(registered trademark)
FIDELITY
U.S. EQUITY INDEX
PORTFOLIO
SEMIANNUAL REPORT
AUGUST 31, 1995
UEI-SANN-1095
4141
CHECK PAGE NUMBERS !!!
CONTENTS
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PRESIDENT'S MESSAGE 3 Ned Johnson on investing strategies.
PERFORMANCE 4 How the fund has done over time.
FUND TALK 6 The manager's review of fund performance,
strategy and outlook.
INVESTMENT CHANGES 8 A summary of major shifts in the fund's investments
over the past six months.
INVESTMENTS 9 A complete list of the fund's investments
with their market values.
FINANCIAL STATEMENTS 17 Statements of assets and liabilities, operations, and
changes in net assets, as well as financial
highlights.
NOTES 21 Notes to the financial statements.
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THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR
THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE
FUND. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE
INVESTORS IN THE FUND UNLESS PRECEDED OR ACCOMPANIED BY AN
EFFECTIVE PROSPECTUS.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED BY,
ANY DEPOSITORY
INSTITUTION. SHARES ARE NOT INSURED BY THE FDIC, THE FEDERAL RESERVE BOARD
OR ANY OTHER AGENCY,
AND ARE SUBJECT TO INVESTMENT RISK, INCLUDING THE POSSIBLE LOSS OF
PRINCIPAL. NEITHER THE FUND NOR
FIDELITY DISTRIBUTORS CORPORATION IS A BANK.
FOR MORE INFORMATION ON ANY FIDELITY FUND INCLUDING CHARGES AND EXPENSES,
CALL THE APPROPRIATE NUMBER LISTED BELOW. READ
THE PROSPECTUS CAREFULLY BEFORE YOU INVEST OR SEND MONEY.
RETIREMENT PLAN LEVEL ACCOUNTS
CORPORATE CLIENTS (800) 962-1375
"NOT FOR PROFIT" CLIENTS (800) 343-0860
FINANCIAL AND OTHER INSTITUTIONS
NATIONWIDE (800) 843-3001
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
Although the markets have been fairly positive this year, no one can
predict what lies ahead for investors. Last year, stocks posted
below-average returns and bonds had one of the worst years in history. This
downturn followed a period in which the investing environment was generally
very positive.
These market ups and downs are a normal part of investing, and there are
some basic principles that are helpful for investors to remember in
different types of markets.
If you can leave your money invested over the long term, you can avoid the
results of the volatility that generally accompanies the stock market in
the short term, as we witnessed last year. You also can help to manage some
of the risks of investing through diversification. A stock fund is already
diversified because it invests in many issues. You can diversify even
further by placing some of your money in several different types of stock
funds or in other investment categories, such as bonds.
If you have a short investment time horizon, you might want to consider
moving some of your investment into a money market fund, which seeks income
and a stable share price by investing in high-quality, short-term
investments. Of course, there is no assurance that a money market fund will
achieve its goal, and it is important to remember that money market funds
are not insured or guaranteed by any agency of the U.S. government.
Finally, no matter what your investment horizon or portfolio diversity, it
makes good sense to follow a regular investment plan - investing a certain
amount of money at the same time each month or quarter - and to review your
portfolio periodically. A periodic investment plan will not, of course,
assure a profit or protect against a loss.
Remember to contact your investment professional if you need help with your
investments.
Best regards,
Edward C. Johnson 3d
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate a fund's historical performance. You can
look at the total percentage change in value, the average annual percentage
change, or the growth of a hypothetical $100,000 investment. Each
performance figure includes changes in a fund's share price, plus
reinvestment of any dividends (or income) and capital gains (the profits
the fund earns when it sells stocks that have grown in value). If Fidelity
had not reimbursed certain expenses during the periods shown, the total
returns would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED AUGUST 31, 1995 PAST 6 PAST 1 PAST 5 LIFE OF
MONTHS YEAR YEARS FUND
Fidelity U.S. Equity Index 16.62% 21.20% 99.40% 168.82%
S&P 500(registered trademark) 16.81% 21.45% 102.17% 174.80%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, six months, one year, five years, or
since the fund started on February 17, 1988. For example, if you had
invested $1,000 in a fund that had a 5% return over the past year, you
would have $1,050. For comparison, you can look at the performance of the
Standard & Poor's Composite Index of 500 Stocks (S&P 500(registered
trademark)) - a common proxy for the U.S. stock market. This benchmark
includes reinvested dividends and capital gains, if any.
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED AUGUST 31, 1995 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
Fidelity U.S. Equity Index 21.20% 14.80% 14.01%
S&P 500(registered trademark) 21.45% 15.12% 14.34%
AVERAGE ANNUAL TOTAL RETURNS take the fund's actual (or cumulative) return
and show you what would have happened if the fund had performed at a
constant rate each year.
$100,000 OVER LIFE OF FUND
U.S. Equity Index (6Standard & Poor's
02/17/88 100000.00 100000.00
02/29/88 103400.00 103287.20
03/31/88 100200.00 100095.63
04/30/88 100900.00 101206.69
05/31/88 101700.00 102087.19
06/30/88 106307.66 106772.99
07/31/88 106106.12 106367.25
08/31/88 102478.56 102750.77
09/30/88 106727.95 107127.95
10/31/88 109774.42 110106.11
11/30/88 108149.64 108531.59
12/31/88 110097.82 110430.89
01/31/89 118116.15 118514.43
02/28/89 115237.77 115563.42
03/31/89 117909.83 118256.05
04/30/89 124121.06 124393.54
05/31/89 129090.04 129431.48
06/30/89 128241.53 128693.72
07/31/89 139909.33 140314.76
08/31/89 142513.74 143064.93
09/30/89 141893.01 142478.36
10/31/89 138644.36 139172.87
11/30/89 141473.83 142011.99
12/31/89 144725.54 145420.28
01/31/90 134955.49 135662.58
02/28/90 136673.30 137412.63
03/31/90 140223.80 141054.06
04/30/90 136761.48 137527.71
05/31/90 150069.76 150936.66
06/30/90 148986.99 149910.29
07/31/90 148442.05 149430.58
08/31/90 134818.51 135922.05
09/30/90 128134.08 129302.65
10/31/90 127584.62 128746.65
11/30/90 135826.52 137063.68
12/31/90 139466.56 140887.76
01/31/91 145578.64 147030.47
02/28/91 155913.61 157543.14
03/31/91 159698.26 161355.69
04/30/91 160033.99 161742.94
05/31/91 166860.62 168730.24
06/30/91 159228.10 161002.39
07/31/91 166552.82 168505.10
08/31/91 170496.90 172498.67
09/30/91 167580.91 169617.95
10/31/91 169850.12 171890.83
11/30/91 162929.04 164963.63
12/31/91 181531.43 183835.47
01/31/92 178058.25 180416.13
02/29/92 180373.71 182761.54
03/31/92 176779.44 179197.69
04/30/92 181906.86 184466.10
05/31/92 182839.12 185369.98
06/30/92 180038.56 182607.97
07/31/92 187427.76 190076.64
08/31/92 183557.23 186180.06
09/30/92 185665.45 188376.99
10/31/92 186137.58 189036.31
11/30/92 192511.35 195482.45
12/31/92 194881.43 197886.88
01/31/93 196428.11 199549.13
02/28/93 199045.56 202263.00
03/31/93 203226.03 206530.75
04/30/93 198196.34 201532.70
05/31/93 203494.42 206933.78
06/30/93 203983.98 207533.89
07/31/93 203136.06 206703.75
08/31/93 210888.42 214537.82
09/30/93 209194.01 212885.88
10/31/93 213458.30 217292.62
11/30/93 211387.07 215228.34
12/31/93 213970.37 217832.60
01/31/94 221156.41 225238.91
02/28/94 215085.45 219134.94
03/31/94 205615.39 209580.65
04/30/94 208239.11 212263.29
05/31/94 211615.97 215744.41
06/30/94 206450.46 210458.67
07/31/94 213244.07 217361.71
08/31/94 221799.00 226273.54
09/30/94 216368.29 220729.84
10/31/94 221176.47 225696.26
11/30/94 213078.48 217476.40
12/31/94 216308.29 220701.58
01/31/95 221808.74 226424.37
02/28/95 230507.12 235248.13
03/31/95 237188.64 242190.30
04/30/95 244138.93 249322.80
05/31/95 253796.32 259288.24
06/30/95 259633.20 265311.50
07/31/95 268175.46 274109.23
08/31/95 268822.61 274797.25
$100,000 OVER LIFE OF FUND: Let's say you invested $100,000 in Fidelity
U.S. Equity Index Portfolio on February 17, 1988, when the fund started. As
the chart shows, by August 31, 1995, the value of your investment would
have grown to $268,823 - a 168.82% increase on your initial investment. For
comparison, look at how the S&P 500 did over the same period. With
dividends reinvested, the same $100,000 investment in the S&P 500 would
have grown to $274,797 - a 174.80% increase.
UNDERSTANDING
PERFORMANCE
How a fund did yesterday is no guarantee of
how it will do tomorrow. The stock market, for
example, has a history of growth in the long
run and volatility in the short run. In turn, the
share price and return of a fund that invests
in stocks or bonds will vary. That means if you
sell your shares during a market downturn, you
might lose money. But if you can ride out the
market's ups and downs, you may have a gain.
(checkmark)
FUND TALK: THE MANAGER'S OVERVIEW
An interview with
Jennifer Farrelly,
Portfolio Manager
of Fidelity U.S.
Equity Index
Portfolio
Q. JENNIFER, HOW DID THE FUND DO?
A. The past six months have been rewarding for investors in U.S. stock
markets. From February 28, 1995, through August 31, 1995, the fund had a
total return of 16.62%. That compared to a total return of 16.81% for the
Standard & Poor's Composite Index of 500 Stocks - the fund's benchmark. For
the 12 months ended August 31, 1995, the fund rose 21.20%, while the index
was up 21.45%. The fund attempts to mimic the stock investments of the
index, so this slight difference in returns is due mainly to management and
other expenses.
Q. ASIDE FROM A SMALL DOWNWARD SLIDE IN AUGUST, STOCKS CONTINUED TO MOVE
STEADILY UPWARD OVER THE PAST SIX MONTHS. WHAT ACCOUNTED FOR THE ADVANCES?
A. The factors that have driven the market to new highs really haven't
changed much since the end of February. They remain excellent corporate
earnings and a favorable interest rate and economic backdrop.
Traditionally, stock prices tend to follow earnings over time, and scores
of U.S. companies have posted strong earnings in recent months. The growth
in the economy through the end of 1994 helped. In addition, effective
cost-cutting measures undertaken by many companies in recent years have
made their way to the bottom line in 1995. This year's improving interest
rate environment also has boosted stocks. In July, the Federal Reserve
Board reacted to economic weakness triggered by 1994's rising interest
rates by lowering the federal funds rate - the rate banks charge each other
for overnight loans. An environment of stable to falling interest rates
generally helps stocks in large part because companies can borrow money at
more attractive rates.
Q. THROUGH THE FIRST FEW MONTHS OF 1995, LARGE-CAPITALIZATION STOCKS LED
THE MARKET RALLY. IS THAT STILL THE CASE?
A. Momentum now seems to have swung back to the small- and mid-cap stocks,
which the rally somewhat left behind earlier this year and were pretty
cheap as a result. Near the end of 1994 and into 1995, investors began to
gravitate toward large U.S. companies that had traditionally offered steady
earnings growth in the face of higher interest rates. In addition, the weak
U.S. dollar enhanced the earnings generated by these companies' significant
overseas operations when converted back into U.S. dollars. That served to
further boost overall profitability. Examples of large-cap stocks that were
solid contributors to the fund's performance over the past six months
included Philip Morris, Coca-Cola and pharmaceutical company Merck.
However, as I said, small-cap stocks have picked up steam in recent months
and rebounded on the strength of excellent earnings growth and attractive
valuations - prices relative to earnings.
Q. OVERALL, WHICH SECTORS OF THE MARKET SHOWED THE STRONGEST PERFORMANCE
SINCE THE END OF FEBRUARY?
A. No doubt, the most explosive earnings growth of the past six months
belonged to the technology sector, which made up roughly 12% of the fund at
the end of the period. Corporations around the world have continued their
relentless commitment to technology and the greater efficiency it provides
in the workplace. That has maintained strong demand for personal computers
and related products. Semiconductor manufacturers Intel, Motorola and
Micron Technology have shown strong earnings growth due, in part, to the
consistently strong demand for their products. In addition, IBM benefited
from a multi-year cost-cutting effort and increasing revenues, while
Hewlett-Packard - which manufactures computers, calculators, workstations,
printers and the like - also experienced strong earnings growth and stock
performance.
Q. FINANCIAL STOCKS ALSO SEEMED TO TURN IN SOLID OVERALL PERFORMANCE . . .
A. They did. Earlier this year, the stocks of many banks and other
financial services companies were cheap, mainly due to concerns about the
impact of higher interest rates on profitability. As it turned out, many of
those concerns were unfounded as banks found ways to enhance profitability
through cost controls and other measures. In addition, there was a wave of
merger and acquisition activity in the sector, which drove prices higher.
The banking industry appears to be undergoing a rapid consolidation - the
$10 billion dollar merger of Chemical Banking and Chase Manhattan announced
in August is a good example.
Q. HOW ABOUT STOCKS THAT DIDN'T DO SO WELL?
A. Most were individual stories rather than part of an entire sector that
lagged. Examples included retailer Home Depot, which lost business due to
heavy rains in California and the Southeast; health maintenance
organization U.S. HealthCare, which was forced to cut prices in order to
gain subscribers; and General Mills, which experienced rising internal
costs at the same time that increased competition forced the company to cut
cereal prices.
Q. WHAT'S IN STORE FOR THE NEXT SIX MONTHS?
A. I can't predict movements in the market, but I can say that chances are
slim that we'll see gains in the second half of the year that rival those
posted in the first half. First, stocks are generally more expensive than
they were six months ago, which may mean that further gains this year may
be more difficult to come by. Second, with the economy growing at a slower
pace, it may be tough for many companies to sustain the strong earnings
growth that we saw from January through August. On the other hand, slower
economic growth may lead to further cuts in interest rates, which would
most likely be favorable for stocks. In addition, it appears as if
inflation is well under control for now. It should be an interesting next
six months.
