UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23762
Fidelity Greenwood Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Margaret Carey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | January 31 |
Date of reporting period: | January 31, 2024 |
Item 1.
Reports to Stockholders
Contents
Average Annual Total Returns | |||
Periods ended January 31, 2024 | Past 1 year | Life of Fund A |
Class A (incl. 5.75% sales charge) | 7.40% | 4.73% |
Class M (incl. 3.50% sales charge) | 9.66% | 6.19% |
Class C (incl. contingent deferred sales charge) | 12.13% | 8.35% |
Fidelity® Hedged Equity Fund | 14.22% | 9.42% |
Class I | 14.22% | 9.42% |
Class Z | 14.30% | 9.47% |
$10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Fidelity® Hedged Equity Fund, a class of the fund, on September 1, 2022, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the S&P 500® Index performed over the same period. |
Top Holdings (% of Fund's net assets) | ||
Microsoft Corp. | 7.2 | |
Apple, Inc. | 6.7 | |
NVIDIA Corp. | 3.8 | |
Alphabet, Inc. Class A | 3.8 | |
Amazon.com, Inc. | 3.4 | |
Meta Platforms, Inc. Class A | 2.1 | |
Berkshire Hathaway, Inc. Class B | 1.9 | |
JPMorgan Chase & Co. | 1.5 | |
iShares S&P 500 Index ETF | 1.4 | |
Broadcom, Inc. | 1.4 | |
33.2 | ||
Market Sectors (% of Fund's net assets) | ||
Information Technology | 29.1 | |
Financials | 12.9 | |
Health Care | 12.3 | |
Consumer Discretionary | 9.8 | |
Communication Services | 8.5 | |
Industrials | 8.0 | |
Consumer Staples | 6.0 | |
Energy | 3.6 | |
Utilities | 2.3 | |
Real Estate | 2.2 | |
Materials | 2.1 | |
Investment Companies | 1.4 | |
Asset Allocation (% of Fund's net assets) |
Common Stocks - 96.8% | |||
Shares | Value ($) | ||
COMMUNICATION SERVICES - 8.5% | |||
Diversified Telecommunication Services - 0.8% | |||
Frontier Communications Parent, Inc. (a) | 2,693 | 66,329 | |
Iridium Communications, Inc. | 795 | 28,827 | |
Verizon Communications, Inc. | 37,618 | 1,593,122 | |
1,688,278 | |||
Entertainment - 1.2% | |||
Liberty Media Corp. Liberty Formula One Class A | 983 | 60,051 | |
Madison Square Garden Sports Corp. (a) | 255 | 47,201 | |
Netflix, Inc. (a) | 2,432 | 1,371,916 | |
Spotify Technology SA (a) | 248 | 53,407 | |
The Walt Disney Co. | 12,514 | 1,201,970 | |
TKO Group Holdings, Inc. | 571 | 47,787 | |
2,782,332 | |||
Interactive Media & Services - 5.9% | |||
Alphabet, Inc. Class A (a) | 59,778 | 8,374,898 | |
IAC, Inc. (a) | 583 | 29,272 | |
Meta Platforms, Inc. Class A | 12,083 | 4,714,062 | |
Pinterest, Inc. Class A (a) | 1,463 | 54,819 | |
13,173,051 | |||
Media - 0.6% | |||
Comcast Corp. Class A | 26,732 | 1,244,107 | |
Liberty Media Corp. Liberty SiriusXM Class A | 2,109 | 64,093 | |
Nexstar Media Group, Inc. Class A | 345 | 61,310 | |
The Trade Desk, Inc. (a) | 470 | 32,162 | |
1,401,672 | |||
TOTAL COMMUNICATION SERVICES | 19,045,333 | ||
CONSUMER DISCRETIONARY - 9.8% | |||
Automobile Components - 0.1% | |||
Autoliv, Inc. | 587 | 62,879 | |
Gentex Corp. | 1,694 | 56,122 | |
Lear Corp. | 660 | 87,714 | |
Visteon Corp. (a) | 258 | 29,745 | |
236,460 | |||
Automobiles - 1.4% | |||
Ford Motor Co. | 37,010 | 433,757 | |
Rivian Automotive, Inc. (a) | 1,109 | 16,979 | |
Tesla, Inc. (a) | 14,818 | 2,775,263 | |
3,225,999 | |||
Broadline Retail - 3.4% | |||
Amazon.com, Inc. (a) | 48,559 | 7,536,357 | |
Distributors - 0.2% | |||
Genuine Parts Co. | 2,150 | 301,495 | |
LKQ Corp. | 4,855 | 226,583 | |
528,078 | |||
Diversified Consumer Services - 0.1% | |||
H&R Block, Inc. | 1,158 | 54,241 | |
Service Corp. International | 1,529 | 102,626 | |
156,867 | |||
Hotels, Restaurants & Leisure - 1.9% | |||
Aramark | 3,127 | 90,933 | |
Booking Holdings, Inc. (a) | 206 | 722,539 | |
Boyd Gaming Corp. | 2,314 | 146,916 | |
Choice Hotels International, Inc. (b) | 732 | 88,660 | |
Churchill Downs, Inc. | 747 | 90,365 | |
Domino's Pizza, Inc. | 601 | 256,158 | |
Doordash, Inc. (a) | 635 | 66,167 | |
Draftkings Holdings, Inc. (a) | 901 | 35,184 | |
Hyatt Hotels Corp. Class A | 1,190 | 152,760 | |
Light & Wonder, Inc. Class A (a) | 1,089 | 87,534 | |
Marriott Vacations Worldwide Corp. | 490 | 41,106 | |
McDonald's Corp. | 5,829 | 1,706,265 | |
MGM Resorts International (a) | 4,488 | 194,645 | |
Penn Entertainment, Inc. (a) | 1,548 | 34,907 | |
Planet Fitness, Inc. (a) | 554 | 37,539 | |
Texas Roadhouse, Inc. Class A | 1,587 | 199,518 | |
Vail Resorts, Inc. | 295 | 65,490 | |
Wendy's Co. | 4,668 | 89,065 | |
Wingstop, Inc. | 249 | 69,996 | |
Wyndham Hotels & Resorts, Inc. | 1,023 | 79,722 | |
Wynn Resorts Ltd. | 1,134 | 107,084 | |
4,362,553 | |||
Household Durables - 0.4% | |||
Leggett & Platt, Inc. | 1,780 | 41,314 | |
NVR, Inc. (a) | 70 | 495,270 | |
Taylor Morrison Home Corp. (a) | 790 | 41,191 | |
Tempur Sealy International, Inc. | 1,898 | 94,691 | |
Toll Brothers, Inc. | 1,454 | 144,455 | |
TopBuild Corp. (a) | 158 | 58,323 | |
875,244 | |||
Specialty Retail - 1.9% | |||
AutoNation, Inc. (a) | 454 | 63,406 | |
Burlington Stores, Inc. (a) | 411 | 78,563 | |
Five Below, Inc. (a) | 207 | 37,148 | |
Floor & Decor Holdings, Inc. Class A (a) | 609 | 61,241 | |
Gap, Inc. | 1,783 | 33,324 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 212 | 62,508 | |
Murphy U.S.A., Inc. | 276 | 97,296 | |
Penske Automotive Group, Inc. | 617 | 91,544 | |
RH (a) | 266 | 67,426 | |
Ross Stores, Inc. | 4,770 | 669,136 | |
The Home Depot, Inc. | 6,929 | 2,445,660 | |
Ulta Beauty, Inc. (a) | 660 | 331,353 | |
Valvoline, Inc. (a) | 1,265 | 46,160 | |
Williams-Sonoma, Inc. | 318 | 61,498 | |
4,146,263 | |||
Textiles, Apparel & Luxury Goods - 0.4% | |||
NIKE, Inc. Class B | 7,831 | 795,081 | |
Ralph Lauren Corp. | 1,159 | 166,514 | |
961,595 | |||
TOTAL CONSUMER DISCRETIONARY | 22,029,416 | ||
CONSUMER STAPLES - 6.0% | |||
Beverages - 1.8% | |||
Brown-Forman Corp. Class B (non-vtg.) | 5,714 | 313,699 | |
Keurig Dr. Pepper, Inc. | 16,591 | 521,621 | |
PepsiCo, Inc. | 9,744 | 1,642,156 | |
The Coca-Cola Co. | 27,505 | 1,636,272 | |
4,113,748 | |||
Consumer Staples Distribution & Retail - 1.9% | |||
Albertsons Companies, Inc. | 2,508 | 53,220 | |
BJ's Wholesale Club Holdings, Inc. (a) | 1,232 | 79,267 | |
Casey's General Stores, Inc. | 348 | 94,433 | |
Costco Wholesale Corp. | 2,619 | 1,819,891 | |
Performance Food Group Co. (a) | 876 | 63,668 | |
Target Corp. | 3,930 | 546,584 | |
U.S. Foods Holding Corp. (a) | 1,701 | 78,263 | |
Walmart, Inc. | 8,490 | 1,402,973 | |
4,138,299 | |||
Food Products - 0.8% | |||
Campbell Soup Co. | 8,352 | 372,750 | |
Darling Ingredients, Inc. (a) | 609 | 26,370 | |
Flowers Foods, Inc. | 3,536 | 80,621 | |
Ingredion, Inc. | 407 | 43,781 | |
Kellanova | 10,952 | 599,732 | |
Post Holdings, Inc. (a) | 1,561 | 144,970 | |
The Hershey Co. | 3,202 | 619,715 | |
1,887,939 | |||
Household Products - 1.5% | |||
Colgate-Palmolive Co. | 12,046 | 1,014,273 | |
Procter & Gamble Co. | 14,521 | 2,281,830 | |
3,296,103 | |||
TOTAL CONSUMER STAPLES | 13,436,089 | ||
ENERGY - 3.6% | |||
Energy Equipment & Services - 0.3% | |||
Championx Corp. | 1,568 | 42,979 | |
Schlumberger Ltd. | 10,722 | 522,161 | |
TechnipFMC PLC | 2,871 | 55,525 | |
Valaris Ltd. (a) | 776 | 48,011 | |
Weatherford International PLC (a) | 657 | 58,834 | |
727,510 | |||
Oil, Gas & Consumable Fuels - 3.3% | |||
Antero Midstream GP LP | 5,075 | 62,118 | |
Antero Resources Corp. (a) | 1,888 | 42,178 | |
Cheniere Energy, Inc. | 663 | 108,725 | |
Chesapeake Energy Corp. | 623 | 48,040 | |
Chevron Corp. | 12,418 | 1,830,786 | |
Chord Energy Corp. | 502 | 77,188 | |
CNX Resources Corp. (a) | 2,265 | 45,753 | |
Diamondback Energy, Inc. | 3,812 | 586,057 | |
DT Midstream, Inc. | 742 | 39,838 | |
Exxon Mobil Corp. | 27,115 | 2,787,693 | |
Kinder Morgan, Inc. | 37,173 | 628,967 | |
Marathon Oil Corp. | 18,312 | 418,429 | |
Matador Resources Co. | 1,353 | 74,266 | |
Murphy Oil Corp. | 2,511 | 97,176 | |
Occidental Petroleum Corp. | 6,023 | 346,744 | |
Ovintiv, Inc. | 2,149 | 91,161 | |
Range Resources Corp. | 1,648 | 47,858 | |
Southwestern Energy Co. (a) | 6,407 | 41,325 | |
7,374,302 | |||
TOTAL ENERGY | 8,101,812 | ||
FINANCIALS - 12.9% | |||
Banks - 3.0% | |||
Bank of America Corp. | 56,568 | 1,923,878 | |
Bank OZK | 1,057 | 47,681 | |
BOK Financial Corp. | 467 | 39,153 | |
Columbia Banking Systems, Inc. | 2,432 | 49,029 | |
Commerce Bancshares, Inc. | 1,086 | 56,602 | |
Cullen/Frost Bankers, Inc. | 518 | 54,970 | |
First Citizens Bancshares, Inc. | 31 | 46,810 | |
First Horizon National Corp. | 4,122 | 58,697 | |
JPMorgan Chase & Co. | 19,029 | 3,317,896 | |
New York Community Bancorp, Inc. | 4,348 | 28,132 | |
Old National Bancorp, Indiana | 2,480 | 40,846 | |
Pinnacle Financial Partners, Inc. | 1,192 | 105,349 | |
Prosperity Bancshares, Inc. | 1,028 | 65,699 | |
Synovus Financial Corp. | 1,320 | 49,711 | |
U.S. Bancorp | 15,722 | 653,092 | |
Wintrust Financial Corp. | 841 | 81,560 | |
6,619,105 | |||
Capital Markets - 1.9% | |||
Affiliated Managers Group, Inc. | 274 | 40,782 | |
Ameriprise Financial, Inc. | 1,480 | 572,508 | |
Ares Management Corp. | 1,553 | 188,658 | |
Blackstone, Inc. | 5,287 | 657,967 | |
Carlyle Group LP | 2,931 | 117,299 | |
Charles Schwab Corp. | 9,491 | 597,174 | |
Evercore, Inc. Class A | 671 | 115,231 | |
Franklin Resources, Inc. | 8,639 | 230,057 | |
Houlihan Lokey | 383 | 45,876 | |
Interactive Brokers Group, Inc. | 944 | 83,780 | |
Jefferies Financial Group, Inc. | 3,143 | 128,109 | |
KKR & Co. LP | 2,150 | 186,147 | |
Lazard, Inc. Class A | 1,192 | 46,464 | |
LPL Financial | 270 | 64,581 | |
Morgan Stanley | 12,122 | 1,057,523 | |
SEI Investments Co. | 1,508 | 95,366 | |
Stifel Financial Corp. | 1,138 | 83,017 | |
Virtu Financial, Inc. Class A | 2,042 | 34,285 | |
4,344,824 | |||
Consumer Finance - 0.5% | |||
Ally Financial, Inc. | 3,161 | 115,945 | |
American Express Co. | 4,913 | 986,236 | |
OneMain Holdings, Inc. | 856 | 40,746 | |
SLM Corp. | 2,459 | 48,885 | |
1,191,812 | |||
Financial Services - 5.1% | |||
Apollo Global Management, Inc. | 1,265 | 127,006 | |
Berkshire Hathaway, Inc. Class B (a) | 11,269 | 4,324,366 | |
Block, Inc. Class A (a) | 570 | 37,056 | |
Equitable Holdings, Inc. | 3,573 | 116,801 | |
Fidelity National Information Services, Inc. | 5,146 | 320,390 | |
FleetCor Technologies, Inc. (a) | 1,103 | 319,793 | |
MasterCard, Inc. Class A | 5,909 | 2,654,500 | |
PayPal Holdings, Inc. (a) | 7,666 | 470,309 | |
Visa, Inc. Class A | 10,891 | 2,976,075 | |
Voya Financial, Inc. | 1,244 | 90,028 | |
WEX, Inc. (a) | 213 | 43,535 | |
11,479,859 | |||
Insurance - 2.2% | |||
AFLAC, Inc. | 8,591 | 724,565 | |
American Financial Group, Inc. | 979 | 117,872 | |
Arch Capital Group Ltd. (a) | 4,618 | 380,662 | |
Arthur J. Gallagher & Co. | 3,863 | 896,834 | |
Fidelity National Financial, Inc. | 1,744 | 87,252 | |
Loews Corp. | 5,857 | 426,741 | |
Markel Group, Inc. (a) | 113 | 169,210 | |
Old Republic International Corp. | 2,928 | 82,101 | |
Prudential Financial, Inc. | 8,286 | 869,450 | |
Reinsurance Group of America, Inc. | 304 | 52,863 | |
RenaissanceRe Holdings Ltd. | 228 | 52,173 | |
Unum Group | 1,038 | 50,177 | |
W.R. Berkley Corp. | 6,613 | 541,472 | |
Willis Towers Watson PLC | 1,539 | 379,056 | |
4,830,428 | |||
Mortgage Real Estate Investment Trusts - 0.2% | |||
AGNC Investment Corp. (b) | 5,703 | 54,064 | |
Annaly Capital Management, Inc. | 4,008 | 76,914 | |
Rithm Capital Corp. | 8,135 | 87,045 | |
Starwood Property Trust, Inc. | 9,311 | 189,293 | |
407,316 | |||
TOTAL FINANCIALS | 28,873,344 | ||
HEALTH CARE - 12.3% | |||
Biotechnology - 2.1% | |||
AbbVie, Inc. | 10,737 | 1,765,163 | |
Alnylam Pharmaceuticals, Inc. (a) | 288 | 49,798 | |
BioMarin Pharmaceutical, Inc. (a) | 1,147 | 101,028 | |
Exelixis, Inc. (a) | 1,802 | 39,212 | |
Gilead Sciences, Inc. | 10,788 | 844,269 | |
Moderna, Inc. (a) | 2,578 | 260,507 | |
Neurocrine Biosciences, Inc. (a) | 527 | 73,659 | |
Regeneron Pharmaceuticals, Inc. (a) | 810 | 763,652 | |
Sarepta Therapeutics, Inc. (a) | 338 | 40,219 | |
United Therapeutics Corp. (a) | 205 | 44,030 | |
Vertex Pharmaceuticals, Inc. (a) | 1,518 | 657,871 | |
4,639,408 | |||
Health Care Equipment & Supplies - 2.5% | |||
Abbott Laboratories | 12,216 | 1,382,240 | |
Align Technology, Inc. (a) | 610 | 163,065 | |
Boston Scientific Corp. (a) | 18,795 | 1,188,972 | |
DexCom, Inc. (a) | 2,726 | 330,800 | |
Envista Holdings Corp. (a) | 1,258 | 29,563 | |
GE Healthcare Holding LLC | 3,997 | 293,220 | |
Globus Medical, Inc. (a) | 1,115 | 58,861 | |
Haemonetics Corp. (a) | 677 | 51,763 | |
Hologic, Inc. (a) | 4,604 | 342,722 | |
ICU Medical, Inc. (a) | 272 | 24,896 | |
Inspire Medical Systems, Inc. (a) | 117 | 24,672 | |
Intuitive Surgical, Inc. (a) | 2,089 | 790,102 | |
Masimo Corp. (a) | 278 | 35,845 | |
Penumbra, Inc. (a) | 159 | 40,098 | |
ResMed, Inc. | 2,011 | 382,492 | |
Shockwave Medical, Inc. (a) | 278 | 62,898 | |
The Cooper Companies, Inc. | 872 | 325,282 | |
5,527,491 | |||
Health Care Providers & Services - 2.6% | |||
Acadia Healthcare Co., Inc. (a) | 779 | 63,987 | |
Centene Corp. (a) | 5,629 | 423,920 | |
Chemed Corp. | 137 | 81,212 | |
CVS Health Corp. | 10,842 | 806,320 | |
DaVita, Inc. (a) | 909 | 98,317 | |
Encompass Health Corp. | 752 | 53,422 | |
HCA Holdings, Inc. | 2,397 | 730,845 | |
Humana, Inc. | 1,361 | 514,540 | |
Tenet Healthcare Corp. (a) | 557 | 46,086 | |
UnitedHealth Group, Inc. | 5,945 | 3,042,294 | |
5,860,943 | |||
Health Care Technology - 0.0% | |||
Veeva Systems, Inc. Class A (a) | 449 | 93,127 | |
Life Sciences Tools & Services - 1.3% | |||
Avantor, Inc. (a) | 2,956 | 67,958 | |
Bruker Corp. | 509 | 36,399 | |
Danaher Corp. | 4,552 | 1,092,070 | |
ICON PLC (a) | 310 | 80,870 | |
Medpace Holdings, Inc. (a) | 247 | 72,020 | |
QIAGEN NV | 2,292 | 100,069 | |
Thermo Fisher Scientific, Inc. | 2,567 | 1,383,562 | |
2,832,948 | |||
Pharmaceuticals - 3.8% | |||
Eli Lilly & Co. | 4,527 | 2,922,676 | |
Jazz Pharmaceuticals PLC (a) | 383 | 47,002 | |
Johnson & Johnson | 15,841 | 2,517,135 | |
Merck & Co., Inc. | 16,467 | 1,988,884 | |
Pfizer, Inc. | 33,702 | 912,650 | |
Royalty Pharma PLC | 2,805 | 79,634 | |
8,467,981 | |||
TOTAL HEALTH CARE | 27,421,898 | ||
