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, MA 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: | July 31, 2024 |
Item 1.
Reports to Stockholders
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Hedged Equity Fund Fidelity Advisor® Hedged Equity Fund Class I : FEQJX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class I | $ 29 | 0.55% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $244,353,561 | |
| Number of Holdings | 423 | |
| Portfolio Turnover | 28% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Options | 1.2 | |
| |
| Common Stocks | 97.3 |
| Domestic Equity Funds | 1.0 |
| Options | 1.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Apple Inc | 7.0 | |
| Microsoft Corp | 6.8 | |
| NVIDIA Corp | 6.3 | |
| Alphabet Inc Class A | 4.1 | |
| Amazon.com Inc | 3.8 | |
| Meta Platforms Inc Class A | 2.3 | |
| Berkshire Hathaway Inc Class B | 2.1 | |
| Broadcom Inc | 1.7 | |
| JPMorgan Chase & Co | 1.7 | |
| Eli Lilly & Co | 1.6 | |
| | 37.4 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914476.100 6879-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Equity Market Neutral Fund Fidelity® Equity Market Neutral Fund : FEMNX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period June 25, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
Fidelity® Equity Market Neutral Fund A | $ 11 | 1.10% | |
AExpenses for the full reporting period would be higher.
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,005,423 | |
| Number of Holdings | 213 | |
Portfolio TurnoverA | 0% | |
A Amount not annualized
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Swaps | 143.3 | |
| Forward Foreign Currency Contracts | 57.0 | |
| |
| Common Stocks | 27.1 |
| Swaps | 47.8 |
| Forward Foreign Currency Contracts | 19.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.1 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Coca-Cola Co/The | 2.4 | |
| FedEx Corp | 2.2 | |
| JPMorgan Chase & Co | 2.2 | |
| Expedia Group Inc Class A | 2.1 | |
| Schindler Holding AG | 2.1 | |
| Apollo Global Management Inc | 2.1 | |
| Nickel Industries Ltd | 2.1 | |
| Taiwan Semiconductor Manufacturing Co Ltd | 2.0 | |
| Taiyo Yuden Co Ltd | 2.0 | |
| T-Mobile US Inc | 2.0 | |
| | 21.2 | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916840.100 7601-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Macro Opportunities Fund Fidelity Advisor® Macro Opportunities Fund Class I : FAQEX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Macro Opportunities Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class I | $ 40 | 0.80% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,355,932 | |
| Number of Holdings | 29 | |
| Portfolio Turnover | 122% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 280.9 | |
| Swaps | 41.0 | |
| Forward Foreign Currency Contracts | 23.5 | |
| Options | 0.4 | |
| |
| Domestic Equity Funds | 3.2 |
| Common Stocks | 1.7 |
| International Equity Funds | 0.9 |
| Futures Contracts | 63.1 |
| Swaps | 9.2 |
| Forward Foreign Currency Contracts | 5.3 |
| Options | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 16.6 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Bill | 9.3 | |
| SPDR Gold Shares | 8.5 | |
| iShares Russell 2000 ETF | 5.9 | |
| iPath Bloomberg Commodity Index Total Return ETN (Barclays Bank Plc Warrant Program) 6/12/2036 | 4.9 | |
| iShares MSCI EAFE ETF | 4.0 | |
| Vanguard Health Care Index Fund ETF Shares | 1.3 | |
| Vanguard Consumer Staples Index Fund ETF Shares | 1.3 | |
| | 35.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914462.100 6523-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Equity Market Neutral Fund Fidelity Advisor® Equity Market Neutral Fund Class I : FEMUX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period June 25, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
Class I A | $ 11 | 1.10% | |
AExpenses for the full reporting period would be higher.