FUND FACTS
GOAL: to provide returns consistent with those
of the Standard & Poor's 500 index
START DATE: February 17, 1988
SIZE: as of August 31, 1995, more than
$2.9 billion
MANAGER: Jennifer Farrelly, since January
1994; manager, Fidelity Market Index Fund
and VIP II: Index 500 Portfolio, since January
1994; manager, institutional enhanced index
funds, since 1988; joined Fidelity in 1988
(checkmark)
JENNIFER FARRELLY ON THE HISTORY OF THE S&P
500:
"The S&P 500 is the benchmark of stock
market performance against which many U.S.
portfolios are measured. Standard & Poor's
established the index in 1923 with only 233
companies to portray the price movement of
the stock market. Until 1976, the index only
included issues traded on the New York Stock
Exchange. However, over time, the configuration
of the index broadened to encompass new
sectors. Eventually, some stocks listed on the
American Stock Exchange and traded in the
over-the-counter market were included. The
total market value of the S&P 500 now
represents roughly 75% of the aggregate
market value of the entire New York Stock
Exchange."
(solid bullet) Top-performing S&P 500 groups over the
past six months include semiconductors,
communications equipment manufacturers and
defense companies. Groups posting the lowest
returns include manufactured homes, steel and
trucking.
INVESTMENT CHANGES
TOP TEN STOCKS AS OF AUGUST 31, 1995
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% OF FUND'S % OF FUND'S INVESTMENTS
INVESTMENTS IN THESE STOCKS
6 MONTHS AGO
General Electric Co. 2.3 2.5
AT&T Corp. 2.1 2.2
Exxon Corp. 2.0 2.1
Coca-Cola Company (The) 1.9 1.9
Royal Dutch Petroleum Co. 1.5 1.6
Philip Morris Companies, Inc. 1.5 1.4
Merck & Co., Inc. 1.4 1.4
International Business Machines Corp. 1.4 1.2
Wal-Mart Stores, Inc. 1.3 1.5
Microsoft Corp. 1.2 1.0
TOP TEN MARKET SECTORS AS OF AUGUST 31, 1995
% OF FUND'S % OF FUND'S INVESTMENTS
INVESTMENTS IN THESE MARKET SECTORS
6 MONTHS AGO
Utilities 12.1 12.7
Finance 12.0 10.8
Technology 11.6 9.5
Nondurables 10.6 11.3
Health 9.2 9.1
Energy 8.6 9.4
Basic Industries 7.1 7.2
Industrial Machinery & Equipment 5.1 5.4
Retail & Wholesale 4.8 5.4
Media & Leisure 4.7 5.0
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INVESTMENTS AUGUST 31, 1995 (UNAUDITED)
Showing Percentage of Total Value of Investment in Securities
COMMON STOCKS - 96.1%
SHARES VALUE (NOTE 1)
(000S)
AEROSPACE & DEFENSE - 1.7%
AEROSPACE & DEFENSE - 1.3%
Boeing Co. 236,904 $ 15,103
Lockheed Martin Corp. 139,086 8,467
McDonnell Douglas Corp. 80,336 6,447
Northrop Grumman Corp. 34,292 2,088
Rockwell International Corp. 150,184 6,721
38,826
DEFENSE ELECTRONICS - 0.3%
Loral Corp. 58,648 3,211
Raytheon Co. 85,466 6,912
10,123
SHIP BUILDING & REPAIR - 0.1%
General Dynamics Corp. 43,743 2,302
TOTAL AEROSPACE & DEFENSE 51,251
BASIC INDUSTRIES - 7.1%
CHEMICALS & PLASTICS - 3.7%
Air Products & Chemicals, Inc. 77,479 4,155
Avery Dennison Corp. 37,068 1,520
Dow Chemical Co. 191,321 14,158
du Pont (E.I.) de Nemours & Co. 383,386 25,064
Eastman Chemical Co. (a) 57,751 3,732
Engelhard Corp. 99,066 2,799
FMC Corp. (a) 25,446 1,959
First Mississippi Corp. 14,227 471
Goodrich (B.F.) Co. 18,048 1,074
Grace (W.R.) & Co. 65,334 4,353
Great Lakes Chemical Corp. 46,017 3,043
Hercules, Inc. 80,871 4,498
Minnesota Mining & Manufacturing Co. 291,329 15,914
Monsanto Co. 79,193 7,513
Morton International, Inc. 102,765 3,340
Nalco Chemical Co. 47,017 1,646
PPG Industries, Inc. 143,023 6,114
Praxair, Inc. 95,830 2,492
Raychem Corp. 29,468 1,293
Rohm & Haas Co. 47,027 2,810
Union Carbide Corp. 100,502 3,568
111,516
IRON & STEEL - 0.3%
Armco, Inc. (a) 73,487 459
Bethlehem Steel Corp. (a) 76,377 1,117
Inland Steel Industries, Inc. 33,667 922
Nucor Corp. 60,553 2,967
USX-U.S. Steel Group 56,437 1,848
Worthington Industries, Inc. 63,120 1,262
8,575
SHARES VALUE (NOTE 1)
(000S)
METALS & MINING - 0.9%
Alcan Aluminium Ltd. 155,849 $ 5,088
Aluminum Co. of America 123,700 7,066
ASARCO, Inc. 29,183 945
Cyprus Amax Minerals Co. 64,329 1,801
Freeport-McMoRan Copper &
Gold, Inc. Class B 143,000 3,343
Inco Ltd. 79,556 2,775
Phelps Dodge Corp. 48,189 3,054
Reynolds Metals Co. 43,709 2,612
26,684
PACKAGING & CONTAINERS - 0.3%
Ball Corp. 20,879 710
Bemis Co., Inc. 35,679 1,035
Corning, Inc. 158,884 5,184
Crown Cork & Seal Co., Inc. (a) 62,635 2,819
9,748
PAPER & FOREST PRODUCTS - 1.9%
Boise Cascade Corp. 32,774 1,405
Champion International Corp. 64,817 3,670
Crown Vantage, Inc. 5,688 138
Federal Paper Board Co., Inc. 31,702 1,256
Georgia-Pacific Corp. 62,794 5,651
International Paper Co. 87,839 7,192
James River Corp. of Virginia 56,881 1,977
Kimberly-Clark Corp. 111,279 7,108
Louisiana-Pacific Corp. 75,603 1,796
Mead Corp. 39,185 2,405
Potlatch Corp. 20,220 801
Scott Paper Co. 105,152 4,876
Stone Container Corp. (a) 62,794 1,366
Temple-Inland, Inc. 38,863 2,011
Union Camp Corp. 48,668 2,770
Westvaco Corp. 46,753 2,063
Weyerhaeuser Co. 142,688 6,564
Willamette Industries, Inc. 38,300 2,633
55,682
TOTAL BASIC INDUSTRIES 212,205
CONGLOMERATES - 1.3%
Allied-Signal, Inc. 197,337 8,757
Crane Co. 20,882 752
Dial Corp. (The) 64,450 1,547
Harris Corp. 26,921 1,551
ITT Corp. 73,335 8,773
Teledyne, Inc. 38,239 908
Textron, Inc. 59,458 4,073
Tyco International Ltd. 52,874 3,126
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
CONGLOMERATES - CONTINUED
United Technologies Corp. 85,559 $ 7,133
Whitman Corp. 72,711 1,463
38,083
CONSTRUCTION & REAL ESTATE - 0.5%
BUILDING MATERIALS - 0.3%
Armstrong World Industries, Inc. 25,958 1,489
Masco Corp. 109,008 3,052
Owens-Corning Fiberglas Corp. (a) 35,044 1,375
Sherwin-Williams Co. 59,156 2,122
8,038
CONSTRUCTION - 0.0%
Centex Corp. 19,838 580
Kaufman & Broad Home Corp. 22,402 300
Morrison-Knudsen Corp. 22,909 178
Pulte Corp. 17,728 479
1,537
ENGINEERING - 0.2%
EG & G, Inc. 37,237 708
Fluor Corp. 57,324 3,353
Foster Wheeler Corp. 24,960 920
4,981
TOTAL CONSTRUCTION & REAL ESTATE 14,556
DURABLES - 3.7%
AUTOS, TIRES, & ACCESSORIES - 2.9%
Chrysler Corp. 256,020 13,793
Cooper Tire & Rubber Co. 57,977 1,507
Cummins Engine Co., Inc. 28,397 1,115
Dana Corp. 70,301 2,100
Eaton Corp. 53,885 2,917
Echlin, Inc. 41,208 1,422
Ford Motor Co. 712,471 21,819
General Motors Corp. 518,545 24,372
Genuine Parts Co. 85,239 3,356
Goodyear Tire & Rubber Co. 105,242 4,210
Johnson Controls, Inc. 28,247 1,720
NACCO Industries, Inc. Class A 6,314 363
Navistar International Corp. (a) 52,204 679
PACCAR, Inc. 26,914 1,332
Pep Boys - Manny, Moe & Jack 42,772 1,176
Snap-on Tools Corp. 28,811 1,181
TRW, Inc. 45,237 3,523
86,585
CONSUMER ELECTRONICS - 0.3%
Black & Decker Corp. 56,880 1,841
Maytag Co. 74,592 1,156
SHARES VALUE (NOTE 1)
(000S)
Newell Co. 109,535 $ 2,738
Stanley Works 30,724 1,360
Whirlpool Corp. 51,231 2,792
9,887
HOME FURNISHINGS - 0.0%
Bassett Furniture Industries, Inc. 9,688 240
Interco, Inc., Series 2
(warrants) (a) 2 -
240
TEXTILES & APPAREL - 0.5%
Fruit of the Loom, Inc. Class A 52,600 1,236
Liz Claiborne, Inc. 52,868 1,203
NIKE, Inc. Class B 50,036 4,635
Reebok International Ltd. 55,502 1,970
Russell Corp. 27,117 746
Springs Industries, Inc. Class A 14,025 605
Stride Rite Corp. 34,533 388
VF Corp. 43,982 2,408
13,191
TOTAL DURABLES 109,903
ENERGY - 8.6%
COAL - 0.0%
Eastern Enterprises Co. 14,016 429
ENERGY SERVICES - 0.7%
Baker Hughes, Inc. 97,935 2,204
Dresser Industries, Inc. 126,540 3,037
Halliburton Co. 79,168 3,355
Helmerich & Payne, Inc. 17,072 489
McDermott International, Inc. 37,451 852
Rowan Companies, Inc. (a) 58,442 475
Schlumberger Ltd. 168,018 10,837
21,249
OIL & GAS - 7.9%
Amerada Hess Corp. 64,430 3,052
Amoco Corp. 344,560 21,966
Ashland, Inc. 43,243 1,416
Atlantic Richfield Co. 111,508 12,168
Burlington Resources, Inc. 87,711 3,563
Chevron Corp. 452,333 21,882
Coastal Corp. (The) 72,695 2,381
Exxon Corp. 862,032 59,265
Kerr-McGee Corp. 35,799 1,969
Louisiana Land & Exploration Co. 23,255 890
Mobil Corp. 274,630 26,159
Occidental Petroleum Corp. 220,290 4,791
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
ENERGY - CONTINUED
OIL & GAS - CONTINUED
Oryx Energy Co. (a) 71,783 $ 969
Pennzoil Co. 31,989 1,408
Phillips Petroleum Co. 181,752 5,975
Royal Dutch Petroleum Co. 371,895 44,348
Santa Fe Energy Resources, Inc. (a) 62,549 594
Sun Company, Inc. 53,037 1,412
Texaco, Inc. 180,150 11,665
USX-Marathon Group 206,288 4,255
Unocal Corp. 170,712 4,972
235,100
TOTAL ENERGY 256,778
FINANCE - 12.0%
BANKS - 5.9%
Banc One Corp. 274,283 9,223BankAmerica Corp. 259,781 14,678
Bank of Boston Corp. 77,935 3,429
Bank of New York Co., Inc. 132,548 5,766
Bankers Trust New York Corp. 54,311 3,741
Barnett Banks, Inc. 67,380 3,849
Boatmen's Bancshares, Inc. 87,247 3,228
Chase Manhattan Corp. 123,232 7,086
Chemical Banking Corp. 167,058 9,731
Citicorp 275,718 18,301
CoreStates Financial Corp. 100,135 3,705
First Chicago Corp. 62,533 3,963
First Fidelity Bancorporation 56,138 3,670
First Interstate Bancorp 53,359 5,096
First Union Corp. 119,866 6,008
Fleet Financial Group, Inc. 98,048 3,628
Keycorp 164,931 5,113
Mellon Bank Corp. 101,709 4,818
Morgan (J.P.) & Co., Inc. 130,231 9,491
NBD Bancorp, Inc. 111,157 3,974
National City Corp. 101,647 3,024
NationsBank Corp. 188,243 11,553
Norwest Corp. 224,767 6,771
PNC Financial Corp. 158,670 4,165
Republic New York Corp. 36,200 2,036
Shawmut National Corp. 86,402 2,797
SunTrust Banks, Inc. 79,751 4,895
U.S. Bancorp 68,171 1,951
Wachovia Corp. 118,719 4,719
Wells Fargo & Co. 34,530 6,436
176,845
SHARES VALUE (NOTE 1)
(000S)
CREDIT & OTHER FINANCE - 1.1%
American Express Co. 344,046 $ 13,891
Beneficial Corp. 36,627 1,799
Dean Witter Discover & Co. 117,110 5,973
Household International, Inc. 66,955 3,758
MBNA Corp. 103,133 3,661
Transamerica Corp. 48,148 3,274
32,356
FEDERAL SPONSORED CREDIT - 0.9%
Federal Home Loan Mortgage
Corporation 121,828 7,827
Federal National Mortgage Association 189,238 18,049
25,876
INSURANCE - 3.6%
Aetna Life & Casualty Co. 78,178 5,336
Alexander & Alexander Services, Inc. 30,673 709
Allstate Corp. 311,807 10,562
American General Corp. 142,040 5,007
American International Group, Inc. 328,773 26,507
CIGNA Corp. 50,016 4,839
Chubb Corp. (The) 60,406 5,512
General Re Corp. 56,942 8,463
Jefferson Pilot Corp. 33,677 2,117
Lincoln National Corp. 65,702 2,825
Loews Corp. 40,947 5,379
Marsh & McLennan Companies, Inc. 50,634 4,171
Providian Corp. 66,823 2,564
SAFECO Corp. 43,790 2,830
St. Paul Companies, Inc. (The) 58,505 3,174
Torchmark Corp. 49,712 1,988
Travelers, Inc. (The) 221,767 10,645
UNUM Corp. 50,452 2,422
USF&G Corp. 76,746 1,391
USLIFE Corp. 15,972 689
107,130
SAVINGS & LOANS - 0.2%
Ahmanson (H.F.) & Co. 72,165 1,714
Golden West Financial Corp. 41,045 1,960
Great Western Financial Corp. 93,632 2,189
5,863
SECURITIES INDUSTRY - 0.3%
Merrill Lynch & Co., Inc. 122,054 7,033
Salomon, Inc. 73,629 2,826
9,859
TOTAL FINANCE 357,929
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
HEALTH - 9.2%
DRUGS & PHARMACEUTICALS - 5.4%
Allergan, Inc. 42,703 $ 1,297
ALZA Corp. Class A (a) 56,878 1,351
American Home Products Corp. 213,869 16,468
Amgen, Inc. (a) 183,596 8,790
Bristol-Myers Squibb Co. 351,873 24,147
Lilly (Eli) & Co. 203,031 16,623
Merck & Co., Inc. 858,047 42,795