INDUSTRIALS - 8.0% | |||
Aerospace & Defense - 1.6% | |||
BWX Technologies, Inc. | 737 | 60,051 | |
Curtiss-Wright Corp. | 278 | 61,874 | |
HEICO Corp. | 800 | 143,672 | |
Howmet Aerospace, Inc. | 8,553 | 481,192 | |
Lockheed Martin Corp. | 2,346 | 1,007,396 | |
RTX Corp. | 10,391 | 946,828 | |
The Boeing Co. (a) | 3,681 | 776,838 | |
Woodward, Inc. | 413 | 56,899 | |
3,534,750 | |||
Air Freight & Logistics - 0.5% | |||
GXO Logistics, Inc. (a) | 676 | 36,761 | |
United Parcel Service, Inc. Class B | 7,842 | 1,112,780 | |
1,149,541 | |||
Building Products - 0.5% | |||
Advanced Drain Systems, Inc. | 329 | 42,908 | |
Allegion PLC (b) | 2,569 | 318,273 | |
Builders FirstSource, Inc. (a) | 1,071 | 186,065 | |
Carlisle Companies, Inc. | 523 | 164,358 | |
Fortune Brands Innovations, Inc. | 1,455 | 112,893 | |
Lennox International, Inc. | 391 | 167,411 | |
Owens Corning | 806 | 122,133 | |
Trex Co., Inc. (a) | 882 | 71,865 | |
1,185,906 | |||
Commercial Services & Supplies - 0.9% | |||
Cintas Corp. | 1,587 | 959,453 | |
Clean Harbors, Inc. (a) | 285 | 47,869 | |
RB Global, Inc. | 809 | 51,752 | |
Republic Services, Inc. | 4,813 | 823,601 | |
Tetra Tech, Inc. | 658 | 104,082 | |
1,986,757 | |||
Construction & Engineering - 0.1% | |||
AECOM | 1,099 | 96,921 | |
EMCOR Group, Inc. | 251 | 57,256 | |
Willscot Mobile Mini Holdings (a) | 889 | 42,050 | |
196,227 | |||
Electrical Equipment - 0.4% | |||
AMETEK, Inc. | 3,596 | 582,732 | |
nVent Electric PLC | 2,188 | 131,368 | |
Regal Rexnord Corp. | 491 | 65,529 | |
Sensata Technologies, Inc. PLC | 1,710 | 61,851 | |
841,480 | |||
Ground Transportation - 0.9% | |||
J.B. Hunt Transport Services, Inc. | 2,011 | 404,171 | |
Knight-Swift Transportation Holdings, Inc. Class A | 2,548 | 146,204 | |
Landstar System, Inc. | 989 | 189,611 | |
Ryder System, Inc. | 594 | 67,461 | |
Saia, Inc. (a) | 221 | 99,578 | |
Uber Technologies, Inc. (a) | 14,495 | 946,089 | |
XPO, Inc. (a) | 758 | 64,764 | |
1,917,878 | |||
Industrial Conglomerates - 0.6% | |||
Honeywell International, Inc. | 6,690 | 1,353,119 | |
Machinery - 1.8% | |||
AGCO Corp. | 313 | 38,289 | |
Caterpillar, Inc. | 3,818 | 1,146,584 | |
CNH Industrial NV | 2,609 | 31,308 | |
Donaldson Co., Inc. | 594 | 38,366 | |
Dover Corp. | 4,557 | 682,547 | |
Graco, Inc. | 1,903 | 162,326 | |
IDEX Corp. | 1,918 | 405,657 | |
ITT, Inc. | 901 | 108,823 | |
Lincoln Electric Holdings, Inc. | 676 | 150,221 | |
Middleby Corp. (a) | 840 | 118,499 | |
Oshkosh Corp. | 460 | 50,646 | |
PACCAR, Inc. | 6,375 | 639,986 | |
Timken Co. | 670 | 54,880 | |
Toro Co. | 372 | 34,403 | |
Watts Water Technologies, Inc. Class A | 324 | 64,155 | |
Westinghouse Air Brake Tech Co. | 2,325 | 305,900 | |
4,032,590 | |||
Passenger Airlines - 0.2% | |||
American Airlines Group, Inc. (a) | 18,503 | 263,298 | |
United Airlines Holdings, Inc. (a) | 3,217 | 133,119 | |
396,417 | |||
Professional Services - 0.3% | |||
Booz Allen Hamilton Holding Corp. Class A | 1,079 | 151,891 | |
CACI International, Inc. Class A (a) | 223 | 76,652 | |
Clarivate PLC (a)(b) | 3,968 | 35,474 | |
Genpact Ltd. | 1,397 | 50,152 | |
KBR, Inc. | 1,453 | 75,716 | |
Paylocity Holding Corp. (a) | 253 | 40,078 | |
Science Applications International Corp. | 676 | 86,298 | |
SS&C Technologies Holdings, Inc. | 3,083 | 188,125 | |
TransUnion | 1,114 | 77,078 | |
781,464 | |||
Trading Companies & Distributors - 0.2% | |||
Air Lease Corp. Class A | 890 | 37,211 | |
Ferguson PLC | 1,167 | 219,233 | |
GATX Corp. | 547 | 67,090 | |
MSC Industrial Direct Co., Inc. Class A | 384 | 37,893 | |
SiteOne Landscape Supply, Inc. (a) | 219 | 33,846 | |
Watsco, Inc. | 241 | 94,226 | |
WESCO International, Inc. | 317 | 55,006 | |
544,505 | |||
TOTAL INDUSTRIALS | 17,920,634 | ||
INFORMATION TECHNOLOGY - 29.1% | |||
Communications Equipment - 0.8% | |||
Ciena Corp. (a) | 1,047 | 55,491 | |
Cisco Systems, Inc. | 32,919 | 1,651,875 | |
Ubiquiti, Inc. (b) | 213 | 26,783 | |
1,734,149 | |||
Electronic Equipment, Instruments & Components - 0.5% | |||
Amphenol Corp. Class A | 9,707 | 981,378 | |
Arrow Electronics, Inc. (a) | 646 | 71,803 | |
TD SYNNEX Corp. | 708 | 70,786 | |
1,123,967 | |||
IT Services - 1.6% | |||
Accenture PLC Class A | 4,259 | 1,549,765 | |
Amdocs Ltd. | 972 | 89,113 | |
Cloudflare, Inc. (a) | 858 | 67,825 | |
Cognizant Technology Solutions Corp. Class A | 5,490 | 423,389 | |
GoDaddy, Inc. (a) | 1,189 | 126,819 | |
IBM Corp. | 6,636 | 1,218,768 | |
MongoDB, Inc. Class A (a) | 106 | 42,455 | |
Snowflake, Inc. (a) | 242 | 47,345 | |
Twilio, Inc. Class A (a) | 831 | 58,444 | |
3,623,923 | |||
Semiconductors & Semiconductor Equipment - 8.5% | |||
Advanced Micro Devices, Inc. (a) | 10,008 | 1,678,242 | |
Amkor Technology, Inc. | 1,240 | 39,258 | |
Broadcom, Inc. | 2,632 | 3,105,760 | |
Cirrus Logic, Inc. (a) | 813 | 62,764 | |
Entegris, Inc. | 1,317 | 155,011 | |
GlobalFoundries, Inc. (a) | 583 | 32,053 | |
Intel Corp. | 25,578 | 1,101,900 | |
Lam Research Corp. | 1,531 | 1,263,335 | |
Lattice Semiconductor Corp. (a) | 1,378 | 83,865 | |
MACOM Technology Solutions Holdings, Inc. (a) | 448 | 38,631 | |
Micron Technology, Inc. | 9,006 | 772,265 | |
MKS Instruments, Inc. | 763 | 81,221 | |
NVIDIA Corp. | 13,662 | 8,405,819 | |
Onto Innovation, Inc. (a) | 467 | 75,421 | |
Power Integrations, Inc. | 859 | 64,391 | |
Qualcomm, Inc. | 8,052 | 1,195,803 | |
Rambus, Inc. (a) | 990 | 67,845 | |
Skyworks Solutions, Inc. | 3,944 | 411,990 | |
Synaptics, Inc. (a) | 439 | 46,890 | |
Teradyne, Inc. | 3,748 | 362,019 | |
Universal Display Corp. | 372 | 63,154 | |
Wolfspeed, Inc. (a) | 456 | 14,843 | |
19,122,480 | |||
Software - 11.0% | |||
Adobe, Inc. (a) | 2,615 | 1,615,495 | |
Atlassian Corp. PLC (a) | 270 | 67,438 | |
Bentley Systems, Inc. Class B | 718 | 36,187 | |
Bill Holdings, Inc. (a) | 503 | 39,259 | |
Crowdstrike Holdings, Inc. (a) | 510 | 149,175 | |
Datadog, Inc. Class A (a) | 449 | 55,874 | |
DocuSign, Inc. (a) | 1,001 | 60,981 | |
Dolby Laboratories, Inc. Class A | 398 | 33,106 | |
Dropbox, Inc. Class A (a) | 3,746 | 118,673 | |
Dynatrace, Inc. (a) | 1,024 | 58,368 | |
Five9, Inc. (a) | 469 | 35,578 | |
Guidewire Software, Inc. (a) | 560 | 62,541 | |
HubSpot, Inc. (a) | 192 | 117,312 | |
Intuit, Inc. | 1,720 | 1,085,888 | |
Manhattan Associates, Inc. (a) | 590 | 143,110 | |
Microsoft Corp. | 40,541 | 16,118,272 | |
Oracle Corp. | 10,093 | 1,127,388 | |
Palantir Technologies, Inc. (a) | 2,895 | 46,581 | |
Palo Alto Networks, Inc. (a) | 2,082 | 704,778 | |
Qualys, Inc. (a) | 373 | 70,560 | |
Salesforce, Inc. (a) | 5,540 | 1,557,239 | |
ServiceNow, Inc. (a) | 1,291 | 988,131 | |
Splunk, Inc. (a) | 425 | 65,182 | |
Unity Software, Inc. (a) | 843 | 27,313 | |
Workday, Inc. Class A (a) | 482 | 140,296 | |
Zoom Video Communications, Inc. Class A (a) | 936 | 60,475 | |
Zscaler, Inc. (a) | 377 | 88,848 | |
24,674,048 | |||
Technology Hardware, Storage & Peripherals - 6.7% | |||
Apple, Inc. | 80,907 | 14,919,251 | |
TOTAL INFORMATION TECHNOLOGY | 65,197,818 | ||
MATERIALS - 2.1% | |||
Chemicals - 1.5% | |||
Ashland, Inc. | 638 | 59,730 | |
Axalta Coating Systems Ltd. (a) | 4,311 | 139,763 | |
Celanese Corp. Class A | 2,280 | 333,541 | |
Dow, Inc. | 11,153 | 597,801 | |
Eastman Chemical Co. | 2,935 | 245,219 | |
Element Solutions, Inc. | 2,073 | 46,083 | |
Linde PLC | 3,982 | 1,612,033 | |
Olin Corp. | 1,087 | 56,600 | |
RPM International, Inc. | 1,302 | 138,871 | |
Westlake Corp. | 396 | 54,787 | |
3,284,428 | |||
Construction Materials - 0.1% | |||
Eagle Materials, Inc. | 673 | 152,286 | |
Containers & Packaging - 0.2% | |||
Aptargroup, Inc. | 638 | 82,863 | |
Berry Global Group, Inc. | 1,293 | 84,640 | |
Crown Holdings, Inc. | 1,244 | 110,094 | |
Graphic Packaging Holding Co. | 2,996 | 76,428 | |
Sealed Air Corp. | 2,025 | 69,964 | |
Silgan Holdings, Inc. | 934 | 42,908 | |
Sonoco Products Co. | 1,063 | 60,485 | |
527,382 | |||
Metals & Mining - 0.3% | |||
Alcoa Corp. | 1,397 | 41,561 | |
Cleveland-Cliffs, Inc. (a) | 2,471 | 49,544 | |
Newmont Corp. | 10,627 | 366,738 | |
Reliance Steel & Aluminum Co. | 206 | 58,797 | |
Royal Gold, Inc. | 264 | 30,199 | |
Southern Copper Corp. | 1,075 | 88,258 | |
United States Steel Corp. (b) | 1,634 | 76,831 | |
711,928 | |||
TOTAL MATERIALS | 4,676,024 | ||
REAL ESTATE - 2.2% | |||
Equity Real Estate Investment Trusts (REITs) - 2.2% | |||
Agree Realty Corp. | 906 | 54,007 | |
American Homes 4 Rent Class A | 4,584 | 160,669 | |
American Tower Corp. | 3,912 | 765,383 | |
Americold Realty Trust | 1,432 | 39,380 | |
Apartment Income (REIT) Corp. | 1,207 | 39,457 | |
Brixmor Property Group, Inc. | 3,190 | 71,584 | |
Camden Property Trust (SBI) | 3,592 | 337,073 | |
CubeSmart | 1,502 | 64,916 | |
EastGroup Properties, Inc. | 406 | 72,037 | |
Equity Lifestyle Properties, Inc. | 2,309 | 156,296 | |
Federal Realty Investment Trust (SBI) | 2,114 | 215,057 | |
First Industrial Realty Trust, Inc. | 1,294 | 66,667 | |
Gaming & Leisure Properties | 4,056 | 185,156 | |
Healthcare Trust of America, Inc. | 2,797 | 45,060 | |
Healthpeak Properties, Inc. | 18,511 | 342,454 | |
Kite Realty Group Trust | 2,104 | 45,026 | |
Lamar Advertising Co. Class A | 922 | 96,515 | |
Medical Properties Trust, Inc. (b) | 4,276 | 13,256 | |
Mid-America Apartment Communities, Inc. | 3,783 | 478,096 | |
NNN (REIT), Inc. | 2,967 | 119,689 | |
Omega Healthcare Investors, Inc. | 2,007 | 58,203 | |
Prologis, Inc. | 8,343 | 1,056,975 | |
Realty Income Corp. | 873 | 47,482 | |
Rexford Industrial Realty, Inc. | 1,458 | 76,676 | |
Stag Industrial, Inc. | 3,013 | 111,300 | |
Sun Communities, Inc. | 1,118 | 140,141 | |
WP Carey, Inc. | 2,159 | 133,772 | |
4,992,327 | |||
Real Estate Management & Development - 0.0% | |||
Jones Lang LaSalle, Inc. (a) | 82 | 14,519 | |
TOTAL REAL ESTATE | 5,006,846 | ||
UTILITIES - 2.3% | |||
Electric Utilities - 1.1% | |||
Exelon Corp. | 18,936 | 659,162 | |
NextEra Energy, Inc. | 15,656 | 917,911 | |
OGE Energy Corp. | 5,489 | 182,454 | |
Xcel Energy, Inc. | 12,561 | 752,027 | |
2,511,554 | |||
Gas Utilities - 0.0% | |||
National Fuel Gas Co. | 773 | 36,455 | |
Independent Power and Renewable Electricity Producers - 0.0% | |||
Vistra Corp. | 1,283 | 52,641 | |
Multi-Utilities - 1.1% | |||
Ameren Corp. | 8,986 | 625,156 | |
CMS Energy Corp. | 11,327 | 647,451 | |
DTE Energy Co. | 6,519 | 687,233 | |
NiSource, Inc. | 17,545 | 455,644 | |
2,415,484 | |||
Water Utilities - 0.1% | |||
Essential Utilities, Inc. | 4,539 | 162,769 | |
TOTAL UTILITIES | 5,178,903 | ||
TOTAL COMMON STOCKS (Cost $188,676,100) | 216,888,117 | ||
Money Market Funds - 1.2% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (c) | 1,999,877 | 2,000,277 | |
Fidelity Securities Lending Cash Central Fund 5.39% (c)(d) | 585,216 | 585,275 | |
TOTAL MONEY MARKET FUNDS (Cost $2,585,552) | 2,585,552 | ||
Equity Funds - 1.4% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 1.4% | |||
iShares S&P 500 Index ETF (Cost $2,979,503) | 6,407 | 3,108,676 | |
Purchased Options - 0.8% | ||||||
Counterparty | Number of Contracts | Notional Amount($) | Exercise Price ($) | Expiration Date | Value ($) | |
Put Options | ||||||
S&P 500 Index | Chicago Board Options Exchange | 171 | 82,860,615 | 3,100 | 11/15/24 | 294,975 |
S&P 500 Index | Chicago Board Options Exchange | 177 | 85,768,005 | 4,340 | 02/16/24 | 34,958 |
S&P 500 Index | Chicago Board Options Exchange | 155 | 75,107,575 | 3,200 | 12/20/24 | 347,975 |
S&P 500 Index | Chicago Board Options Exchange | 184 | 89,159,960 | 4,490 | 03/15/24 | 240,120 |
S&P 500 Index | Chicago Board Options Exchange | 141 | 68,323,665 | 3,250 | 01/17/25 | 365,895 |
S&P 500 Index | Chicago Board Options Exchange | 170 | 82,376,050 | 4,560 | 04/19/24 | 574,600 |
1,858,523 | ||||||
TOTAL PURCHASED OPTIONS (Cost $4,226,131) | 1,858,523 |
TOTAL INVESTMENT IN SECURITIES - 100.2% (Cost $198,467,286) | 224,440,868 |
NET OTHER ASSETS (LIABILITIES) - (0.2)% | (454,791) |
NET ASSETS - 100.0% | 223,986,077 |
ETF | - | EXCHANGE-TRADED FUND |
(a) | Non-income producing |
(b) | Security or a portion of the security is on loan at period end. |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(d) | Investment made with cash collateral received from securities on loan. |
Affiliate | Value, beginning of period ($) | 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 5.39% | 575,547 | 166,377,517 | 164,952,787 | 66,330 | - | - | 2,000,277 | 0.0% |
Fidelity Securities Lending Cash Central Fund 5.39% | - | 28,150,251 | 27,564,976 | 10,454 | - | - | 585,275 | 0.0% |
Total | 575,547 | 194,527,768 | 192,517,763 | 76,784 | - | - | 2,585,552 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | 19,045,333 | 19,045,333 | - | - |
Consumer Discretionary | 22,029,416 | 22,029,416 | - | - |
Consumer Staples | 13,436,089 | 13,436,089 | - | - |
Energy | 8,101,812 | 8,101,812 | - | - |
Financials | 28,873,344 | 28,873,344 | - | - |
Health Care | 27,421,898 | 27,421,898 | - | - |
Industrials | 17,920,634 | 17,920,634 | - | - |
Information Technology | 65,197,818 | 65,197,818 | - | - |
Materials | 4,676,024 | 4,676,024 | - | - |
Real Estate | 5,006,846 | 5,006,846 | - | - |
Utilities | 5,178,903 | 5,178,903 | - | - |
Money Market Funds | 2,585,552 | 2,585,552 | - | - |
Equity Funds | 3,108,676 | 3,108,676 | - | - |
Purchased Options | 1,858,523 | 1,858,523 | - | - |
Total Investments in Securities: | 224,440,868 | 224,440,868 | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Equity Risk | ||
Purchased Options (a) | 1,858,523 | 0 |
Total Equity Risk | 1,858,523 | 0 |
Total Value of Derivatives | 1,858,523 | 0 |
Statement of Assets and Liabilities | ||||
January 31, 2024 | ||||
Assets | ||||
Investment in securities, at value (including securities loaned of $560,939) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $195,881,734) | $ | 221,855,316 | ||
Fidelity Central Funds (cost $2,585,552) | 2,585,552 | |||
Total Investment in Securities (cost $198,467,286) | $ | 224,440,868 | ||
Cash | 6 | |||
Receivable for fund shares sold | 89,167 | |||
Dividends receivable | 141,470 | |||
Distributions receivable from Fidelity Central Funds | 6,945 | |||
Receivable from investment adviser for expense reductions | 6,803 | |||
