.7%

 

fid48

Netherlands

2.6%

 

fid50

Sweden

2.6%

 

fid52

Other

17.3%

 

fid66

Percentages are adjusted for the effect of futures contracts, if applicable.

Asset Allocation

 

% of fund's
net assets

% of fund's net assets
6 months ago

Stocks and Equity Futures

99.6

98.7

Short-Term Investments and Net Other Assets

0.4

1.3

Top Ten Stocks as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Nestle SA (Switzerland, Food Products)

1.8

1.2

BHP Billiton Ltd. (Australia, Metals & Mining)

1.6

1.6

Roche Holding AG (participation certificate) (Switzerland, Pharmaceuticals)

1.6

1.2

BP PLC (United Kingdom, Oil, Gas & Consumable Fuels)

1.5

1.5

Total SA (France, Oil, Gas & Consumable Fuels)

1.3

1.1

GlaxoSmithKline PLC sponsored ADR (United Kingdom, Pharmaceuticals)

1.4

1.1

Vodafone Group PLC (United Kingdom, Wireless Telecommunication Services)

1.1

1.0

Novartis AG (Switzerland, Pharmaceuticals)

1.0

0.8

Rio Tinto PLC (United Kingdom, Metals & Mining)

1.0

1.1

Commonwealth Bank of Australia (Australia, Commercial Banks)

1.0

1.0

 

13.3

Market Sectors as of August 31, 2011

 

% of fund's
net assets

% of fund's net assets
6 months ago

Financials

21.3

22.8

Industrials

12.0

12.3

Consumer Discretionary

11.1

11.3

Materials

9.9

10.4

Consumer Staples

9.7

8.2

Health Care

9.0

8.2

Energy

8.2

7.1

Utilities

5.4

4.8

Information Technology

5.1

4.3

Telecommunication Services

4.8

4.1

Semiannual Report

Fidelity International Enhanced Index Fund

Investments August 31, 2011 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 96.5%

Shares

Value

Australia - 8.6%

AGL Energy Ltd.

3,674

$ 60,821

ASX Ltd.

829

25,727

Australia & New Zealand Banking Group Ltd.

3,440

74,642

BHP Billiton Ltd.

9,346

397,800

Coca-Cola Amatil Ltd.

2,647

33,346

Commonwealth Bank of Australia

4,690

241,847

Crown Ltd.

7,400

65,920

CSL Ltd.

2,370

71,270

DuluxGroup Ltd.

2,500

7,112

Fortescue Metals Group Ltd.

14,860

96,142

Fosters Group Ltd.

13,957

74,330

Insurance Australia Group Ltd.

18,100

58,843

MAp Group unit

8,600

28,970

National Australia Bank Ltd.

2,950

74,830

Newcrest Mining Ltd.

249

10,718

Orica Ltd.

2,500

62,747

QBE Insurance Group Ltd.

2,245

33,899

Rio Tinto Ltd.

2,044

158,518

Telstra Corp. Ltd.

22,400

72,582

Wesfarmers Ltd.

3,000

98,652

Wesfarmers Ltd. (price protected shares)

3,056

102,422

Westfield Group unit

6,049

52,656

Westfield Retail Trust unit

7,479

20,955

Westpac Banking Corp.

4,051

89,242

Woolworths Ltd.

3,482

93,910

TOTAL AUSTRALIA

2,107,901

Austria - 0.9%

OMV AG

1,320

52,150

Telekom Austria AG

700

7,774

Vienna Insurance Group AG Wien

1,774

82,677

Voestalpine AG

2,039

78,623

TOTAL AUSTRIA

221,224

Bailiwick of Guernsey - 0.4%

Resolution Ltd.

23,148

100,131

Bailiwick of Jersey - 0.8%

Experian PLC

9,747

111,341

Petrofac Ltd.

4,090

90,784

TOTAL BAILIWICK OF JERSEY

202,125

Belgium - 1.2%

Anheuser-Busch InBev SA NV

2,829

156,171

Bekaert SA

868

49,400

Delhaize Group SA

645

43,256

KBC Groupe SA

606

17,151

Mobistar SA

580

37,647

Umicore SA

51

2,468

TOTAL BELGIUM

306,093

 

Shares

Value

Bermuda - 0.5%

Orient Overseas International Ltd.

15,000

$ 74,078

Yue Yuen Industrial (Holdings) Ltd.

15,500

42,703

TOTAL BERMUDA

116,781

Denmark - 0.7%

Novo Nordisk A/S Series B

1,505

160,333

Novozymes A/S Series B

45

6,591

TOTAL DENMARK

166,924

Finland - 1.8%

Fortum Corp.

3,400

91,440

KCI Konecranes Oyj

3

82

Kone Oyj (B Shares)

1,920

113,755

Nokia Corp.

14,771

95,021

Nokian Tyres PLC

1,646

61,057

Stora Enso Oyj (R Shares)

8,332

60,928

Wartsila Corp.