Pfizer, Inc. 438,144 21,633
Schering-Plough Corp. 258,240 12,040
Sigma Aldrich Corp. 34,533 1,658
Upjohn Co. 119,977 5,084
Warner-Lambert Co. 93,463 8,447
160,333
MEDICAL EQUIPMENT & SUPPLIES - 2.9%
Abbott Laboratories 553,695 21,456
Bard (C.R.), Inc. 36,115 1,120
Bausch & Lomb, Inc. 40,317 1,603
Baxter International, Inc. 193,861 7,561
Becton, Dickinson & Co. 46,554 2,624
Biomet, Inc. (a) 80,597 1,300
Boston Scientific Corp. 104,049 4,136
Johnson & Johnson 447,891 30,904
Mallinckrodt Group, Inc. 53,128 1,999
Medtronic, Inc. 80,136 7,563
Millipore Corp. 31,368 1,094
Pall Corp. 80,630 1,764
St. Jude Medical, Inc. 32,198 1,920
U.S. Surgical Corp. 39,433 1,001
86,045
MEDICAL FACILITIES MANAGEMENT - 0.9%
Beverly Enterprises, Inc. (a) 68,133 903
Columbia/HCA Healthcare Corp. 307,419 14,449
Community Psychiatric Centers 30,252 355
Manor Care, Inc. 43,263 1,401
Tenet Healthcare Corp. 138,574 2,200
United HealthCare Corp. 120,258 5,081
U.S. Healthcare, Inc. 111,169 3,557
27,946
TOTAL HEALTH 274,324
HOLDING COMPANIES - 0.3%
CINergy Corp. 107,640 2,758
Norfolk Southern Corp. 91,491 6,473
9,231
SHARES VALUE (NOTE 1)
(000S)
INDUSTRIAL MACHINERY & EQUIPMENT - 5.1%
ELECTRICAL EQUIPMENT - 3.1%
Emerson Electric Co. 161,955 $ 11,560
General Electric Co. 1,175,269 69,194
General Signal Corp. 32,900 1,168
Grainger (W.W.), Inc. 35,164 2,092
Honeywell, Inc. 88,370 3,866
Scientific-Atlanta, Inc. 53,158 1,063
Westinghouse Electric Corp. 248,379 3,384
Zenith Electronics Corp. (a) 32,514 276
92,603
INDUSTRIAL MACHINERY & EQUIPMENT - 1.4%
Briggs & Stratton Corp. 20,853 790
Caterpillar, Inc. 138,642 9,306
Cincinnati Milacron, Inc. 23,582 781
Cooper Industries, Inc. 74,539 2,832
Deere & Co. 55,479 4,743
Dover Corp. 39,425 3,144
Giddings & Lewis, Inc. 23,969 392
Harnischfeger Industries, Inc. 30,402 1,117
Illinois Tool Works, Inc. 79,301 4,857
Ingersoll-Rand Co. 73,203 2,773
Parker-Hannifin Corp. 51,276 2,032
Tenneco, Inc. 127,233 6,171
Timken Co. 21,531 972
TRINOVA Corp. 19,938 733
Varity Corp. (a) 29,065 1,322
41,965
POLLUTION CONTROL - 0.6%
Browning-Ferris Industries, Inc. 147,640 4,964
Laidlaw, Inc. Class B 192,266 1,735
Ogden Corp. 33,868 787
Safety Kleen Corp. 40,005 540
WMX Technologies, Inc. 335,704 9,861
Zurn Industries, Inc. 8,648 189
18,076
TOTAL INDUSTRIAL MACHINERY & EQUIPMENT 152,644
MEDIA & LEISURE - 4.7%
BROADCASTING - 1.7%
CBS, Inc. 45,037 3,592
Capital Cities/ABC, Inc. 106,752 12,276
Comcast Corp. Class A 166,187 3,552
TCI Group Class A (a) 453,055 8,382
Time Warner, Inc. 263,675 11,107
Viacom, Inc. Class B (non-vtg.) (a) 249,606 12,137
51,046
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
MEDIA & LEISURE - CONTINUED
ENTERTAINMENT - 0.7%
Disney (Walt) Co. 361,456 $ 20,287
King World Productions, Inc. (a) 25,373 964
21,251
LEISURE DURABLES & TOYS - 0.3%
Brunswick Corp. 66,359 1,335
Fleetwood Enterprises, Inc. 31,854 625
Hasbro, Inc. 60,777 1,968
Mattel, Inc. 153,477 4,451
Outboard Marine Corp. 13,842 296
8,675
LODGING & GAMING - 0.3%
Bally Entertainment Corp. (a) 32,537 395
Harrah's Entertainment, Inc. 71,037 2,264
Hilton Hotels Corp. 33,526 2,229
Marriott International, Inc. 84,926 3,015
7,903
PUBLISHING - 1.0%
American Greetings Corp. Class A 51,492 1,583
Dow Jones & Co., Inc. 67,219 2,462
Dun & Bradstreet Corp. 117,714 6,813
Gannett Co., Inc. 97,158 5,198
Harcourt General, Inc. 50,272 2,093
Knight-Ridder, Inc. 35,000 1,969
McGraw-Hill, Inc. 34,497 2,717
Meredith Corp. 19,002 746
New York Times Co. (The) Class A 67,461 1,678
Times Mirror Co. Class A 77,718 2,380
Tribune Co. 45,570 3,053
30,692
RESTAURANTS - 0.7%
Darden Restaurants, Inc. 109,720 1,125
Luby's Cafeterias, Inc. 16,425 326
McDonald's Corp. 481,297 17,567
Ryan's Family Steak Houses, Inc. (a) 37,019 278
Shoney's, Inc. (a) 28,661 333
Wendy's International, Inc. 70,744 1,388
21,017
TOTAL MEDIA & LEISURE 140,584
NONDURABLES - 10.6%
AGRICULTURE - 0.1%
Pioneer Hi-Bred International, Inc. 58,667 2,523
BEVERAGES - 3.4%
Anheuser-Busch Companies, Inc. 177,802 10,157
Brown-Forman Corp. Class B 47,943 1,774
SHARES VALUE (NOTE 1)
(000S)
Coca-Cola Company (The) 879,584 $ 56,513
Coors (Adolph) Co. Class B 26,675 453
PepsiCo, Inc. 546,402 24,725
Seagram Co. Ltd. 258,787 9,532
103,154
FOODS - 2.6%
Archer-Daniels-Midland Co. 376,062 6,252
CPC International, Inc. 101,435 6,378
Campbell Soup Co. 172,805 7,906
ConAgra, Inc. 170,356 6,452
General Mills, Inc. 109,620 5,659
Heinz (H.J.) Co. 169,049 7,163
Hershey Foods Corp. 58,532 3,505
Kellogg Co. 152,605 10,301
Quaker Oats Co. 92,921 3,229
Ralston Purina Co. 69,701 3,624
Sara Lee Corp. 332,732 9,233
SYSCO Corp. 126,477 3,636
Wrigley (Wm.) Jr. Company 80,582 3,636
76,974
HOUSEHOLD PRODUCTS - 2.7%
Alberto Culver Co. Class B 19,317 551
Avon Products, Inc. 47,469 3,352
Clorox Co. 36,735 2,484
Colgate-Palmolive Co. 100,498 6,834
Gillette Co. 307,448 12,836
International Flavors & Fragrances, Inc. 77,513 3,711
Premark International, Inc. 42,308 2,216
Procter & Gamble Co. 477,032 33,094
Rubbermaid, Inc. 111,705 3,323
Unilever NV ADR 111,143 13,740
82,141
TOBACCO - 1.8%
American Brands, Inc. 131,104 5,506
Philip Morris Companies, Inc. 586,285 43,752
UST, Inc. 135,818 3,701
52,959
TOTAL NONDURABLES 317,751
PRECIOUS METALS - 0.6%
Barrick Gold Corp. 245,257 6,182
Echo Bay Mines Ltd. 78,162 814
Homestake Mining Co. 95,631 1,578
Newmont Mining Corp. 59,821 2,602
Placer Dome, Inc. 165,558 4,296
Santa Fe Pacific Gold Corp. 91,071 1,104
16,576
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
RETAIL & WHOLESALE - 4.8%
APPAREL STORES - 0.4%
Brown Group, Inc. 12,525 $ 229
Charming Shoppes, Inc. 71,308 374
Gap, Inc. 99,920 3,210
Limited, Inc. (The) 247,807 4,584
Melville Corp. 72,672 2,425
TJX Companies, Inc. 50,144 627
11,449
DRUG STORES - 0.2%
Long Drug Stores, Inc. 14,264 528
Rite Aid Corp. 58,407 1,635
Walgreen Co. 170,860 4,186
6,349
GENERAL MERCHANDISE STORES - 2.7%
Dayton Hudson Corp. 49,652 3,631
Dillard Department Stores, Inc. Class A 78,477 2,423
K mart Corp. 316,981 4,319
May Department Stores Co. (The) 172,277 7,300
Mercantile Stores Co., Inc. 25,493 1,169
Nordstrom, Inc. 57,161 2,358
Penney (J.C.) Co., Inc. 161,347 7,301
Price/Costco, Inc. (a) 135,090 2,280
Sears, Roebuck & Co. 269,603 8,728
Wal-Mart Stores, Inc. 1,594,192 39,257
Woolworth Corp. 91,922 1,229
79,995
GROCERY STORES - 0.6%
Albertson's, Inc. 176,208 5,617
American Stores Co. 102,911 3,023
Bruno's, Inc 1,490 18
Fleming Companies, Inc. 25,923 755
Giant Food, Inc. Class A 41,203 1,282
Great Atlantic & Pacific Tea Co., Inc. 26,433 750
Kroger Co. (The) (a) 78,911 2,574
Supervalu, Inc. 48,444 1,435
Winn-Dixie Stores, Inc. 52,678 3,134
18,588
RETAIL & WHOLESALE, MISCELLANEOUS - 0.9%
Circuit City Stores, Inc. 67,036 2,313
Handleman Co. 23,225 221
Home Depot, Inc. (The) 330,430 13,176
Lowe's Companies, Inc. 110,903 3,688
Tandy Corp. 51,017 3,169
Toys "R" Us, Inc. (a) 192,458 5,004
27,571
TOTAL RETAIL & WHOLESALE 143,952
SHARES VALUE (NOTE 1)
(000S)
SERVICES - 0.8%
ADVERTISING - 0.1%
Interpublic Group of Companies, Inc. 54,352 $ 2,113
LEASING & RENTAL - 0.0%
Ryder Systems, Inc. 54,758 1,328
PRINTING - 0.4%
Alco Standard Corp. 38,249 3,079
Deluxe Corp. 57,186 1,787
Donnelley (R.R.) & Sons Co. 105,531 4,010
Harland (John H.) Co. 21,249 470
Moore Corporation Ltd. 69,089 1,439
10,785
SERVICES - 0.3%
Block (H&R), Inc. 72,626 2,832
Ecolab, Inc. 45,333 1,241
Jostens, Inc. 31,654 760
National Service Industries, Inc. 33,490 971
Service Corp. International 66,719 2,335
Western Atlas, Inc. (a) 36,685 1,665
9,804
TOTAL SERVICES 24,030
TECHNOLOGY - 11.6%
COMMUNICATIONS EQUIPMENT - 1.0%
Andrew Corp. (a) 26,823 1,562
Cabletron Systems, Inc. 49,652 2,625
Cisco Systems, Inc. (a) 186,361 12,230
DSC Communications Corp. (a) 79,207 4,158
Northern Telecom Ltd. 175,805 6,442
Tellabs, Inc. 60,800 2,842
29,859
COMPUTER SERVICES & SOFTWARE - 2.8%
Autodesk, Inc. 32,968 1,521
Automatic Data Processing, Inc. 99,983 6,499
CUC International, Inc. 120,137 4,100
Ceridian Corp. (a) 31,746 1,389
Computer Associates International, Inc. 111,065 7,719
Computer Sciences Corp. (a) 38,127 2,297
First Data Corp. 83,186 4,856
Microsoft Corp. (a) 403,222 37,298
Novell, Inc. (a) 254,164 4,575
Oracle Systems Corp. (a) 299,327 12,010
Shared Medical Systems Corp. 15,973 589
82,853
COMPUTERS & OFFICE EQUIPMENT - 3.7%
Amdahl Corp. (a) 81,843 747
Apple Computer, Inc. 83,992 3,612
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
TECHNOLOGY - CONTINUED
COMPUTERS & OFFICE EQUIPMENT - CONTINUED
Compaq Computer Corp. (a) 181,467 $ 8,665
Cray Research, Inc. (a) 17,341 403
Data General Corp. (a) 25,765 251
Digital Equipment Corp. (a) 101,973 4,257
Hewlett-Packard Co. 354,092 28,327
Intergraph Corp. (a) 31,609 391
International Business Machines Corp. 402,993 41,659
Pitney Bowes, Inc. 105,162 4,272
Silicon Graphics, Inc. (a) 109,970 4,646
Sun Microsystems, Inc. (a) 64,271 3,720
Tandem Computers, Inc. (a) 80,637 988
Unisys Corp. (a) 118,760 950
Xerox Corp. 74,340 8,977
111,865
ELECTRONIC INSTRUMENTS - 0.3%
Applied Materials, Inc. 58,362 6,070
Perkin-Elmer Corp. 29,116 994
Tektronix, Inc. 22,416 1,023
8,087
ELECTRONICS - 3.3%
Advanced Micro Devices, Inc. 72,077 2,433
AMP, Inc. 146,498 5,951
Intel Corp. 574,754 35,276
Micron Technology, Inc. 142,504 10,955
Motorola, Inc. 408,340 30,523
National Semiconductor Corp. (a) 81,820 2,311
Texas Instruments, Inc. 129,138 9,669
Thomas & Betts Corp. 13,704 925
98,043
PHOTOGRAPHIC EQUIPMENT - 0.5%
Eastman Kodak Co. 236,095 13,605
Polaroid Corp. 31,334 1,367
14,972
TOTAL TECHNOLOGY 345,679
TRANSPORTATION - 1.4%
AIR TRANSPORTATION - 0.3%
AMR Corp. (a) 52,702 3,715
Delta Air Lines, Inc. 35,125 2,612
Southwest Airlines Co. 99,700 2,580
USAir Group, Inc. (a) 43,123 350
9,257
RAILROADS - 0.9%
Burlington Northern, Inc. 62,113 4,301
CSX Corp. 64,245 5,300
SHARES VALUE (NOTE 1)
(000S)
Conrail, Inc. 51,860 $ 3,488
Santa Fe Pacific Corp. 105,632 2,997
Union Pacific Corp. 142,540 9,336
25,422
TRUCKING & FREIGHT - 0.2%
Consolidated Freightways, Inc. 29,957 775
Federal Express Corp. (a) 38,973 2,796
Pittston Co. Services Group 28,851 734
Roadway Services, Inc. 27,190 1,495
Yellow Corp. 19,431 274
6,074
TOTAL TRANSPORTATION 40,753
UTILITIES - 12.1%
CELLULAR - 0.4%
AirTouch Communications, Inc. (a) 343,031 11,149
ELECTRIC UTILITY - 3.3%
American Electric Power Co., Inc. 128,681 4,391
Baltimore Gas & Electric Co. 102,448 2,689
Carolina Power & Light Co. 108,510 3,323
Central & South West Corp. 132,624 3,249
Consolidated Edison Co. of
New York, Inc. 162,935 4,603
Detroit Edison Company 100,441 3,076
Dominion Resources, Inc. 119,793 4,328
Duke Power Co. 142,066 5,771
Entergy Corp. 157,993 3,792
FPL Group, Inc. 128,629 5,000
General Public Utilities Corp. 79,891 2,287
Houston Industries, Inc. 91,066 3,859
Niagara Mohawk Power Corp. 100,240 1,203
Northern States Power Co. 46,851 1,997
Ohio Edison Co. 105,777 2,287
Peco Energy Co. 153,978 4,100
Pacific Gas & Electric Co. 298,410 8,579
PacifiCorp. 197,328 3,577
Public Service Enterprise Group, Inc. 169,864 4,671
SCEcorp 310,357 5,160
Southern Co. 461,842 9,756
Texas Utilities Co. 156,792 5,449
Unicom Corp. 148,828 4,186
Union Electric Co. 70,802 2,522
99,855
GAS - 0.7%
Columbia Gas System, Inc. (The) (a) 35,150 1,239