Other receivables | 171 | |||
Total assets | 224,685,430 | |||
Liabilities | ||||
Payable for fund shares redeemed | $ | 7,083 | ||
Accrued management fee | 100,897 | |||
Distribution and service plan fees payable | 1,068 | |||
Other affiliated payables | 5,030 | |||
Collateral on securities loaned | 585,275 | |||
Total Liabilities | 699,353 | |||
Net Assets | $ | 223,986,077 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 202,796,609 | ||
Total accumulated earnings (loss) | 21,189,468 | |||
Net Assets | $ | 223,986,077 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($1,292,316 ÷ 115,006 shares)(a) | $ | 11.24 | ||
Maximum offering price per share (100/94.25 of $11.24) | $ | 11.93 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($644,871 ÷ 57,420 shares)(a) | $ | 11.23 | ||
Maximum offering price per share (100/96.50 of $11.23) | $ | 11.64 | ||
Class C : | ||||
Net Asset Value and offering price per share ($678,318 ÷ 60,556 shares)(a) | $ | 11.20 | ||
Fidelity Hedged Equity Fund : | ||||
Net Asset Value, offering price and redemption price per share ($219,075,549 ÷ 19,500,754 shares) | $ | 11.23 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($984,292 ÷ 87,616 shares) | $ | 11.23 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($1,310,731 ÷ 116,570 shares) | $ | 11.24 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Statement of Operations | ||||
Year ended January 31, 2024 | ||||
Investment Income | ||||
Dividends | $ | 2,284,805 | ||
Income from Fidelity Central Funds (including $10,454 from security lending) | 76,784 | |||
Total Income | 2,361,589 | |||
Expenses | ||||
Management fee | $ | 804,545 | ||
Distribution and service plan fees | 11,681 | |||
Independent trustees' fees and expenses | 97,955 | |||
Total expenses before reductions | 914,181 | |||
Expense reductions | (98,515) | |||
Total expenses after reductions | 815,666 | |||
Net Investment income (loss) | 1,545,923 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (3,975,632) | |||
Total net realized gain (loss) | (3,975,632) | |||
Change in net unrealized appreciation (depreciation) on investment securities | 23,819,426 | |||
Net gain (loss) | 19,843,794 | |||
Net increase (decrease) in net assets resulting from operations | $ | 21,389,717 |
Statement of Changes in Net Assets | ||||
Year ended January 31, 2024 | For the period September 1, 2022 (commencement of operations) through January 31, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 1,545,923 | $ | 183,275 |
Net realized gain (loss) | (3,975,632) | (831,002) | ||
Change in net unrealized appreciation (depreciation) | 23,819,426 | 2,154,156 | ||
Net increase (decrease) in net assets resulting from operations | 21,389,717 | 1,506,429 | ||
Distributions to shareholders | (1,544,823) | (161,856) | ||
Share transactions - net increase (decrease) | 153,894,084 | 48,902,526 | ||
Total increase (decrease) in net assets | 173,738,978 | 50,247,099 | ||
Net Assets | ||||
Beginning of period | 50,247,099 | - | ||
End of period | $ | 223,986,077 | $ | 50,247,099 |
Fidelity Advisor® Hedged Equity Fund Class A |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.91 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .08 | .04 | ||
Net realized and unrealized gain (loss) | 1.30 | (.10) | ||
Total from investment operations | 1.38 | (.06) | ||
Distributions from net investment income | (.05) | (.03) | ||
Total distributions | (.05) | (.03) | ||
Net asset value, end of period | $ | 11.24 | $ | 9.91 |
Total Return D,E,F | 13.95% | (.59)% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | .89% | 1.34% I | ||
Expenses net of fee waivers, if any | .80% | .80% I | ||
Expenses net of all reductions | .80% | .79% I | ||
Net investment income (loss) | .81% | .90% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,292 | $ | 1,317 |
Portfolio turnover rate J | 38% | 21% K |
Fidelity Advisor® Hedged Equity Fund Class M |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.91 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .06 | .03 | ||
Net realized and unrealized gain (loss) | 1.29 | (.10) | ||
Total from investment operations | 1.35 | (.07) | ||
Distributions from net investment income | (.03) | (.02) | ||
Total distributions | (.03) | (.02) | ||
Net asset value, end of period | $ | 11.23 | $ | 9.91 |
Total Return D,E,F | 13.64% | (.71)% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | 1.14% | 1.54% I | ||
Expenses net of fee waivers, if any | 1.05% | 1.05% I | ||
Expenses net of all reductions | 1.05% | 1.04% I | ||
Net investment income (loss) | .56% | .65% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 645 | $ | 509 |
Portfolio turnover rate J | 38% | 21% K |
Fidelity Advisor® Hedged Equity Fund Class C |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.90 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .01 | .01 | ||
Net realized and unrealized gain (loss) | 1.29 | (.11) | ||
Total from investment operations | 1.30 | (.10) | ||
Distributions from net investment income | - | - D | ||
Net asset value, end of period | $ | 11.20 | $ | 9.90 |
Total Return E,F,G | 13.13% | (.97)% | ||
Ratios to Average Net Assets C,H,I | ||||
Expenses before reductions | 1.64% | 2.04% J | ||
Expenses net of fee waivers, if any | 1.55% | 1.55% J | ||
Expenses net of all reductions | 1.55% | 1.54% J | ||
Net investment income (loss) | .06% | .15% J | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 678 | $ | 526 |
Portfolio turnover rate K | 38% | 21% L |
Fidelity® Hedged Equity Fund |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.91 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .11 | .05 | ||
Net realized and unrealized gain (loss) | 1.30 | (.10) | ||
Total from investment operations | 1.41 | (.05) | ||
Distributions from net investment income | (.09) | (.04) | ||
Total distributions | (.09) | (.04) | ||
Net asset value, end of period | $ | 11.23 | $ | 9.91 |
Total Return D,E | 14.22% | (.54)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .61% | 1.12% H | ||
Expenses net of fee waivers, if any | .55% | .55% H | ||
Expenses net of all reductions | .55% | .54% H | ||
Net investment income (loss) | 1.06% | 1.15% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 219,076 | $ | 46,678 |
Portfolio turnover rate I | 38% | 21% J |
Fidelity Advisor® Hedged Equity Fund Class I |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.91 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .11 | .05 | ||
Net realized and unrealized gain (loss) | 1.30 | (.10) | ||
Total from investment operations | 1.41 | (.05) | ||
Distributions from net investment income | (.09) | (.04) | ||
Total distributions | (.09) | (.04) | ||
Net asset value, end of period | $ | 11.23 | $ | 9.91 |
Total Return D,E | 14.22% | (.54)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .63% | 1.04% H | ||
Expenses net of fee waivers, if any | .55% | .55% H | ||
Expenses net of all reductions | .55% | .55% H | ||
Net investment income (loss) | 1.06% | 1.15% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 984 | $ | 497 |
Portfolio turnover rate I | 38% | 21% J |
Fidelity Advisor® Hedged Equity Fund Class Z |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.91 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .12 | .05 | ||
Net realized and unrealized gain (loss) | 1.29 | (.10) | ||
Total from investment operations | 1.41 | (.05) | ||
Distributions from net investment income | (.08) | (.04) | ||
Total distributions | (.08) | (.04) | ||
Net asset value, end of period | $ | 11.24 | $ | 9.91 |
Total Return D,E | 14.30% | (.54)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .59% | 1.01% H | ||
Expenses net of fee waivers, if any | .50% | .50% H | ||
Expenses net of all reductions | .50% | .50% H | ||
Net investment income (loss) | 1.11% | 1.20% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,311 | $ | 720 |
Portfolio turnover rate I | 38% | 21% J |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $33,090,465 |
Gross unrealized depreciation | (4,952,930) |
Net unrealized appreciation (depreciation) | $28,137,535 |
Tax Cost | $196,303,333 |
Undistributed ordinary income | $21,842 |
Capital loss carryforward | $(6,844,800) |
Net unrealized appreciation (depreciation) on securities and other investments | $28,012,426 |
Short-term | $(1,879,602) |
Long-term | (4,965,198) |
Total capital loss carryforward | $(6,844,800) |
January 31, 2024 | January 31, 2023A | |
Ordinary Income | $1,544,823 | $161,856 |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Purchases ($) | Sales ($) | |
Fidelity Hedged Equity Fund | 200,791,777 | 55,486,266 |
Annual % of Class-Level Average Net Assets | |
Class A | .55% |
Class M | .55% |
Class C | .55% |
Fidelity Hedged Equity Fund | .55% |
Class I | .55% |
Class Z | .50% |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $3,285 | $1,406 |
Class M | .25% | .25% | 2,740 | 2,586 |
Class C | .75% | .25% | 5,656 | 5,452 |
$11,681 | $9,444 |
Retained by FDC | |
Class A | $949 |
Class M | 212 |
$1,161 |
Amount | |
Fidelity Hedged Equity Fund | $1,568 |
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity Hedged Equity Fund | 504,245 | 3,038,267 | (7,496) |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Hedged Equity Fund | $1,054 | $- | $- |
Expense Limitations | Reimbursement | |
Class A | .80% | $1,240 |
Class M | 1.05% | 504 |
Class C | 1.55% | 523 |
Fidelity Hedged Equity Fund | .55% | 94,033 |
Class I | .55% | 548 |
Class Z | .50% | 821 |
$97,669 |
Year ended January 31, 2024 | Year ended January 31, 2023A | |
Fidelity Hedged Equity Fund | ||
Distributions to shareholders | ||
Class A | $6,146 | $2,528 |
Class M | 1,668 | 958 |
Class C | - | 150 |
Fidelity Hedged Equity Fund | 1,521,057 | 154,020 |
Class I | 7,129 | 1,750 |
Class Z | 8,823 | 2,450 |
Total | $1,544,823 | $161,856 |
Shares | Shares | Dollars | Dollars | |
Year ended January 31, 2024 | Year ended January 31, 2023A | Year ended January 31, 2024 | Year ended January 31, 2023A | |
Fidelity Hedged Equity Fund | ||||
Class A | ||||
Shares sold | 21,779 | 133,546 | $227,205 | $1,303,675 |
Reinvestment of distributions | 576 | 260 | 6,146 | 2,528 |
Shares redeemed | (40,298) | (857) | (425,903) | (8,250) |
Net increase (decrease) | (17,943) | 132,949 | $(192,552) | $1,297,953 |
Class M | ||||
Shares sold | 7,667 | 51,229 | $82,888 | $511,835 |
Reinvestment of distributions | 156 | 98 | 1,668 | 958 |
Shares redeemed | (1,730) | - | (18,904) | - |
Net increase (decrease) | 6,093 | 51,327 | $65,652 | $512,793 |
Class C | ||||
Shares sold | 12,925 | 53,128 | $136,244 | $530,661 |
Reinvestment of distributions | - | 15 | - | 150 |
Shares redeemed | (5,512) | - | (57,957) | - |
Net increase (decrease) | 7,413 | 53,143 | $78,287 | $530,811 |
Fidelity Hedged Equity Fund | ||||
Shares sold | 16,485,931 | 4,777,239 | $171,136,667 | $45,999,665 |
Reinvestment of distributions | 137,835 | 15,347 | 1,483,791 | 149,478 |
Shares redeemed | (1,832,355) | (83,243) | (19,523,269) | (808,623) |
Net increase (decrease) | 14,791,411 | 4,709,343 | $153,097,189 | $45,340,520 |
Class I | ||||
Shares sold | 46,971 | 50,000 | $492,760 | $500,000 |
Reinvestment of distributions | 664 | 180 | 7,129 | 1,750 |
Shares redeemed | (10,199) | - | (110,354) | - |
Net increase (decrease) | 37,436 | 50,180 | $389,535 | $501,750 |
Class Z | ||||
Shares sold | 45,118 | 72,944 | $467,939 | $721,934 |
Reinvestment of distributions | 823 | 252 | 8,823 | 2,450 |
Shares redeemed | (1,976) | (591) | (20,789) | (5,685) |
Net increase (decrease) | 43,965 | 72,605 | $455,973 | $718,699 |
VIP FundsManager 50% Portfolio | VIP FundsManager 60% Portfolio | VIP FundsManager 70% Portfolio | |
Fidelity Hedged Equity Fund | 25% | 36% | 12% |
Fund | % of shares held |
Fidelity Hedged Equity Fund | 82% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2023 to January 31, 2024). |
Annualized Expense Ratio- A | Beginning Account Value August 1, 2023 | Ending Account Value January 31, 2024 | Expenses Paid During Period- C August 1, 2023 to January 31, 2024 | |||||||
Fidelity® Hedged Equity Fund | ||||||||||
Class A | .80% | |||||||||
Actual | $ 1,000 | $ 1,050.10 | $ 4.13 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.17 | $ 4.08 | |||||||
Class M | 1.05% | |||||||||
Actual | $ 1,000 | $ 1,048.30 | $ 5.42 | |||||||
Hypothetical-B | $ 1,000 | $ 1,019.91 | $ 5.35 | |||||||
Class C | 1.55% | |||||||||
Actual | $ 1,000 | $ 1,045.80 | $ 7.99 | |||||||
Hypothetical-B | $ 1,000 | $ 1,017.39 | $ 7.88 | |||||||
Fidelity® Hedged Equity Fund | .55% | |||||||||
Actual | $ 1,000 | $ 1,050.30 | $ 2.84 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.43 | $ 2.80 | |||||||
Class I | .55% | |||||||||
Actual | $ 1,000 | $ 1,050.30 | $ 2.84 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.43 | $ 2.80 | |||||||
Class Z | .50% | |||||||||
Actual | $ 1,000 | $ 1,051.10 | $ 2.58 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.68 | $ 2.55 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Average Annual Total Returns | |||
Periods ended January 31, 2024 | Past 1 year | Life of Fund A |
Class A (incl. 5.75% sales charge) | -10.38% | -10.53% |
Class M (incl. 3.50% sales charge) | -8.45% | -9.43% |
Class C (incl. contingent deferred sales charge) | -6.62% | -7.82% |
Fidelity® Macro Opportunities Fund | -4.70% | -6.22% |
Class I | -4.59% | -6.89% |
Class Z | -4.58% | -6.82% |
$10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Macro Opportunities Fund - Class A, a class of the fund, on July 7, 2022, when the fund started, and the current 5.75% sales charge was paid. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg US 3 Month Treasury Bellwether Index performed over the same period. |
Top Holdings (% of Fund's net assets) | ||
iShares 7-10 Year Treasury Bond ETF | 7.7 | |
SPDR Gold Shares | 6.0 | |
iPath Bloomberg Commodity Index Total Return ETN (issued by Barclays Bank PLC, maturity date 6/12/36) | 4.1 | |
Vanguard Health Care ETF | 2.8 | |
Vanguard Consumer Staples ETF | 2.8 | |
iShares Russell 2000 Index ETF | 2.6 | |
