Fund Attribution and Characteristics Report

Transcription

1 Fund Attribution and Characteristics Report Fidelity Worldwide Fund as of December 31, 2004 Information reflects the fund s investments up to December 31, 2004 and may not be representative of current or future holdings. Views are as of December 31, 2004 and are subject to change at any time based on market and other conditions. Data in this package is unaudited. Please see the fund s annual report for audited information. Consult prospectus for details. Fidelity Distributors Corporation is not a bank. Mutual fund shares are not deposits or obligations of, or guaranteed by, any depository institution. Shares are not insured by the FDIC, Federal Reserve Board or any other agency, and are subject to investment risk including possible loss of principal amount invested. Please carefully consider the fund s investment objectives, risks, charges and expenses before investing. For this and other information, call or write to Fidelity or visit Fidelity.com for a free prospectus. Read it carefully before you invest or send money

2 Attribution Summary (MSCI/S&P Sector) Fidelity Worldwide Fund Benchmark: MSCI World Oct 1, 2004 to Dec 31, 2004 Average Weight (actual) Average Weight (rescaled) Contribution to Relative Return Security Market Total Total MSCI/S&P Sector Fund Benchmark Relative Fund Benchmark Relative Selection Selection (rescaled) (actual) Financials 20.3 % 24.2 % -3.9 % 20.8 % 24.2 % -3.4 % 84 BP -12 BP 72 BP 68 BP Materials 6.5 % 5.2 % 1.4 % 6.7 % 5.2 % 1.5 % 20 BP 1 BP 21 BP 21 BP Telecommunication Services 7.3 % 4.9 % 2.3 % 7.5 % 4.9 % 2.5 % 3 BP 11 BP 14 BP 13 BP Energy 6.6 % 8.2 % -1.6 % 6.7 % 8.2 % -1.5 % -1 BP 6 BP 5 BP 6 BP Consumer Staples 5.1 % 8.7 % -3.5 % 5.2 % 8.7 % -3.4 % 6 BP -6 BP 0 BP -0 BP Utilities 1.2 % 3.9 % -2.7 % 1.2 % 3.9 % -2.7 % 2 BP -7 BP -5 BP -5 BP Health Care 11.7 % 10.4 % 1.3 % 12.0 % 10.4 % 1.6 % -12 BP 7 BP -6 BP -4 BP Consumer Discretionary 9.6 % 12.3 % -2.7 % 9.8 % 12.3 % -2.5 % -6 BP 0 BP -6 BP -7 BP Industrials 11.5 % 10.4 % 1.1 % 11.8 % 10.4 % 1.4 % -2 BP -5 BP -7 BP -7 BP Information Technology 17.9 % 11.8 % 6.1 % 18.3 % 11.8 % 6.5 % -16 BP 2 BP -15 BP -17 BP Total Primary Assets 97.6 % % % % 77 BP -4 BP 73 BP 68 BP Cash 2.4 % 0.0 % -26 BP Other Investments 0.0 % 0.0 % 3 BP Expenses -30 BP Total % % 15 BP Cumulative Returns Fund Return 12.2% Benchmark Return 12.0% Relative Return 0.1% The performance data featured represents past performance, which is no guarantee of future results. Investment return and principal value of an investment will fluctuate; therefore, you may have a gain or loss when you sell your shares. Current performance may be higher or lower than the performance quoted. For retail funds, please visit fidelity.com/performance or call Fidelity, or for Advisor and VIP funds, please visit advisor.fidelity.com or call your investment professional for most recent month-end performance figures. Cumulative total returns are historical and include change in share value and reinvestment of dividends and capital gains, if any. For funds less than one-year old, the period indicated begins on the first month-end following the fund s commencement date. Please see page 5 for short-term trading fees and standard performance information. The sector positioning is presented to illustrate examples of the sectors in which the fund may invest, and may not be representative of the fund s current or future investments. Mention of these sectors should not be construed as a recommendation. The fund and benchmark returns are calculated by Fidelity Performance Attribution and constructed from the underlying security-level data; these returns may not tie to standard, published performance information such as the returns on page 5. Cumulative total (actual) returns are calculated based on total fund assets and reflect the composite return of the fund, which may not necessarily reflect a particular class s return. Expenses are the total fund expenses for all classes in the fund, as applicable, and do not represent a particular class s expenses. The returns are net of expenses and include 12b-1 fees (if any) and insurance contract charges (for VIP funds), but do not include sales loads (for applicable Advisor and Destiny classes). Please see the glossary for index descriptions and additional information. Page 1