Consolidated Natural Gas Co. 64,517 2,492
COMMON STOCKS - CONTINUED
SHARES VALUE (NOTE 1)
(000S)
UTILITIES - CONTINUED
GAS - CONTINUED
Enron Corp. 174,576 $ 5,870
ENSERCH Corp. 46,513 762
NICOR, Inc. 35,138 900
Noram Energy Corp. 85,641 610
ONEOK, Inc. 18,821 412
Pacific Enterprises 56,920 1,366
Panhandle Eastern Corp. 103,647 2,591
Peoples Energy Corp. 24,166 659
Sonat, Inc. 59,891 1,902
Williams Companies, Inc. 70,194 2,571
21,374
TELEPHONE SERVICES - 7.7%
AT&T Corp. 1,097,857 62,029
ALLTEL Corp. 131,089 3,703
Ameritech Corp. 383,950 19,677
Bell Atlantic Corp. 302,746 18,089
BellSouth Corp. 344,474 23,683
GTE Corp. 673,137 24,654
MCI Communications Corp. 471,595 11,348
NYNEX Corp. 295,329 13,290
Pacific Telesis Group 294,163 8,347
SBC Communications, Inc. 421,645 21,346
Sprint Corp. 241,726 8,581
U.S. West, Inc. 326,495 14,203
228,950
TOTAL UTILITIES 361,328
TOTAL COMMON STOCKS
(Cost $2,208,481) 2,867,557
NONCONVERTIBLE PREFERRED STOCKS - 0.0%
CONGLOMERATES - 0.0%
Teledyne, Inc., Series E, 8% (Cost $5) 374 6
U.S. TREASURY OBLIGATIONS (B) - 0.2%
PRINCIPAL
AMOUNT
(000S)
U.S. Treasury Bill, yield at date of purchase
5.40% to 5.51%, 9/21/95 $ 3,770 3,759
8 5/8%, 10/15/95 3,000 3,010
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $7,078) 6,769
REPURCHASE AGREEMENTS - 3.7%
MATURITY VALUE
AMOUNT (NOTE 1)
(000S) (000S)
Investments in repurchase agreements
(U.S. Treasury obligations), in a
joint trading account at 5.82%
dated 8/31/95 due 9/1/95 $ 110,624 $ 110,606
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $2,326,170) $2,984,938
FUTURES CONTRACTS
AMOUNTS IN EXPIRATION UNDERLYING FACE UNREALIZED
THOUSANDS DATE AMOUNT AT VALUE GAIN/(LOSS)
PURCHASED
214 S&P 500 Stock
Index Futures Sept. 1995 $ 60,225 $ 238
THE FACE VALUE OF FUTURES PURCHASED AS A PERCENTAGE OF TOTAL INVESTMENT
IN SECURITIES - 2.0%
LEGEND
1. Non-income producing
2. Securities pledged to cover margin requirements for futures contracts.
At the period end, the value of securities pledged amounted to $6,769,000.
INCOME TAX INFORMATION
At August 31,1995, the aggregate cost of investment securities for income
tax purposes was $2,330,368,000. Net unrealized appreciation aggregated
$654,570,000, of which $711,651,000 related to appreciated investment
securities and $57,081,000 related to depreciated investment securities.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS (EXCEPT PER-SHARE AMOUNT) AUGUST 31, 1995 (UNAUDITED)
ASSETS 3. 4.
5.Investment in securities, at value (including repurchase agreements of $110,606) 6. $ 2,984,938
(cost $2,326,170) - See accompanying schedule
7.Cash 8. 1
9.Receivable for fund shares sold 10. 11,644
11.Dividends receivable 12. 7,969
13.Interest receivable 14. 97
15.Receivable for daily variation on futures contracts 16. 265
17.Other receivables 18. 21
19.Receivable from investment adviser for expense reductions 20. 642
21. 22.TOTAL ASSETS 23. 3,005,577
LIABILITIES 24. 25.
26.Payable for investments purchased $ 28 27.
28.Payable for fund shares redeemed 39,473 29.
30.Accrued management fee 685 31.
32.Other payables and accrued expenses 1,075 33.
34.Collateral on securities loaned, at value 36,600 35.
36. 37.TOTAL LIABILITIES 38. 77,861
39.NET ASSETS 40. $ 2,927,716
41.Net Assets consist of: 42. 43.
44.Paid in capital 45. $ 2,244,683
46.Undistributed net investment income 47. 14,399
48.Accumulated undistributed net realized gain (loss) on investments and foreign currency 49. 9,628
transactions
50.Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign 51. 659,006
currencies
52.NET ASSETS, for 140,958 shares outstanding 53. $ 2,927,716
54.NET ASSET VALUE, offering price and redemption price per share ($2,927,716 (divided by) 140,958 shares) 55. $20.77
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME 57. $ 32,826
56.Dividends
58.Interest (including income on securities loaned of $78) 59. 3,448
60. 61.TOTAL INCOME 62. 36,274
EXPENSES 63. 64.
65.Management fee $ 3,662 66.
67.Transfer agent fees 3,184 68.
69.Accounting and security lending fees 378 70.
71.Non-interested trustees' compensation 10 72.
73.Custodian fees and expenses 54 74.
75.Registration fees 145 76.
77.Audit 29 78.
79.Legal 10 80.
81.Miscellaneous 4 82.
83. Total expenses before reductions 7,476 84.
85. Expense reductions (3,726) 3,750
86.87.NET INVESTMENT INCOME 88. 32,524
REALIZED AND UNREALIZED GAIN (LOSS) 90. 91.
89.Net realized gain (loss) on:
92. Investment securities 2,898 93.
94. Futures contracts 16,241 19,139
95.Change in net unrealized appreciation (depreciation) on: 96. 97.
98. Investment securities 347,495 99.
100. Futures contracts (3,951) 343,544
101.102.NET GAIN (LOSS) 103. 362,683
104.105.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 106. $ 395,207
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS YEAR ENDED
ENDED AUGUST FEBRUARY 28,
31,1995 1995
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
107.Operations $ 32,524 $ 51,880
Net investment income
108. Net realized gain (loss) 19,139 2,043
109. Change in net unrealized appreciation (depreciation) 343,544 95,982
110. 395,207 149,905
111.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
112.Distributions to shareholders (25,916) (48,368)
From net investment income
113. From net realized gain (948) (8,480)
114. In excess of net realized gain (1,595) (4,020)
115. 116.TOTAL DISTRIBUTIONS (28,459) (60,868)
117.Share transactions 715,481 944,087
Net proceeds from sales of shares
118. Reinvestment of distributions 27,274 58,211
119. Cost of shares redeemed (416,679) (748,697)
120.121. 326,076 253,601
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
122. 692,824 342,638
123.TOTAL INCREASE (DECREASE) IN NET ASSETS
NET ASSETS 124. 125.
126. Beginning of period 2,234,892 1,892,254
127. $ 2,927,716 $ 2,234,892
End of period (including undistributed net investment income of $14,399 and $7,791,
respectively)
OTHER INFORMATION 129. 130.
128.Shares
131. Sold 37,250 55,584
132. Issued in reinvestment of distributions 1,457 3,459
133. Redeemed (21,798) (44,005)
134. Net increase (decrease) 16,909 15,038
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
135. SIX MONTHS YEARS ENDED FEBRUARY FOUR MONTHS YEARS ENDED OCTOBER 31,
ENDED AUGUST 28, ENDED
31, 1995 FEBRUARY 28,
136. (UNAUDITED) 1995 1994 D 1993 1992 1991 1990
137.138.SELECTED PER-SHARE DATA
139.Net asset value,
beginning of $ 18.02 $ 17.36 $ 16.73 $ 15.77 $ 14.97 $ 11.61 $ 13.23
period
140.Income from Investment
Operations
141. Net investment
income .24 .43 .44 .15 .42 .42 .44
142. Net realized and
unrealized 2.73 .77 .88 .94 .97 3.38 (1.44)
gain (loss)
143. Total from
investment operations 2.97 1.20 1.32 1.09 1.39 3.80 (1.00)
144.Less Distributions(.20) (.43) (.44) (.13) (.43) (.44) (.48)
From net investment income
145. From net realized
gain (.01) (.07) (.25) - (.16) - (.14)
146. In excess of net
realized gain (.01) (.04) - - - - -
147. Total
distributions (.22) (.54) (.69) (.13) (.59) (.44) (.62)
148.Net asset value,
end of period $ 20.77 $ 18.02 $ 17.36 $ 16.73 $ 15.77 $ 14.97 $ 11.61
149.150.TOTAL
RETURN151.B, C 16.62% 7.17% 8.06% 6.93% 9.59% 33.13% (7.98)
%
152.153.RATIOS
AND SUPPLEMENTAL
DATA
154.Net assets,
end of period $ 2,928 $ 2,235 $ 1,892 $ 1,472 $ 1,455 $ 960 $ 436
(in millions)
155.Ratio of expenses
to average net .28% .28% .28% .28% .28% .28% .28%
assets A A
156.Ratio of expenses
to average net .56% .59% .61% .66% .64% .67% .66%
assets before expense
reductions A A
157.Ratio of net
investment
income to 2.45% 2.65% 2.59% 2.95% 2.78% 3.14% 3.55%
average net assets A A
158.Portfolio
turnover rate 2% 11% 4% 28% 6% 4% 2%
A A
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURN WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN
REDUCED DURING THE PERIOD SHOWN (SEE NOTE 6 OF NOTES TO FINANCIAL
STATEMENTS).
D EFFECTIVE MARCH 1, 1993, THE FUND ADOPTED STATEMENT OF POSITION 93-2,
"DETERMINATION, DISCLOSURE, AND FINANCIAL STATEMENT PRESENTATION OF INCOME,
CAPITAL GAIN, AND RETURN OF CAPITAL DISTRIBUTIONS BY INVESTMENT COMPANIES."
AS A RESULT, NET INVESTMENT INCOME PER SHARE MAY REFLECT CERTAIN
RECLASSIFICATIONS RELATED TO BOOK TO TAX DIFFERENCES.
NOTES TO FINANCIAL STATEMENTS
For the period ended August 31, 1995 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES.
Fidelity U.S. Equity Index Portfolio (the fund) is a fund of Fidelity
Institutional Trust (the trust) and is authorized to issue an unlimited
number of shares. The trust is registered under the Investment Company Act
of 1940, as amended (the 1940 Act), as an open-end management investment
company organized as a Massachusetts business trust. The following
summarizes the significant accounting policies of the fund:
SECURITY VALUATION. Securities for which exchange quotations are readily
available are valued at the last sale price, or if no sale price, at the
closing bid price. Securities for which exchange quotations are not readily
available (and in certain cases debt securities which trade on an
exchange), are valued primarily using dealer-supplied valuations or at
their fair value as determined in good faith under consistently applied
procedures under the general supervision of the Board of Trustees.
Short-term securities maturing within sixty days of their purchase date are
valued at amortized cost or original cost plus accrued interest, both of
which approximate current value.
FOREIGN CURRENCY TRANSLATION. The accounting records of the fund are
maintained in U.S. dollars. Investment securities and other assets and
liabilities denominated in a foreign currency are translated into U.S.
dollars at the prevailing rates of exchange at period end. Purchases and
sales of securities, income receipts, and expense payments are translated
into U.S. dollars at the prevailing exchange rate on the respective dates
of the transactions.
Net realized gains and losses on foreign currency transactions represent
net gains and losses from sales and maturities of forward currency
contracts, disposition of foreign currencies, currency gains and losses
realized between the trade and settlement dates on securities transactions,
and the difference between the amount of net investment income accrued and
the U.S. dollar amount actually received. The effects of changes in foreign
currency exchange rates on investments in securities are included with the
net realized and unrealized gain or loss on investment securities.
INCOME TAXES. As a qualified regulated investment company under Subchapter
M of the Internal Revenue Code, the fund is not subject to income taxes to
the extent that it distributes substantially all of its taxable income for
its fiscal year. The schedule of investments includes information regarding
income taxes under the caption "Income Tax Information."
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date,
except certain dividends from foreign securities where the ex-dividend date
may have passed, are recorded as soon as the fund is informed of the
ex-dividend date. Interest income, which includes accretion of original
issue discount, is accrued as earned. Investment income is recorded net of
foreign taxes withheld where recovery of such taxes is uncertain.