iShares MSCI Brazil Index ETF | 1.3 | |
27.3 | ||
Asset Allocation (% of Fund's net assets) |
Net Other Assets (Liabilities) - (0.1)% |
Written Options - (0.0)% |
Futures and Swaps - 85.7% |
Forward foreign currency contracts - 17.3% |
Percentages shown as 0.0% may reflect amounts less than 0.05%. |
U.S. Treasury Obligations - 4.7% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.26% to 5.32% 2/15/24 to 5/2/24 (b)(c) (Cost $576,119) | 583,000 | 576,117 | |
Fixed-Income Funds - 7.7% | |||
Shares | Value ($) | ||
iShares 7-10 Year Treasury Bond ETF (Cost $987,358) | 9,667 | 932,478 | |
Other - 4.1% | |||
Shares | Value ($) | ||
Exchange - Traded Notes - Commodities - 4.1% | |||
iPath Bloomberg Commodity Index Total Return ETN (issued by Barclays Bank PLC, maturity date 6/12/36) (d) (Cost $530,134) | 16,475 | 502,652 | |
Money Market Funds - 68.0% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (e) (Cost $8,258,897) | 8,257,246 | 8,258,897 | |
Equity Funds - 15.5% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 11.6% | |||
SPDR Gold Shares (d) | 3,869 | 729,113 | |
Vanguard Consumer Staples ETF | 1,752 | 337,716 | |
Vanguard Health Care ETF | 1,348 | 345,951 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,412,780 | ||
International Equity Funds - 1.3% | |||
iShares MSCI Brazil Index ETF | 4,727 | 155,613 | |
Small Blend Funds - 2.6% | |||
iShares Russell 2000 Index ETF (f) | 1,598 | 308,222 | |
TOTAL EQUITY FUNDS (Cost $1,789,138) | 1,876,615 | ||
Purchased Options - 0.1% | ||||||
Counterparty | Number of Contracts | Notional Amount($) | Exercise Price ($) | Expiration Date | Value ($) | |
Call Options | ||||||
Xtrackers Harvest CSI 300 China ETF A Shares | Chicago Board Options Exchange | 165 | 365,475 | 27 | 04/19/24 | 2,228 |
Xtrackers Harvest CSI 300 China ETF A Shares | Chicago Board Options Exchange | 115 | 254,725 | 24 | 07/19/24 | 8,050 |
10,278 | ||||||
Put Options | ||||||
SPDR S&P 500 ETF Trust | Chicago Board Options Exchange | 2 | 96,576 | 487 | 06/28/24 | 2,970 |
2,970 | ||||||
TOTAL PURCHASED OPTIONS (Cost $26,423) | 13,248 |
TOTAL INVESTMENT IN SECURITIES - 100.1% (Cost $12,168,069) | 12,160,007 |
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (6,120) |
NET ASSETS - 100.0% | 12,153,887 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 38 | Mar 2024 | 7,814,938 | 63,164 | 63,164 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 108 | Mar 2024 | 11,706,188 | 219,717 | 219,717 |
TOTAL PURCHASED | 282,881 | ||||
Sold | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 32 | Mar 2024 | 779,280 | (33,684) | (33,684) |
Treasury Contracts | |||||
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 12 | Mar 2024 | 1,550,625 | (89,769) | (89,769) |
SGX 10-year Mini Japanese Government Bond Contracts (Singapore) | 10 | Mar 2024 | 994,021 | (373) | (373) |
TOTAL TREASURY CONTRACTS | (90,142) | ||||
TOTAL SOLD | (123,826) | ||||
TOTAL FUTURES CONTRACTS | 159,055 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 160.6% | |||||
The notional amount of futures sold as a percentage of Net Assets is 27.3% |
Written Options | ||||||
Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) | |
Put Options | ||||||
iShares Russell 2000 Index ETF | Chicago Board Options Exchange | 5 | 96,440 | 197.00 | 06/28/24 | (5,243) |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
BRL | 3,029,224 | USD | 616,799 | Bank of America, N.A. | 2/26/24 | (6,599) |
GBP | 498,000 | USD | 622,396 | Bank of America, N.A. | 2/26/24 | 8,842 |
JPY | 92,200,000 | USD | 630,806 | BNP Paribas S.A. | 2/26/24 | (1,926) |
JPY | 34,753,000 | USD | 247,379 | Brown Brothers Harriman & Co | 2/26/24 | (10,335) |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | (10,018) | |||||
Unrealized Appreciation | 8,842 | |||||
Unrealized Depreciation | (18,860) |
Credit Default Swaps | ||||||||||
Underlying Reference | Maturity Date | Clearinghouse / Counterparty(1) | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) | ||
Buy Protection | ||||||||||
5-Year CDX N.A. HY Series 41 | Dec 2028 | ICE | (5%) | Quarterly | 4,900,500 | (252,975) | 0 | (252,975) | ||
Republic of Italy | Dec 2028 | BNP Paribas S.A. | (1%) | Quarterly | 450,000 | (5,407) | 474 | (4,933) | ||
Republic of Italy | Dec 2028 | Barclays Bank PLC | (1%) | Quarterly | 700,000 | (8,411) | 814 | (7,597) | ||
TOTAL CREDIT DEFAULT SWAPS | (266,793) | 1,288 | (265,505) |
BRL | - | Brazilian real |
GBP | - | British pound sterling |
JPY | - | Japanese yen |
USD | - | U.S. dollar |
ETF | - | EXCHANGE-TRADED FUND |
ETN | - | EXCHANGE-TRADED NOTE |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | 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 $217,631. |
(c) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $256,842. |
(d) | Non-income producing |
(e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(f) | Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $96,440. |
Affiliate | Value, beginning of period ($) | 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 5.39% | 4,281,993 | 10,171,615 | 6,194,711 | 389,567 | - | - | 8,258,897 | 0.0% |
Total | 4,281,993 | 10,171,615 | 6,194,711 | 389,567 | - | - | 8,258,897 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 576,117 | - | 576,117 | - |
Fixed-Income Funds | 932,478 | 932,478 | - | - |
Other | 502,652 | 502,652 | - | - |
Money Market Funds | 8,258,897 | 8,258,897 | - | - |
Equity Funds | 1,876,615 | 1,876,615 | - | - |
Purchased Options | 13,248 | 13,248 | - | - |
Total Investments in Securities: | 12,160,007 | 11,583,890 | 576,117 | - |
Derivative Instruments: Assets | ||||
Futures Contracts | 282,881 | 282,881 | - | - |
Forward Foreign Currency Contracts | 8,842 | - | 8,842 | - |
Total Assets | 291,723 | 282,881 | 8,842 | - |
Liabilities | ||||
Futures Contracts | (123,826) | (123,826) | - | - |
Forward Foreign Currency Contracts | (18,860) | - | (18,860) | - |
Swaps | (266,793) | - | (266,793) | - |
Written Options | (5,243) | (5,243) | - | - |
Total Liabilities | (414,722) | (129,069) | (285,653) | - |
Total Derivative Instruments: | (122,999) | 153,812 | (276,811) | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Credit Risk | ||
Swaps (a)(b) | 0 | (266,793) |
Total Credit Risk | 0 | (266,793) |
Equity Risk | ||
Futures Contracts (c) | 0 | (33,684) |
Purchased Options (d) | 13,248 | 0 |
Written Options (e) | 0 | (5,243) |
Total Equity Risk | 13,248 | (38,927) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts (f) | 8,842 | (18,860) |
Total Foreign Exchange Risk | 8,842 | (18,860) |
Interest Rate Risk | ||
Futures Contracts (c) | 282,881 | (90,142) |
Total Interest Rate Risk | 282,881 | (90,142) |
Total Value of Derivatives | 304,971 | (414,722) |
Consolidated Statement of Assets and Liabilities | ||||
January 31, 2024 | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $3,909,172) | $ | 3,901,110 | ||
Fidelity Central Funds (cost $8,258,897) | 8,258,897 | |||
Total Investment in Securities (cost $12,168,069) | $ | 12,160,007 | ||
Receivable for investments sold | 4,429 | |||
Unrealized appreciation on forward foreign currency contracts | 8,842 | |||
Distributions receivable from Fidelity Central Funds | 38,088 | |||
Receivable for daily variation margin on futures contracts | 71,024 | |||
Receivable for daily variation margin on centrally cleared swaps | 19,290 | |||
Receivable from investment adviser for expense reductions | 388 | |||
Other receivables | 5 | |||
Total assets | 12,302,073 | |||
Liabilities | ||||
Payable to custodian bank | $ | 97,931 | ||
Payable for investments purchased | 2,710 | |||
Unrealized depreciation on forward foreign currency contracts | 18,860 | |||
Payable for fund shares redeemed | 9 | |||
Bi-lateral OTC swaps, at value | 13,818 | |||
Accrued management fee | 8,062 | |||
Distribution and service plan fees payable | 1,266 | |||
Written options, at value (premium received $4,429) | 5,243 | |||
Other affiliated payables | 287 | |||
Total Liabilities | 148,186 | |||
Net Assets | $ | 12,153,887 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 12,876,362 | ||
Total accumulated earnings (loss) | (722,475) | |||
Net Assets | $ | 12,153,887 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($889,589 ÷ 99,867 shares)(a) | $ | 8.91 | ||
Maximum offering price per share (100/94.25 of $8.91) | $ | 9.45 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($875,324 ÷ 98,653 shares)(a) | $ | 8.87 | ||
Maximum offering price per share (100/96.50 of $8.87) | $ | 9.19 | ||
Class C : | ||||
Net Asset Value and offering price per share ($864,535 ÷ 98,206 shares)(a) | $ | 8.80 | ||
Fidelity Macro Opportunities Fund : | ||||
Net Asset Value, offering price and redemption price per share ($6,946,939 ÷ 760,620 shares) | $ | 9.13 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($1,697,069 ÷ 189,888 shares) | $ | 8.94 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($880,431 ÷ 98,394 shares) | $ | 8.95 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Consolidated Statement of Operations | ||||
Year ended January 31, 2024 | ||||
Investment Income | ||||
Dividends | $ | 63,112 | ||
Interest | 32,496 | |||
Income from Fidelity Central Funds | 389,567 | |||
Total Income | 485,175 | |||
Expenses | ||||
Management fee | $ | 85,893 | ||
Distribution and service plan fees | 15,661 | |||
Independent trustees' fees and expenses | 9,607 | |||
Total expenses before reductions | 111,161 | |||
Expense reductions | (9,947) | |||
Total expenses after reductions | 101,214 | |||
Net Investment income (loss) | 383,961 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (84,036) | |||
Forward foreign currency contracts | (76,108) | |||
Foreign currency transactions | (75) | |||
Futures contracts | (407,816) | |||
Swaps | (313,276) | |||
Total net realized gain (loss) | (881,311) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (7,892) | |||
Forward foreign currency contracts | (16,909) | |||
Assets and liabilities in foreign currencies | (1) | |||
Futures contracts | 125,449 | |||
Swaps | (71,468) | |||
Written options | (814) | |||
Total change in net unrealized appreciation (depreciation) | 28,365 | |||
Net gain (loss) | (852,946) | |||
Net increase (decrease) in net assets resulting from operations | $ | (468,985) |
Consolidated Statement of Changes in Net Assets | ||||
Year ended January 31, 2024 | For the period July 7, 2022 (commencement of operations) through January 31, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 383,961 | $ | 63,360 |
Net realized gain (loss) | (881,311) | (279,601) | ||
Change in net unrealized appreciation (depreciation) | 28,365 | (153,710) | ||
Net increase (decrease) in net assets resulting from operations | (468,985) | (369,951) | ||
Share transactions - net increase (decrease) | 5,507,622 | 7,485,201 | ||
Total increase (decrease) in net assets | 5,038,637 | 7,115,250 | ||
Net Assets | ||||
Beginning of period | 7,115,250 | - | ||
End of period | $ | 12,153,887 | $ | 7,115,250 |
Fidelity Advisor® Macro Opportunities Fund Class A |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.37 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .31 | .11 | ||
Net realized and unrealized gain (loss) | (.77) | (.74) | ||
Total from investment operations | (.46) | (.63) | ||
Net asset value, end of period | $ | 8.91 | $ | 9.37 |
Total Return D,E,F | (4.91)% | (6.30)% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | 1.15% | 2.51% I | ||
Expenses net of fee waivers, if any | 1.05% | 1.05% I | ||
Expenses net of all reductions | 1.05% | 1.05% I | ||
Net investment income (loss) | 3.44% | 2.04% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 890 | $ | 971 |
Portfolio turnover rate J | 22% | 68% I |
Fidelity Advisor® Macro Opportunities Fund Class M |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.35 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .29 | .10 | ||
Net realized and unrealized gain (loss) | (.77) | (.75) | ||
Total from investment operations | (.48) | (.65) | ||
Net asset value, end of period | $ | 8.87 | $ | 9.35 |
Total Return D,E,F | (5.13)% | (6.50)% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | 1.40% | 2.78% I | ||
Expenses net of fee waivers, if any | 1.30% | 1.30% I | ||
Expenses net of all reductions | 1.30% | 1.30% I | ||
Net investment income (loss) | 3.19% | 1.79% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 875 | $ | 921 |
Portfolio turnover rate J | 22% | 68% I |
Fidelity Advisor® Macro Opportunities Fund Class C |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.33 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .24 | .07 | ||
Net realized and unrealized gain (loss) | (.77) | (.74) | ||
Total from investment operations | (.53) | (.67) | ||
Net asset value, end of period | $ | 8.80 | $ | 9.33 |
Total Return D,E,F | (5.68)% | (6.70)% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | 1.90% | 3.28% I | ||
Expenses net of fee waivers, if any | 1.80% | 1.80% I | ||
Expenses net of all reductions | 1.80% | 1.80% I | ||
Net investment income (loss) | 2.69% | 1.28% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 865 | $ | 914 |
Portfolio turnover rate J | 22% | 68% I |
Fidelity® Macro Opportunities Fund |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.58 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .34 | .10 | ||
Net realized and unrealized gain (loss) | (.79) | (.52) | ||
Total from investment operations | (.45) | (.42) | ||
Net asset value, end of period | $ | 9.13 | $ | 9.58 |
Total Return D,E | (4.70)% | (4.20)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .88% | 1.50% H | ||
Expenses net of fee waivers, if any | .80% | .80% H | ||
Expenses net of all reductions | .80% | .80% H | ||
Net investment income (loss) | 3.69% | 2.66% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 6,947 | $ | 1,699 |
Portfolio turnover rate I | 22% | 68% H |
Fidelity Advisor® Macro Opportunities Fund Class I |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.37 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .34 | .12 | ||
Net realized and unrealized gain (loss) | (.77) | (.75) | ||