3 Attribution Summary (MSCI/S&P Sector) Fidelity Worldwide Fund Benchmark: MSCI World Jan 1, 2004 to Dec 31, 2004 Average Weight (actual) Average Weight (rescaled) Contribution to Relative Return Security Market Total Total MSCI/S&P Sector Fund Benchmark Relative Fund Benchmark Relative Selection Selection (rescaled) (actual) Health Care 11.5 % 11.1 % 0.5 % 12.2 % 11.1 % 1.1 % 52 BP 10 BP 62 BP 62 BP Materials 5.6 % 4.9 % 0.7 % 5.9 % 4.9 % 1.0 % 41 BP 6 BP 47 BP 45 BP Energy 7.1 % 7.7 % -0.6 % 7.5 % 7.7 % -0.2 % 14 BP -1 BP 14 BP 9 BP Telecommunication Services 6.3 % 5.0 % 1.3 % 6.6 % 5.0 % 1.7 % -27 BP 29 BP 2 BP 3 BP Consumer Staples 5.9 % 9.0 % -3.1 % 6.2 % 9.0 % -2.8 % -32 BP 20 BP -12 BP -11 BP Industrials 10.1 % 10.2 % -0.1 % 10.6 % 10.2 % 0.5 % -11 BP -8 BP -18 BP -22 BP Utilities 1.2 % 3.7 % -2.5 % 1.3 % 3.7 % -2.4 % 6 BP -33 BP -27 BP -28 BP Consumer Discretionary 10.5 % 12.2 % -1.7 % 11.1 % 12.2 % -1.1 % -19 BP -28 BP -46 BP -42 BP Financials 20.9 % 24.0 % -3.1 % 22.0 % 24.0 % -2.0 % -14 BP -44 BP -57 BP -57 BP Information Technology 15.8 % 12.3 % 3.5 % 16.6 % 12.3 % 4.3 % 12 BP -125 BP -113 BP -97 BP Total Primary Assets 94.9 % % % % 24 BP -173 BP -149 BP -137 BP Cash 4.8 % 0.0 % -33 BP Other Investments 0.3 % 0.0 % 6 BP Expenses -133 BP Total % % -297 BP Cumulative Returns Fund Return 12.2% Benchmark Return 15.2% Relative Return -3.0% The performance data featured represents past performance, which is no guarantee of future results. Investment return and principal value of an investment will fluctuate; therefore, you may have a gain or loss when you sell your shares. Current performance may be higher or lower than the performance quoted. For retail funds, please visit fidelity.com/performance or call Fidelity, or for Advisor and VIP funds, please visit advisor.fidelity.com or call your investment professional for most recent month-end performance figures. Cumulative total returns are historical and include change in share value and reinvestment of dividends and capital gains, if any. For funds less than one-year old, the period indicated begins on the first month-end following the fund s commencement date. Please see page 5 for short-term trading fees and standard performance information. The sector positioning is presented to illustrate examples of the sectors in which the fund may invest, and may not be representative of the fund s current or future investments. Mention of these sectors should not be construed as a recommendation. The fund and benchmark returns are calculated by Fidelity Performance Attribution and constructed from the underlying security-level data; these returns may not tie to standard, published performance information such as the returns on page 5. Cumulative total (actual) returns are calculated based on total fund assets and reflect the composite return of the fund, which may not necessarily reflect a particular class s return. Expenses are the total fund expenses for all classes in the fund, as applicable, and do not represent a particular class s expenses. The returns are net of expenses and include 12b-1 fees (if any) and insurance contract charges (for VIP funds), but do not include sales loads (for applicable Advisor and Destiny classes). Please see the glossary for index descriptions and additional information. Page 2

4 Attribution Summary (Region) Fidelity Worldwide Fund Benchmark: MSCI World Oct 1, 2004 to Dec 31, 2004 Average Weight (actual) Average Weight (rescaled) Contribution to Relative Return Security Market Total Total Region Fund Benchmark Relative Fund Benchmark Relative Selection Selection (rescaled) (actual) Emerging Markets 7.5 % 0.1 % 7.4 % 7.7 % 0.1 % 7.6 % -44 BP 80 BP 36 BP 35 BP United States 52.5 % 53.1 % -0.6 % 53.8 % 53.1 % 0.7 % 34 BP 0 BP 34 BP 36 BP Japan 8.0 % 9.5 % -1.5 % 8.2 % 9.5 % -1.3 % 32 BP 1 BP 32 BP 31 BP Other 0.7 % 0.6 % 0.1 % 0.7 % 0.6 % 0.1 % 4 BP -1 BP 3 BP 3 BP Canada 1.4 % 2.9 % -1.5 % 1.4 % 2.9 % -1.5 % -1 BP -1 BP -1 BP -1 BP Asia Ex Japan 1.3 % 3.4 % -2.2 % 1.3 % 3.4 % -2.1 % -6 BP -9 BP -15 BP -15 BP Europe 26.2 % 30.3 % -4.1 % 26.9 % 30.3 % -3.5 % -3 BP -13 BP -16 BP -19 BP Total Primary Assets 97.6 % % % % 15 BP 58 BP 73 BP 68 BP Cash 2.4 % 0.0 % -26 BP Other Investments 0.0 % 0.0 % 3 BP Expenses -30 BP Total % % 15 BP Cumulative Returns Fund Return 12.2% Benchmark Return 12.0% Relative Return 0.1% The performance data featured represents past performance, which is no guarantee of future results. Investment return and principal value of an investment will fluctuate; therefore, you may have a gain or loss when you sell your shares. Current performance may be higher or lower than the performance quoted. For retail funds, please visit fidelity.com/performance or call Fidelity, or for Advisor and VIP funds, please visit advisor.fidelity.com or call your investment professional for most recent month-end performance figures. Cumulative total returns are historical and include change in share value and reinvestment of dividends and capital gains, if any. For funds less than one-year old, the period indicated begins on the first month-end following the fund s commencement date. Please see page 5 for short-term trading fees and standard performance information. The region positioning is presented to illustrate examples of the regions in which the fund may invest, and may not be representative of the fund s current or future investments. Mention of these regions should not be construed as a recommendation. The fund and benchmark returns are calculated by Fidelity Performance Attribution and constructed from the underlying security-level data; these returns may not tie to standard, published performance information such as the returns on page 5. Cumulative total (actual) returns are calculated based on total fund assets and reflect the composite return of the fund, which may not necessarily reflect a particular class s return. Expenses are the total fund expenses for all classes in the fund, as applicable, and do not represent a particular class s expenses. The returns are net of expenses and include 12b-1 fees (if any) and insurance contract charges (for VIP funds), but do not include sales loads (for applicable Advisor and Destiny classes). Please see the glossary for index descriptions and additional information. Page 3