EXPENSES. Most expenses of the trust can be directly attributed to a fund.
Expenses which cannot be directly attributed are apportioned between the
funds in the trust.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions are recorded on the
ex-dividend date.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences, which may result in distribution
reclassifications, are primarily due to differing treatments for litigation
proceeds, futures and options transactions, foreign currency transactions,
non-taxable dividends and losses deferred due to wash sales. The fund also
utilized earnings and profits distributed to shareholders on redemption of
shares as a part of the dividends paid deduction for income tax purposes.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital and may
affect the per-share allocation between net investment income and realized
and unrealized gain (loss). Undistributed net investment income and
accumulated undistributed net realized gain (loss) on investments and
foreign currency transactions may include temporary book and tax basis
differences which will reverse in a subsequent period. Any taxable income
or gain remaining at fiscal year end is distributed in the following year.
SECURITY TRANSACTIONS. Security transactions are accounted for as of trade
date. Gains and losses on securities sold are determined on the basis of
identified cost.
2. OPERATING POLICIES.
JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the fund, along with other affiliated
entities of Fidelity Management & Research Company (FMR), may transfer
uninvested cash balances into one or more joint trading accounts. These
balances are invested in one or more repurchase agreements that mature in
60 days or less from the date of purchase, and are collateralized by U.S.
Treasury or Federal Agency obligations.
REPURCHASE AGREEMENTS. The fund, through its custodian, receives delivery
of the underlying U.S. Treasury or Federal Agency Securities, the market
value of which is required to be at least equal to the repurchase price.
For term repurchase agreement transactions, the underlying securities are
marked-to-market daily and maintained at a value at least equal to the
repurchase price. FMR, the fund's investment adviser, is responsible for
determining that the value of the underlying securities remains in
accordance with the market value requirements stated above.
FUTURES CONTRACTS AND OPTIONS. The fund may use futures and options
contracts to manage its exposure to the stock market. Buying futures,
writing puts, and buying calls tend to increase the fund's exposure to the
underlying instrument. Selling futures, buying puts, and writing calls tend
to decrease the fund's exposure to the underlying instrument, or hedge
other fund investments. Futures contracts and written options involve, to
varying degrees, risk of loss in excess of the futures variation margin or
the option value reflected in the Statement of Assets and Liabilities. The
underlying face amount at value 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. Losses may arise from
changes in the value of the underlying instruments, if there is an illiquid
secondary market for the contracts, or if the counterparties do not perform
under the contracts' terms.
Futures contracts are valued at the settlement price established each day
by the board of trade or exchange on which they are traded. Exchange-traded
options are valued using the last sale price or, in the absence of a sale,
the last offering price. Options traded over-the-counter are valued using
dealer-supplied valuations.
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $400,671,000 and $22,785,000 respectively, of which U.S.
government obligations sales aggregated $500,000.
The market value of futures contracts opened and closed during the period
amounted to $463,259,000 and $494,839,000 respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, FMR receives a fee that
is computed daily at an annual rate of .28% of the fund's average net
assets.
TRANSFER AGENT FEES. Fidelity Investments Institutional Operations Company
(FIIOC), an affiliate of FMR, is the fund's transfer, dividend disbursing
and shareholder servicing agent. FIIOC receives account fees and
asset-based fees that vary according to account size and type of account.
FIIOC pays for typesetting, printing and mailing of all shareholder
reports, except proxy statements.
ACCOUNTING AND SECURITY LENDING FEES. Fidelity Service Co., an affiliate of
FMR, maintains the fund's accounting records and administers the security
lending program. The security lending fee is based on the number and
duration of lending transactions. The accounting fee is based on the level
of average net assets for the month plus out-of-pocket expenses.
BROKERAGE COMMISSIONS. The fund placed a portion of its portfolio
transactions with brokerage firms which are affiliates of FMR. The
commissions paid to these affiliated firms were $1,000 for the period.
5. SECURITY LENDING.
The fund loaned securities to certain brokers who paid the fund negotiated
lenders' fees. These fees are included in interest income. The fund
receives U.S. Treasury obligations and/or cash as collateral against the
loaned securities, in an amount at least equal to 102% of the market value
of the loaned securities at the inception of each loan. This collateral
must be maintained at not less than 100% of the market value of the loaned
securities during the period of the loan. At period end, the value of the
securities loaned and the value of collateral amounted to $35,775,000 and
$36,600,000, respectively.
6. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the fund's operating expenses
(excluding interest, taxes, brokerage commissions and extraordinary
expenses) above an annual rate of .28% of average net assets. For the
period, the reimbursement reduced the expenses by $3,726,000.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
OFFICERS
Edward C. Johnson 3d, PRESIDENT
J. Gary Burkhead, SENIOR VICE PRESIDENT
William J. Hayes, VICE PRESIDENT
Arthur S. Loring, SECRETARY
Kenneth A. Rathgeber, TREASURER
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
Robert H. Morrison, MANAGER, SECURITY TRANSACTIONS
BOARD OF TRUSTEES
J. Gary Burkhead
Ralph F. Cox *
Phyllis Burke Davis *
Richard J. Flynn *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Edward H. Malone *
Marvin L. Mann *
Gerald C. McDonough *
Thomas R. Williams *
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Investments Institutional Operations Company
Boston, MA
CUSTODIAN
Brown Brothers Harriman & Co.
Boston, MA
* INDEPENDENT TRUSTEES
(registered trademark)
FIDELITY
U.S. BOND INDEX
PORTFOLIO
SEMIANNUAL REPORT
AUGUST 31, 1995
UEI-SANN-1095
4141
CHECK PAGE NUMBERS !!!
CONTENTS
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<S> <C> <C>
PRESIDENT'S MESSAGE 3 Ned Johnson on investing strategies.
PERFORMANCE 4 How the fund has done over time.
FUND TALK 7 The manager's review of fund performance,
strategy and outlook.
INVESTMENT CHANGES 9 A summary of major shifts in the fund's investments
over the past six months.
INVESTMENTS 10 A complete list of the fund's investments
with their market values.
FINANCIAL STATEMENTS 15 Statements of assets and liabilities, operations, and
changes in net assets, as well as financial
highlights.
NOTES 19 Notes to the financial statements.
</TABLE>
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR
THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE
FUND. THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE
INVESTORS IN THE FUND UNLESS PRECEDED OR ACCOMPANIED BY AN
EFFECTIVE PROSPECTUS.
MUTUAL FUND SHARES ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED BY,
ANY DEPOSITORY
INSTITUTION. SHARES ARE NOT INSURED BY THE FDIC, THE FEDERAL RESERVE BOARD
OR ANY OTHER AGENCY,
AND ARE SUBJECT TO INVESTMENT RISK, INCLUDING THE POSSIBLE LOSS OF
PRINCIPAL. NEITHER THE FUND NOR
FIDELITY DISTRIBUTORS CORPORATION IS A BANK.
FOR MORE INFORMATION ON ANY FIDELITY FUND INCLUDING CHARGES AND EXPENSES,
CALL THE APPROPRIATE NUMBER LISTED BELOW. READ
THE PROSPECTUS CAREFULLY BEFORE YOU INVEST OR SEND MONEY.
RETIREMENT PLAN LEVEL ACCOUNTS
CORPORATE CLIENTS (800) 962-1375
"NOT FOR PROFIT" CLIENTS (800) 343-0860
FINANCIAL AND OTHER INSTITUTIONS
NATIONWIDE (800) 843-3001
PRESIDENT'S MESSAGE
DEAR SHAREHOLDER:
Although the markets have been fairly positive this year, no one can
predict what lies ahead for investors. Last year, stocks posted
below-average returns and bonds had one of the worst years in history. This
downturn followed a period in which the investing environment was generally
very positive.
These market ups and downs are a normal part of investing, and there are
some basic principles that are helpful for investors to remember in
different types of markets.
Keeping in mind that the effects of interest rate changes on your bond
investments will only be "paper" gains or losses unless you sell your
shares, staying in your bond fund may be appropriate if your investment
horizon is at least a year or more. The longer your investing time frame,
the more likely it is that you will retain your principal investment
through both up and down markets. For example, a 10-year time frame, such
as saving for a college education, enables you to weather these ups and
downs in a long-term fund, which has higher potential returns. An
intermediate-length fund could be appropriate if your investment horizon is
two to four years, and a short-term bond fund could be the right choice if
you need your money in one or two years.
If your time horizon is less than a year, you might want to consider moving
some of your bond investment into a money market fund, which seeks income
and a stable share price by investing in high-quality, short-term
investments. Of course, there is no assurance that a money market fund will
achieve its goal, and it is important to remember that money market funds
are not insured or guaranteed by any agency of the U.S. government.
No matter what your investment horizon or portfolio diversity, it makes
good sense to follow a regular investment plan - investing a certain amount
of money at the same time each month or quarter - and to review your
portfolio periodically. A periodic investment plan will not, of course,
assure a profit or protect against a loss.
Remember to contact your investment professional if you need help with your
investments.
Best regards,
Edward C. Johnson 3d
PERFORMANCE: THE BOTTOM LINE
There are several ways to evaluate a fund's historical performance. You can
look at the total percentage change in value, the average annual percentage
change, or the growth of a hypothetical $100,000 investment. A fund's total
return includes changes in a fund's share price, plus reinvestment of any
dividends (or income) and capital gains (the profits the fund earns when it
sells investments that have grown in value). You can also look at the
fund's income to measure performance. If Fidelity had not reimbursed
certain fund expenses during the periods shown, the total returns and
dividends would have been lower.
CUMULATIVE TOTAL RETURNS
PERIODS ENDED AUGUST 31, 1995 PAST 6 PAST 1 PAST 5 LIFE OF
MONTHS YEAR YEARS FUND
Fidelity U.S. Bond Index 7.65% 11.06% 60.00% 66.23%
Lehman Brothers Aggregate Bond Index 7.79% 11.30% 58.25% n/a
Consumer Price Index 1.33% 2.62% 16.19% 19.45%
CUMULATIVE TOTAL RETURNS show the fund's performance in percentage terms
over a set period - in this case, six months, one year, or since the fund
began on March 8, 1990. For example, if you invested $1,000 in a fund that
had a 5% return over the past year, the value of your investment would be
$1,050. You can compare the fund's returns to the performance of the Lehman
Brothers Aggregate Bond index - a broad measure of the U.S. bond market.
This benchmark includes reinvested dividends and capital gains, if any.
Comparing the fund's performance to the consumer price index (CPI) helps
show how your fund did compared to inflation. (The CPI returns begin on the
month end closest to the fund's start date.)
AVERAGE ANNUAL TOTAL RETURNS
PERIODS ENDED AUGUST 31, 1995 PAST 1 PAST 5 LIFE OF
YEAR YEARS FUND
Fidelity U.S. Bond Index 11.06% 9.86% 9.70%
Lehman Brothers Aggregate Bond Index 11.30% 9.61% n/a
Consumer Price Index 2.62% 3.05% 3.28%
AVERAGE ANNUAL TOTAL RETURNS take the fund's actual (or cumulative) return
and show you what would have happened if the fund had performed at a
constant rate each year.
$100,000 OVER LIFE OF FUND
Fidelity U.S. BoAggregate Bond In
03/31/90 100000.00 100000.00
04/30/90 98902.15 99083.85
05/31/90 101848.95 102017.56
06/30/90 103292.33 103654.45
07/31/90 104861.22 105088.32
08/31/90 103552.16 103684.91
09/30/90 104402.79 104542.69
10/31/90 105789.54 105869.96
11/30/90 107912.50 108148.92
12/31/90 109639.21 109834.03
01/31/91 110945.71 111191.76
02/28/91 111681.88 112140.90
03/31/91 112576.12 112912.39
04/30/91 113908.49 114135.62
05/31/91 114705.78 114803.07
06/30/91 114615.95 114744.70
07/31/91 116187.72 116335.90
08/31/91 118683.01 118853.42
09/30/91 121180.35 121261.80
10/31/91 122572.41 122611.92
11/30/91 123844.13 123736.17
12/31/91 127589.08 127410.92
01/31/92 126089.97 125677.60
02/29/92 126777.95 126494.77
03/31/92 126332.45 125781.65
04/30/92 127155.26 126690.18
05/31/92 129563.14 129080.80
06/30/92 131479.59 130857.27
07/31/92 134384.15 133527.05
08/31/92 135838.15 134879.71
09/30/92 137508.23 136478.53
10/31/92 135863.12 134669.07
11/30/92 135802.95 134699.52
12/31/92 137757.58 136841.44
01/31/93 140497.88 139465.54
02/28/93 143334.37 141906.91
03/31/93 143928.53 142498.22
04/30/93 145002.76 143490.51
05/31/93 145185.54 143673.23
06/30/93 147708.62 146277.03
07/31/93 148811.04 147104.35
08/31/93 151228.58 149682.77
09/30/93 151744.97 150093.90
10/31/93 152254.90 150654.76
11/30/93 151011.43 149373.16
12/31/93 151827.73 150182.72
01/31/94 153733.24 152210.44
02/28/94 151041.86 149566.03
03/31/94 147851.94 145878.59
04/30/94 146592.88 144713.73
05/31/94 146472.17 144693.43
06/30/94 146357.40 144373.67
07/31/94 148983.72 147241.40
08/31/94 149184.14 147424.12
09/30/94 147199.85 145254.29
10/31/94 147124.76 145124.86
11/30/94 146887.75 144802.56
12/31/94 147861.23 145802.46
01/31/95 150615.89 148687.95
02/28/95 153906.27 152223.12
03/31/95 154741.75 153157.04
04/30/95 156921.63 155296.42
05/31/95 162915.09 161305.96
06/30/95 164175.49 162488.58
07/31/95 163920.93 162125.67
08/31/95 165680.40 164082.33
$100,000 OVER LIFE OF FUND: Let's say you invested $100,000 in Fidelity
U.S. Bond Index Portfolio on March 31, 1990, shortly after the fund
started. As the chart shows, by August 31, 1995, the value of your
investment would have grown to $165,680 - a 65.68% increase on your initial
investment. For comparison, look at how the Lehman Brothers Aggregate Bond
Index did over the same period. With dividends reinvested, the same
$100,000 would have grown to $164,082 - a 64.08% increase.
UNDERSTANDING
PERFORMANCE
How a fund did yesterday is no guarantee of
how it will do tomorrow. Bond prices, for
example, generally move in the opposite
direction of interest rates. In turn, the share
price, return, and yield of a fund that invests in
bonds will vary. That means if you sell your
shares during a market downturn, you might
lose money. But if you can ride out the market's
ups and downs, you may have a gain.