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,005,423 | |
| Number of Holdings | 213 | |
Portfolio TurnoverA | 0% | |
A Amount not annualized
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Swaps | 143.3 | |
| Forward Foreign Currency Contracts | 57.0 | |
| |
| Common Stocks | 27.1 |
| Swaps | 47.8 |
| Forward Foreign Currency Contracts | 19.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.1 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Coca-Cola Co/The | 2.4 | |
| FedEx Corp | 2.2 | |
| JPMorgan Chase & Co | 2.2 | |
| Expedia Group Inc Class A | 2.1 | |
| Schindler Holding AG | 2.1 | |
| Apollo Global Management Inc | 2.1 | |
| Nickel Industries Ltd | 2.1 | |
| Taiwan Semiconductor Manufacturing Co Ltd | 2.0 | |
| Taiyo Yuden Co Ltd | 2.0 | |
| T-Mobile US Inc | 2.0 | |
| | 21.2 | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916848.100 7622-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Risk Parity Fund Fidelity Advisor® Risk Parity Fund Class A : FAPUX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class A | $ 44 | 0.85% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $8,016,521 | |
| Number of Holdings | 25 | |
| Portfolio Turnover | 114% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 12.0 | |
| Swaps | 40.4 | |
| |
| Fixed-Income Funds | 31.0 |
| Domestic Equity Funds | 22.7 |
| International Equity Funds | 5.4 |
| Futures Contracts | 7.8 |
| Swaps | 26.6 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Fidelity Inflation-Protected Bond Index Fund | 27.7 | |
| iShares US Treasury Bond ETF | 9.3 | |
| Fidelity Commodity Strategy Fund | 9.2 | |
| Fidelity Total Market Index Fund | 8.7 | |
| Fidelity Small Cap Value Index Fund | 8.0 | |
| Fidelity International Index Fund | 6.8 | |
| iShares J.P. Morgan EM Local Currency Bond ETF | 6.6 | |
| Fidelity Small Cap Index Fund | 5.3 | |
| US Treasury Bill | 4.3 | |
| Fidelity Real Estate Index Fund | 3.3 | |
| | 89.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914453.100 6514-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Macro Opportunities Fund Fidelity Advisor® Macro Opportunities Fund Class C : FAQCX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Macro Opportunities Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class C | $ 89 | 1.80% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,355,932 | |
| Number of Holdings | 29 | |
| Portfolio Turnover | 122% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 280.9 | |
| Swaps | 41.0 | |
| Forward Foreign Currency Contracts | 23.5 | |
| Options | 0.4 | |
| |
| Domestic Equity Funds | 3.2 |
| Common Stocks | 1.7 |
| International Equity Funds | 0.9 |
| Futures Contracts | 63.1 |
| Swaps | 9.2 |
| Forward Foreign Currency Contracts | 5.3 |
| Options | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 16.6 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Bill | 9.3 | |
| SPDR Gold Shares | 8.5 | |
| iShares Russell 2000 ETF | 5.9 | |
| iPath Bloomberg Commodity Index Total Return ETN (Barclays Bank Plc Warrant Program) 6/12/2036 | 4.9 | |
| iShares MSCI EAFE ETF | 4.0 | |
| Vanguard Health Care Index Fund ETF Shares | 1.3 | |
| Vanguard Consumer Staples Index Fund ETF Shares | 1.3 | |
| | 35.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914460.100 6521-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Hedged Equity Fund Fidelity Advisor® Hedged Equity Fund Class Z : FEQZX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class Z | $ 26 | 0.50% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $244,353,561 | |
| Number of Holdings | 423 | |
| Portfolio Turnover | 28% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Options | 1.2 | |
| |
| Common Stocks | 97.3 |
| Domestic Equity Funds | 1.0 |
| Options | 1.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Apple Inc | 7.0 | |
| Microsoft Corp | 6.8 | |
| NVIDIA Corp | 6.3 | |
| Alphabet Inc Class A | 4.1 | |
| Amazon.com Inc | 3.8 | |
| Meta Platforms Inc Class A | 2.3 | |
| Berkshire Hathaway Inc Class B | 2.1 | |
| Broadcom Inc | 1.7 | |
| JPMorgan Chase & Co | 1.7 | |
| Eli Lilly & Co | 1.6 | |
| | 37.4 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914477.100 6880-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Hedged Equity Fund Fidelity Advisor® Hedged Equity Fund Class M : FEQNX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class M | $ 55 | 1.05% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $244,353,561 | |