5 Attribution Summary (Region) Fidelity Worldwide Fund Benchmark: MSCI World Jan 1, 2004 to Dec 31, 2004 Average Weight (actual) Average Weight (rescaled) Contribution to Relative Return Security Market Total Total Region Fund Benchmark Relative Fund Benchmark Relative Selection Selection (rescaled) (actual) United States 52.5 % 53.9 % -1.4 % 55.4 % 53.9 % 1.4 % 112 BP -5 BP 107 BP 116 BP Other 0.6 % 0.5 % 0.1 % 0.7 % 0.5 % 0.2 % -1 BP 1 BP -0 BP 0 BP Canada 1.9 % 2.7 % -0.8 % 2.0 % 2.7 % -0.7 % -4 BP -8 BP -12 BP -13 BP Asia Ex Japan 1.4 % 3.4 % -2.0 % 1.4 % 3.4 % -1.9 % 1 BP -26 BP -25 BP -26 BP Emerging Markets 6.5 % 0.1 % 6.4 % 6.8 % 0.1 % 6.7 % -225 BP 189 BP -36 BP -32 BP Japan 8.1 % 9.6 % -1.5 % 8.6 % 9.6 % -1.0 % -81 BP -0 BP -81 BP -82 BP Europe 23.9 % 29.8 % -5.9 % 25.1 % 29.8 % -4.6 % -82 BP -20 BP -102 BP -101 BP Total Primary Assets 94.9 % % % % -280 BP 131 BP -149 BP -137 BP Cash 4.8 % 0.0 % -33 BP Other Investments 0.3 % 0.0 % 6 BP Expenses -133 BP Total % % -297 BP Cumulative Returns Fund Return 12.2% Benchmark Return 15.2% Relative Return -3.0% The performance data featured represents past performance, which is no guarantee of future results. Investment return and principal value of an investment will fluctuate; therefore, you may have a gain or loss when you sell your shares. Current performance may be higher or lower than the performance quoted. For retail funds, please visit fidelity.com/performance or call Fidelity, or for Advisor and VIP funds, please visit advisor.fidelity.com or call your investment professional for most recent month-end performance figures. Cumulative total returns are historical and include change in share value and reinvestment of dividends and capital gains, if any. For funds less than one-year old, the period indicated begins on the first month-end following the fund s commencement date. Please see page 5 for short-term trading fees and standard performance information. The region positioning is presented to illustrate examples of the regions in which the fund may invest, and may not be representative of the fund s current or future investments. Mention of these regions should not be construed as a recommendation. The fund and benchmark returns are calculated by Fidelity Performance Attribution and constructed from the underlying security-level data; these returns may not tie to standard, published performance information such as the returns on page 5. Cumulative total (actual) returns are calculated based on total fund assets and reflect the composite return of the fund, which may not necessarily reflect a particular class s return. Expenses are the total fund expenses for all classes in the fund, as applicable, and do not represent a particular class s expenses. The returns are net of expenses and include 12b-1 fees (if any) and insurance contract charges (for VIP funds), but do not include sales loads (for applicable Advisor and Destiny classes). Please see the glossary for index descriptions and additional information. Page 4

