Consolidated Quarterly Holdings Report
for
Fidelity® Risk Parity Fund
October 31, 2022
RPF-NPRT3-1222
1.9904687.100
| Equity Funds - 49.8% | |||
| Shares | Value ($) | ||
| Domestic Equity Funds - 35.2% | |||
| Fidelity Commodity Strategy Fund (a) | 164,192 | 1,063,961 | |
| Fidelity Real Estate Index Fund (a) | 12,010 | 175,588 | |
| Fidelity Small Cap Value Index Fund (a) | 20,231 | 456,218 | |
| Fidelity Total Market Index Fund (a) | 1,199 | 130,074 | |
| SPDR Gold Trust ETF (b) | 44 | 6,684 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,832,525 | ||
| International Equity Funds - 8.8% | |||
| Fidelity Emerging Markets Index Fund (a) | 4,117 | 35,239 | |
| Fidelity International Index Fund (a) | 11,161 | 422,544 | |
TOTAL INTERNATIONAL EQUITY FUNDS | 457,783 | ||
| Small Blend Funds - 5.8% | |||
| Fidelity Small Cap Index Fund (a) | 13,038 | 299,224 | |
| TOTAL EQUITY FUNDS (Cost $2,972,724) | 2,589,532 | ||
| Fixed-Income Funds - 20.5% | |||
| Shares | Value ($) | ||
| Emerging Markets Bond Funds - 0.3% | |||
| iShares JPMorgan USD Emerging Markets Bond ETF | 225 | 17,753 | |
| High Yield Fixed-Income Funds - 4.2% | |||
| Invesco Senior Loan ETF | 6,217 | 128,816 | |
| iShares iBoxx $ High Yield Corporate Bond ETF | 1,184 | 86,941 | |
TOTAL HIGH YIELD FIXED-INCOME FUNDS | 215,757 | ||
| Inflation-Protected Bond Funds - 3.4% | |||
| Fidelity Inflation-Protected Bond Index Fund (a) | 18,051 | 176,000 | |
| Intermediate Government Funds - 11.5% | |||
| Fidelity Long-Term Treasury Bond Index Fund (a) | 61,253 | 596,601 | |
| Long Government Bond Funds - 1.1% | |||
| iShares U.S. Treasury Bond ETF | 2,569 | 57,597 | |
| TOTAL FIXED-INCOME FUNDS (Cost $1,167,648) | 1,063,708 | ||
| Investment Companies - 0.6% | |||
| Shares | Value ($) | ||
| Investment Companies - 0.6% | |||
iShares J.P. Morgan EM Local Currency Bond ETF (Cost $32,857) | 989 | 31,875 | |
| U.S. Treasury Obligations - 6.3% | |||
Principal Amount (c) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 2.41% to 3.33% 11/3/22 to 1/5/23 (d)(e) (Cost $329,898) | 330,000 | 329,894 | |
| Cash Equivalents - 23.2% | |||
| Shares | Value ($) | ||
Fidelity Cash Central Fund 3.10% (f) (Cost $1,205,230) | 1,204,989 | 1,205,230 | |
| TOTAL INVESTMENT IN SECURITIES - 100.4% (Cost $5,708,357) | 5,220,239 |
NET OTHER ASSETS (LIABILITIES) - (0.4)% | (20,078) |
| NET ASSETS - 100.0% | 5,200,161 |
| Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Purchased | |||||
| Equity Index Contracts | |||||
| ICE E-mini MSCI EAFE Index Contracts (United States) | 2 | Dec 2022 | 175,590 | (12,510) | (12,510) |
| Treasury Contracts | |||||
| CBOT 10-Year U.S. Treasury Note Contracts (United States) | 4 | Dec 2022 | 442,375 | (33,453) | (33,453) |
| TOTAL PURCHASED | (45,963) | ||||
| Sold | |||||
| Equity Index Contracts | |||||
| CME E-mini S&P 500 Index Contracts (United States) | 1 | Dec 2022 | 194,150 | (3,965) | (3,965) |
| TOTAL FUTURES CONTRACTS | (49,928) | ||||
| The notional amount of futures purchased as a percentage of Net Assets is 11.9% | |||||
| The notional amount of futures sold as a percentage of Net Assets is 3.7% | |||||
| Total Return Swaps | |||||||||||
| Underlying Reference | Pay/ Receive Reference | Reference Payment Frequency | Financing Rate | Financing Frequency | Counterparty | Maturity Date | Notional Amount ($) | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | |
| Invesco Senior Loan ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 300 basis points | Monthly | Bank of America, N.A. | Jan 2023 | 827,224 | 13,796 | 0 | 13,796 | |
| iShares 20+ Year Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 15 basis points | Monthly | Bank of America, N.A. | Jul 2023 | 88,407 | (6,199) | 0 | (6,199) | |
| iShares Core MSCI Emerging Markets ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 40 basis points | Monthly | Bank of America, N.A. | Jul 2023 | 26,923 | (312) | 0 | (312) | |
| iShares US Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 38 basis points | Monthly | Bank of America, N.A. | Aug 2023 | 67,494 | (1,484) | 0 | (1,484) | |
| iShares TIPS Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 20 basis points | Monthly | Goldman Sachs Intl. | Jul 2023 | 2,003,413 | (2,253) | 0 | (2,253) | |
| iShares J.P. Morgan EM Local Currency Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 40 basis points | Monthly | Goldman Sachs Intl. | Jul 2023 | 325,099 | (6,489) | 0 | (6,489) | |
| iShares J.P. Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 35 basis points | Monthly | Goldman Sachs Intl. | Jul 2023 | 237,203 | (3,548) | 0 | (3,548) | |