1,126

31,334

TOTAL FINLAND

453,617

France - 8.2%

Air Liquide SA

169

21,978

AXA SA

2,102

33,762

BIC SA

1,118

108,577

BNP Paribas SA

1,600

82,452

Bouygues SA

702

26,953

Carrefour SA

844

22,505

CNP Assurances

1,600

28,296

Compagnie de St. Gobain

1,858

93,519

Compagnie Generale de Geophysique SA (a)

2,720

68,873

Credit Agricole SA

6,959

68,194

Danone

370

25,284

France Telecom SA

5,170

98,785

GDF Suez

2,623

82,734

Gecina SA

684

76,589

Hermes International SA

313

119,613

Legrand SA

1,200

47,659

LVMH Moet Hennessy - Louis Vuitton

146

24,740

Natixis SA

7,165

28,709

Peugeot Citroen SA

1,660

50,869

Sanofi-aventis

1,738

126,762

Schneider Electric SA

249

33,304

Societe Generale Series A

1,885

63,261

Technip SA

201

19,625

Total SA

6,497

317,317

Unibail-Rodamco

490

105,981

VINCI SA

1,400

73,161

Vivendi

6,026

146,870

TOTAL FRANCE

1,996,372

Germany - 7.0%

Allianz AG

1,110

114,387

BASF AG

2,834

202,230

Common Stocks - continued

Shares

Value

Germany - continued

Bayer AG

2,785

$ 179,608

Bayerische Motoren Werke AG (BMW)

438

35,458

Commerzbank AG (a)

27,455

81,608

Daimler AG (Germany)

1,188

64,293

Deutsche Bank AG

2,820

114,066

Deutsche Boerse AG (a)

677

39,250

Deutsche Telekom AG

5,892

74,541

E.ON AG

3,722

81,572

Infineon Technologies AG

9,805

83,631

Kabel Deutschland Holding AG (a)

1,821

101,899

Linde AG

865

132,472

Munich Re Group

33

4,308

SAP AG

1,560

85,082

Siemens AG

2,270

233,535

Volkswagen AG

97

14,751

Wacker Chemie AG

446

64,972

TOTAL GERMANY

1,707,663

Greece - 0.6%

Coca-Cola Hellenic Bottling Co. SA

554

11,373

Greek Organization of Football Prognostics SA

6,459

78,874

Public Power Corp. of Greece

5,294

45,634

TOTAL GREECE

135,881

Hong Kong - 2.9%

Bank of East Asia Ltd.

81

319

Cheung Kong Holdings Ltd.

9,000

126,347

CLP Holdings Ltd.

10,000

92,670

Hang Seng Bank Ltd.

2,000

29,464

Henderson Land Development Co. Ltd.

24

140

Hutchison Whampoa Ltd.

13,000

124,645

Kerry Properties Ltd.

8,000

34,576

New World Development Co. Ltd.

21,389

27,280

Power Assets Holdings Ltd.

3,500

27,152

Sun Hung Kai Properties Ltd.

3,495

49,244

Wharf Holdings Ltd.

17,000

108,301

Wheelock and Co. Ltd.

25,000

87,661

TOTAL HONG KONG

707,799

Ireland - 0.1%

CRH PLC

27

477

Kerry Group PLC Class A

680

26,377

TOTAL IRELAND

26,854

Israel - 0.9%

Bank Hapoalim BM (Reg.)

20,797

86,362

Israel Chemicals Ltd.

6,004

86,623

Teva Pharmaceutical Industries Ltd.

1,406

58,076

TOTAL ISRAEL

231,061

Italy - 2.2%

Assicurazioni Generali SpA

1,101

19,898

 

Shares

Value

Enel SpA

30,026

$ 146,665

ENI SpA

3,382

68,007

EXOR SpA

2,813

67,288

Finmeccanica SpA

4,420

32,893

Intesa Sanpaolo SpA

20,964

34,154

Intesa Sanpaolo SpA (Risparmio Shares)

35,170

48,026

Pirelli & C SpA

9,165

76,763

Telecom Italia SpA

19,506

23,661

UniCredit SpA

9,662

13,083

TOTAL ITALY

530,438

Japan - 22.2%

Aisin Seiki Co. Ltd.

2,800

93,908

Ajinomoto Co., Inc.

2,000

23,717

Asahi Glass Co. Ltd.

4,000

39,375

Bank of Yokohama Ltd.

7,000

35,179

Canon, Inc.

4,500

212,334

Central Japan Railway Co.

15

125,413

Chiba Bank Ltd.

4,000

26,135

Chubu Electric Power Co., Inc.

4,200

79,582

Daito Trust Construction Co. Ltd.

1,200

111,258

Daiwa House Industry Co. Ltd.

8,000

99,391

DeNA Co. Ltd.

2,400

125,162

Denso Corp.

3,700

118,280

East Japan Railway Co.

1,700

102,091

Eisai Co. Ltd.

3,000

128,033

Electric Power Development Co. Ltd.