| Number of Holdings | 423 | |
| Portfolio Turnover | 28% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Options | 1.2 | |
| |
| Common Stocks | 97.3 |
| Domestic Equity Funds | 1.0 |
| Options | 1.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Apple Inc | 7.0 | |
| Microsoft Corp | 6.8 | |
| NVIDIA Corp | 6.3 | |
| Alphabet Inc Class A | 4.1 | |
| Amazon.com Inc | 3.8 | |
| Meta Platforms Inc Class A | 2.3 | |
| Berkshire Hathaway Inc Class B | 2.1 | |
| Broadcom Inc | 1.7 | |
| JPMorgan Chase & Co | 1.7 | |
| Eli Lilly & Co | 1.6 | |
| | 37.4 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914475.100 6878-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Hedged Equity Fund Fidelity Advisor® Hedged Equity Fund Class A : FEQAX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class A | $ 42 | 0.80% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $244,353,561 | |
| Number of Holdings | 423 | |
| Portfolio Turnover | 28% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Options | 1.2 | |
| |
| Common Stocks | 97.3 |
| Domestic Equity Funds | 1.0 |
| Options | 1.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Apple Inc | 7.0 | |
| Microsoft Corp | 6.8 | |
| NVIDIA Corp | 6.3 | |
| Alphabet Inc Class A | 4.1 | |
| Amazon.com Inc | 3.8 | |
| Meta Platforms Inc Class A | 2.3 | |
| Berkshire Hathaway Inc Class B | 2.1 | |
| Broadcom Inc | 1.7 | |
| JPMorgan Chase & Co | 1.7 | |
| Eli Lilly & Co | 1.6 | |
| | 37.4 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914473.100 6876-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Risk Parity Fund Fidelity Advisor® Risk Parity Fund Class M : FAPWX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class M | $ 57 | 1.10% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $8,016,521 | |
| Number of Holdings | 25 | |
| Portfolio Turnover | 114% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 12.0 | |
| Swaps | 40.4 | |
| |
| Fixed-Income Funds | 31.0 |
| Domestic Equity Funds | 22.7 |
| International Equity Funds | 5.4 |
| Futures Contracts | 7.8 |
| Swaps | 26.6 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Fidelity Inflation-Protected Bond Index Fund | 27.7 | |
| iShares US Treasury Bond ETF | 9.3 | |
| Fidelity Commodity Strategy Fund | 9.2 | |
| Fidelity Total Market Index Fund | 8.7 | |
| Fidelity Small Cap Value Index Fund | 8.0 | |
| Fidelity International Index Fund | 6.8 | |
| iShares J.P. Morgan EM Local Currency Bond ETF | 6.6 | |
| Fidelity Small Cap Index Fund | 5.3 | |
| US Treasury Bill | 4.3 | |
| Fidelity Real Estate Index Fund | 3.3 | |
| | 89.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914455.100 6516-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Equity Market Neutral Fund Fidelity Advisor® Equity Market Neutral Fund Class C : FEMQX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period June 25, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
Class C A | $ 21 | 2.10% | |
AExpenses for the full reporting period would be higher.
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,005,423 | |
| Number of Holdings | 213 | |
Portfolio TurnoverA | 0% | |
A Amount not annualized
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Swaps | 143.3 | |
| Forward Foreign Currency Contracts | 57.0 | |
| |
| Common Stocks | 27.1 |
| Swaps | 47.8 |
| Forward Foreign Currency Contracts | 19.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.1 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Coca-Cola Co/The | 2.4 | |
| FedEx Corp | 2.2 | |
| JPMorgan Chase & Co | 2.2 | |
| Expedia Group Inc Class A | 2.1 | |
| Schindler Holding AG | 2.1 | |
| Apollo Global Management Inc | 2.1 | |
| Nickel Industries Ltd | 2.1 | |
| Taiwan Semiconductor Manufacturing Co Ltd | 2.0 | |
| Taiyo Yuden Co Ltd | 2.0 | |
| T-Mobile US Inc | 2.0 | |
| | 21.2 | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916846.100 7621-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Equity Market Neutral Fund Fidelity Advisor® Equity Market Neutral Fund Class M : FEMOX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period June 25, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
Class M A | $ 16 | 1.60% | |
AExpenses for the full reporting period would be higher.