Total from investment operations | (.43) | (.63) | ||
Net asset value, end of period | $ | 8.94 | $ | 9.37 |
Total Return D,E | (4.59)% | (6.30)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .90% | 2.35% H | ||
Expenses net of fee waivers, if any | .80% | .80% H | ||
Expenses net of all reductions | .80% | .79% H | ||
Net investment income (loss) | 3.69% | 2.14% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,697 | $ | 1,691 |
Portfolio turnover rate I | 22% | 68% H |
Fidelity Advisor® Macro Opportunities Fund Class Z |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.38 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .34 | .12 | ||
Net realized and unrealized gain (loss) | (.77) | (.74) | ||
Total from investment operations | (.43) | (.62) | ||
Net asset value, end of period | $ | 8.95 | $ | 9.38 |
Total Return D,E | (4.58)% | (6.20)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .85% | 2.36% H | ||
Expenses net of fee waivers, if any | .75% | .75% H | ||
Expenses net of all reductions | .75% | .75% H | ||
Net investment income (loss) | 3.74% | 2.20% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 880 | $ | 919 |
Portfolio turnover rate I | 22% | 68% H |
Subsidiary Name | Net Assets of Subsidiary | % of Fund's Net Assets | |
Fidelity Macro Opportunities Fund | Fidelity Global Macro Opportunities Cayman Ltd. | 1,253,862 | 10.3 |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $- |
Gross unrealized depreciation | (247,870) |
Net unrealized appreciation (depreciation) | $(247,870) |
Tax Cost | $12,166,685 |
Undistributed ordinary income | $49,458 |
Capital loss carryforward | $(524,062) |
Net unrealized appreciation (depreciation) on securities and other investments | $(247,871) |
Short-term | $(250,593) |
Long-term | (273,469) |
Total capital loss carryforward | $(524,062) |
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity Macro Opportunities Fund | ||
Credit Risk | ||
Swaps | (313,276) | (71,468) |
Total Credit Risk | (313,276) | (71,468) |
Equity Risk | ||
Futures Contracts | (44,558) | (23,977) |
Purchased Options | (17,213) | (21,284) |
Written Options | - | (814) |
Total Equity Risk | (61,771) | (46,075) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | (76,108) | (16,909) |
Total Foreign Exchange Risk | (76,108) | (16,909) |
Interest Rate Risk | ||
Futures Contracts | (363,258) | 149,426 |
Total Interest Rate Risk | (363,258) | 149,426 |
Totals | (814,413) | 14,974 |
Purchases ($) | Sales ($) | |
Fidelity Macro Opportunities Fund | 1,654,403 | 612,665 |
Annual % of Class-Level Average Net Assets | |
Class A | .80% |
Class M | .80% |
Class C | .80% |
Fidelity Macro Opportunities Fund | .80% |
Class I | .80% |
Class Z | .75% |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | - % | .25% | $2,372 | $2,223 |
Class M | .25% | .25% | 4,456 | 4,434 |
Class C | .75% | .25% | 8,833 | 8,833 |
$15,661 | $15,490 |
Retained by FDC | |
Class A | $10 |
Class M | 5 |
$15 |
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity Macro Opportunities Fund | 149,623 | - | - |
Expense Limitations | Reimbursement | |
Class A | 1.05% | $952 |
Class M | 1.30% | 896 |
Class C | 1.80% | 888 |
Fidelity Macro Opportunities Fund | .80% | 4,178 |
Class I | .80% | 1,715 |
Class Z | .75% | 896 |
$9,525 |
Shares | Shares | Dollars | Dollars | |
Year ended January 31, 2024 | Year ended January 31, 2023 A | Year ended January 31, 2024 | Year ended January 31, 2023 A | |
Fidelity Macro Opportunities Fund | ||||
Class A | ||||
Shares sold | 3,872 | 103,669 | $36,640 | $1,033,368 |
Shares redeemed | (7,674) | - | (67,876) | - |
Net increase (decrease) | (3,802) | 103,669 | $(31,236) | $1,033,368 |
Class M | ||||
Shares sold | 230 | 98,423 | $2,047 | $983,956 |
Net increase (decrease) | 230 | 98,423 | $2,047 | $983,956 |
Class C | ||||
Shares sold | 147 | 98,059 | $1,323 | $980,551 |
Net increase (decrease) | 147 | 98,059 | $1,323 | $980,551 |
Fidelity Macro Opportunities Fund | ||||
Shares sold | 803,369 | 182,920 | $7,445,942 | $1,760,545 |
Shares redeemed | (220,093) | (5,576) | (2,004,822) | (53,383) |
Net increase (decrease) | 583,276 | 177,344 | $5,441,120 | $1,707,162 |
Class I | ||||
Shares sold | 10,493 | 180,457 | $100,000 | $1,790,750 |
Shares redeemed | (1,009) | (53) | (9,152) | (500) |
Net increase (decrease) | 9,484 | 180,404 | $90,848 | $1,790,250 |
Class Z | ||||
Shares sold | 394 | 119,054 | $3,520 | $1,188,529 |
Shares redeemed | - | (21,054) | - | (198,615) |
Net increase (decrease) | 394 | 98,000 | $3,520 | $989,914 |
Fund | Affiliated % |
Fidelity Macro Opportunities Fund | 37% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2023 to January 31, 2024). |
Annualized Expense Ratio- A | Beginning Account Value August 1, 2023 | Ending Account Value January 31, 2024 | Expenses Paid During Period- C August 1, 2023 to January 31, 2024 | |||||||
Fidelity® Macro Opportunities Fund | ||||||||||
Class A | 1.05% | |||||||||
Actual | $ 1,000 | $ 992.20 | $ 5.27 | |||||||
Hypothetical-B | $ 1,000 | $ 1,019.91 | $ 5.35 | |||||||
Class M | 1.30% | |||||||||
Actual | $ 1,000 | $ 991.10 | $ 6.52 | |||||||
Hypothetical-B | $ 1,000 | $ 1,018.65 | $ 6.61 | |||||||
Class C | 1.80% | |||||||||
Actual | $ 1,000 | $ 987.70 | $ 9.02 | |||||||
Hypothetical-B | $ 1,000 | $ 1,016.13 | $ 9.15 | |||||||
Fidelity® Macro Opportunities Fund | .80% | |||||||||
Actual | $ 1,000 | $ 993.50 | $ 4.02 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.17 | $ 4.08 | |||||||
Class I | .80% | |||||||||
Actual | $ 1,000 | $ 993.30 | $ 4.02 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.17 | $ 4.08 | |||||||
Class Z | .75% | |||||||||
Actual | $ 1,000 | $ 994.40 | $ 3.77 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.42 | $ 3.82 | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Average Annual Total Returns | |||
Periods ended January 31, 2024 | Past 1 year | Life of Fund A |
Class A (incl. 5.75% sales charge) | -5.28% | -1.62% |
Class M (incl. 3.50% sales charge) | -3.36% | -0.43% |
Class C (incl. contingent deferred sales charge) | -1.27% | 1.40% |
Fidelity® Risk Parity Fund | 0.70% | 2.35% |
Class I | 0.76% | 2.41% |
Class Z | 0.70% | 2.44% |
$10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Risk Parity Fund - Class A, a class of the fund, on July 7, 2022, when the fund started, and the current 5.75% sales charge was paid. The chart shows how the value of your investment would have changed, and also shows how the MSCI ACWI (All Country World Index) Index performed over the same period. |
Top Holdings (% of Fund's net assets) | ||
Fidelity Inflation-Protected Bond Index Fund | 13.3 | |
Fidelity International Index Fund | 11.1 | |
Fidelity Commodity Strategy Fund | 9.5 | |
Fidelity Emerging Markets Index Fund | 7.9 | |
Fidelity Total Market Index Fund | 7.4 | |
Fidelity Small Cap Value Index Fund | 6.7 | |
iShares J.P. Morgan EM Local Currency Bond ETF | 6.7 | |
Fidelity Long-Term Treasury Bond Index Fund | 6.1 | |
iShares U.S. Treasury Bond ETF | 5.5 | |
Fidelity Small Cap Index Fund | 4.5 | |
78.7 | ||
Asset Allocation (% of Fund's net assets) |
Net Other Assets (Liabilities) - (0.1)% |
Equity Funds - 51.4% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 32.4% | |||
Fidelity Commodity Strategy Fund (a) | 7,902 | 718,317 | |
Fidelity Real Estate Index Fund (a) | 14,536 | 218,192 | |
Fidelity Small Cap Index Fund (a) | 14,269 | 343,463 | |
Fidelity Small Cap Value Index Fund (a) | 22,169 | 509,657 | |
Fidelity Total Market Index Fund (a) | 4,203 | 559,895 | |
iShares Gold Trust ETF (b) | 2,722 | 104,770 | |
TOTAL DOMESTIC EQUITY FUNDS | 2,454,294 | ||
International Equity Funds - 19.0% | |||
Fidelity Emerging Markets Index Fund (a) | 62,701 | 600,671 | |
Fidelity International Index Fund (a) | 17,885 | 843,816 | |
TOTAL INTERNATIONAL EQUITY FUNDS | 1,444,487 | ||
TOTAL EQUITY FUNDS (Cost $3,793,787) | 3,898,781 | ||
Fixed-Income Funds - 33.1% | |||
Shares | Value ($) | ||
Fixed-Income Funds - 33.1% | |||
Fidelity Inflation-Protected Bond Index Fund (a) | 111,088 | 1,007,571 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 46,842 | 464,673 | |
Invesco Senior Loan ETF | 1,588 | 33,364 | |
iShares J.P. Morgan EM Local Currency Bond ETF | 14,017 | 505,173 | |
iShares JPMorgan USD Emerging Markets Bond ETF | 986 | 86,748 | |
iShares U.S. Treasury Bond ETF | 18,199 | 418,577 | |
TOTAL FIXED-INCOME FUNDS (Cost $2,540,791) | 2,516,106 | ||
U.S. Treasury Obligations - 1.3% | |||
Principal Amount (c) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.27% to 5.28% 4/25/24 (d)(e) (Cost $98,786) | 100,000 | 98,785 | |
Cash Equivalents - 14.3% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (f) (Cost $1,082,291) | 1,082,075 | 1,082,291 | |
TOTAL INVESTMENT IN SECURITIES - 100.1% (Cost $7,515,655) | 7,595,963 |
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (5,829) |
NET ASSETS - 100.0% | 7,590,134 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE MSCI EAFE Index Contracts (United States) | 1 | Mar 2024 | 111,650 | 3,326 | 3,326 |
The notional amount of futures purchased as a percentage of Net Assets is 1.5% |
Total Return Swaps | ||||||||||||
Underlying Reference | Pay/ Receive Reference | Reference Payment Frequency | Financing Rate | Financing Frequency | Counterparty | Maturity Date | Units | 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 90 basis points | Monthly | BNP Paribas S.A. | Apr 2024 | 39,443 | 835,008 | (9,290) | 0 | (9,290) | |
Invesco Senior Loan ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 150 basis points | Monthly | BNP Paribas S.A. | May 2024 | 5,896 | 124,818 | (1,328) | 0 | (1,328) | |
Invesco Senior Loan ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 120 basis points | Monthly | BNP Paribas S.A. | Dec 2024 | 3,579 | 75,767 | (825) | 0 | (825) | |
iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 25 basis points | Monthly | Bank of America, N.A. | Jul 2024 | 2,176 | 167,420 | 563 | 0 | 563 | |
iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 100 basis points | Monthly | Goldman Sachs International | Apr 2024 | 10,454 | 806,317 | 847 | 0 | 847 | |
iShares TIPS Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 35 basis points | Monthly | Goldman Sachs International | May 2024 | 4,100 | 440,094 | 78 | 0 | 78 | |
iShares TIPS Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 35 basis points | Monthly | Goldman Sachs International | Jul 2024 | 10,321 | 1,108,057 | 348 | 0 | 348 | |
SPDR Gold Shares | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 30 basis points | Monthly | Goldman Sachs International | Jul 2024 | 2,941 | 560,908 | (9,041) | 0 | (9,041) | |
TOTAL RETURN SWAPS | (18,648) | 0 | (18,648) |
ETF | - | EXCHANGE-TRADED FUND |
(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 $19,757. |
(e) | Security or a portion of the security has been segregated as collateral for open bi-lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $78,041. |
(f) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | 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 5.39% | 1,336,627 | 2,989,356 | 3,243,692 | 72,094 | - | - | 1,082,291 | 0.0% |
Total | 1,336,627 | 2,989,356 | 3,243,692 | 72,094 | - | - | 1,082,291 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Commodity Strategy Fund | 1,314,000 | 227,244 | 713,971 | 23,697 | (384,694) | 275,738 | 718,317 |
Fidelity Emerging Markets Index Fund | 172,064 | 719,774 | 274,081 | 17,398 | (1,188) | (15,898) | 600,671 |
Fidelity Inflation-Protected Bond Index Fund | 442,321 | 850,140 | 275,811 | 34,154 | (10,131) | 1,052 | 1,007,571 |
Fidelity International Bond Index Fund | - | 428,027 | 428,295 | 3,335 | 268 | - | - |
Fidelity International Index Fund | 833,192 | 293,026 | 330,049 | 22,077 | 3,486 | 44,161 | 843,816 |
Fidelity Long-Term Treasury Bond Index Fund | 636,668 | 344,508 | 450,814 | 15,887 | (48,895) | (16,794) | 464,673 |
Fidelity Real Estate Index Fund | 237,762 | 55,037 | 63,441 | 6,571 | (1,401) | (9,765) | 218,192 |
Fidelity Small Cap Index Fund | 370,660 | 101,741 | 139,872 | 5,462 | 5,199 | 5,735 | 343,463 |
Fidelity Small Cap Value Index Fund | 555,772 | 169,317 | 216,962 | 11,371 | 3,230 | (1,700) | 509,657 |
Fidelity Total Market Index Fund | 176,997 | 637,109 | 303,825 | 5,747 | 10,871 | 38,743 | 559,895 |
4,739,436 | 3,825,923 | 3,197,121 | 145,699 | (423,255) | 321,272 | 5,266,255 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equity Funds | 3,898,781 | 3,898,781 | - | - |
Fixed-Income Funds | 2,516,106 | 2,516,106 | - | - |
Other Short-Term Investments | 98,785 | - | 98,785 | - |
Money Market Funds | 1,082,291 | 1,082,291 | - | - |
Total Investments in Securities: | 7,595,963 | 7,497,178 | 98,785 | - |
Derivative Instruments: Assets | ||||
Futures Contracts | 3,326 | 3,326 | - | - |
Swaps | 1,836 | - | 1,836 | - |
Total Assets | 5,162 | 3,326 | 1,836 | - |
Liabilities | ||||
Swaps | (20,484) | - | (20,484) | - |
Total Liabilities | (20,484) | - | (20,484) | - |
Total Derivative Instruments: | (15,322) | 3,326 | (18,648) | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Commodity Risk | ||
Swaps (a) | 0 | (9,041) |
Total Commodity Risk | 0 | (9,041) |
Credit Risk | ||
Swaps (a) | 1,410 | (11,443) |
Total Credit Risk | 1,410 | (11,443) |
Equity Risk | ||
Futures Contracts (b) | 3,326 | 0 |
Total Equity Risk | 3,326 | 0 |
Interest Rate Risk | ||
Swaps (a) | 426 | 0 |
Total Interest Rate Risk | 426 | 0 |
Total Value of Derivatives | 5,162 | (20,484) |
Consolidated Statement of Assets and Liabilities | ||||
January 31, 2024 | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $1,231,576) | $ | 1,247,417 | ||
Fidelity Central Funds (cost $1,082,291) | 1,082,291 | |||
Other affiliated issuers (cost $5,201,788) | 5,266,255 | |||
Total Investment in Securities (cost $7,515,655) | $ | 7,595,963 | ||
Cash | 10,343 | |||
Receivable for investments sold | 3,001 | |||
Receivable for fund shares sold | 295 | |||
Distributions receivable from Fidelity Central Funds | 4,896 | |||
Bi-lateral OTC swaps, at value | 1,836 | |||
Receivable from investment adviser for expense reductions | 244 | |||