6 FUND PERFORMANCE Fidelity Worldwide Fund Average Annual Total Return (periods ended December 31, 2004) 1 Year 3 Year 5 Year 10 Year Life of Fund * Fund 12.24% 8.04% 1.70% 8.08% 8.10% MS World (Net MA) 15.13% 7.37% -2.21% 8.22% * Fund inception is 05/30/1990 The performance data featured represents past performance, which is no guarantee of future results. Investment return and principal value of an investment will fluctuate; therefore, you may have a gain or loss when you sell your shares. Current performance may be higher or lower than the performance data quoted. Please visit Fidelity.com/performance or call Fidelity for most recent month-end performance figures. This fund has a short-term trading fee of 1.00% for shares held less than 30 days. Total returns are historical and include change in share value and reinvestment of dividends and capital gains, if any. Life of fund figures are reported as of the commencement date to the period indicated. Foreign investments, especially those in emerging markets, involve greater risk and may offer greater potential returns than U.S. investments. This risk includes political and economic uncertainties of foreign countries, as well as the risk of currency fluctuation. Please see the glossary for index descriptions. You may not invest directly in any index. Page 5

7 Portfolio Characteristics Fidelity Worldwide Fund Benchmark: MSCI World December 31, 2004 (Includes U.S. and Foreign Equities, excludes Convertibles) Fund Asset Coverage Securities Coverage Fund Benchmark Valuation Price/Earnings Trailing 97 % 351 / Price/Earnings Trailing, ex negative earnings 97 % 351 / Price/Book 97 % 351 / Price/Sales 97 % 350 / Price/Cashflow 100 % 360 / Price/Earnings (IBES 1 Year Forecast) 96 % 344 / Price Earnings/Growth (IBES Forecast) 89 % 321 / Return on Equity 1 Year Trailing 100 % 360 / % 17.1 % Return on Equity 5 Year Average 92 % 328 / % 16.7 % Dividend Yield 97 % 352 / % 2.0 % Growth 1 Year Sales/Share Growth 97 % 349 / % 13.7 % 1 Year EPS Growth (IBES Forecast) 95 % 343 / % 12.7 % Long Term EPS Growth (IBES Forecast) 92 % 327 / % 10.5 % EPS Growth 1 Year Trailing 81 % 283 / % 21.0 % EPS Growth 5 Year Trailing 70 % 229 / % 9.8 % Size Weighted Average Market Cap ($ Billions) 100 % 360 / 360 $ 63.1 $ 70.9 Weighted Median Market Cap ($ Billions) Median Market Cap ($ Billions) 100 % 100 % 360 / / 360 $ 28.3 $ 11.0 $ 36.5 $ 6.2 Mean Market Cap ($ Billions) 100 % 360 / 360 $ 30.5 $ 14.3 Market Cap Ranges (%) >$15 Billion 61.0 % 71.5 % >$5-15 Billion 23.5 % 20.9 % >$1-5 Billion 13.4 % 7.4 % $0-1 Billion 2.1 % 0.2 % Not Available 0.0 % 0.0 % Please refer to the glossary for additional information. Page 6

8 Fund Attribution and Characteristics Report Glossary of Terms INDICES Dow Jones Wilshire 4500 Completion Index The Dow Jones Wilshire 4500 Completion Index (Wilshire 4500) is an unmanaged float-adjusted market capitalization-weighted index of substantially all equity securities of U.S. headquartered companies with readily available price data, except those included in the Standard & Poor s 500 Index (S&P 500 ). Dow Jones Wilshire 5000 Composite Index The Dow Jones Wilshire 5000 Composite Index (Wilshire 5000) is an unmanaged float-adjusted market capitalization-weighted index of substantially all equity securities of U.S. headquartered companies with readily available price data. Fidelity Asset Manager: Aggressive Composite Index Asset Manager: Aggressive Composite Index is a hypothetical combination of unmanaged indices. The composite index combines the total returns of the Standard & Poor s 500 Index (85%) and the Lehman Brothers Aggregate Bond Index (15%), weighted according to the fund s neutral mix. Fidelity Asset Manager Composite Index The Fidelity Asset Manager Composite Index is a hypothetical combination of unmanaged indices reflecting the neutral mix of Fidelity Asset Manager. This composite index combines total returns from Standard & Poor's 500 Index (50%); Lehman Brothers Aggregate Bond Index (40%); and Lehman Brothers 3-Month T-Bill Index (10%). Fidelity Asset Manager: Growth/Advisor Asset Allocation Composite Index The Fidelity Asset Manager: Growth Composite Index is a hypothetical combination of unmanaged indices reflecting the neutral mix of the Fidelity Asset Manager Growth Fund. This index combines returns from the S&P 500 (70%); Lehman Brothers Aggregate Bond Index (25%); and Lehman Brothers 3-month Treasury Bill Index (5%). Fidelity Asset Manager: Income Composite Index A hypothetical combination of unmanaged indices reflecting the neutral mix of Fidelity Asset Manager: Income. This index combines returns from Standard & Poor's 500 Index (20%); Lehman Brothers Aggregate Bond Index (50%); and Lehman Brothers 3-Month T-Bill Index (30%). Fidelity Balanced 60/40 Composite Index Fidelity Balanced 60/40 Composite Index is a hypothetical combination of unmanaged indices. The composite index combines the total returns of the Standard & Poor s 500 Index and the Lehman Brothers Aggregate Bond Index. Fidelity Balanced Composite Index The Fidelity Balanced Composite Index is a hypothetical representation of the performance of the fund s general investment categories using a weighting of 60% equity and 40% bond. The following indices are used to calculate the composite index: equity--russell 3000 Value Index, and bond-- the Lehman Brothers Aggregate Bond Index. Fidelity Balanced Hybrid Composite Index The Fidelity Balanced Hybrid Composite Index is a hypothetical combination of unmanaged indices combining the total returns of the Russell 3000 Index, the Russell G-1