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,005,423 | |
| Number of Holdings | 213 | |
Portfolio TurnoverA | 0% | |
A Amount not annualized
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Swaps | 143.3 | |
| Forward Foreign Currency Contracts | 57.0 | |
| |
| Common Stocks | 27.1 |
| Swaps | 47.8 |
| Forward Foreign Currency Contracts | 19.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.1 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Coca-Cola Co/The | 2.4 | |
| FedEx Corp | 2.2 | |
| JPMorgan Chase & Co | 2.2 | |
| Expedia Group Inc Class A | 2.1 | |
| Schindler Holding AG | 2.1 | |
| Apollo Global Management Inc | 2.1 | |
| Nickel Industries Ltd | 2.1 | |
| Taiwan Semiconductor Manufacturing Co Ltd | 2.0 | |
| Taiyo Yuden Co Ltd | 2.0 | |
| T-Mobile US Inc | 2.0 | |
| | 21.2 | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916844.100 7620-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Macro Opportunities Fund Fidelity® Macro Opportunities Fund : FAQAX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Macro Opportunities Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Macro Opportunities Fund | $ 40 | 0.80% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,355,932 | |
| Number of Holdings | 29 | |
| Portfolio Turnover | 122% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 280.9 | |
| Swaps | 41.0 | |
| Forward Foreign Currency Contracts | 23.5 | |
| Options | 0.4 | |
| |
| Domestic Equity Funds | 3.2 |
| Common Stocks | 1.7 |
| International Equity Funds | 0.9 |
| Futures Contracts | 63.1 |
| Swaps | 9.2 |
| Forward Foreign Currency Contracts | 5.3 |
| Options | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 16.6 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Bill | 9.3 | |
| SPDR Gold Shares | 8.5 | |
| iShares Russell 2000 ETF | 5.9 | |
| iPath Bloomberg Commodity Index Total Return ETN (Barclays Bank Plc Warrant Program) 6/12/2036 | 4.9 | |
| iShares MSCI EAFE ETF | 4.0 | |
| Vanguard Health Care Index Fund ETF Shares | 1.3 | |
| Vanguard Consumer Staples Index Fund ETF Shares | 1.3 | |
| | 35.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914458.100 6519-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Macro Opportunities Fund Fidelity Advisor® Macro Opportunities Fund Class Z : FAQFX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Macro Opportunities Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class Z | $ 37 | 0.75% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,355,932 | |
| Number of Holdings | 29 | |
| Portfolio Turnover | 122% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 280.9 | |
| Swaps | 41.0 | |
| Forward Foreign Currency Contracts | 23.5 | |
| Options | 0.4 | |
| |
| Domestic Equity Funds | 3.2 |
| Common Stocks | 1.7 |
| International Equity Funds | 0.9 |
| Futures Contracts | 63.1 |
| Swaps | 9.2 |
| Forward Foreign Currency Contracts | 5.3 |
| Options | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 16.6 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Bill | 9.3 | |
| SPDR Gold Shares | 8.5 | |
| iShares Russell 2000 ETF | 5.9 | |
| iPath Bloomberg Commodity Index Total Return ETN (Barclays Bank Plc Warrant Program) 6/12/2036 | 4.9 | |
| iShares MSCI EAFE ETF | 4.0 | |
| Vanguard Health Care Index Fund ETF Shares | 1.3 | |
| Vanguard Consumer Staples Index Fund ETF Shares | 1.3 | |
| | 35.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914463.100 6524-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Hedged Equity Fund Fidelity Advisor® Hedged Equity Fund Class C : FEQDX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class C | $ 81 | 1.55% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $244,353,561 | |
| Number of Holdings | 423 | |
| Portfolio Turnover | 28% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Options | 1.2 | |
| |
| Common Stocks | 97.3 |
| Domestic Equity Funds | 1.0 |
| Options | 1.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Apple Inc | 7.0 | |
| Microsoft Corp | 6.8 | |
| NVIDIA Corp | 6.3 | |
| Alphabet Inc Class A | 4.1 | |
| Amazon.com Inc | 3.8 | |
| Meta Platforms Inc Class A | 2.3 | |
| Berkshire Hathaway Inc Class B | 2.1 | |
| Broadcom Inc | 1.7 | |
| JPMorgan Chase & Co | 1.7 | |
| Eli Lilly & Co | 1.6 | |