Total assets | 7,616,578 | |||
Liabilities | ||||
Payable for fund shares redeemed | $ | 8 | ||
Bi-lateral OTC swaps, at value | 20,484 | |||
Accrued management fee | 3,740 | |||
Distribution and service plan fees payable | 1,466 | |||
Payable for daily variation margin on futures contracts | 575 | |||
Other affiliated payables | 171 | |||
Total Liabilities | 26,444 | |||
Net Assets | $ | 7,590,134 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 7,994,993 | ||
Total accumulated earnings (loss) | (404,859) | |||
Net Assets | $ | 7,590,134 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($1,014,854 ÷ 108,581 shares)(a) | $ | 9.35 | ||
Maximum offering price per share (100/94.25 of $9.35) | $ | 9.92 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($1,013,448 ÷ 108,339 shares)(a) | $ | 9.35 | ||
Maximum offering price per share (100/96.50 of $9.35) | $ | 9.69 | ||
Class C : | ||||
Net Asset Value and offering price per share ($1,002,400 ÷ 107,021 shares)(a) | $ | 9.37 | ||
Fidelity Risk Parity Fund : | ||||
Net Asset Value, offering price and redemption price per share ($2,402,608 ÷ 258,692 shares) | $ | 9.29 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($1,139,012 ÷ 122,010 shares) | $ | 9.34 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($1,017,812 ÷ 108,967 shares) | $ | 9.34 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Consolidated Statement of Operations | ||||
Year ended January 31, 2024 | ||||
Investment Income | ||||
Dividends (including $145,699 earned from affiliated issuers) | $ | 172,168 | ||
Interest | 11,124 | |||
Income from Fidelity Central Funds | 72,094 | |||
Total Income | 255,386 | |||
Expenses | ||||
Management fee | $ | 42,423 | ||
Distribution and service plan fees | 17,057 | |||
Independent trustees' fees and expenses | 7,404 | |||
Total expenses before reductions | 66,884 | |||
Expense reductions | (8,218) | |||
Total expenses after reductions | 58,666 | |||
Net Investment income (loss) | 196,720 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (1,040) | |||
Affiliated issuers | (423,255) | |||
Futures contracts | (15,900) | |||
Swaps | 97,740 | |||
Total net realized gain (loss) | (342,455) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 8,059 | |||
Affiliated issuers | 321,272 | |||
Futures contracts | (6,804) | |||
Swaps | (124,624) | |||
Total change in net unrealized appreciation (depreciation) | 197,903 | |||
Net gain (loss) | (144,552) | |||
Net increase (decrease) in net assets resulting from operations | $ | 52,168 |
Consolidated Statement of Changes in Net Assets | ||||
Year ended January 31, 2024 | For the period July 7, 2022 (commencement of operations) through January 31, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 196,720 | $ | 467,283 |
Net realized gain (loss) | (342,455) | (171,038) | ||
Change in net unrealized appreciation (depreciation) | 197,903 | (132,917) | ||
Net increase (decrease) in net assets resulting from operations | 52,168 | 163,328 | ||
Distributions to shareholders | (249,670) | (370,684) | ||
Share transactions - net increase (decrease) | 575,397 | 7,419,595 | ||
Total increase (decrease) in net assets | 377,895 | 7,212,239 | ||
Net Assets | ||||
Beginning of period | 7,212,239 | - | ||
End of period | $ | 7,590,134 | $ | 7,212,239 |
Fidelity Advisor® Risk Parity Fund Class A |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .25 | .86 | ||
Net realized and unrealized gain (loss) | (.22) | (.60) | ||
Total from investment operations | .03 | .26 | ||
Distributions from net investment income | (.32) | (.62) | ||
Total distributions | (.32) | (.62) | ||
Net asset value, end of period | $ | 9.35 | $ | 9.64 |
Total Return D,E,F | .50% | 2.90% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | .95% | 2.40% I | ||
Expenses net of fee waivers, if any | .85% | .85% I | ||
Expenses net of all reductions | .84% | .84% I | ||
Net investment income (loss) | 2.74% | 15.39% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,015 | $ | 1,009 |
Portfolio turnover rate J | 84% | 163% I |
Fidelity Advisor® Risk Parity Fund Class M |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .23 | .84 | ||
Net realized and unrealized gain (loss) | (.23) | (.60) | ||
Total from investment operations | - D | .24 | ||
Distributions from net investment income | (.29) | (.60) | ||
Total distributions | (.29) | (.60) | ||
Net asset value, end of period | $ | 9.35 | $ | 9.64 |
Total Return E,F,G | .15% | 2.77% | ||
Ratios to Average Net Assets C,H,I | ||||
Expenses before reductions | 1.20% | 2.65% J | ||
Expenses net of fee waivers, if any | 1.10% | 1.10% J | ||
Expenses net of all reductions | 1.09% | 1.09% J | ||
Net investment income (loss) | 2.49% | 15.09% J | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,013 | $ | 1,008 |
Portfolio turnover rate K | 84% | 163% J |
Fidelity Advisor® Risk Parity Fund Class C |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .18 | .82 | ||
Net realized and unrealized gain (loss) | (.22) | (.60) | ||
Total from investment operations | (.04) | .22 | ||
Distributions from net investment income | (.23) | (.58) | ||
Total distributions | (.23) | (.58) | ||
Net asset value, end of period | $ | 9.37 | $ | 9.64 |
Total Return D,E,F | (.30)% | 2.52% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | 1.70% | 3.15% I | ||
Expenses net of fee waivers, if any | 1.60% | 1.60% I | ||
Expenses net of all reductions | 1.59% | 1.59% I | ||
Net investment income (loss) | 1.99% | 14.60% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,002 | $ | 1,008 |
Portfolio turnover rate J | 84% | 163% I |
Fidelity® Risk Parity Fund |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.60 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .27 | .27 | ||
Net realized and unrealized gain (loss) | (.22) | (.04) | ||
Total from investment operations | .05 | .23 | ||
Distributions from net investment income | (.36) | (.63) | ||
Total distributions | (.36) | (.63) | ||
Net asset value, end of period | $ | 9.29 | $ | 9.60 |
Total Return D,E | .70% | 2.63% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .70% | 1.26% H | ||
Expenses net of fee waivers, if any | .60% | .60% H | ||
Expenses net of all reductions | .59% | .58% H | ||
Net investment income (loss) | 2.98% | 7.06% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 2,403 | $ | 2,036 |
Portfolio turnover rate I | 84% | 163% H |
Fidelity Advisor® Risk Parity Fund Class I |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .27 | .88 | ||
Net realized and unrealized gain (loss) | (.21) | (.61) | ||
Total from investment operations | .06 | .27 | ||
Distributions from net investment income | (.36) | (.63) | ||
Total distributions | (.36) | (.63) | ||
Net asset value, end of period | $ | 9.34 | $ | 9.64 |
Total Return D,E | .76% | 3.02% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .70% | 2.18% H | ||
Expenses net of fee waivers, if any | .60% | .60% H | ||
Expenses net of all reductions | .59% | .59% H | ||
Net investment income (loss) | 2.99% | 15.81% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,139 | $ | 1,141 |
Portfolio turnover rate I | 84% | 163% H |
Fidelity Advisor® Risk Parity Fund Class Z |
Years ended January 31, | 2024 | 2023 A | ||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.65 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .28 | .97 | ||
Net realized and unrealized gain (loss) | (.23) | (.69) | ||
Total from investment operations | .05 | .28 | ||
Distributions from net investment income | (.36) | (.63) | ||
Total distributions | (.36) | (.63) | ||
Net asset value, end of period | $ | 9.34 | $ | 9.65 |
Total Return D,E | .70% | 3.13% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .65% | 2.23% H | ||
Expenses net of fee waivers, if any | .55% | .55% H | ||
Expenses net of all reductions | .54% | .54% H | ||
Net investment income (loss) | 3.04% | 17.34% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,018 | $ | 1,011 |
Portfolio turnover rate I | 84% | 163% H |
Subsidiary Name | Net Assets of Subsidiary | % of Fund's Net Assets | |
Fidelity Risk Parity Fund | Fidelity Risk Parity Cayman Ltd. | 308,786 | 4.1 |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $260,900 |
Gross unrealized depreciation | (292,056) |
Net unrealized appreciation (depreciation) | $(31,156) |
Tax Cost | $7,619,171 |
Undistributed ordinary income | $99,263 |
Capital loss carryforward | $(472,966) |
Net unrealized appreciation (depreciation) on securities and other investments | $(31,156) |
Short-term | $(421,753) |
Long-term | (51,213) |
Total capital loss carryforward | $(472,966) |
January 31, 2024 | January 31, 2023 A | |
Ordinary Income | $249,670 | $370,684 |
Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. |
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity Risk Parity Fund | ||
Commodity Risk | ||
Swaps | 28,926 | (32,430) |
Total Commodity Risk | 28,926 | (32,430) |
Credit Risk | ||
Swaps | 127,005 | (64,997) |
Total Credit Risk | 127,005 | (64,997) |
Equity Risk | ||
Futures Contracts | (24,537) | (1,068) |
Total Equity Risk | (24,537) | (1,068) |
Interest Rate Risk | ||
Futures Contracts | 8,637 | (5,736) |
Swaps | (58,191) | (27,197) |
Total Interest Rate Risk | (49,554) | (32,933) |
Totals | 81,840 | (131,428) |
Purchases ($) | Sales ($) | |
Fidelity Risk Parity Fund | 5,724,872 | 4,632,297 |
Annual % of Class-Level Average Net Assets | |
Class A | .60% |
Class M | .60% |
Class C | .60% |
Fidelity Risk Parity Fund | .60% |
Class I | .60% |
Class Z | .55% |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | - % | .25% | $2,446 | $2,444 |
Class M | .25% | .25% | 4,886 | 4,874 |
Class C | .75% | .25% | 9,725 | 9,720 |
$17,057 | $17,038 |
Retained by FDC | |
Class A | $17 |
Class M | 10 |
Class CA | 8 |
$35 |
Amount | |
Fidelity Risk Parity Fund | $25 |
Expense Limitations | Reimbursement | |
Class A | .85% | $1,027 |
Class M | 1.10% | 1,028 |
Class C | 1.60% | 1,028 |
Fidelity Risk Parity Fund | .60% | 2,205 |
Class I | .60% | 1,157 |
Class Z | .55% | 1,027 |
$7,472 |
Year ended January 31, 2024 | Year ended January 31, 2023 A | |
Fidelity Risk Parity Fund | ||
Distributions to shareholders | ||
Class A | $34,079 | $60,367 |
Class M | 30,555 | 59,224 |
Class C | 23,943 | 56,987 |
Fidelity Risk Parity Fund | 80,347 | 63,034 |
Class I | 42,566 | 69,528 |
Class Z | 38,180 | 61,544 |
Total | $249,670 | $370,684 |
Shares | Shares | Dollars | Dollars | |
Year ended January 31, 2024 | Year ended January 31, 2023 A | Year ended January 31, 2024 | Year ended January 31, 2023 A | |
Fidelity Risk Parity Fund | ||||
Class A | ||||
Shares sold | 193 | 98,825 | $1,756 | $988,808 |
Reinvestment of distributions | 3,788 | 6,606 | 34,079 | 60,367 |
Shares redeemed | (6) | (825) | (60) | (8,067) |
Net increase (decrease) | 3,975 | 104,606 | $35,775 | $1,041,108 |
Class M | ||||
Shares sold | 371 | 98,083 | $3,325 | $980,805 |
Reinvestment of distributions | 3,404 | 6,481 | 30,555 | 59,224 |
Net increase (decrease) | 3,775 | 104,564 | $33,880 | $1,040,029 |
Class C | ||||
Shares sold | 110 | 98,298 | $1,000 | $982,961 |
Reinvestment of distributions | 2,687 | 6,236 | 23,943 | 56,987 |
Shares redeemed | (310) | - | (2,729) | - |
Net increase (decrease) | 2,487 | 104,534 | $22,214 | $1,039,948 |
Fidelity Risk Parity Fund | ||||
Shares sold | 107,679 | 219,651 | $961,233 | $2,116,923 |
Reinvestment of distributions | 2,124 | 2,577 | 19,219 | 23,447 |
Shares redeemed | (63,187) | (10,152) | (568,009) | (93,338) |
Net increase (decrease) | 46,616 | 212,076 | $412,443 | $2,047,032 |
Class I | ||||
Shares sold | - | 110,712 | $ - | $1,115,000 |
Reinvestment of distributions | 4,724 | 7,608 | 42,566 | 69,528 |
Shares redeemed | (1,034) | - | (9,661) | - |
Net increase (decrease) | 3,690 | 118,320 | $32,905 | $1,184,528 |
Class Z | ||||
Shares sold | - | 117,657 | $ - | $1,188,529 |
Reinvestment of distributions | 4,233 | 6,734 | 38,180 | 61,544 |
Shares redeemed | - | (19,657) | - | (183,123) |
Net increase (decrease) | 4,233 | 104,734 | $38,180 | $1,066,950 |
Fund | Affiliated % |
Fidelity Risk Parity Fund | 68% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2023 to January 31, 2024). |
Annualized Expense Ratio- A | Beginning Account Value August 1, 2023 | Ending Account Value January 31, 2024 | Expenses Paid During Period- C August 1, 2023 to January 31, 2024 | |||||||
Fidelity® Risk Parity Fund | ||||||||||
Class A | .85% | |||||||||
Actual | $ 1,000 | $ 1,001.50 | $ 4.29 | |||||||
Hypothetical-B | $ 1,000 | $ 1,020.92 | $ 4.33 | |||||||
Class M | 1.10% | |||||||||
Actual | $ 1,000 | $ 999.40 | $ 5.54 | |||||||
Hypothetical-B | $ 1,000 | $ 1,019.66 | $ 5.60 | |||||||
Class C | 1.60% | |||||||||
Actual | $ 1,000 | $ 997.90 | $ 8.06 | |||||||
Hypothetical-B | $ 1,000 | $ 1,017.14 | $ 8.13 | |||||||
Fidelity® Risk Parity Fund | .60% | |||||||||
Actual | $ 1,000 | $ 1,002.00 | $ 3.03 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.18 | $ 3.06 | |||||||
Class I | .60% | |||||||||
Actual | $ 1,000 | $ 1,002.60 | $ 3.03 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.18 | $ 3.06 | |||||||
Class Z | .55% | |||||||||
Actual | $ 1,000 | $ 1,002.00 | $ 2.78 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.43 | $ 2.80 | |||||||
Pay Date | Income | Taxes | |
Insert Fund Name | |||
Class A | 03/13/2023 | $0.0076 | $0.0015 |
Class A | 12/29/2023 | $0.0103 | $0.0050 |
Class M | 03/13/2023 | $0.0073 | $0.0015 |
Class M | 12/29/2023 | $0.0069 | $0.0050 |
Class C | 03/13/2023 | $0.0065 | $0.0015 |
Class C | 12/29/2023 | $0.0000 | $0.0000 |
Fidelity Risk Parity Fund | 03/13/2023 | $0.0080 | $0.0015 |
Fidelity Risk Parity Fund | 12/29/2023 | $0.0146 | $0.0050 |
Class I | 03/13/2023 | $0.0080 | $0.0015 |
Class I | 12/29/2023 | $0.0139 | $0.0050 |
Class Z | 03/13/2023 | $0.0080 | $0.0015 |
Class Z | 12/29/2023 | $0.0146 | $0.0050 |
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Top Holdings (% of Fund's net assets) | ||
U.S. Treasury Bills, yield at date of purchase 5.32% to 5.36% 2/15/24 to 3/14/24 | 65.4 | |
Royal Caribbean Cruises Ltd. 6% 8/15/25 | 5.1 | |