9 3000 Value Index, and the Lehman Brothers Aggregate Bond Index, using a weighting of 30%, 30% and 40%, respectively. Fidelity Global Balanced Composite Index The Fidelity Global Balanced Composite Index is a hypothetical combination of unmanaged indices. This index combines the total returns of the Morgan Stanley Capital International World (MSCI) Index (60%), and the Citigroup World Government Bond Index (40%). (in $U.S) Lehman Brothers Aggregate Bond Index The Lehman Brothers Aggregate Bond Index is an unmanaged market value-weighted index that represents securities that are SEC-registered, taxable, and dollar denominated. This index covers the U.S. investment-grade fixed rate bond market, with index components for government and corporate securities, mortgage passthrough securities, and asset-backed securities. These major sectors are subdivided into more specific indices that are calculated and reported on a regular basis. Lehman Brothers 3-Month U.S. Treasury Bill Index The Lehman Brothers 3-Month U.S. Treasury Bill Index is an unmanaged market value-weighted index of investment-grade fixed rate public obligations of the U.S. Treasury with maturities of 3 months, excluding zero coupon strips. Merrill Lynch All U.S. Convertible Securities Index The Merrill Lynch All U.S. Convertible Securities Index is an unmanaged market capitalization-weighted index of domestic corporate convertible securities. In order to be included in the index, securities must have an aggregate market value in excess of $50 million at issuance, sold into the U.S. market and publicly traded in the U.S., be U.S. dollar denominated, and convertible into U.S. dollar denominated common stock, ADR's or cash equivalent. Redeemed and depreciated/converted issues, and issues of firms in bankruptcy are removed from the index. Synthetic securities are not eligible for inclusion in the index. MSCI All Country Asia Ex-Japan Index Morgan Stanley Capital International All Country (MSCI AC) Asia Ex-Japan Index is an unmanaged market capitalization weighted index of stocks traded in various Asian markets, excluding Japan. The Index is designed to measure equity market performance in Asia, except for Japan, and excludes certain market segments unavailable to U.S. based investors. The index contains both developed and emerging market securities. (in $U.S.) MSCI All Country Far East ex Japan Index Morgan Stanley Capital International All Country (MSCI AC) Far East ex Japan Index is an unmanaged market capitalization weighted index of stocks traded in various Asian markets, excluding Japan. The Index is designed to measure equity market performance in the Far East, except for Japan, and excludes certain market segments unavailable to U.S. based investors. The index contains both developed and emerging market securities. (in $U.S.) MSCI All Country Pacific Index Morgan Stanley Capital International All Country (MSCI AC) Pacific Index is an unmanaged market capitalization weighted index of stocks traded in various Pacific regional markets. The Index is designed to measure equity market performance in the Pacific Region, and excludes certain market segments unavailable to U.S. based investors. The index contains both developed and emerging market securities. (in $U.S.) MSCI All Country World Ex-US Index The Morgan Stanley Capital International All Country World Ex-US Index (MSCI AC World Ex-US Index) is an unmanaged market value-weighted index composed of a sample of companies representative of the market structure of 49 countries and includes reinvestment of all dividends. The MSCI AC World Ex-US Index, when including or excluding securities, takes into account any limitations that an international investor would experience when investing directly in such securities. The index contains both developed and emerging market securities. The Net version of the MSCI All Country World Ex-US index adjusts for withholding taxes applicable to Massachusetts Business Trusts. (in $U.S.) G-2