(checkmark)
DIVIDENDS AND YIELD
PERIODS ENDED AUGUST 31, 1995 PAST 1 PAST 6 PAST 1
MONTH MONTHS YEAR
Dividends per share 6.37(cents) 38.36(cents) 76.72(cents)
Annualized dividend rate 7.10% 7.25% 7.46%
30-day annualized yield 6.61% - -
DIVIDENDS per share show the income paid by the fund for a set period and
do not reflect any tax reclassifications. If you annualize this number,
based on an average net asset value of $10.56 over the past month, $10.49
over the past six months and $10.28 over the past year, you can compare the
fund's income over these three periods.
The 30-day annualized YIELD is a standard formula for all bond funds based
on the yields of the bonds in the fund, averaged over the past 30 days.
This figure shows you the yield characteristics of the fund's investments
at the end of the period. It also helps you compare funds from different
companies on an equal basis. It does not reflect the cost of hedging and
other currency gains and losses. If Fidelity had not reimbursed certain
fund expenses during the period shown, the yield would have been 6.31%.
FUND TALK: THE MANAGER'S OVERVIEW
An interview with
Jennifer Farrelly,
Portfolio Manager
of Fidelity U.S.
Equity Index
Portfolio
Q. CHRISTINE, HOW HAS THE FUND PERFORMED?
A. It's been a fairly good period for the taxable fixed income market and
the fund's performance reflects that. For the six- and 12-month periods
ended August 31, 1995, the fund's total returns were 7.65% and 11.06%,
respectively. That was in line with the fund's benchmark - the Lehman
Brothers Aggregate Bond Index - which returned 7.79% and 11.30%,
respectively.
Q. WHAT DROVE THE BOND MARKETS' RALLY?
A. The Federal Reserve Board moved from a tightening mode, in which it
raised interest rates to stave off future inflation, to an easing mode, in
which it cut interest rates in order to sustain economic growth. As the
market perceived that change to be taking place, yields fell and bond
prices rose. As an example, the yield on a 10-year Treasury bond was 7.17%
at the end of August 1994, rose to 7.83% at the beginning of 1995, and fell
back to 6.29% at the end of the period.
Q. THE FUND'S BENCHMARK CONSISTS OF ABOUT 4,000 INDIVIDUAL SECURITIES.
SINCE IT'S IMPRACTICAL FOR THE FUND TO OWN EACH AND EVERY ONE OF THESE
SECURITIES, HOW DO YOU INVEST SO THAT THE FUND'S PERFORMANCE TRACKS THAT OF
THE INDEX?
A. I use a technique called stratified sampling. Here's how that works. I
start by dividing the benchmark index into subsectors including duration,
sector, maturity, credit quality and others. I then construct a portfolio
which replicates the characteristics of each subsector. As an example,
let's consider duration. I set the duration of the fund - which measures
how sensitive it is to changes in interest rates - and the distribution of
duration to approximate the index. Then I identify securities that will
give the fund the same duration breakdown as the index. I choose the
securities that have the characteristics I need, and also offer the
potential for performing better than other securities with similar
characteristics. To do that, I draw on Fidelity's research staff and also
consider current relative prices in a historical context. Generally, I look
for more than one parameter at a time. For instance, I may need a mortgage
security and a security with a five-year duration, so I will evaluate
securities that combine both characteristics.
Q. SO WHAT CHANGES DID YOU MAKE DURING THE PAST SIX MONTHS?
A. The current market environment has made it more difficult to find
securities that are undervalued. Valuation measures across different types
and classes of securities are very compressed. By that I mean that there
isn't as much difference in the relative value of various securities -
based on sector, credit quality, maturity and structure - as there is
historically. It's much easier to be opportunistic when valuations are all
over the board and some bonds are cheap relative to others or to historical
measures. Then you can pick securities that have the potential to richen -
or increase in relative value. During the recent period I structured the
fund to be more defensive, in anticipation of valuations becoming less
compressed. For example, I shortened the duration of some bank bonds within
the corporate sector. That way, if yield spreads widen again, the fund will
be less negatively impacted. In the mortgage sector I've made some changes
as well. I have been placing a greater emphasis on strategies which take
advantage of seasoning differences in the mortgage market. With the recent
market rally, prepayment rates have varied between newly originated and
more seasoned issues, causing stronger performance for older securities.
Q. WHAT'S AHEAD FOR THE FUND?
A. More of the same. The fund's returns will be determined primarily by the
direction of interest rates. Until there is some sort of market event -
which will have a varying impact on different sectors of the taxable
fixed-income market - duration will overwhelm the other factors that
determine bond prices. As long as that holds true, it will be difficult for
the fund to outpace the index. I expect that the fund's performance will
continue to closely track the index, which is what it is designed to do.
FUND FACTS
GOAL: to provide returns consistent with those
of the Lehman Brothers Aggregate Bond Index
START DATE: March 8, 1990
SIZE: as of August 31, 1995, more than
$418 million
MANAGER: Christine Thompson, since 1990;
manager, bond portion of Fidelity Balanced
Fund, since 1993; bond portion of Fidelity Puritan
Fund, since 1991; and three trust portfolios,
since March 1995; joined Fidelity in 1985
(checkmark)
CHRISTINE THOMPSON ON THE RECENT PERFORMANCE
OF THE TAXABLE BOND MARKET:
"During the past six months, sector
performance was dictated primarily by duration.
One of the more interesting things that
happened within the Lehman Brothers
Aggregate Bond Index was that the duration of
the mortgage sector shortened. That's because
as interest rates fell, the rate of mortgage
prepayments increased. The shorter a
security's duration, the less sensitive its price is
to changes in interest rates. With shortening
durations, returns in the mortgage sector
benefited less from the market rally.
Meanwhile, the yield changes, coupon
payments and new issuance patterns caused
the Treasury and corporate sectors to lengthen
in duration, further strengthening their returns.
During the past six months, Treasury
securities, which made up about 47% of the
index returned 7.74%; mortgage-backed
securities, which were roughly 28% of the
index, returned about 6.99%; corporate
securities, which were roughly 17% of the
index, returned 9.58%; agencies, which were
just over 7% of the index, returned 7.61%; and
asset-backed securities, which were just over
1% of the total, rose 5.84%."
INVESTMENT CHANGES
QUALITY DIVERISFICATION AS OF AUGUST 31, 1995
(MOODY'S RATINGS) % OF FUND'S INVESTMENTS % OF FUND'S INVESTMENTS
6 MONTHS AGO
Aaa 73.4 74.7
Aa 3.4 2.4
A 10.4 9.1
Baa 9.6 9.8
Ba .3 .5
Not rated .4 1.2
TABLE EXCLUDES SHORT-TERM INVESTMENTS. WHERE MOODY'S RATINGS ARE NOT
AVAILABLE, WE HAVE USED S&P RATINGS. SECURITIES RATED "BA" OR BELOW WERE
RATED INVESTMENT GRADE OR ASSIGNED AN INVESTMENT GRADE RATING AT THE TIME
OF ACQUISITION BY FIDELITY, BUT DOWNGRADED SUBSEQUENT TO ACQUISITION DATE.
AVERAGE YEARS TO MATURITY AS OF AUGUST 31, 1995
6 MONTHS AGO
Years 8.2 8.7
AVERAGE YEARS TO MATURITY IS BASED ON THE AVERAGE TIME UNTIL PRINCIPAL
PAYMENTS ARE EXPECTED FROM EACH OF THE FUND'S BONDS, WEIGHTED BY DOLLAR
AMOUNT.
DURATION AS OF AUGUST 31, 1995
6 MONTHS AGO
Years 4.6 4.7
DURATION SHOWS HOW MUCH A BOND FUND'S PRICE FLUCTUATES WITH CHANGES IN
COMPARABLE INTEREST RATES. IF RATES RISE 1%, FOR EXAMPLE, A FUND WITH A
FIVE-YEAR DURATION IS LIKELY TO LOSE ABOUT 5% OF ITS VALUE. OTHER FACTORS
ALSO CAN INFLUENCE A BOND FUND'S PERFORMANCE AND SHARE PRICE. ACCORDINGLY,
A BOND FUND'S ACTUAL PERFORMANCE MAY DIFFER FROM THIS EXAMPLE.
ASSET ALLOCATION
AS OF AUGUST 31, 1995 * AS OF FEBRUARY 28, 1995 **
Row: 1, Col: 1, Value: 2.5
Row: 1, Col: 2, Value: 3.5
Row: 1, Col: 3, Value: 23.5
Row: 1, Col: 4, Value: 25.0
Row: 1, Col: 5, Value: 45.7
Row: 1, Col: 1, Value: 2.5
Row: 1, Col: 2, Value: 3.3
Row: 1, Col: 3, Value: 22.3
Row: 1, Col: 4, Value: 25.5
Row: 1, Col: 5, Value: 47.4
U.S. government
and government
agency obligations 46.7%
Mortgage-backed
securities 26.0%
Corporate bonds 23.5%
Short-term investments 2.5%
Other 1.3%
FOREIGN INVESTMENTS 4.4%
U.S. government
and government
agency obligations 47.4%
Mortgage-backed
securities 26.5%
Corporate bonds 22.3%
Short-term investments 2.3%
Other 1.5%
FOREIGN INVESTMENTS 4.2%
*
**
INVESTMENTS AUGUST 31, 1995 (UNAUDITED)
Showing Percentage of Total Value of Investment in Securities
NONCONVERTIBLE BONDS - 23.5%
MOODY'S PRINCIPAL VALUE
RATINGS (A) AMOUNT (NOTE 1)
BASIC INDUSTRIES - 0.5%
PAPER & FOREST PRODUCTS - 0.5%
Chesapeake Corp.:
10 3/8%, 10/1/00 Baa3 $ 300,000 $ 342,825
9 7/8%, 5/1/03 Baa3 900,000 1,037,673
Great Northern Nekoosa Corp.
9 1/8%, 2/1/98 Baa2 750,000 792,405
TOTAL BASIC INDUSTRIES 2,172,903
ENERGY - 0.7%
ENERGY SERVICES - 0.7%
Petroliam Nasional Berhad yankee
6 7/8%, 7/1/03 (b) A1 3,080,000 3,064,754
OIL & GAS - 0.0%
Societe Nationale Elf Aquitaine yankee
7 3/4%, 5/1/99 Aa3 150,000 156,432
TOTAL ENERGY 3,221,186
FINANCE - 17.1%
ASSET-BACKED SECURITIES - 4.1%
Capital Auto Receivables Asset
Trust 5.85%, 1/15/98 Aaa 504,194 500,807
Chase Manhattan Credit Card
Master Trust
8 3/4%, 8/15/99 Aaa 1,250,000 1,272,650
Discover Card Trust 6 1/8%,
5/15/98 A2 1,670,000 1,666,343
KeyCorp Auto Grantor Trust
5.80%, 7/15/00 A3 418,147 414,383
Premier Auto Trust 1994-3B
6.80%, 12/02/98 Aa3 1,017,839 1,022,610
Standard Credit Card Master
Trust I :
9%, 8/7/97 A2 1,320,000 1,353,206
8 1/4%, 10/7/97 A2 1,750,000 1,787,188
5 1/2%, 9/7/98 A2 960,000 945,900
6 1/4%, 9/7/98 A2 3,190,000 3,175,545
4.85%, 3/7/99 A2 1,000,000 976,160
9 1/4, 9/07/99 A2 2,290,000 2,443,842
7.65%, 2/15/00 A2 430,000 442,094
United Federal Savings Bank
Grantor Trust 1994-B
6.975%, 7/10/00 Baa2 1,529,832 1,533,179
17,533,907
MOODY'S PRINCIPAL VALUE
RATINGS (A) AMOUNT (NOTE 1)
BANKS - 7.2%
Bank of Boston Corp.:
9 1/2%, 8/15/97 Baa1 $ 1,455,000 $ 1,538,660
10.30%, 9/1/00 Baa1 1,461,000 1,461,000
Barnett Bank, Inc. 10 7/8%,
3/15/03 A3 920,000 1,122,004
Corporacion Andina De Fomento
yankee bonds 7 1/4%,
4/30/98 (b) Baa3 3,000,000 2,970,000
Export-Import Bank Korea
7.85%, 11/1/96 A1 2,000,000 2,035,760
First Fidelity Bancorporation
8 1/2%, 4/1/98 A3 710,000 745,429
First Hawaiian Bank secured
6.93%, 12/1/03 (b) A1 1,000,000 962,900
First Interstate Bancorp sub. notes
12 3/4%, 5/1/97 A3 180,000 197,685
First Maryland Bancorp
10 3/8%, 8/1/99 Baa1 750,000 840,615
First Security Corp. 7%,
7/15/05 Baa1 750,000 738,848
Firstar Corp.
7.15%, 9/1/00 A3 1,300,000 1,317,277
Fleet Financial Group, Inc.
7 5/8%, 12/1/99 A3 1,000,000 1,037,190
Fleet/Norstar Financial Group, Inc.
9.90%, 6/15/01 A3 1,390,000 1,577,094
Korea Development Bank
6 1/4%, 5/1/00 A1 2,000,000 1,969,940
Merchants National Corp.
9 7/8%, 10/1/99 A2 1,650,000 1,835,295
Midlantic Corp. :
9.875%, 12/1/99 Baa1 530,000 585,586
9.20%, 8/1/01 Baa1 1,051,000 1,167,566
NCNB Corp.
10.20%, 7/15/15 A3 2,000,000 2,476,420
Nationsbank Corp.
5 1/8%, 9/15/98 A2 190,000 183,341
Provident Bank
7 1/8%, 3/15/03 Baa2 1,675,000 1,666,424
Shawmut Bank of Boston, NA
euro 6.3125%, 2/24/97 (d) Baa2 120,000 119,850
Shawmut Corp.
8 1/8%, 2/1/97 Baa1 680,000 697,360
NONCONVERTIBLE BONDS - CONTINUED
MOODY'S PRINCIPAL VALUE
RATINGS (A) AMOUNT (NOTE 1)
FINANCE - CONTINUED
BANKS - CONTINUED
Shawmut National Corp.:
8 5/8%, 12/15/99 Baa2 $ 880,000 $ 945,622
7.20%, 4/15/03 Baa2 1,000,000 1,006,520
Signet Banking Corp.
9 5/8%, 6/1/99 Baa2 1,139,000 1,244,973
30,443,359
CREDIT & OTHER FINANCE - 3.3%
CIT Group Holdings, Inc.
6 5/8%, 6/15/05 Aa3 1,690,000 1,659,445
Fleet Mortgage Group, Inc.