Varonis Systems, Inc. 1.25% 8/15/25 | 4.0 | |
Enovis Corp. 3.875% 10/15/28 | 3.2 | |
Middleby Corp. 1% 9/1/25 | 2.7 | |
Alteryx, Inc. 0.5% 8/1/24 | 2.6 | |
Gannett Media Corp. 4.75% 4/15/24 | 2.1 | |
NuVasive, Inc. 0.375% 3/15/25 | 1.9 | |
Akamai Technologies, Inc. 0.125% 5/1/25 | 1.7 | |
Ironwood Pharmaceuticals, Inc. 0.75% 6/15/24 | 1.5 | |
90.2 | ||
Market Sectors (% of Fund's net assets) | ||
Health Care | 9.5 | |
Information Technology | 9.3 | |
Consumer Discretionary | 7.0 | |
Industrials | 3.9 | |
Communication Services | 2.1 | |
Quality Diversification (% of Fund's net assets) |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of Fund's net assets) |
Futures - 10.1% |
Swaps - 208.7% |
Convertible Bonds - 31.8% | |||
Principal Amount (a) | Value ($) | ||
COMMUNICATION SERVICES - 2.1% | |||
Media - 2.1% | |||
Gannett Media Corp. 4.75% 4/15/24 | 3,300,000 | 3,219,008 | |
CONSUMER DISCRETIONARY - 7.0% | |||
Automobiles - 0.9% | |||
Rivian Automotive, Inc. 3.625% 10/15/30 (b) | 1,500,000 | 1,377,150 | |
Broadline Retail - 1.0% | |||
Etsy, Inc. 0.125% 10/1/26 | 1,500,000 | 1,565,250 | |
Hotels, Restaurants & Leisure - 5.1% | |||
Royal Caribbean Cruises Ltd. 6% 8/15/25 | 2,965,000 | 7,740,227 | |
TOTAL CONSUMER DISCRETIONARY | 10,682,627 | ||
HEALTH CARE - 9.5% | |||
Biotechnology - 1.5% | |||
Ironwood Pharmaceuticals, Inc. 0.75% 6/15/24 | 2,000,000 | 2,332,047 | |
Health Care Equipment & Supplies - 5.1% | |||
Enovis Corp. 3.875% 10/15/28 (b) | 4,000,000 | 4,934,000 | |
NuVasive, Inc. 0.375% 3/15/25 | 3,000,000 | 2,819,080 | |
7,753,080 | |||
Health Care Technology - 1.4% | |||
Evolent Health, Inc. 3.5% 12/1/29 (b) | 2,000,000 | 2,184,000 | |
Pharmaceuticals - 1.5% | |||
Pacira Biosciences, Inc. 0.75% 8/1/25 | 2,500,000 | 2,304,688 | |
TOTAL HEALTH CARE | 14,573,815 | ||
INDUSTRIALS - 3.9% | |||
Construction & Engineering - 1.2% | |||
Granite Construction, Inc. 3.75% 5/15/28 (b) | 1,500,000 | 1,762,800 | |
Machinery - 2.7% | |||
Middleby Corp. 1% 9/1/25 | 3,500,000 | 4,127,698 | |
TOTAL INDUSTRIALS | 5,890,498 | ||
INFORMATION TECHNOLOGY - 9.3% | |||
Electronic Equipment, Instruments & Components - 1.0% | |||
Advanced Energy Industries, Inc. 2.5% 9/15/28 (b) | 1,500,000 | 1,551,600 | |
IT Services - 1.7% | |||
Akamai Technologies, Inc. 0.125% 5/1/25 | 2,000,000 | 2,632,000 | |
Software - 6.6% | |||
Alteryx, Inc. 0.5% 8/1/24 | 4,000,000 | 3,910,000 | |
Varonis Systems, Inc. 1.25% 8/15/25 | 4,000,000 | 6,058,000 | |
9,968,000 | |||
TOTAL INFORMATION TECHNOLOGY | 14,151,600 | ||
TOTAL CONVERTIBLE BONDS (Cost $45,739,715) | 48,517,548 | ||
U.S. Treasury Obligations - 65.4% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.32% to 5.36% 2/15/24 to 3/14/24 (c)(d) (Cost $99,631,611) | 100,000,000 | 99,631,283 | |
Money Market Funds - 3.3% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.39% (e) (Cost $5,110,094) | 5,109,072 | 5,110,094 | |
TOTAL INVESTMENT IN SECURITIES - 100.5% (Cost $150,481,420) | 153,258,925 |
NET OTHER ASSETS (LIABILITIES) - (0.5)% | (826,951) |
NET ASSETS - 100.0% | 152,431,974 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Sold | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 69 | Mar 2024 | 14,190,281 | (124,662) | (124,662) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 11 | Mar 2024 | 1,192,297 | (22,452) | (22,452) |
TOTAL FUTURES CONTRACTS | (147,114) | ||||
The notional amount of futures sold as a percentage of Net Assets is 10.1% |
Total Return Swaps | ||||||
Description | Counterparty | Maturity Date | Absolute Notional Amount ($) | Value ($) | Net Cash and Other Receivables/(Payables) ($) | Unrealized Appreciation/(Depreciation) ($) |
The Fund receives the total return on a portfolio of long and short equity positions and fixed income positions and pays or receives the Secured Overnight Fin. Rate (SOFR)plus or minus a specified spread ranging from (0.20)% to 0.50% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap as applicable. | Bank of Montreal | Sep 2024 | 90,404,112 | (120,018) | (106,120) | (226,138) |
The following table represents disclosures associated with the underlying components of the total return basket swap at period end. | ||||||
Description | Principal Amount / (Shares) | Notional Amount ($) | Unrealized Appreciation / (Depreciation) ($) | Percentage of Swap Value (%) | Investment Type | |
Airbnb, Inc. Class A | (1,700) | (245,038) | (15,082) | (0.07) | Common Stock | |
American Airlines Group, Inc. | (136,000) | (1,935,280) | (138,126) | (0.55) | Common Stock | |
Ascendis Pharma A/S sponsored ADR | (15,600) | (2,026,908) | 59,538 | 0.26 | Common Stock | |
BlackLine, Inc. | (9,000) | (528,120) | (8,582) | (0.04) | Common Stock | |
Cable One, Inc. | (300) | (164,679) | (2,049) | (0.01) | Common Stock | |
Camtek Ltd. | (35,000) | (2,724,400) | (128,564) | (0.57) | Common Stock | |
Cracker Barrel Old Country Store, Inc. | (6,400) | (495,040) | (37,413) | (0.17) | Common Stock | |
Datadog, Inc. Class A | (35,000) | (4,355,400) | (14,747) | (0.07) | Common Stock | |
Enphase Energy, Inc. | (2,100) | (218,673) | 10,123 | 0.04 | Common Stock | |
FirstEnergy Corp. | (13,500) | (495,180) | 16,738 | 0.07 | Common Stock | |
InterDigital, Inc. | (17,000) | (1,785,850) | (23,769) | (0.11) | Common Stock | |
Jazz Pharmaceuticals PLC | (500) | (61,360) | (1,684) | (0.01) | Common Stock | |
Liberty Media Corp. Liberty Formula One Class C | (21,700) | (1,459,325) | (87,308) | (0.39) | Common Stock | |
Lumentum Holdings, Inc. | (8,050) | (442,267) | (17,651) | (0.08) | Common Stock | |
MACOM Technology Solutions Holdings, Inc. | (18,500) | (1,595,255) | 1,834 | 0.01 | Common Stock | |
MannKind Corp. | (135,000) | (450,900) | (519) | 0.00 | Common Stock | |
Mesa Laboratories, Inc. | (500) | (45,810) | 1,958 | 0.01 | Common Stock | |
Mirum Pharmaceuticals, Inc. | (47,300) | (1,251,558) | 14,632 | 0.06 | Common Stock | |
National Vision Holdings, Inc. | (16,500) | (313,665) | 24,217 | 0.11 | Common Stock | |
Okta, Inc. | (2,000) | (165,300) | 325 | 0.00 | Common Stock | |
PG&E Corp. | (42,500) | (716,975) | 11,608 | 0.05 | Common Stock | |
Progress Software Corp. | (44,600) | (2,533,726) | (138,303) | (0.61) | Common Stock | |
The GEO Group, Inc. | (82,500) | (917,400) | (29,713) | (0.13) | Common Stock | |
Turning Point Brands, Inc. | (2,800) | (68,012) | 2,117 | 0.01 | Common Stock | |
Winnebago Industries, Inc. | (14,000) | (920,080) | 15,452 | 0.07 | Common Stock | |
Airbnb, Inc. 0% 3/15/26 | 2,000,000 | 1,815,000 | 6,350 | 0.03 | Convertible Corporate Bond | |
American Airlines Group, Inc. 6.5% 7/1/25 | 4,000,000 | 4,521,666 | 137,602 | 0.61 | Convertible Corporate Bond | |
Ascendis Pharma A/S 2.25% 4/1/28 | 4,000,000 | 4,290,000 | (39,782) | (0.18) | Convertible Corporate Bond | |
BlackLine, Inc. 0.125% 8/1/24 | 1,500,000 | 1,504,650 | (5,799) | (0.03) | Convertible Corporate Bond | |
Cable One, Inc. 0% 3/15/26 | 3,000,000 | 2,563,500 | (9,350) | (0.04) | Convertible Corporate Bond | |
Camtek Ltd. 0% 12/1/26 | 2,500,000 | 3,555,000 | 134,031 | 0.59 | Convertible Corporate Bond | |
Cracker Barrel Old Country Store, Inc. 0.625% 6/15/26 | 3,500,000 | 3,049,545 | 36,659 | 0.16 | Convertible Corporate Bond | |
Datadog, Inc. 0.125% 6/15/25 | 4,000,000 | 5,662,638 | (3,652) | (0.02) | Convertible Corporate Bond | |
Enphase Energy, Inc. 0% 3/1/26 | 2,000,000 | 1,784,000 | (18,256) | (0.08) | Convertible Corporate Bond | |
FirstEnergy Corp. 4% 5/1/26 | 2,000,000 | 1,998,000 | (21,201) | (0.09) | Convertible Corporate Bond | |
GEO Corrections Holdings, Inc. 6.5% 2/23/26 | 1,000,000 | 1,438,083 | 29,205 | 0.13 | Convertible Corporate Bond | |
InterDigital, Inc. 2% 6/1/24 | 1,500,000 | 1,933,437 | 3,376 | 0.01 | Convertible Corporate Bond | |
Jazz Investments I Ltd. 1.5% 8/15/24 | 4,000,000 | 3,931,666 | 1,692 | 0.01 | Convertible Corporate Bond | |
Liberty Media Corp. Liberty Formula One 2.25% 8/15/27 | 3,000,000 | 3,187,402 | 86,818 | 0.38 | Convertible Corporate Bond | |
Lumentum Holdings, Inc. 0.25% 3/15/24 | 3,250,000 | 3,236,622 | (42,231) | (0.19) | Convertible Corporate Bond | |
MACOM Technology Solutions Holdings, Inc. 0.25% 3/15/26 | 2,000,000 | 2,354,888 | (1,236) | (0.01) | Convertible Corporate Bond | |
MannKind Corp. 2.5% 3/1/26 | 2,000,000 | 2,007,033 | (20,803) | (0.09) | Convertible Corporate Bond | |
Mesa Laboratories, Inc. 1.375% 8/15/25 | 1,000,000 | 923,240 | (6,571) | (0.03) | Convertible Corporate Bond | |
Mirum Pharmaceuticals, Inc. 4% 5/1/29 | 2,000,000 | 2,304,000 | (27,115) | (0.12) | Convertible Corporate Bond | |
National Vision Holdings, Inc. 2.5% 5/15/25 | 1,250,000 | 1,241,597 | (19,539) | (0.09) | Convertible Corporate Bond | |
Okta, Inc. 0.125% 9/1/25 | 1,540,000 | 1,415,292 | (9,630) | (0.04) | Convertible Corporate Bond | |
PG&E Corp. 4.25% 12/1/27 | 1,630,000 | 1,669,493 | (12,759) | (0.06) | Convertible Corporate Bond | |
Progress Software Corp. 1% 4/15/26 | 4,000,000 | 4,339,777 | 117,397 | 0.52 | Convertible Corporate Bond | |
Turning Point Brands, Inc. 2.5% 7/15/24 | 2,360,000 | 2,316,882 | 3,699 | 0.02 | Convertible Corporate Bond | |
Winnebago Industries, Inc. 1.5% 4/1/25 | 1,250,000 | 1,444,500 | (60,075) | (0.27) | Convertible Corporate Bond | |
Description | Counterparty | Maturity Date | Absolute Notional Amount ($) | Value ($) | Net Cash and Other Receivables/(Payables) ($) | Unrealized Appreciation/(Depreciation) ($) |
The Fund receives the total return on a portfolio of long and short equity positions and fixed income positions and pays or receives the Secured Overnight Fin. Rate (SOFR)plus or minus a specified spread ranging from (1.25)% to 0.75% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap as applicable. | BNP Paribas SA | Sep 2024 | 232,083,082 | (625,914) | (25,307) | (651,221) |
The following table represents disclosures associated with the underlying components of the total return basket swap at period end. | ||||||
Description | Principal Amount / (Shares) | Notional Amount ($) | Unrealized Appreciation / (Depreciation) ($) | Percentage of Swap Value (%) | Investment Type | |
Advanced Energy Industries, Inc. | (7,000) | (729,260) | (9,828) | (0.02) | Common Stock | |
Akamai Technologies, Inc. | (34,500) | (4,251,435) | (156,381) | (0.24) | Common Stock | |
Alphatec Holdings, Inc. | (95,000) | (1,528,550) | (96,058) | (0.15) | Common Stock | |
Ares Capital Corp. | (100,000) | (2,023,000) | (2,040) | 0.00 | Common Stock | |
Assertio Holdings, Inc. | (61,000) | (53,838) | 2,223 | 0.00 | Common Stock | |
Carnival Corp. | (142,500) | (2,362,650) | 68,779 | 0.11 | Common Stock | |
Cinemark Holdings, Inc. | (47,000) | (650,010) | (19,002) | (0.03) | Common Stock | |
Enovis Corp. | (52,000) | (3,052,400) | (21,759) | (0.03) | Common Stock | |
Etsy, Inc. | (24,000) | (1,597,440) | 34,323 | 0.05 | Common Stock | |
Evolent Health, Inc. Class A | (38,500) | (1,132,285) | 64,661 | 0.10 | Common Stock | |
Five9, Inc. | (2,700) | (204,822) | 338 | 0.00 | Common Stock | |
Freshpet, Inc. | (36,000) | (3,099,600) | (12,090) | (0.02) | Common Stock | |
Granite Construction, Inc. | (24,500) | (1,105,195) | 32,066 | 0.05 | Common Stock | |
HubSpot, Inc. | (8,500) | (5,193,500) | (376,509) | (0.58) | Common Stock | |
Insight Enterprises, Inc. | (36,500) | (6,743,010) | (63,499) | (0.10) | Common Stock | |
Insmed, Inc. | (100,000) | (2,780,000) | 64,109 | 0.10 | Common Stock | |
Ironwood Pharmaceuticals, Inc. Class A | (82,000) | (1,163,580) | (199,053) | (0.31) | Common Stock | |
MannKind Corp. | (200,000) | (668,000) | (722) | 0.00 | Common Stock | |
Marriott Vacations Worldwide Corp. | (7,900) | (662,731) | (1,182) | 0.00 | Common Stock | |
Merit Medical Systems, Inc. | (20,000) | (1,566,000) | (3,008) | 0.00 | Common Stock | |
MicroStrategy, Inc. Class A | (3,000) | (1,503,630) | (54,697) | (0.08) | Common Stock | |
Middleby Corp. | (20,000) | (2,821,400) | (38,072) | (0.06) | Common Stock | |
Mirum Pharmaceuticals, Inc. | (52,700) | (1,394,442) | 16,402 | 0.03 | Common Stock | |
MongoDB, Inc. Class A | (16,500) | (6,608,580) | 94,009 | 0.14 | Common Stock | |
Natera, Inc. | (11,250) | (741,825) | (32,730) | (0.05) | Common Stock | |
NICE Ltd. sponsored ADR | (1,750) | (364,175) | (3,492) | (0.01) | Common Stock | |
Pacira Biosciences, Inc. | (5,000) | (162,950) | (989) | 0.00 | Common Stock | |
Palo Alto Networks, Inc. | (37,750) | (12,778,752) | (219,825) | (0.34) | Common Stock | |
PetIQ, Inc. Class A | (38,200) | (686,454) | 10,502 | 0.02 | Common Stock | |
Repligen Corp. | (15,000) | (2,841,000) | (244,630) | (0.38) | Common Stock | |
Rivian Automotive, Inc. | (55,000) | (842,050) | 145,421 | 0.22 | Common Stock | |
Royal Caribbean Cruises Ltd. | (94,100) | (11,997,750) | (420,109) | (0.65) | Common Stock | |
Shockwave Medical, Inc. | (8,000) | (1,810,000) | (69,308) | (0.11) | Common Stock | |
Stride, Inc. | (29,900) | (3,608,990) | 75,157 | 0.12 | Common Stock | |
Topgolf Callaway Brands Corp. | (97,500) | (1,284,075) | 88,427 | 0.14 | Common Stock | |
TransMedics Group, Inc. | (30,000) | (2,573,100) | (188,193) | (0.29) | Common Stock | |
Travere Therapeutics, Inc. | (37,500) | (334,875) | (484) | 0.00 | Common Stock | |
Varonis Systems, Inc. | (101,300) | (4,546,344) | 115,287 | 0.18 | Common Stock | |
Vishay Intertechnology, Inc. | (73,600) | (1,599,328) | 44,362 | 0.07 | Common Stock | |
Wayfair LLC Class A | (5,500) | (276,375) | 8,740 | 0.01 | Common Stock | |
Western Digital Corp. | (22,500) | (1,288,125) | (110,696) | (0.17) | Common Stock | |
Workiva, Inc. | (10,000) | (929,400) | 26,529 | 0.04 | Common Stock | |
Ziff Davis, Inc. | (18,700) | (1,260,380) | (35,054) | (0.05) | Common Stock | |
Zillow Group, Inc. Class C | (70,000) | (3,978,800) | (286,911) | (0.44) | Common Stock | |
Zscaler, Inc. | (15,500) | (3,652,885) | (47,193) | (0.07) | Common Stock | |
Akamai Technologies, Inc. 0.125% 5/1/25 | 2,000,000 | 2,632,625 | 82,747 | 0.13 | Convertible Corporate Bond | |
Alphatec Holdings, Inc. 0.75% 8/1/26 | 2,680,000 | 2,923,880 | 77,814 | 0.12 | Convertible Corporate Bond | |
Ares Capital Corp. 4.625% 3/1/24 | 2,500,000 | 2,651,302 | (12,541) | (0.02) | Convertible Corporate Bond | |