900

25,307

Elpida Memory, Inc. (a)

3,700

25,995

Fanuc Corp.

100

16,644

Fuji Heavy Industries Ltd.

13,000

81,550

Fujifilm Holdings Corp.

2,000

48,585

GREE, Inc.

4,500

145,966

Hino Motors Ltd.

4,000

23,235

Hitachi Ltd.

26,000

140,639

Honda Motor Co. Ltd.

5,300

172,689

Idemitsu Kosan Co. Ltd.

900

94,371

INPEX Corp.

12

81,803

JGC Corp.

3,000

85,577

JTEKT Corp.

6,800

83,991

Jupiter Telecommunications Co.

40

44,624

Kansai Electric Power Co., Inc.

1,900

33,754

Kao Corp.

1,300

34,534

KDDI Corp.

20

150,030

Kirin Holdings Co. Ltd.

2,000

26,680

Kuraray Co. Ltd.

2,000

28,837

Marubeni Corp.

8,000

50,725

Mitsubishi Corp.

700

16,842

Mitsubishi UFJ Financial Group, Inc.

47,600

215,867

Mitsui & Co. Ltd.

5,500

94,360

Mizuho Financial Group, Inc.

101,600

155,066

Nippon Meat Packers, Inc.

7,000

87,360

Nippon Telegraph & Telephone Corp.

400

18,727

Nishi-Nippon City Bank Ltd.

26,000

75,249

Nissan Motor Co. Ltd.

14,300

131,486

Common Stocks - continued

Shares

Value

Japan - continued

Nisshin Seifun Group, Inc.

3,500

$ 44,386

Nitto Denko Corp.

700

27,422

NTN Corp.

17,000

85,359

NTT Data Corp.

16

51,645

NTT DoCoMo, Inc.

18

32,811

ORIX Corp.

380

34,509

Osaka Gas Co. Ltd.

13,000

52,841

Panasonic Corp.

2,000

21,256

Resona Holdings, Inc.

23,100

105,129

Sega Sammy Holdings, Inc.

5,000

116,178

Shinsei Bank Ltd.

35,000

41,906

SOFTBANK CORP.

200

6,649

Sony Corp.

2,700

59,285

Sony Financial Holdings, Inc.

3,600

56,864

Sumitomo Corp.

4,300

56,355

Sumitomo Heavy Industries Ltd.

6,000

36,337

Sumitomo Mitsui Financial Group, Inc.

3,100

91,778

Suzuki Motor Corp.

4,800

98,951

Takeda Pharmaceutical Co. Ltd.

3,800

184,036

Tokio Marine Holdings, Inc.

2,600

70,965

Tokyo Gas Co. Ltd.

11,000

50,613

Tokyu Land Corp.

15,000

61,602

TonenGeneral Sekiyu KK

3,000

34,420

Toyo Suisan Kaisha Ltd.

1,500

39,715

Toyoda Gosei Co. Ltd.

2,300

41,629

Toyota Motor Corp.

4,700

169,308

Yamada Denki Co. Ltd.

720

52,942

Yamato Holdings Co. Ltd.

7,100

123,957

Yamazaki Baking Co. Ltd.

5,000

73,465

TOTAL JAPAN

5,432,664

Luxembourg - 0.0%

Aperam

47

864

Netherlands - 2.5%

Akzo Nobel NV

372

18,940

ING Groep NV (Certificaten Van Aandelen) (a)

15,707

136,310

Koninklijke Ahold NV

7,745

90,239

Koninklijke KPN NV

2,705

38,317

Koninklijke Philips Electronics NV

242

5,119

Royal DSM NV

1,895

95,177

STMicroelectronics NV

9,011

59,772

Unilever NV (Certificaten Van Aandelen) (Bearer) unit

4,740

160,675

TOTAL NETHERLANDS

604,549

New Zealand - 0.6%

Fletcher Building Ltd.

8,805

58,399

Sky City Entertainment Group Ltd.

32,295

92,506

TOTAL NEW ZEALAND

150,905

 

Shares

Value

Norway - 0.8%

StatoilHydro ASA

6,227

$ 149,613

Telenor ASA

3,400

56,849

TOTAL NORWAY

206,462

Portugal - 0.2%

Portugal Telecom SGPS SA (Reg.)

6,948

59,819

Singapore - 1.6%

Ascendas Real Estate Investment Trust (A-REIT)

5,000

8,803

ComfortDelgro Corp. Ltd.

20,000

22,837

Oversea-Chinese Banking Corp. Ltd.

9,333

67,816

SembCorp Marine Ltd.

21,000

70,977

Singapore Airlines Ltd.

9,000

82,511

UOL Group Ltd.

24,000

91,081

Yangzijiang Shipbuilding Holdings Ltd.