10 MSCI EAFE Index Morgan Stanley Capital International Europe, Australasia and Far East (MSCI EAFE) Index is an unmanaged market capitalization-weighted index of equity securities of companies domiciled in various countries. The Index is designed to represent the performance of developed stock markets outside the United States and Canada and excludes certain market segments unavailable to U.S. based investors. The Net version of the MSCI EAFE index adjusts for withholding taxes applicable to Massachusetts Business Trusts. (in $U.S.) MSCI EAFE Small Cap Index Morgan Stanley Capital International Europe, Australasia, Far East Small Cap Index is an unmanaged market capitalization weighted index that is designed to represent the performance of smaller capitalization companies in developed stock markets outside the United States and Canada. (in $U.S.) MSCI Emerging Markets Index Morgan Stanley Capital International Emerging Markets (MSCI EM) Index is an unmanaged market capitalization weighted index of equity securities of companies domiciled in various countries. The Index is designed to represent the performance of emerging stock markets throughout the world and excludes certain market segments unavailable to U.S. based investors. (in $U.S.) MSCI Europe Index Morgan Stanley Capital International (MSCI) Europe Index is an unmanaged market capitalization weighted index of equity securities of companies domiciled in various European countries. The Index is designed to represent the performance of developed stock markets in Europe and excludes certain market segments unavailable to U.S. based investors. (in $U.S.) MSCI World Index Morgan Stanley Capital International (MSCI) World Index is an unmanaged market capitalization-weighted index of equity securities of companies domiciled in various countries. The Index is designed to represent the performance of developed stock markets throughout the world and excludes certain market segments unavailable to U.S. based investors. As of December 2003 the MSCI World Index consisted of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The Net version of the MSCI World index adjusts for withholding taxes applicable to Massachusetts Business Trusts. (in $U.S.) NASDAQ Composite Index The NASDAQ Composite Index is an unmanaged market capitalization-weighted index that is designed to represent the performance of companies traded on the NASDAQ Stock Market, which includes stocks traded primarily in the over-thecounter market. Russell 1000 Growth Index The Russell 1000 Growth Index is an unmanaged market-capitalization-weighted index of those stocks of the 1,000 largest U.S. domiciled companies that exhibit growth-oriented characteristics. Russell 1000 Value Index Russell 1000 Value Index is an unmanaged market capitalization weighted index of those stocks of the 1,000 largest U.S. domiciled companies that exhibit value oriented characteristics. Russell 2000 Index The Russell 2000 Index is an unmanaged market-capitalization-weighted index of the 2,000 smallest U.S. domiciled companies in the Russell 3000 Index. Russell 3000 Growth Index The Russell 3000 Growth index is an unmanaged market-capitalization-weighted index that consists of those stocks of the 3,000 largest U.S. domiciled companies that exhibit growth-oriented characteristics. Russell Midcap Growth Index Russell Midcap Growth Index is an unmanaged market capitalization weighted index of the smallest 800 companies included in the Russell 1000 Index that exhibit growth oriented characteristics. The Russell 1000 Index is comprised of the 1,000 largest U.S. domiciled companies. G-3

11 Russell Midcap Value Index Russell Midcap Value Index is an unmanaged market capitalization weighted index of the smallest 800 companies included in the Russell 1000 Index that exhibit value oriented characteristics. The Russell 1000 Index is comprised of the 1,000 largest U.S. domiciled companies. Standard & Poor s 500 (S&P 500 ) Index The Standard & Poor s 500 Index is a market capitalization-weighted index of 500 primarily larger cap stocks chosen for market size, liquidity, and industry group representation to represent U.S. equity performance. Standard & Poor s Midcap 400 Index The Standard & Poor s Midcap 400 index is a market capitalization-weighted index of 400 medium-capitalization domestic stocks, chosen for market size, liquidity, and industry group representation. ATTRIBUTION SUMMARY Attribution Summary of the Identified Periods Identifies the relative performance impact of the manager's security and market or sector selection decisions. Note: In this glossary the terms market and sector are used interchangeably. For domestic (single country) equity funds, the MSCI/S&P joint venture Industry Sector breakdown (10 categories) is used to determine the sector categorizations. For regional (multi-country) equity funds, countries are used to determine market categorizations (see the report s footnote regarding Other Countries aggregations). For multi-country funds that primarily invest across regions, the market categorization displayed encompasses regional levels (e.g., Asia ex Japan, Europe), major market levels (e.g., United States, Japan, Canada), or aggregated levels (e.g., Emerging Markets, Other). Average Benchmark Weight (actual) The percent of the benchmark total value represented by each sector across the reporting period. This number represents an average of the daily percentages. Average Benchmark Weight (rescaled) Sector weights are calculated using the total market value of the primary assets (equities and convertibles) rather than total net assets in order. Typically, the actual and rescaled weights are the same for a benchmark, as benchmarks typically do not have cash holdings or expenses. Average Fund Weight (actual) The percent of portfolio assets represented by each sector across the reporting period. This number represents an average of the daily sector percentages. Average Fund Weight (rescaled) Sector weights are calculated using the total market value of the primary assets (equities and convertibles) rather than total net assets in order to provide a more consistent comparison to the benchmark, which typically does not have cash holdings or expenses. Calculation: (Sum of exposure weight of all sectors over all days)/days in reporting period * 100 Sum of exposure weights of total primary assets over all days in reporting period Average Relative Weight (actual) The difference between the portfolio and benchmark actual sector weights. Average Relative Weight (rescaled) The difference between the portfolio and benchmark rescaled sector weights. Calculation: Rescaled portfolio sector weight Rescaled benchmark sector weight Cash Cash reflects the portfolio or benchmark s net cash position. This category includes (among other things): overnight cash, currency, debt securities with less than one year to maturity, and payable/receivable amounts resulting from trades pending settlement. Contribution to Relative Return: Market Selection G-4