Assertio Holdings, Inc. 6.5% 9/1/27 | 500,000 | 388,406 | (120,800) | (0.19) | Convertible Corporate Bond | |
Carnival Corp. 5.75% 10/1/24 | 1,500,000 | 2,590,000 | (70,442) | (0.11) | Convertible Corporate Bond | |
Cinemark Holdings, Inc. 4.5% 8/15/25 | 1,000,000 | 1,208,250 | 6,633 | 0.01 | Convertible Corporate Bond | |
Etsy, Inc. 0.125% 10/1/26 | 1,500,000 | 1,565,875 | (21,186) | (0.03) | Convertible Corporate Bond | |
Five9, Inc. 0.5% 6/1/25 | 1,500,000 | 1,433,749 | (12,546) | (0.02) | Convertible Corporate Bond | |
Freshpet, Inc. 3% 4/1/28 | 3,000,000 | 4,302,000 | (6,148) | (0.01) | Convertible Corporate Bond | |
HubSpot, Inc. 0.375% 6/1/25 | 2,500,000 | 5,451,562 | 368,910 | 0.57 | Convertible Corporate Bond | |
Insight Enterprises, Inc. 0.75% 2/15/25 | 2,500,000 | 6,772,395 | 50,074 | 0.08 | Convertible Corporate Bond | |
Insmed, Inc. 0.75% 6/1/28 | 3,500,000 | 3,800,125 | (63,116) | (0.10) | Convertible Corporate Bond | |
MannKind Corp. 2.5% 3/1/26 | 1,500,000 | 1,505,275 | (15,731) | (0.02) | Convertible Corporate Bond | |
Marriott Vacations Worldwide Corp. 0% 1/15/26 | 4,000,000 | 3,537,600 | (6,806) | (0.01) | Convertible Corporate Bond | |
Merit Medical Systems, Inc. 3% 2/1/29 | 2,500,000 | 2,813,541 | (16,762) | (0.03) | Convertible Corporate Bond | |
MicroStrategy, Inc. 0.75% 12/15/25 | 1,500,000 | 2,111,787 | 58,233 | 0.09 | Convertible Corporate Bond | |
Mirum Pharmaceuticals, Inc. 4% 5/1/29 | 2,000,000 | 2,304,000 | (27,329) | (0.04) | Convertible Corporate Bond | |
MongoDB, Inc. 0.25% 1/15/26 | 3,685,000 | 7,117,986 | (135,101) | (0.21) | Convertible Corporate Bond | |
Natera, Inc. 2.25% 5/1/27 | 500,000 | 897,500 | 37,837 | 0.06 | Convertible Corporate Bond | |
NICE Ltd. 0% 9/15/25 | 1,693,000 | 1,621,894 | (2,240) | 0.00 | Convertible Corporate Bond | |
Palo Alto Networks, Inc. 0.375% 6/1/25 | 3,750,000 | 12,752,607 | 198,597 | 0.30 | Convertible Corporate Bond | |
PetIQ, Inc. 4% 6/1/26 | 2,266,000 | 2,225,816 | (32,376) | (0.05) | Convertible Corporate Bond | |
Repligen Corp. 1% 12/15/28 | 4,000,000 | 4,635,222 | 219,769 | 0.34 | Convertible Corporate Bond | |
Royal Caribbean Cruises Ltd. 6% 8/15/25 | 2,000,000 | 5,276,397 | 148,493 | 0.23 | Convertible Corporate Bond | |
Shockwave Medical, Inc. 1% 8/15/28 | 3,500,000 | 3,684,138 | 52,388 | 0.08 | Convertible Corporate Bond | |
Stride, Inc. 1.125% 9/1/27 | 2,000,000 | 5,138,875 | (86,736) | (0.13) | Convertible Corporate Bond | |
Topgolf Callaway Brands Corp. 2.75% 5/1/26 | 3,000,000 | 3,101,625 | (114,149) | (0.18) | Convertible Corporate Bond | |
TransMedics Group, Inc. 1.5% 6/1/28 | 3,500,000 | 4,165,000 | 138,334 | 0.21 | Convertible Corporate Bond | |
Travere Therapeutics, Inc. 2.25% 3/1/29 | 1,500,000 | 1,011,562 | (2,394) | 0.00 | Convertible Corporate Bond | |
Vishay Intertechnology, Inc. 2.25% 9/15/30 | 3,000,000 | 2,844,262 | (31,050) | (0.05) | Convertible Corporate Bond | |
Wayfair LLC 1% 8/15/26 | 1,500,000 | 1,296,916 | 6,673 | 0.01 | Convertible Corporate Bond | |
Western Digital Corp. 3% 11/15/28 | 1,500,000 | 1,956,499 | 109,429 | 0.17 | Convertible Corporate Bond | |
Workiva, Inc. 1.125% 8/15/26 | 1,000,000 | 1,293,687 | (35,547) | (0.05) | Convertible Corporate Bond | |
Ziff Davis, Inc. 1.75% 11/1/26 | 5,000,000 | 4,734,375 | 7,680 | 0.01 | Convertible Corporate Bond | |
Zillow Group, Inc. 0.75% 9/1/24 | 4,000,000 | 5,394,478 | 373,472 | 0.57 | Convertible Corporate Bond | |
Zscaler, Inc. 0.125% 7/1/25 | 2,808,000 | 4,488,880 | 46,875 | 0.07 | Convertible Corporate Bond |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $11,809,550 or 7.7% of net assets. |
(c) | 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 $109,323. |
(d) | Security or a portion of the security has been segregated as collateral for open bi-lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $29,946,593. |
(e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | 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 5.39% | - | 166,060,864 | 160,950,770 | 180,318 | - | - | 5,110,094 | 0.0% |
Total | - | 166,060,864 | 160,950,770 | 180,318 | - | - | 5,110,094 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Corporate Bonds | 48,517,548 | - | 48,517,548 | - |
U.S. Government and Government Agency Obligations | 99,631,283 | - | 99,631,283 | - |
Money Market Funds | 5,110,094 | 5,110,094 | - | - |
Total Investments in Securities: | 153,258,925 | 5,110,094 | 148,148,831 | - |
Derivative Instruments: Liabilities | ||||
Futures Contracts | (147,114) | (147,114) | - | - |
Swaps | (877,359) | - | (877,359) | - |
Total Liabilities | (1,024,473) | (147,114) | (877,359) | - |
Total Derivative Instruments: | (1,024,473) | (147,114) | (877,359) | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Interest Rate Risk | ||
Futures Contracts (a) | 0 | (147,114) |
Total Interest Rate Risk | 0 | (147,114) |
Equity Risk | ||
Swaps (b) | 0 | (877,359) |
Total Equity Risk | 0 | (877,359) |
Total Value of Derivatives | 0 | (1,024,473) |
Statement of Assets and Liabilities | ||||
January 31, 2024 | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $145,371,326) | $ | 148,148,831 | ||
Fidelity Central Funds (cost $5,110,094) | 5,110,094 | |||
Total Investment in Securities (cost $150,481,420) | $ | 153,258,925 | ||
Cash | 11,696 | |||
Receivable for investments sold | 273,000 | |||
Interest receivable | 287,655 | |||
Distributions receivable from Fidelity Central Funds | 17,752 | |||
Prepaid expenses | 24,521 | |||
Receivable from investment adviser for expense reductions | 18,469 | |||
Total assets | 153,892,018 | |||
Liabilities | ||||
Payable for investments purchased | $ | 260,000 | ||
Bi-lateral OTC swaps, at value | 877,359 | |||
Accrued management fee | 177,371 | |||
Payable for daily variation margin on futures contracts | 39,008 | |||
Other affiliated payables | 3,562 | |||
Audit fee payable | 79,509 | |||
Other payables and accrued expenses | 23,235 | |||
Total Liabilities | 1,460,044 | |||
Net Assets | $ | 152,431,974 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 150,608,601 | ||
Total accumulated earnings (loss) | 1,823,373 | |||
Net Assets | $ | 152,431,974 | ||
Net Asset Value, offering price and redemption price per share ($152,431,974 ÷ 15,030,651 shares) | $ | 10.14 |
Statement of Operations | ||||
For the period September 12, 2023 (commencement of operations) through January 31, 2024 | ||||
Investment Income | ||||
Interest | $ | 1,835,703 | ||
Income from Fidelity Central Funds | 180,318 | |||
Total Income | 2,016,021 | |||
Expenses | ||||
Management fee | $ | 587,466 | ||
Custodian fees and expenses | 1,007 | |||
Independent trustees' fees and expenses | 12,562 | |||
Registration fees | 34,291 | |||
Audit | 84,177 | |||
Legal | 1,460 | |||
Miscellaneous | 2,747 | |||
Total expenses before reductions | 723,710 | |||
Expense reductions | (123,120) | |||
Total expenses after reductions | 600,590 | |||
Net Investment income (loss) | 1,415,431 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 1,119,344 | |||
Futures contracts | 879 | |||
Swaps | (1,850,993) | |||
Total net realized gain (loss) | (730,770) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 2,777,505 | |||
Futures contracts | (147,114) | |||
Swaps | (877,359) | |||
Total change in net unrealized appreciation (depreciation) | 1,753,032 | |||
Net gain (loss) | 1,022,262 | |||
Net increase (decrease) in net assets resulting from operations | $ | 2,437,693 |
Statement of Changes in Net Assets | ||
For the period September 12, 2023 (commencement of operations) through January 31, 2024 | ||
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ | 1,415,431 |
Net realized gain (loss) | (730,770) | |
Change in net unrealized appreciation (depreciation) | 1,753,032 | |
Net increase (decrease) in net assets resulting from operations | 2,437,693 | |
Distributions to shareholders | (614,320) | |
Share transactions | ||
Proceeds from sales of shares | 155,010,150 | |
Reinvestment of distributions | 614,320 | |
Cost of shares redeemed | (5,015,869) | |
Net increase (decrease) in net assets resulting from share transactions | 150,608,601 | |
Total increase (decrease) in net assets | 152,431,974 | |
Net Assets | ||
Beginning of period | - | |
End of period | $ | 152,431,974 |
Other Information | ||
Shares | ||
Sold | 15,469,713 | |
Issued in reinvestment of distributions | 60,955 | |
Redeemed | (500,017) | |
Net increase (decrease) | 15,030,651 | |
Fidelity® SAI Convertible Arbitrage Fund |
Years ended January 31, | 2024 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .13 | |
Net realized and unrealized gain (loss) | .05 | |
Total from investment operations | .18 | |
Distributions from net investment income | (.04) | |
Distributions from net realized gain | (.01) | |
Total distributions | (.04) D | |
Net asset value, end of period | $ | 10.14 |
Total Return E,F | 1.81% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | 1.61% I,J | |
Expenses net of fee waivers, if any | 1.45% J | |
Expenses net of all reductions | 1.45% J | |
Net investment income (loss) | 3.39% J | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 152,432 |
Portfolio turnover rate K | 71% L |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $1,507,825 |
Gross unrealized depreciation | (1,507,825) |
Net unrealized appreciation (depreciation) | $- |
Tax Cost | $153,258,925 |
Undistributed ordinary income | $1,823,372 |
January 31, 2024A | |
Ordinary Income | $569,411 |
Long-term Capital Gains | 44,909 |
Total | $614,320 |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity SAI Convertible Arbitrage Fund | ||
Equity Risk | ||
Swaps | (1,850,993) | (877,359) |
Total Equity Risk | (1,850,993) | (877,359) |
Interest Rate Risk | ||
Futures Contracts | 879 | (147,114) |
Total Interest Rate Risk | 879 | (147,114) |
Totals | (1,850,114) | (1,024,473) |
Purchases ($) | Sales ($) | |
Fidelity SAI Convertible Arbitrage Fund | 55,320,697 | 19,896,537 |
Strategic Advisers Alternatives Fund | |
Fidelity SAI Convertible Arbitrage Fund | 99% |
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 12, 2023 to January 31, 2024). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2023 to January 31, 2024). |
Annualized Expense Ratio- A | Beginning Account Value | Ending Account Value January 31, 2024 | Expenses Paid During Period | |||||||
Fidelity® SAI Convertible Arbitrage Fund | 1.45% | |||||||||
Actual | $ 1,000 | $ 1,018.10 | $ 5.69C | |||||||
Hypothetical-B | $ 1,000 | $ 1,017.90 | $ 7.38D | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Item 2.
Code of Ethics
As of the end of the period, January 31, 2024, Fidelity Greenwood Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Jennifer M. Birmingham is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Birmingham is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Hedged Equity Fund, Fidelity Macro Opportunities Fund, Fidelity Risk Parity Fund, and Fidelity SAI Convertible Arbitrage Fund (the “Funds”):
Services Billed by Deloitte Entities
January 31, 2024 FeesA,B
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Hedged Equity Fund | $56,000 | $- | $9,700 | $2,200 |
Fidelity Macro Opportunities Fund | $84,500 | $- | $9,300 | $3,500 |
Fidelity Risk Parity Fund | $84,500 | $- | $9,300 | $3,500 |
Fidelity SAI Convertible Arbitrage Fund | $74,400 | $- | $9,300 | $800 |
January 31, 2023 FeesA,B,C
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Hedged Equity Fund | $44,500 | $- | $9,700 | $300 |
Fidelity Macro Opportunities Fund | $74,400 | $- | $9,300 | $500 |
Fidelity Risk Parity Fund | $76,300 | $- | $9,300 | $500 |
Fidelity SAI Convertible Arbitrage Fund | $- | $- | $- | $- |
A Amounts may reflect rounding.
B Fidelity SAI Convertible Arbitrage Fund commenced operations on September 12, 2023.
C Fidelity Macro Opportunities Fund and Fidelity Risk Parity Fund commenced operations on July 7, 2022. Fidelity Hedged Equity Fund commenced operations on September 1, 2022.
The following table(s) present(s) fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Diversifying Solutions LLC ("FDS") and entities controlling, controlled by, or under common control with FDS (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
January 31, 2024A,B | January 31, 2023A,B,C | |
Audit-Related Fees | $- | $- |
Tax Fees | $- | $- |
All Other Fees | $935,000 | $- |
A Amounts may reflect rounding.
B May include amounts billed prior to the Fidelity SAI Convertible Arbitrage Fund’s commencement of operations.
C May include amounts billed prior to the Fidelity Hedged Equity Fund, Fidelity Macro Opportunities Fund, and Fidelity Risk Parity Funds’ commencement of operations.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the
operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund(s), FDS (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | January 31, 2024A,B | January 31, 2023A,B,C |
Deloitte Entities | $1,237,600 | $272,200 |
A Amounts may reflect rounding.
B May include amounts billed prior to the Fidelity SAI Convertible Arbitrage Fund’s commencement of operations.
C May include amounts billed prior to the Fidelity Hedged Equity Fund, Fidelity Macro Opportunities Fund, and Fidelity Risk Parity Funds’ commencement of operations.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FDS’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the
operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the “PCAOB”) has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.
The Registrant is not a “foreign issuer,” as defined in 17 CFR 240.3b-4.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 18.
Recovery of Erroneously Awarded Compensation
(a)
Not applicable.
(b)
Not applicable.
Item 19.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Greenwood Street Trust
By: | /s/Heather Bonner |
Heather Bonner | |
President and Treasurer | |
Date: | March 21, 2024 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Heather Bonner |
Heather Bonner | |
President and Treasurer | |
Date: | March 21, 2024 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | March 21, 2024 |