60,000

57,798

TOTAL SINGAPORE

401,823

Spain - 3.1%

Amadeus IT Holding SA Class A

5,232

104,555

Banco Bilbao Vizcaya Argentaria SA

6,241

56,634

Banco Santander SA (Spain)

14,442

133,454

Distribuidora Internacional de Alimentacion SA (a)

844

3,638

Gas Natural SDG SA

5,310

97,189

Iberdrola SA

10,216

75,351

Inditex SA

821

69,944

Repsol YPF SA

2,174

62,684

Telefonica SA

6,930

144,091

Vallehermoso SA (a)

104

799

TOTAL SPAIN

748,339

Sweden - 2.5%

Alfa Laval AB

1,600

31,416

Getinge AB (B Shares)

362

9,346

H&M Hennes & Mauritz AB (B Shares)

461

14,366

Nordea Bank AB

1,287

11,874

Scania AB (B Shares)

4,742

86,005

Svenska Cellulosa AB (SCA) (B Shares)

5,000

67,461

Swedbank AB (A Shares)

1,169

16,086

Swedish Match Co.

3,230

117,215

Tele2 AB (B Shares)

2,729

57,587

Telefonaktiebolaget LM Ericsson (B Shares)

7,561

84,865

Volvo AB (B Shares)

8,481

105,466

TOTAL SWEDEN

601,687

Switzerland - 7.2%

ABB Ltd. (Reg.)

8,897

189,713

Compagnie Financiere Richemont SA Series A

216

12,537

Credit Suisse Group

2,031

58,230

Givaudan SA

54

52,191

Nestle SA

7,130

441,512

Novartis AG

4,297

250,679

Common Stocks - continued

Shares

Value

Switzerland - continued

Pargesa Holding SA

913

$ 74,592

Roche Holding AG (participation certificate)

2,181

381,810

Straumann Holding AG

170

32,460

Sulzer AG (Reg.)

90

12,115

The Swatch Group AG (Bearer)

100

45,658

Transocean Ltd. (Switzerland)

1,893

105,172

UBS AG (a)

6,080

87,892

Zurich Financial Services AG

86

19,398

TOTAL SWITZERLAND

1,763,959

United Kingdom - 18.8%

Anglo American PLC (United Kingdom)

3,270

136,326

AstraZeneca PLC:

(United Kingdom)

1,860

88,098

sponsored ADR

3,188

151,175

Aviva PLC

5,824

32,102

BAE Systems PLC

18,290

81,760

Barclays PLC

49,879

137,854

BG Group PLC

5,166

111,732

BHP Billiton PLC

4,530

154,225

BP PLC

55,975

365,452

British American Tobacco PLC (United Kingdom)

2,972

132,266

BT Group PLC

25,000

69,356

Cable & Wireless PLC

14,975

8,605

Centrica PLC

16,449

79,914

Compass Group PLC

2,648

23,691

Diageo PLC

4,000

80,395

GlaxoSmithKline PLC

2,172

46,253

GlaxoSmithKline PLC sponsored ADR

7,029

301,052

HSBC Holdings PLC:

(United Kingdom)

25,004

217,846

sponsored ADR

1,973

85,944

Imperial Tobacco Group PLC

2,110

69,961

ITV PLC (a)

84,341

83,881

Land Securities Group PLC

1,841

22,016

Legal & General Group PLC

53,160

90,634

Lloyds Banking Group PLC (a)

7,148

3,900

Marks & Spencer Group PLC

19,061

99,722

National Grid PLC

8,337

84,016

Next PLC

2,789

106,876

Old Mutual PLC

52,366

101,950

Pearson PLC

3,305

59,754

Reckitt Benckiser Group PLC

170

9,040

Rexam PLC

17,472

100,402

Rio Tinto PLC

4,109

250,544

Royal Dutch Shell PLC:

Class A (United Kingdom)

6,532

218,565

Class B

4,430

149,122

SABMiller PLC

354

12,830

Scottish & Southern Energy PLC

6,255

132,035

Serco Group PLC

7,550

62,890

 

Shares

Value

Standard Chartered PLC (United Kingdom)

2,986

$ 67,879

Tesco PLC

10,024

61,623

Unilever PLC

5,187

174,101

Vedanta Resources PLC

1,480

33,788

Vodafone Group PLC

97,309

255,434

Xstrata PLC

2,079

36,425

TOTAL UNITED KINGDOM

4,591,434

United States of America - 0.2%

Synthes, Inc.

306

54,594

TOTAL COMMON STOCKS

(Cost $24,064,301)

23,627,963

Nonconvertible Preferred Stocks - 0.0%

 

 

 

 

Germany - 0.0%

Volkswagen AG
(Cost $1,060)

12

1,999

Government Obligations - 0.6%

 

Principal Amount

 

United States of America - 0.6%

U.S. Treasury Bills, yield at date of purchase 0.04% to 0.09% 9/29/11 to 1/19/12 (b)
(Cost $134,986)

$ 135,000

134,993

Money Market Funds - 1.9%

Shares

 

Dreyfus Cash Management Institutional Shares, 0.10% (c)
(Cost $466,581)

466,581

466,581

TOTAL INVESTMENT PORTFOLIO - 99.0%

(Cost $24,666,928)

24,231,536

NET OTHER ASSETS (LIABILITIES) - 1.0%

249,462

NET ASSETS - 100%

$ 24,480,998

Futures Contracts

Expiration Date

Underlying Face Amount at Value

Unrealized Appreciation/(Depreciation)

Purchased

Equity Index Contracts

10 NYSE E-mini MSCI EAFE Index Contracts

Sept. 2011

$ 759,900

$ (78,361)

 

The face value of futures purchased as a percentage of net assets is 3.1%

Legend

(a) Non-income producing

(b) 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 $104,995.