6 1/2%, 6/15/00 A3 800,000 793,920
Ford Motor Credit Co.:
8%, 12/1/96 A1 1,000,000 1,021,650
5 5/8%, 3/3/97 A1 1,250,000 1,238,550
General Motors Acceptance Corp.:
5.05%, 10/18/96 A3 500,000 494,050 7.60%, 1/9/97 A3 400,000 407,048
7 3/4%, 1/28/97 A3 750,000 765,075
6% 12/30/98 A3 2,000,000 1,971,260
Greyhound Financial Corp.:
8 1/4%, 3/11/97 Baa1 2,500,000 2,565,325
6.95%, 1/28/98 Baa2 750,000 756,233
8 1/2%, 5/1/98 Baa1 1,000,000 1,047,100
MNC Financial, Inc. sub. cap.
notes 9 3/8%, 5/1/97 A3 197,000 206,495
Westinghouse Credit Corp.
8.98%, 6/15/98 Ba1 1,000,000 1,042,140
13,968,291
INSURANCE - 1.5%
Metropolitan Life Insurance Co.
6.30%, 11/1/03 (b) Aa3 2,560,000 2,423,808
Nationwide Mutual Insurance Co.
6 1/2%, 2/15/04 (b) Aa3 2,690,000 2,562,467
New York Life Insurance Co.
6 2/5%, 12/15/03 (b) Aa2 1,500,000 1,441,620
6,427,895
SAVINGS & LOANS - 1.0%
Great Western Financial Corp.
6 3/8%, 7/1/00 Baa1 1,000,000 982,740
MOODY'S PRINCIPAL VALUE
RATINGS (A) AMOUNT (NOTE 1)
Home Savings of America:
10 1/4%, 12/5/96 A3 $ 500,000 $ 503,750
6%, 11/1/00 A3 1,000,000 962,090
Household Bank
8.45%, 12/10/02 A3 1,650,000 1,778,139
4,226,719
TOTAL FINANCE 72,600,171
MEDIA & LEISURE - 0.4%
PUBLISHING - 0.4%
News America Holdings, Inc.:
12%, 12/15/01 Baa3 1,100,000 1,232,979
8 5/8%, 2/1/03 Baa3 355,000 385,637
TOTAL MEDIA & LEISURE 1,618,616
SERVICES - 0.2%
LEASING & RENTAL - 0.2%
U. S. Leasing International, Inc.
8 3/47%, 12/1/01 A1 1,000,000 1,093,820
TECHNOLOGY - 1.3%
COMPUTERS & OFFICE EQUIPMENT - 0.8%
Comdisco, Inc.:
7 1/4%, 4/15/98 Baa2 1,565,000 1,594,203 9.30%, 6/27/00 Baa2 1,250,000
1,377,125
9 1/4%, 7/6/00 Baa2 375,000 412,388
3,383,716
ELECTRONICS - 0.5%
Grupo Condumex SA de CV
6 1/4%, 7/27/96 (b) -- 2,040,000 1,958,400
TOTAL TECHNOLOGY 5,342,116
TRANSPORTATION - 0.3%
AIR TRANSPORTATION - 0.3%
AMR Corp.:
7 3/4%, 12/1/97 Baa3 1,000,000 1,021,450
9 1/2%, 7/15/98 Baa3 250,000 266,690
TOTAL TRANSPORTATION 1,288,140
NONCONVERTIBLE BONDS - CONTINUED
MOODY'S PRINCIPAL VALUE
RATINGS (A) AMOUNT (NOTE 1)
UTILITIES - 3.0%
ELECTRIC UTILITY - 2.1%
British Columbia Hydro & Power
Authority gtd. 15%,
4/15/11 Aa2 $ 1,831,000 $ 2,018,092
Gulf States Utilities Co. 1st mtg.
6.67%, 11/1/96 Baa3 2,430,000 2,435,808
Long Island Lighting Co.
8 3/4%, 5/1/96 Baa3 2,400,000 2,439,024
United Illuminating Co.:
7 3/8%, 1/15/98 Baa3 1,500,000 1,515,615
9.76%, 1/2/06 Baa3 337,000 353,692
8,762,231
GAS - 0.9%
Southwest Gas Co.
9 3/4%, 6/15/02 Baa3 2,250,000 2,563,358
Transco Energy Co.
9 1/8%, 5/1/98 Baa2 950,000 1,006,459
Transcontinental Gas Pipe
Line Corp. 9%, 11/15/96 Baa1 100,000 102,989
3,672,806
TOTAL UTILITIES 12,435,037
TOTAL NONCONVERTIBLE BONDS
(Cost $99,657,789) 99,771,989
U.S. GOVERNMENT AND GOVERNMENT
AGENCY OBLIGATIONS - 46.7%
U.S. TREASURY OBLIGATIONS - 38.4%
8%, 10/15/96 Aaa 3,360,000 3,440,842
4 3/8%, 11/15/96 Aaa 3,100,000 3,050,121
7 1/4%, 11/15/96 Aaa 2,020,000 2,054,401
8 1/2%, 5/15/97 Aaa 12,820,000 13,366,901
8 3/4%, 10/15/97 Aaa 5,050,000 5,334,871
5 5/8%, 1/31/98 Aaa 1,575,000 1,564,416
9 1/4%, 8/15/98 Aaa 10,060,000 10,940,250
5 1/8%, 12/31/98 Aaa 1,335,000 1,299,743
7 3/4%, 12/31/99 Aaa 17,520,000 18,620,431
7 7/8%, 8/15/01 Aaa 12,900,000 13,986,438
6 1/4%, 2/15/03 Aaa 5,235,000 5,229,294
11 1/4%, 8/15/03 Aaa 180,000 233,550
11 7/8%, 11/15/03 Aaa 1,880,000 2,539,767
11 3/4%, 2/15/10 Aaa 7,780,000 10,708,470
MOODY'S PRINCIPAL VALUE
RATINGS (A) AMOUNT (NOTE 1)
12 3/4%, 11/15/10 Aaa $ 250,000 $ 365,430
9 7/8%, 11/15/15 Aaa 12,500,000 16,793,000
9%, 11/15/18 Aaa 14,250,000 17,903,843
8 7/8%, 2/15/19 Aaa 13,210,000 16,417,520
8 1/8%, 8/15/19 Aaa 6,860,000 7,931,875
12%, 8/15/23 Aaa 7,815,000 11,441,629
TOTAL U.S. TREASURY OBLIGATIONS 163,222,792
U.S. GOVERNMENT AGENCY OBLIGATIONS - 8.3%
Federal Agricultural Mortgage Corp.
6.92%, 8/10/02 Aaa 1,040,000 1,068,925
Federal Home Loan Bank:
4.89%, 10/14/98 (callable) Aaa 620,000 595,894
5.60%, 2/23/99 (callable) Aaa 3,000,000 2,906,250
6.37%, 6/30/03 Aaa 510,000 503,067
Federal Home Loan Mortgage Corp.
5.60%, 3/1/99 (callable) Aaa 1,910,000 1,854,491
Federal National Mortgage Association:
5.20%, 7/10/98 (callable) Aaa 810,000 788,010 3%, 7/13/98 (e) Aaa
710,000 702,567
4.70%, 9/10/98 (callable) Aaa 650,000 622,324
5.30%, 12/10/98 (callable) Aaa 730,000 708,560Government Trust
Certificates
(assets of the Trust guaranteed by
U.S. Government through Defense
Security Assistance Agency):
Class G-2, 8%,
5/15/98 Aaa 1,326,277 1,357,232
Class 1-C, 9 1/4%,
11/15/01 Aaa 860,000 941,562
Class 2-E, 9.40%,
5/15/02 Aaa 1,310,000 1,440,646
Class T-2, 9 5/8%,
5/15/02 Aaa 520,000 572,650Government Trust Certificates
(assets of Trust guaranteed
by U.S. Government through
Export-Import Bank):
Series 1992-A, 7.02%,
9/01/04 Aaa 602,213 617,174 Series 1994-F, 8.178%,
12/15/04 Aaa 3,360,913 3,564,944 Series 1995-A, 6.28%,
6/15/04 Aaa 2,510,000 2,486,155
U.S. GOVERNMENT AND GOVERNMENT
AGENCY OBLIGATIONS - CONTINUED
MOODY'S PRINCIPAL VALUE
RATINGS (A) AMOUNT (NOTE 1)
U.S. GOVERNMENT AGENCY OBLIGATIONS - CONTINUED
Private Export Funding Corp.:
7 1/8%, 10/31/96 Aaa $ 1,000,000 $ 1,012,300 5 3/4%, 4/30/98 Aaa
1,090,000 1,077,269 9 1/2%, 3/31/99 Aaa 1,340,000 1,482,710 6.90%,
1/31/03 Aaa 150,000 153,120 5.65%, 3/15/03 Aaa 1,080,000 1,056,024 8
3/4%, 6/30/03 Aaa 1,530,000 1,730,035 5.48%, 9/15/03 Aaa 212,500
204,383 6.86%, 4/30/04 Aaa 472,500 477,986State of Israel (guaranteed by
U.S. Government through Agency
for International Development):
7 3/4%, 4/1/98 Aaa 297,008 303,358
6%, 2/15/99 Aaa 450,000 447,001
5 3/4%, 3/15/00 Aaa 1,030,000 1,009,400
8%, 11/15/01 Aaa 1,000,000 1,076,430
8 1/2%, 4/1/06 Aaa 2,705,000 2,990,729
Student Loan Marketing Association
8.14%, 10/15/03 Aaa 420,000 457,275
U.S. Housing & Urban Development
8.27%, 8/1/03 Aaa 1,000,000 1,093,438
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS 35,301,909
TOTAL U.S. GOVERNMENT AND
GOVERNMENT AGENCY OBLIGATIONS
(Cost $194,708,580) 198,524,701
U.S. GOVERNMENT AGENCY -
MORTGAGE-BACKED SECURITIES - 26.0%
FEDERAL HOME LOAN MORTGAGE CORPORATION - 3.0%
6 1/2%, 10/1/07 Aaa 1,015,988 1,001,063
8%, 7/1/16 Aaa 39,428 40,235
8 1/2%, 9/1/19 Aaa 47,950 49,493
9%, 11/1/01 Aaa 922,339 955,774
9%, 10/1/16 Aaa 460,230 485,685
9 1/2%, 10/1/8 to 9/1/18 Aaa 1,590,159 1,677,776 10%, 6/1/20 Aaa
347,596 377,576
10 1/2%, 1/1/01 to 2/1/19 Aaa 1,159,553 1,254,245
11%, 1/1/06 to 9/1/20 Aaa 5,433,208 5,954,113
11 1/2%, 8/1/13 to 2/1/15 Aaa 62,651 69,084 11 3/4%, 9/1/13 Aaa
119,948 131,757
MOODY'S PRINCIPAL VALUE
RATINGS (A) AMOUNT (NOTE 1)
12%, 2/1/13 to 7/1/15 Aaa $ 118,503 $ 131,400
12 3/4%, 8/1/12 to 3/1/14 Aaa 182,460 202,076
13 1/2%, 1/1/23 Aaa 547,414 613,104
12,943,381
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 10.8%
5 1/2%, 1/1/09 to 5/1/09 Aaa 7,415,855 7,019,551
6%, 1/1/01 to 9/1/02 Aaa 13,146,550 12,880,193
6 1/2%, 11/1/08 to 9/1/24 Aaa 6,066,556 5,856,786
7%, 6/1/23 to 8/1/25 Aaa 3,966,223 3,898,483
7 1/2%, 11/1/07 to 8/1/25 Aaa 4,205,588 4,252,712
8 1/2%, 6/1/17 to 7/1/24 Aaa 4,831,133 4,993,399
9 1/2%, 12/1/24 to 6/1/25 Aaa 4,775,916 5,023,644
10 3/4%, 8/1/10 to 5/1/14 Aaa 468,603 514,102
11 1/4%, 5/1/14 Aaa 101,243 112,159
11 1/2%, 8/1/14 Aaa 265,657 296,539
12 1/4%, 6/1/13 Aaa 45,298 50,281
12 1/2%, 1/1/15 Aaa 70,618 78,562
13%, 12/1/14 to 1/1/15 Aaa 107,749 120,139
13 1/4%, 2/1/13 Aaa 10,640 11,917
13 1/2%, 8/1/14 to 11/1/14 Aaa 86,487 96,866
14%, 3/1/12 to 10/1/14 Aaa 406,437 459,274
45,664,607
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 12.2%
6 1/2% 6/15/23 to 6/15/24 Aaa 8,497,963 8,144,702
7% 12/15/22 to 9/15/23 Aaa 3,168,110 3,113,650
7 1/2%, 2/15/17 to 9/15/25 Aaa 19,758,933 19,870,731
8%, 11/15/16 to 11/15/22 Aaa 4,314,416 4,428,223
8 1/2%, 3/15/17 to 10/15/22 . Aaa 2,732,052 2,846,049
9%, 7/15/18 to 5/15/25 Aaa 8,980,786 9,428,641
9 1/2%, 1/15/19 to 7/15/25 Aaa 1,758,430 1,869,260
10%, 6/15/13 to 10/15/18 Aaa 1,847,220 2,015,549
11 1/2%, 7/15/10 to 8/15/13. Aaa 4,551 5,132
51,721,937
TOTAL U.S. GOVERNMENT AGENCY -
MORTGAGE-BACKED SECURITIES
(Cost $109,700,704) 110,329,925
COMMERCIAL MORTGAGE SECURITIES - 0.3%
MOODY'S PRINCIPAL VALUE
RATINGS (A) AMOUNT (NOTE 1)
Resolution Trust Corp. Commercial
Series 1994:
C2 Class A-4, 7 1/2%,
4/25/25 Aaa $ 373,465 $ 375,215
C1 Class A-4 7 1/4%,
6/25/26 Aaa 882,042 879,286
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $1,250,955) 1,254,501
FOREIGN GOVERNMENT OBLIGATIONS (C) - 1.0%
Malaysia euro 9 1/2%,
10/31/96 A1 1,070,000 1,106,294
Ontario Province yankee
7 3/4%, 6/4/02 Aa3 2,000,000 2,114,820
Victorian Public Authorities Finance
Agency 8.45%, 10/1/01 Aa2 1,000,000 1,084,930
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost $4,315,686) 4,306,044
REPURCHASE AGREEMENTS - 2.5%
MATURITY VALUE
AMOUNT (NOTE 1)
(000S) (000S)
Investments in repurchase agreements
(U.S. Treasury obligations), in a
joint trading account at 5.82%
dated 8/31/95 due 9/1/95 $ 10,504,698 10,503,000
TOTAL INVESTMENT IN SECURITIES - 100%
(Cost $420,136,714) $ 424,690,160
LEGEND
7.Standard & Poor's Corporation credit ratings are used in the absence of a
rating by Moody's Investors Service, Inc.