12 The market** selection component of contribution to relative return measures the relative performance of the manager s sector weighting decisions to the difference in performance between the portfolio and benchmark. Specifically, this measure captures the portfolio s over/under weighting (using rescaled weights) of a sector to the sector s over/under performance (the benchmark s sector return relative to the total benchmark s return). Within this portion of contribution to relative return, value added [detracted] can be achieved in two ways. First, a sector category outperforming the total benchmark can be over [under] weighted. Second, a sector category underperforming the total benchmark can be under [over] weighted. The contribution of market selection is calculated daily, across the entire reporting period, and its cumulative effect is expressed in basis points. ** The generic term market here is applied to sectors. Contribution to Relative Return: Security Selection The security selection component of contribution to relative return measures the relative performance of the portfolio s performance within a sector to that of the benchmark s performance within the same sector*. This relative performance measure reflects the portfolio s weight (rescaled) within each sector. The contribution of security selection is calculated on a daily basis across the entire reporting period, and its cumulative effect is expressed in basis points (BP). *If the sector; however, is not in the benchmark, then the portfolio s performance within the sector is compared to the full benchmark s total return. Cumulative Return: Relative The difference between the performance of the portfolio and benchmark for the reporting period. Expenses This category reflects the expenses of the full portfolio (i.e., all share classes, where applicable) as provided by the accounting system daily feeds. Other Investments Other investments reflect other non-primary assets. This category may include (among other things): preferred stock, debt securities with greater than one year to maturity, fair value adjustments, and adjustments to a portfolio s NAV not associated with a particular portfolio holding. [Grand] Total The relative and absolute performance of the complete portfolio and benchmark. Total Primary Assets Only Primary Assets refer to the asset classes that reflect the composition of the benchmark. For example, in an equity portfolio, equity securities (stocks and convertibles) would comprise the primary assets of the portfolio when compared to the benchmark. Contribution to Relative Return: Total (actual) The total contribution of the manager s security and sector selection decisions to the difference in performance between the portfolio and benchmark using actual weights. Contribution to Relative Return: Total (rescaled) The total contribution of the manager s security and sector selection decisions to the difference in performance between the portfolio and benchmark. Calculation: Security Selection + Market Selection per sector. Cumulative Returns: Fund and Benchmark The change in an investment s value for a specific period calculated using the performance of the underlying assets. ASSET ALLOCATION ATTRIBUTION Performance Summary by Asset Class for the Identified Periods Quantifies the manager s relative performance and positioning by asset class during the identified periods. Each asset class displayed is an aggregation of the portfolio s weight and performance relative to the displayed composite benchmark. G-5

13 Benchmark Average Weight The percent of the benchmark total value represented by asset class sector across the reporting period. This number represents an average of the daily percentages. Cash & Other Assets Cash reflects the portfolio or benchmark s net cash position. Cash includes (among other things): overnight cash, currency, debt securities with less than one year to maturity. Other assets includes (among other things); payable/receivable amounts resulting from trades pending settlement, fair value adjustments, and adjustments to a portfolio s NAV not associated with a particular portfolio holding. Contribution to Relative Return The total difference in performance between the portfolio and the benchmark. Contribution to Relative Return, at a security level, is a combination of over<under>weighting a position and the over<under>performance of the position, relative to the total benchmark. Contributions to Relative Return can then be aggregated to any level desired (e.g., asset class). Contribution to Relative Return values sum up to the total difference in relative performance between the portfolio and benchmark. Cumulative Return: Relative The difference between the performance of the portfolio and the benchmark for the reporting period. Cumulative Returns: Fund and Benchmark The change in an investment s value for a specific period calculated using the performance of the underlying assets. Expenses This category reflects the expenses of the full portfolio (i.e., all share classes, where applicable) as provided by the accounting system daily feeds. Fund Average Weight The percent of portfolio assets represented by each asset class across the reporting period. This number represents an average of the daily asset class percentages. Relative Average Weight The difference between the portfolio and benchmark actual asset class weights. Short Term Investments & Other Net Assets (Asset Manager Funds Only) Short Term Investments & Net Other Assets is a category used only for the Asset Manager Funds instead of the Cash & Other Assets category. This category is the same as the Cash & Other Assets category except this category includes debt securities with less than or equal to 397 calendar days to maturity, per Asset Manager Funds definition of cash securities. Total Fund Grand Totals The absolute average weights and relative performance of the complete portfolio and benchmark. Total Invested Assets Subtotals Total Invested Assets refers to the full portfolio less expenses. PORTFOLIO CHARACTERISTICS 1 Year EPS Growth (IBES Forecast) Measures the consensus of Wall Street analysts estimates for earnings per share growth over the next year. See IBES 1 Year Sales/Share Growth Measures year-over-year sales per share growth. Assets Coverage The percent of the portfolio s equity assets for which the corresponding portfolio characteristic is provided. G-6