(c) The rate quoted is the annualized seven-day yield 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 Securities Lending Cash Central Fund

$ 1,555

Other Information

The following is a summary of the inputs used, as of August 31, 2011, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

Investments in Securities:

Equities:

Japan

$ 5,432,664

$ -

$ 5,432,664

$ -

United Kingdom

4,591,434

2,072,151

2,519,283

-

Australia

2,107,901

1,710,101

397,800

-

France

1,996,372

1,384,635

611,737

-

Switzerland

1,763,959

1,177,445

586,514

-

Germany

1,709,662

1,276,979

432,683

-

Spain

748,339

414,160

334,179

-

Hong Kong

707,799

707,799

-

-

Netherlands

604,549

242,673

361,876

-

Other

3,967,283

3,111,240

856,043

-

Government Obligations

134,993

-

134,993

-

Money Market Funds

466,581

466,581

-

-

Total Investments in Securities:

$ 24,231,536

$ 12,563,764

$ 11,667,772

$ -

Derivative Instruments:

Liabilities

Futures Contracts

$ (78,361)

$ (78,361)

$ -

$ -

Value of Derivative Instruments

The following table is a summary of the Fund's value of derivative instruments by risk exposure as of August 31, 2011. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

Risk Exposure /
 Derivative Type

Value

 

Asset

Liability

Equity Risk

Futures Contracts (a)

$ -

$ (78,361)

Total Value of Derivatives

$ -

$ (78,361)

(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities.

Income Tax Information

At February 28, 2011, the Fund had a capital loss carryforward of approximately $3,656,500 of which $1,011,502, $1,890,764 and $754,234 will expire in fiscal 2017, 2018 and 2019, respectively. Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited.

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

Semiannual Report

Fidelity International Enhanced Index Fund

Financial Statements

Statement of Assets and Liabilities

  

August 31, 2011 (Unaudited)

 

 

 

Assets

Investment in securities, at value - See accompanying schedule:

Unaffiliated issuers (cost $24,666,928)

 

$ 24,231,536

Foreign currency held at value (cost $88,384)

88,316

Receivable for fund shares sold

64,753

Dividends receivable

97,267

Interest receivable

10

Receivable for daily variation margin on futures contracts

13,150

Total assets

24,495,032

 

 

 

Liabilities

Payable for fund shares redeemed

$ 1,452

Accrued management fee

9,538

Transfer agent fee payable

3,044

Total liabilities

14,034

 

 

 

Net Assets

$ 24,480,998

Net Assets consist of:

 

Paid in capital

$ 27,737,187

Undistributed net investment income

480,772

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

(3,228,001)

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

(508,960)

Net Assets, for 3,539,263 shares outstanding

$ 24,480,998

Net Asset Value, offering price and redemption price per share ($24,480,998 ÷ 3,539,263 shares)

$ 6.92

Statement of Operations

Six months ended August 31, 2011 (Unaudited)

 

  

  

Investment Income

  

  

Dividends

 

$ 619,193

Interest

 

732

Income from Fidelity Central Funds

 

1,555

Income before foreign taxes withheld

 

621,480

Less foreign taxes withheld

 

(54,852)

Total income

 

566,628

 

 

 

Expenses

Management fee

$ 62,271

Transfer agent fees

19,898

Independent trustees' compensation

76

Miscellaneous

40

Total expenses

82,285

Net investment income (loss)

484,343

Realized and Unrealized Gain (Loss)

Net realized gain (loss) on:

Investment securities:

 

 

Unaffiliated issuers

540,290

Foreign currency transactions

30,146

Futures contracts

10,038

Total net realized gain (loss)

 

580,474

Change in net unrealized appreciation (depreciation) on:

Investment securities

(3,876,458)

Assets and liabilities in foreign currencies

(7,656)

Futures contracts

(153,298)

Total change in net unrealized appreciation (depreciation)

 

(4,037,412)

Net gain (loss)

(3,456,938)

Net increase (decrease) in net assets resulting from operations

$ (2,972,595)

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

Semiannual Report

Fidelity International Enhanced Index Fund
Financial Statements - continued

Statement of Changes in Net Assets

  

Six months ended August 31, 2011 (Unaudited)

Year ended
February 28,
2011

Increase (Decrease) in Net Assets

 

 

Operations

 

 

Net investment income (loss)