8.Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period
end, the value of these securities amounted to $15,383,949 or 3.7% of net
assets.
9.Some foreign government obligations have not been individually rated by
S&P or Moody's. The ratings listed are assigned to securities by FMR, the
fund's investment adviser, based principally on S&P and Moody's ratings of
the sovereign credit of the issuing government.
10.For financial statement purposes, the maturity amount is calculated
based on the rate at period end.
11.Debt obligation initially issued at one coupon which converts to a
higher coupon at a specified date.
OTHER INFORMATION
The composition of long-term debt holdings as a percentage of total value
of investment in securities, is as follows (ratings are unaudited):
MOODY'S RATINGS S&P RATINGS
Aaa, Aa, A 86.9% AAA, AA, A 84.3%
Baa 9.6% BBB 10.9%
Ba 0.3% BB 0.6%
B 0.0% B 0.0%
Caa 0.0% CCC 0.0%
Ca, C 0.0% CC, C 0.0%
D 0.0%
For some foreign government obligations, FMR has assigned the ratings of
the sovereign credit of the issuing government. The percentage not rated by
either S&P or Moody's amounted to 0.5% .
INCOME TAX INFORMATION
At August 31,1995, the aggregate cost of investment securities for income
tax purposes was $420,145,101. Net unrealized appreciation aggregated
$4,545,059, of which $8,035,168 related to appreciated investment
securities and $3,490,109 related to depreciated investment securities.
At Februrary 28,1995, the fund had a capital loss carryforward of
approximately $5,486,000 which will expire on Februrary 28, 2003.
The fund has elected to defer to its fiscal year ending Februrary 28, 1996,
approximately $4,392,000 of losses recognized during the period November 1,
1994 to Februrary 28, 1995.
FINANCIAL STATEMENTS
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS AUGUST 31, 1995 (UNAUDITED)
ASSETS 12. 13.
14.Investment in securities, at value (including repurchase agreements of $10,503,000) 15. $ 424,690,160
(cost $420,136,714) - See accompanying schedule
16.Cash 17. 606,253
18.Receivable for investments sold 19. 3,259,960
20.Interest receivable 21. 5,600,386
22.Receivable from investment adviser for expense reductions 23. 97,664
24. 25.TOTAL ASSETS 26. 434,254,423
LIABILITIES 27. 28.
29.Payable for investments purchased $ 15,802,370 30.
31.Distributions payable 212,693 32.
33.Accrued management fee 109,213 34.
35.Other payables and accrued expenses 126,221 36.
37. 38.TOTAL LIABILITIES 39. 16,250,497
40.NET ASSETS 41. $ 418,003,926
42.Net Assets consist of: 43. 44.
45.Paid in capital 46. $ 425,062,197
47.Distributions in excess of net investment income 48. (342,144)
49.Accumulated undistributed net realized gain (loss) on investments 50. (11,269,573)
51.Net unrealized appreciation (depreciation) on investments 52. 4,553,446
53.NET ASSETS, for 39,292,385 shares outstanding 54. $ 418,003,926
55.NET ASSET VALUE, offering price and redemption price per share ($418,003,926
(divided by) 39,292,385 56. $10.64
shares)
</TABLE>
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS ENDED AUGUST 31, 1995 (UNAUDITED)
INVESTMENT INCOME 58. $ 14,595,981
57.Interest
EXPENSES 59. 60.
61.Management fee $ 614,403 62.
63.Transfer agent fees 441,884 64.
65.Accounting fees and expenses 77,859 66.
67.Non-interested trustees' compensation 936 68.
69.Custodian fees and expenses 25,234 70.
71.Registration fees 17,833 72.
73.Audit 18,370 74.
75.Legal 1,678 76.
77.Miscellaneous 798 78.
79. Total expenses before reductions 1,198,995 80.
81. Expense reductions (581,156) 617,839
82.83.NET INVESTMENT INCOME 84. 13,978,142
REALIZED AND UNREALIZED GAIN (LOSS) 86. (1,309,104)
85.Net realized gain (loss) on investment securities
87.Change in net unrealized appreciation (depreciation) on investment securities 88. 15,415,022
89.90.NET GAIN (LOSS) 91. 14,105,918
92.93.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 94. $ 28,084,060
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
<S> <C> <C>
AMOUNTS IN THOUSANDS SIX MONTHS YEAR ENDED
ENDED AUGUST FEBRUARY 28,
31, 1995 1995
(UNAUDITED)
INCREASE (DECREASE) IN NET ASSETS
95.Operations $ 13,978,142 $ 25,192,907
Net investment income
96. Net realized gain (loss) (1,309,104) (10,706,754)
97. Change in net unrealized appreciation (depreciation) 15,415,022 (7,806,576)
98. 99.NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 28,084,060 6,679,577
100.Distributions to shareholders from net investment income (14,044,712) (24,634,207)
101.Share transactions 71,385,539 148,587,282
Net proceeds from sales of shares
102. Reinvestment of distributions 12,802,599 22,389,755
103. Cost of shares redeemed (34,905,242) (86,844,254)
104.105. 49,282,896 84,132,783
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
106. 63,322,244 66,178,153
107.TOTAL INCREASE (DECREASE) IN NET ASSETS
NET ASSETS 108. 109.
110. Beginning of period 354,681,682 288,503,529
111. $ 418,003,926 $ 354,681,682
End of period (including distributions in excess of net investment income of $(342,144) and
$(275,574), respectively)
OTHER INFORMATION 113. 114.
112.Shares
115. Sold 6,785,868 14,168,508
116. Issued in reinvestment of distributions 1,217,235 2,193,629
117. Redeemed (3,322,785) (8,384,945)
118. Net increase (decrease) 4,680,318 7,977,192
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
119. SIX MONTHS YEARS FOUR MONTHS YEARS MARCH 8, 1990
ENDED ENDED ENDED ENDED (COMMENCEME
AUGUST 31, 1995 FEBRUARY 28, FEBRUARY 28, OCTOBER 31, NT OF
OPERATIONS) TO
OCTOBER 31,
120. (UNAUDITED) 1995 1994 D 1993 1992 1991 1990
121.SELECTED PER-SHARE DATA
122.Net asset value,
beginning $ 10.250 $ 10.830 $ 11.070 $ 10.910 $ 10.710 $ 10.040 $ 10.000
of period
123.Income from Investment .383 .718 .697 .260 .839 .863 .559
Operations
Net investment income
124. Net realized and
unrealized .391 (.542) (.110) .324 .277 .668 .040
gain (loss)
125. Total from investment .774 .176 .587 .584 1.116 1.531 .599
operations
126.Less Distributions (.384) (.756) (.727) (.254) (.836) (.861) (.559)
From net investment income
127. From net realized gain - - (.070) (.170) (.080) - -
on investments
128. In excess of net realized - - (.030) - - - -
gain
on investments
129. Total distributions (.384) (.756) (.827) (.424) (.916) (.861) (.559)
130.Net asset value, end of $ 10.640 $ 10.250 $ 10.830 $ 11.070 $ 10.910 $ 10.710 $ 10.040
period
131.TOTAL RETURN B, C 7.65% 1.90% 5.38% 5.50% 10.84% 15.86% 6.14%
132.RATIOS AND SUPPLEMENTAL DATA
133.Net assets, end of period $ 418,004 $ 354,682 $ 288,504 $ 123,351 $ 86,149 $ 39,144 $ 25,600
(000 omitted)
134.Ratio of expenses to .32% A .32% .32% .32% A .32% .32% .32% A
average
net assets
135.Ratio of expenses to .62% A .57% .66% .87% A .83% .90% .84% A
average net assets before
expense reductions
136.Ratio of net investment 7.24% A 7.58% 6.93% 7.34% A 7.70% 8.33% 8.62% A
income to average net assets
137.Portfolio turnover rate 166% A 73% 160% 89% A 113% 50% 62% A
</TABLE>
A ANNUALIZED
B TOTAL RETURNS FOR PERIODS OF LESS THAN ONE YEAR ARE NOT ANNUALIZED.
C THE TOTAL RETURNS WOULD HAVE BEEN LOWER HAD CERTAIN EXPENSES NOT BEEN
REDUCED DURING THE PERIODS SHOWN (SEE NOTE 5 OF NOTES TO FINANCIAL
STATEMENTS).
D EFFECTIVE MARCH 1,1993, THE FUND ADOPTED STATEMENT OF POSITION 93-2,
"DETERMINATION, DISCLOSURE, AND FINANCIAL STATEMENT PRESENTATION OF INCOME,
CAPITAL GAIN, AND RETURN OF CAPITAL DISTRIBUTIONS BY INVESTMENT COMPANIES."
AS A RESULT, NET INVESTMENT INCOME PER SHARE MAY REFLECT CERTAIN
RECLASSIFICATIONS RELATED TO BOOK TO TAX DIFFERENCES.
NOTES TO FINANCIAL STATEMENTS
For the period ended August 31, 1995 (Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES.
FIdelity U.S. Bond Index Portfolio (the fund) is a fund of Fidelity
Institutional Trust (the trust) and is authorized to issue an unlimited
number of shares. The trust is registered under the Investment Company Act
of 1940, as amended (the 1940 Act), as an open-end management investment
company organized as a Massachusetts business trust. The following
summarizes the significant accounting policies of the fund:
SECURITY VALUATION. Securities are valued based upon a computerized matrix
system and/or appraisals by a pricing service, both of which consider
market transactions and dealer-supplied valuations. Short-term securities
maturing within sixty days of their purchase date are valued either at
amortized cost or original cost plus accrued interest, both of which
approximate current value. Securities for which market quotations are not
readily available are valued at their fair value as determined in good
faith under consistently applied procedures under the general supervision
of the Board of Trustees.
INCOME TAXES. As a qualified regulated investment company under Subchapter
M of the Internal Revenue Code, the fund is not subject to income taxes to
the extent that it distributes substantially all of its taxable income for
its fiscal year. The schedule of investments includes information regarding
income taxes under the caption "Income Tax Information."
INVESTMENT INCOME. Dividend income is recorded on the ex-dividend date,
except certain dividends from foreign securities where the ex-dividend date
may have passed, are recorded as soon as the fund is informed of the
ex-dividend date. Interest income, which includes accretion of original
issue discount, is accrued as earned. Investment income is recorded net of
foreign taxes withheld where recovery of such taxes is uncertain.
EXPENSES. Most expenses of the trust can be directly attributed to a fund.
Expenses which cannot be directly attributed are apportioned between the
funds in the trust.
DISTRIBUTIONS TO SHAREHOLDERS. Distributions are declared daily and paid
monthly from net investment income. Distributions from realized gains, if
any, are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with
income tax regulations which may differ from generally accepted accounting
principles. These differences, which may result in distribution
reclassifications, are primarily due to differing treatments for paydown
gains/losses on certain securities, market discount, capital loss
carryforwards, and losses deferred due to wash sales and excise tax
regulations.
Permanent book and tax basis differences relating to shareholder
distributions will result in reclassifications to paid in capital and may
affect the per-share allocation between net investment income and realized
and unrealized gain (loss). Distributions in excess of net investment
income and accumulated undistributed net realized gain (loss) on
investments may include temporary book and tax basis differences that will
reverse in a subsequent period. Any taxable income or gain remaining at
fiscal year end is distributed in the following year.
SECURITY TRANSACTIONS. Security transactions are accounted for as of trade
date. Gains and losses on securities sold are determined on the basis of
identified cost.
2. OPERATING POLICIES.
JOINT TRADING ACCOUNT. Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the fund, along with other affiliated
entities of Fidelity Management & Research Company (FMR), may transfer
uninvested cash balances into one or more joint trading accounts. These
balances are invested in one or more repurchase agreements that mature in
60 days or less from the date of purchase, and are collateralized by U.S.
Treasury or Federal Agency obligations.
REPURCHASE AGREEMENTS. The fund, through its custodian, receives delivery
of the underlying U.S. Treasury or Federal Agency Securities, the market
value of which is required to be at least equal to the repurchase price.
For term repurchase agreement transactions, the underlying securities are
marked-to-market daily and maintained at a value at least equal to the
repurchase price. FMR, the fund's investment adviser, is responsible for
determining that the value of the underlying securities remains in
accordance with the market value requirements stated above.
3. PURCHASES AND SALES OF INVESTMENTS.
Purchases and sales of securities, other than short-term securities,
aggregated $365,909,742 and $315,027,732, respectively, of which U.S.
government and government agency obligations aggregated $320,390,616 and
$287,786,712, respectively.
4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES.
MANAGEMENT FEE. As the fund's investment adviser, FMR receives a fee that
is computed daily at an annual rate of .32% of the fund's average net
assets.
TRANSFER AGENT FEES. Fidelity Investments Institutional Operations Company
(FIIOC), an affiliate of FMR, is the fund's transfer, dividend disbursing
and shareholder servicing agent. FIIOC receives account fees and
asset-based fees that vary according to account size and type of account.
FIIOC pays for typesetting, printing and mailing of all shareholder
reports, except proxy statements.
ACCOUNTING FEES. Fidelity Service Co., an affiliate of FMR, maintains the
fund's accounting records. The fee is based on the level of average net
assets for the month plus out-of-pocket expenses.
5. EXPENSE REDUCTIONS.
FMR voluntarily agreed to reimburse the fund's operating expenses
(excluding interest, taxes, brokerage commissions and extraordinary
expenses) above an annual rate of .32% of average net assets. For the
period, the reimbursement reduced the fund's expenses by $581,156.
INVESTMENT ADVISER
Fidelity Management & Research Company
Boston, MA
OFFICERS
Edward C. Johnson 3d, PRESIDENT
J. Gary Burkhead, SENIOR VICE PRESIDENT
Fred L. Henning, Jr., VICE PRESIDENT
Christine Thompson, VICE PRESIDENT
Arthur S. Loring, SECRETARY
Kenneth A. Rathgeber, TREASURER
John H. Costello, ASSISTANT TREASURER
Leonard M. Rush, ASSISTANT TREASURER
BOARD OF TRUSTEES
J. Gary Burkhead
Ralph F. Cox *
Phyllis Burke Davis *
Richard J. Flynn *
Edward C. Johnson 3d
E. Bradley Jones *
Donald J. Kirk *
Peter S. Lynch
Edward H. Malone *
Marvin L. Mann *
Gerald C. McDonough *
Thomas R. Williams *
GENERAL DISTRIBUTOR
Fidelity Distributors Corporation
Boston, MA
TRANSFER AND SHAREHOLDER SERVICING AGENT
Fidelity Investments Institutional Operations Company
Boston, MA
CUSTODIAN
The Bank of New York
New York, NY
* INDEPENDENT TRUSTEES