14 Dividend Yield The ratio that reflects the annual rate at which dividends are being paid, including extra dividends, relative to the current share price EPS Growth 1 Year Trailing Measures the growth in reported earnings per share over the past year. EPS Growth 5 Year Trailing Measures the growth in reported earnings per share over a five year period. IBES A third-party source for analyst earnings estimates. IBES databases provide global current and historical earnings information. Long Term EPS Growth (IBES Forecast) This statistic is identical to the one calculated for the 1 Year EPS Growth (IBES Forecast) with one exception: the EPS Growth measured here is a consensus of Wall Street analysts estimates for long term (typically but not exclusively five years) EPS growth rates. Market Cap Ranges Provides a comparison of the portfolio and index equity holdings allocation at the end of the reporting period across the provided ranges. This section provides some insight into the two market cap measures in the Size section above. Mean Market Cap ($ Billions) Identifies the mean market capitalization of the portfolio or benchmark as determined by the underlying security market caps. Median Market Cap ($ Billions) Identifies the median market capitalization of the portfolio or benchmark as determined by the underlying security market caps. Price/Book The ratio of a company's current share price to reported accumulated profits and capital. Price/Cashflow The ratio of a company s current share price to reported cashflow. Price/Earnings (IBES 1 Year Forecast) The ratio of a company s current share price to Wall Street analysts estimates of earnings. Price Earnings/Growth (IBES Forecast) The ratio of forward earnings, used by the market to value the firm, to its long term forecasted growth rate. Price/Earnings Trailing The ratio of a company's current share price to reported earnings Price/Earnings Trailing, ex negative earnings Identical to Price/Earnings Trailing with one exception: all companies with negative reported earnings are excluded entirely from the portfolio or benchmark level calculation. Price/Sales The ratio of the company s current share price to the company s reported sales. Return on Equity 1 Year Trailing The ratio of a company s reported one year profitability to its shareholders equity. Preferred stock is included as part of each company s net worth. Return on Equity 5 Year Average The ratio of a company s last five years historical profitability to its shareholders equity. Preferred stock is included as part of each company s net worth. Securities Coverage The first value represents the total count of the number of equity securities and ADR s, excluding convertibles, in the portfolio for which the corresponding portfolio G-7

15 characteristic is provided. The second value represents the total number of equity securities in the portfolio. Weighted Average Characteristics Compares selected characteristics of the portfolio to its benchmark, grouping them into four broad categories titled Valuation, Growth, Size and Market Cap Ranges. The characteristics of the U.S. and foreign equity holdings (includes Common and Unit stocks and ADRs; excludes Convertibles) of the portfolio and benchmark are calculated as of the reporting end date. The definitions provided are written in the context of an individual company held by the portfolio or benchmark; however, these are all portfolio level characteristics. These portfolio level characteristics are based upon the underlying weights of the securities within the portfolio or benchmark. If data is not available or if the coverage percentage is not considered meaningful, the characteristic field is left blank. References to current share price in the definitions below denote the security per share market value at the end of the reporting period. Fidelity Inflation Protected Bond, Fidelity International Small Cap, Fidelity Investment Grade Bond Fund, FA Mortgage Securities Initial Class, Spartan NY Municipal Income and Spartan Short-Intermediate Municipal respectively. Initial offering of Class T shares for FA Emerging Asia (6/15/99) and FA Korea (7/3/00), was on each date listed. Returns prior to each date listed reflect the performance of the funds as closed end funds. Had Class T's 12b-1 fee been reflected, returns would have been lower. Weighted Average Market Cap ($ Billions) Identifies the market capitalization of the average equity holding as determined by the dollars invested in the portfolio or benchmark. Weighted Median Market Cap ($ Billions) Identifies the market capitalization of the median equity holding as determined by the dollars invested in the portfolio or benchmark. OTHER DEFINITIONS Pre-inception Performance: Class T Class T shares are sold to eligible investors with a 12b-1 fee. Initial offering of Class T shares for FA Equity Growth, FA Equity Income and FA Intermediate Bond was on 9/10/92. Prior returns are those of Class I. Initial offering of Class T shares for FA CA Municipal Income (8/1/02), FA Inflation Protected Bond (10/2/02), FA International Small Cap (5/27/03), FA Investment- Grade Bond (8/27/02),) FA Mortgage Securities (3/3/97), FA NY Municipal Income (8/1/02), and FA Short-Intermediate Municipal Income (7/31/03) was on each date listed. Returns prior to each date listed are those of Spartan CA Municipal Income, G-8