| iShares US Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 40 basis points | Monthly | Goldman Sachs Intl. | Jul 2023 | 18,857 | (420) | 0 | (420) | |
| SPDR Gold Shares | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 25 basis points | Monthly | Goldman Sachs Intl. | Jul 2023 | 480,096 | (20,493) | 0 | (20,493) | |
| SPDR Gold Shares | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 30 basis points | Monthly | Goldman Sachs Intl. | Aug 2023 | 11,157 | (471) | 0 | (471) | |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 300 basis points | Monthly | Morgan Stanley Capital Services LLC | Dec 2022 | 532,500 | (8,238) | 0 | (8,238) | |
| iShares J.P. Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 10 basis points | Monthly | Morgan Stanley Capital Services LLC | Nov 2023 | 49,308 | (860) | 0 | (860) | |
| TOTAL RETURN SWAPS | (36,971) | 0 | (36,971) | ||||||||
Security Type Abbreviations
| ETF | - | EXCHANGE-TRADED FUND |
Legend
| (a) | Affiliated Fund |
| (b) | Non-income producing |
| (c) | Amount is stated in United States dollars unless otherwise noted. |
| (d) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $27,929. |
| (e) | Security or a portion of the security has been segregated as collateral for bi- lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $301,964. |
| (f) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 3.10% | - | 6,333,367 | 5,128,137 | 8,174 | - | - | 1,205,230 | 0.0% |
| Total | - | 6,333,367 | 5,128,137 | 8,174 | - | - | 1,205,230 | |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Commodity Strategy Fund | - | 1,575,211 | 114,254 | 384,050 | (26,403) | (370,593) | 1,063,961 |
| Fidelity Emerging Markets Index Fund | - | 38,642 | 916 | - | (40) | (2,447) | 35,239 |
| Fidelity Inflation-Protected Bond Index Fund | - | 527,027 | 332,644 | - | (16,834) | (1,549) | 176,000 |
| Fidelity International Index Fund | - | 723,599 | 280,946 | - | (2,453) | (17,656) | 422,544 |
| Fidelity Long-Term Treasury Bond Index Fund | - | 988,272 | 272,702 | 6,834 | (19,637) | (99,332) | 596,601 |
| Fidelity Real Estate Index Fund | - | 204,903 | 9,711 | 1,863 | (1,471) | (18,133) | 175,588 |
| Fidelity Small Cap Index Fund | - | 302,903 | 14,972 | - | (1,726) | 13,019 | 299,224 |
| Fidelity Small Cap Value Index Fund | - | 471,423 | 23,709 | 8,775 | (2,579) | 11,083 | 456,218 |
| Fidelity Total Market Index Fund | - | 292,389 | 168,902 | - | 4,908 | 1,679 | 130,074 |
| - | 5,124,369 | 1,218,756 | 401,522 | (66,235) | (483,929) | 3,355,449 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds.
Consolidated Subsidiary
| Fund | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain /loss ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Risk Parity Cayman Ltd. | - | 156,050 | - | - | - | (36,451) | 119,599 |
The Fund invests in certain commodity-related investments through Fidelity Risk Parity Cayman Ltd., a wholly owned subsidiary (the "Subsidiary"). As of October 31, 2022, the Fund held an investment of $119,599 in the Subsidiary, representing 2.3% of the Fund's net assets. The Quarterly Holdings report is consolidated and includes the holdings of the Fund and the Subsidiary.
Investment Valuation
Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - Unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as movements in the underlying index interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.
Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.
Derivative Instruments
Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk(s):
Commodity Risk - Commodity Risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.
Equity Risk - Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.
Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.
The Fund used futures contracts to manage its exposure to the stock market.
The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Open futures contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments.
Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Total Return Swaps: Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, the Fund will receive a payment from or make a payment to the counterparty. The Fund entered into total return swaps to manage its commodities market exposure
Open swaps at period end are included in the Consolidated Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.
For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual shareholder report.
The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus.
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