$ 484,343

$ 552,203

Net realized gain (loss)

580,474

(834,033)

Change in net unrealized appreciation (depreciation)

(4,037,412)

3,872,862

Net increase (decrease) in net assets resulting from operations

(2,972,595)

3,591,032

Distributions to shareholders from net investment income

(53,507)

(534,394)

Distributions to shareholders from net realized gain

(17,836)

-

Total distributions

(71,343)

(534,394)

Share transactions
Proceeds from sales of shares

7,335,270

14,443,401

Reinvestment of distributions

67,866

507,651

Cost of shares redeemed

(5,353,944)

(12,491,341)

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

2,049,192

2,459,711

Redemption fees

677

1,042

Total increase (decrease) in net assets

(994,069)

5,517,391

 

 

 

Net Assets

Beginning of period

25,475,067

19,957,676

End of period (including undistributed net investment income of $480,772 and undistributed net investment income of $49,936, respectively)

$ 24,480,998

$ 25,475,067

Other Information

Shares

Sold

976,724

2,066,221

Issued in reinvestment of distributions

8,848

70,971

Redeemed

(726,272)

(1,891,969)

Net increase (decrease)

259,300

245,223

Financial Highlights

 

Six months ended August 31, 2011

Years ended February 28,

 

(Unaudited)

2011

2010

2009

2008 G

Selected Per-Share Data

 

 

 

 

 

Net asset value, beginning of period

$ 7.77

$ 6.58

$ 4.42

$ 9.35

$ 10.00

Income from Investment Operations

 

 

 

 

 

Net investment income (loss) D

  .14

.17

.15

.18

.03

Net realized and unrealized gain (loss)

  (.97)

1.19

2.17

(4.96)

(.68)

Total from investment operations

  (.83)

1.36

2.32

(4.78)

(.65)

Distributions from net investment income

  (.02)

(.17)

(.14)

(.14)

-

Distributions from net realized gain

  (.01)

-

(.02)

(.01)

-

Total distributions

  (.02) K

(.17)

(.16)

(.15)

-

Redemption fees added to paid in capital D, J

  -

-

-

-

-

Net asset value, end of period

$ 6.92

$ 7.77

$ 6.58

$ 4.42

$ 9.35

Total Return B, C

  (10.71)%

20.95%

52.44%

(51.52)%

(6.50)%

Ratios to Average Net Assets E, H

 

 

 

 

 

Expenses before reductions

  .62% A

.62%

.62%

.62%

.62% A

Expenses net of fee waivers, if any

  .62% A

.62%

.62%

.62%

.62% A

Expenses net of all reductions

  .62% A

.62%

.62%

.62%

.62% A

Net investment income (loss)

  3.66% A

2.50%

2.39%

2.69%

1.58% A

Supplemental Data

 

 

 

 

 

Net assets, end of period (000 omitted)

$ 24,481

$ 25,475

$ 19,958

$ 12,950

$ 7,273

Portfolio turnover rate F

  38% A

32%

22% I

42% I

15%

A Annualized

B Total returns for periods of less than one year are not annualized.

C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.

D Calculated based on average shares outstanding during the period.

E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.

F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.

G For the period December 20, 2007 (commencement of operations) to February 29, 2008.

H 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.

I Reflects adjustments to exclude transactions in money market mutual funds.

J Amount represents less than $.01 per share.

K Total distributions of $.02 per share is comprised of distributions from net investment income of $.015 and distributions from net realized gain of $.005 per share.

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

Semiannual Report

Notes to Financial Statements

For the period ended August 31, 2011 (Unaudited)

1. Organization.

Fidelity Large Cap Growth Enhanced Index Fund, Fidelity Large Cap Value Enhanced Index Fund, Fidelity Large Cap Core Enhanced Index Fund, Fidelity Mid Cap Enhanced Index Fund, Fidelity Small Cap Enhanced Index Fund and Fidelity International Enhanced Index Fund (the Funds) are funds of Fidelity Commonwealth Trust II (the Trust) and are 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 Delaware statutory trust.

2. 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 Funds:

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Each Fund uses independent pricing services approved by the Board of Trustees to value their investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.

Each Fund categorizes the inputs to valuation techniques used to value their investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2011, is included at the end of each Fund's Schedule of Investments. Valuation techniques used to value each Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

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

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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Significant Accounting Policies - continued

Foreign Currency - continued

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 Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

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

Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. A fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on each 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 transactions, foreign currency transactions, passive foreign investment companies (PFIC), market discount, capital loss carryforwards, 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 for each Fund:

 

Tax
cost

Gross unrealized
appreciation

Gross unrealized
depreciation

Net unrealized
appreciation
(depreciation)
on securities and
other investments

Fidelity Large Cap Growth Enhanced Index Fund

$ 98,556,201

$ 10,313,475

$ (3,309,683)

$ 7,003,792

Fidelity Large Cap Value Enhanced Index Fund

96,902,511

7,984,331

(6,984,594)

999,737

Fidelity Large Cap Core Enhanced Index Fund

118,051,610

3,362,033

(25,445,643)

(22,083,610)

Fidelity Mid Cap Enhanced Index Fund

72,289,909

6,607,776

(6,414,877)

192,899

Fidelity Small Cap Enhanced Index Fund

111,955,954

12,490,640

(10,040,791)

2,449,849

Fidelity International Enhanced Index Fund

24,688,342

2,942,120

(3,398,926)

(456,806)

Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the Act), the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years, which generally expire after eight years from when they are incurred. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The Funds' first fiscal year end subject to the Act will be February 29, 2012.