| | 37.4 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914474.100 6877-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Risk Parity Fund Fidelity Advisor® Risk Parity Fund Class I : FAPYX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class I | $ 31 | 0.60% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $8,016,521 | |
| Number of Holdings | 25 | |
| Portfolio Turnover | 114% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 12.0 | |
| Swaps | 40.4 | |
| |
| Fixed-Income Funds | 31.0 |
| Domestic Equity Funds | 22.7 |
| International Equity Funds | 5.4 |
| Futures Contracts | 7.8 |
| Swaps | 26.6 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Fidelity Inflation-Protected Bond Index Fund | 27.7 | |
| iShares US Treasury Bond ETF | 9.3 | |
| Fidelity Commodity Strategy Fund | 9.2 | |
| Fidelity Total Market Index Fund | 8.7 | |
| Fidelity Small Cap Value Index Fund | 8.0 | |
| Fidelity International Index Fund | 6.8 | |
| iShares J.P. Morgan EM Local Currency Bond ETF | 6.6 | |
| Fidelity Small Cap Index Fund | 5.3 | |
| US Treasury Bill | 4.3 | |
| Fidelity Real Estate Index Fund | 3.3 | |
| | 89.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914456.100 6517-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Macro Opportunities Fund Fidelity Advisor® Macro Opportunities Fund Class A : FAQBX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Macro Opportunities Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class A | $ 52 | 1.05% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,355,932 | |
| Number of Holdings | 29 | |
| Portfolio Turnover | 122% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 280.9 | |
| Swaps | 41.0 | |
| Forward Foreign Currency Contracts | 23.5 | |
| Options | 0.4 | |
| |
| Domestic Equity Funds | 3.2 |
| Common Stocks | 1.7 |
| International Equity Funds | 0.9 |
| Futures Contracts | 63.1 |
| Swaps | 9.2 |
| Forward Foreign Currency Contracts | 5.3 |
| Options | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 16.6 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Bill | 9.3 | |
| SPDR Gold Shares | 8.5 | |
| iShares Russell 2000 ETF | 5.9 | |
| iPath Bloomberg Commodity Index Total Return ETN (Barclays Bank Plc Warrant Program) 6/12/2036 | 4.9 | |
| iShares MSCI EAFE ETF | 4.0 | |
| Vanguard Health Care Index Fund ETF Shares | 1.3 | |
| Vanguard Consumer Staples Index Fund ETF Shares | 1.3 | |
| | 35.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914459.100 6520-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Risk Parity Fund Fidelity® Risk Parity Fund : FAPSX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Risk Parity Fund | $ 31 | 0.60% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $8,016,521 | |
| Number of Holdings | 25 | |
| Portfolio Turnover | 114% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 12.0 | |
| Swaps | 40.4 | |
| |
| Fixed-Income Funds | 31.0 |
| Domestic Equity Funds | 22.7 |
| International Equity Funds | 5.4 |
| Futures Contracts | 7.8 |
| Swaps | 26.6 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Fidelity Inflation-Protected Bond Index Fund | 27.7 | |
| iShares US Treasury Bond ETF | 9.3 | |
| Fidelity Commodity Strategy Fund | 9.2 | |
| Fidelity Total Market Index Fund | 8.7 | |
| Fidelity Small Cap Value Index Fund | 8.0 | |
| Fidelity International Index Fund | 6.8 | |
| iShares J.P. Morgan EM Local Currency Bond ETF | 6.6 | |
| Fidelity Small Cap Index Fund | 5.3 | |
| US Treasury Bill | 4.3 | |
| Fidelity Real Estate Index Fund | 3.3 | |
| | 89.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914452.100 6513-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Risk Parity Fund Fidelity Advisor® Risk Parity Fund Class Z : FAPZX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class Z | $ 28 | 0.55% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $8,016,521 | |
| Number of Holdings | 25 | |
| Portfolio Turnover | 114% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 12.0 | |
| Swaps | 40.4 | |
| |
| Fixed-Income Funds | 31.0 |
| Domestic Equity Funds | 22.7 |
| International Equity Funds | 5.4 |
| Futures Contracts | 7.8 |
| Swaps | 26.6 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Fidelity Inflation-Protected Bond Index Fund | 27.7 | |