Short Term Trading (Redemption) Fees. Shares held by investors of Fidelity Small Cap Enhanced Index Fund less than 90 days are subject to a redemption fee equal to 1.50% of the net asset value of shares redeemed. Shares held by investors of Fidelity Mid Cap Enhanced Index Fund and Fidelity International Enhanced Index Fund less than 30 days are subject to a redemption fee equal to 0.75% and 1.00%, respectively, of the net asset

Semiannual Report

2. Significant Accounting Policies - continued

Short Term Trading (Redemption) Fees - continued

value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Funds and accounted for as an addition to paid in capital. For Fidelity Small Cap Enhanced Index Fund, total redemption fees include $40,341 paid by an affiliate of FMR for fees not paid to the fund in prior periods.

New Accounting Pronouncement. In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Funds' financial statement disclosures.

3. Derivative Instruments.

Risk Exposures and the Use of Derivative Instruments. The Funds used derivative instruments (derivatives), including futures contracts in order to meet their investment objectives. The strategy is to use derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Funds may not achieve their objectives.

The Funds' use of derivatives increased or decreased their exposure to the following risks:

Equity Risk

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

The Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Funds will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Funds. The Funds' maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Funds. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Funds, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.

Risk Exposure / Derivative Type

Net Realized
Gain (Loss)

Change in Net
Unrealized
Appreciation
(Depreciation)

Fidelity Large Cap Growth Enhanced Index Fund

 

 

Equity Risk

 

 

Futures Contracts

$ (447,758)

$ 142,784

Total (a)

$ (447,758)

$ 142,784

Fidelity Large Cap Value Enhanced Index Fund

 

 

Equity Risk

 

 

Futures Contracts

$ (122,784)

$ (21,522)

Total (a)

$ (122,784)

$ (21,522)

Fidelity Large Cap Core Enhanced Index Fund

 

 

Equity Risk

 

 

Futures Contracts

$ (35,727)

$ 100,366

Total (a)

$ (35,727)

$ 100,366

Fidelity Mid Cap Enhanced Index Fund

 

 

Equity Risk

 

 

Futures Contracts

$ (298,764)

$ 29,928

Total (a)

$ (298,764)

$ 29,928

Fidelity Small Cap Enhanced Index Fund

 

 

Equity Risk

 

 

Futures Contracts

$ 238,420

$ 10,717

Total (a)

$ 238,420

$ 10,717

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Derivative Instruments - continued

Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives - continued

Risk Exposure / Derivative Type

Net Realized
Gain (Loss)

Change in Net
Unrealized
Appreciation
(Depreciation)

Fidelity International Enhanced Index Fund

 

 

Equity Risk

 

 

Futures Contracts

$ 10,038

$ (153,298)

Total (a)

$ 10,038

$ (153,298)

(a) A summary of the value of derivatives by risk exposure as of period end, is included at the end of the Schedule of Investments and is representative of activity for the period.

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 Funds used futures contracts to manage their exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.

The underlying face amount at value of open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.

Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, are noted in the table below.

 

Purchases ($)

Sales ($)

Fidelity Large Cap Growth Enhanced Index Fund

47,200,284

30,081,187

Fidelity Large Cap Value Enhanced Index Fund

42,641,252

37,490,067

Fidelity Large Cap Core Enhanced Index Fund

171,898,813

1,024,965,838

Fidelity Mid Cap Enhanced Index Fund

50,434,786

36,030,889

Fidelity Small Cap Enhanced Index Fund

86,913,609

74,531,617

Fidelity International Enhanced Index Fund

7,891,354

4,738,198

5. Fees and Other Transactions with Affiliates.

Management Fee and Expense Contract. Strategic Advisers, Inc. (Strategic Advisers), an affiliate of Fidelity Management & Research Company (FMR), provides the Funds with investment management related services. For these services, the Funds pay a monthly management fee to Strategic Advisers. The management fee is based on an annual rate of 0.30% of average net assets for Fidelity Large Cap Growth Enhanced Index, Fidelity Large Cap Value Enhanced Index and Fidelity Large Cap Core Enhanced Index, 0.45% of average net assets for Fidelity Mid Cap Enhanced Index, 0.52% of average net assets for Fidelity Small Cap Enhanced Index and 0.47% of average net assets for Fidelity International Enhanced Index. Under the management contract, Strategic Advisers pays all other ordinary fund-wide operating expenses (such as custody, audit, legal and pricing and bookkeeping fees), except the compensation of the independent Trustees and certain other expenses such as interest expense. The management fee paid to Strategic Advisers by the Funds is reduced by an amount equal to the fees and expenses paid by the Funds to the independent Trustees.