| iShares US Treasury Bond ETF | 9.3 | |
| Fidelity Commodity Strategy Fund | 9.2 | |
| Fidelity Total Market Index Fund | 8.7 | |
| Fidelity Small Cap Value Index Fund | 8.0 | |
| Fidelity International Index Fund | 6.8 | |
| iShares J.P. Morgan EM Local Currency Bond ETF | 6.6 | |
| Fidelity Small Cap Index Fund | 5.3 | |
| US Treasury Bill | 4.3 | |
| Fidelity Real Estate Index Fund | 3.3 | |
| | 89.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914457.100 6518-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Risk Parity Fund Fidelity Advisor® Risk Parity Fund Class C : FAPVX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class C | $ 83 | 1.60% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $8,016,521 | |
| Number of Holdings | 25 | |
| Portfolio Turnover | 114% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 12.0 | |
| Swaps | 40.4 | |
| |
| Fixed-Income Funds | 31.0 |
| Domestic Equity Funds | 22.7 |
| International Equity Funds | 5.4 |
| Futures Contracts | 7.8 |
| Swaps | 26.6 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Fidelity Inflation-Protected Bond Index Fund | 27.7 | |
| iShares US Treasury Bond ETF | 9.3 | |
| Fidelity Commodity Strategy Fund | 9.2 | |
| Fidelity Total Market Index Fund | 8.7 | |
| Fidelity Small Cap Value Index Fund | 8.0 | |
| Fidelity International Index Fund | 6.8 | |
| iShares J.P. Morgan EM Local Currency Bond ETF | 6.6 | |
| Fidelity Small Cap Index Fund | 5.3 | |
| US Treasury Bill | 4.3 | |
| Fidelity Real Estate Index Fund | 3.3 | |
| | 89.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914454.100 6515-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Equity Market Neutral Fund Fidelity Advisor® Equity Market Neutral Fund Class A : FEMLX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period June 25, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
Class A A | $ 14 | 1.35% | |
AExpenses for the full reporting period would be higher.
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,005,423 | |
| Number of Holdings | 213 | |
Portfolio TurnoverA | 0% | |
A Amount not annualized
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Swaps | 143.3 | |
| Forward Foreign Currency Contracts | 57.0 | |
| |
| Common Stocks | 27.1 |
| Swaps | 47.8 |
| Forward Foreign Currency Contracts | 19.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.1 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Coca-Cola Co/The | 2.4 | |
| FedEx Corp | 2.2 | |
| JPMorgan Chase & Co | 2.2 | |
| Expedia Group Inc Class A | 2.1 | |
| Schindler Holding AG | 2.1 | |
| Apollo Global Management Inc | 2.1 | |
| Nickel Industries Ltd | 2.1 | |
| Taiwan Semiconductor Manufacturing Co Ltd | 2.0 | |
| Taiyo Yuden Co Ltd | 2.0 | |
| T-Mobile US Inc | 2.0 | |
| | 21.2 | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916842.100 7619-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® SAI Convertible Arbitrage Fund Fidelity® SAI Convertible Arbitrage Fund : FSAWX |
| | | |
This semi-annual shareholder report contains information about Fidelity® SAI Convertible Arbitrage Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® SAI Convertible Arbitrage Fund | $ 74 | 1.45% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $236,646,750 | |
| Number of Holdings | 26 | |
| Portfolio Turnover | 741% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 21.2 | |
| Swaps | 316.6 | |
| |
| U.S. Treasury Obligations | 12.8 |
| Corporate Bonds | 7.6 |
| Domestic Equity Funds | 1.0 |
| International Equity Funds | 1.0 |
| Futures Contracts | 4.9 |
| Swaps | 72.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Bill | 56.3 | |
| Granite Construction Inc | 7.1 | |
| SPDR S&P 500 ETF Trust | 4.6 | |
| iShares MSCI ACWI ETF | 4.3 | |
| Lantheus Holdings Inc | 4.1 | |
| Royal Caribbean Cruises Ltd | 4.0 | |
| Insmed Inc | 3.6 | |
| BlackLine Inc | 3.0 | |
| Enovis Corp | 1.8 | |
| Advanced Energy Industries Inc | 1.6 | |
| | 90.4 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914486.100 7521-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Macro Opportunities Fund Fidelity Advisor® Macro Opportunities Fund Class M : FAQDX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Macro Opportunities Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Class M | $ 64 | 1.30% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,355,932 | |