Semiannual Report

5. Fees and Other Transactions with Affiliates - continued

Management Fee and Expense Contract - continued

In addition, under the expense contract, Strategic Advisers pays other expenses such as those listed above for each of the Funds so that the total expenses do not exceed certain amounts of each Fund's average net assets with certain exceptions, as noted in the following table:

Fidelity Large Cap Growth Enhanced Index Fund

.45%

Fidelity Large Cap Value Enhanced Index Fund

.45%

Fidelity Large Cap Core Enhanced Index Fund

.45%

Fidelity Mid Cap Enhanced Index Fund

.60%

Fidelity Small Cap Enhanced Index Fund

.67%

Fidelity International Enhanced Index Fund

.62%

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

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the Funds' transfer, dividend disbursing and shareholder servicing agent. FIIOC receives account fees and asset-based fees that vary according to type of account. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. Under the expense contract, each fund paid transfer agent fees at the annualized rate of 0.15% of average net assets.

6. Investments in Fidelity Central Funds.

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

The Fidelity Securities Lending Cash Central Fund seeks preservation of capital and current income and is managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.

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

Interfund Lending Program. Pursuant to an Exemptive Order issued by the SEC, the Funds, along with other registered investment companies having management contracts with FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the funds to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Each applicable fund's activity in this program during the period for which loans were outstanding was as follows:

 

Borrower or
Lender

Average Daily Loan Balance

Weighted Average Interest Rate

Interest
Expense

Fidelity Large Cap Core Enhanced Index Fund

Borrower

$ 79,198,500

.40%

$ 1,769

7. Committed Line of Credit.

Certain Funds participate with other funds managed by FMR or an affiliate in a $4.0 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are as follows:

Fidelity Large Cap Growth Enhanced Index Fund

$ 106

Fidelity Large Cap Value Enhanced Index Fund

132

Fidelity Large Cap Core Enhanced Index Fund

1,278

Fidelity Mid Cap Enhanced Index Fund

99

Fidelity Small Cap Enhanced Index Fund

184

Fidelity International Enhanced Index Fund

40

During the period, there were no borrowings on this line of credit.

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

8. Security Lending.

Certain Funds lend portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, each applicable 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 Funds and any additional required collateral is delivered to the Funds on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on each applicable Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented on each applicable Fund's Statement of Operations as a component of income from Fidelity Central Funds.

 

Total Security
Lending Income

Fidelity Large Cap Growth Enhanced Index Fund

$ 4,329

Fidelity Large Cap Value Enhanced Index Fund

7,284

Fidelity Large Cap Core Enhanced Index Fund

17,794

Fidelity Mid Cap Enhanced Index Fund

9,385

Fidelity Small Cap Enhanced Index Fund

32,877

Fidelity International Enhanced Index Fund

1,555

9. Expense Reductions.

Through arrangements with each applicable Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.

 

Expense
reduction

Fidelity Large Cap Core Enhanced Index Fund

$ 32

Fidelity Small Cap Enhanced Index Fund

11

10. Other.

The Funds' 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 Funds. In the normal course of business, the Funds may also enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is considered remote.

At the end of the period, Strategic Advisers U.S. Opportunity II Fund was the owner of record of approximately 32% of the total outstanding shares of Fidelity Large Cap Core Enhanced Index Fund.

Semiannual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)

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

Press

fid68For mutual fund and brokerage trading.

fid70For quotes.*

fid72For account balances and holdings.

fid74To review orders and mutual fund activity.

fid76To change your PIN.

fid78fid80To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)

Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains distributions, and the effects of any sales charges.

Semiannual Report

Investment Adviser

Strategic Advisers, Inc.
Boston, MA

Investment Sub-Adviser

Geode Capital Management, LLC
Boston, MA

General Distributor

Fidelity Distributors Corporation
Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.
Boston, MA 

Fidelity Service Company, Inc.
Boston, MA 

Custodian

The Bank of New York Mellon
New York, NY

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®) fid82
1-800-544-5555

fid82
Automated line for quickest service 

GEI-USAN-1011
1.855141.104

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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 II's Board of Trustees.

Item 11. Controls and Procedures

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

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

Item 12. Exhibits

(a)

(1)

Not applicable.

(a)

(2)

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

(a)

(3)

Not applicable.

(b)

 

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

SIGNATURES

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

Fidelity Commonwealth Trust II

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

October 27, 2011

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

By:

/s/Kenneth B. Robins

 

Kenneth B. Robins

 

President and Treasurer

 

 

Date:

October 27, 2011

By:

/s/Nicholas E. Steck

 

Nicholas E. Steck

 

Chief Financial Officer

 

 

Date:

October 27, 2011