| Number of Holdings | 29 | |
| Portfolio Turnover | 122% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Futures Contracts | 280.9 | |
| Swaps | 41.0 | |
| Forward Foreign Currency Contracts | 23.5 | |
| Options | 0.4 | |
| |
| Domestic Equity Funds | 3.2 |
| Common Stocks | 1.7 |
| International Equity Funds | 0.9 |
| Futures Contracts | 63.1 |
| Swaps | 9.2 |
| Forward Foreign Currency Contracts | 5.3 |
| Options | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 16.6 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| US Treasury Bill | 9.3 | |
| SPDR Gold Shares | 8.5 | |
| iShares Russell 2000 ETF | 5.9 | |
| iPath Bloomberg Commodity Index Total Return ETN (Barclays Bank Plc Warrant Program) 6/12/2036 | 4.9 | |
| iShares MSCI EAFE ETF | 4.0 | |
| Vanguard Health Care Index Fund ETF Shares | 1.3 | |
| Vanguard Consumer Staples Index Fund ETF Shares | 1.3 | |
| | 35.2 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914461.100 6522-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Equity Market Neutral Fund Fidelity Advisor® Equity Market Neutral Fund Class Z : FEMWX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period June 25, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
Class Z A | $ 11 | 1.05% | |
AExpenses for the full reporting period would be higher.
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $10,005,423 | |
| Number of Holdings | 213 | |
Portfolio TurnoverA | 0% | |
A Amount not annualized
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Swaps | 143.3 | |
| Forward Foreign Currency Contracts | 57.0 | |
| |
| Common Stocks | 27.1 |
| Swaps | 47.8 |
| Forward Foreign Currency Contracts | 19.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.1 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Coca-Cola Co/The | 2.4 | |
| FedEx Corp | 2.2 | |
| JPMorgan Chase & Co | 2.2 | |
| Expedia Group Inc Class A | 2.1 | |
| Schindler Holding AG | 2.1 | |
| Apollo Global Management Inc | 2.1 | |
| Nickel Industries Ltd | 2.1 | |
| Taiwan Semiconductor Manufacturing Co Ltd | 2.0 | |
| Taiyo Yuden Co Ltd | 2.0 | |
| T-Mobile US Inc | 2.0 | |
| | 21.2 | |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916850.100 7623-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Hedged Equity Fund Fidelity® Hedged Equity Fund : FEQHX |
| | | |
This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
| Fidelity® Hedged Equity Fund | $ 29 | 0.55% | |
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $244,353,561 | |
| Number of Holdings | 423 | |
| Portfolio Turnover | 28% | |
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Options | 1.2 | |
| |
| Common Stocks | 97.3 |
| Domestic Equity Funds | 1.0 |
| Options | 1.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Apple Inc | 7.0 | |
| Microsoft Corp | 6.8 | |
| NVIDIA Corp | 6.3 | |
| Alphabet Inc Class A | 4.1 | |
| Amazon.com Inc | 3.8 | |
| Meta Platforms Inc Class A | 2.3 | |
| Berkshire Hathaway Inc Class B | 2.1 | |
| Broadcom Inc | 1.7 | |
| JPMorgan Chase & Co | 1.7 | |
| Eli Lilly & Co | 1.6 | |
| | 37.4 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9914472.100 6875-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Yield Enhanced Equity ETF Fidelity® Yield Enhanced Equity ETF : FYEE Principal U.S. Listing Exchange :CboeBZX Cboe BZX Exchange, Inc. |
| | | |
This semi-annual shareholder report contains information about Fidelity® Yield Enhanced Equity ETF for the period April 9, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
Fidelity® Yield Enhanced Equity ETF A | $ 9 | 0.28% | |
A Expenses for the full reporting period would be higher.
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $5,771,425 | |
| Number of Holdings | 180 | |
Portfolio TurnoverA | 36% | |
A Amount not annualized
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Options | 0.5 | |
| |
| Common Stocks | 98.6 |
| Options | 0.6 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.8 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Apple Inc | 7.4 | |
| NVIDIA Corp | 6.7 | |
| Microsoft Corp | 6.4 | |
| Amazon.com Inc | 3.7 | |
| Meta Platforms Inc Class A | 2.7 | |
| Berkshire Hathaway Inc Class B | 2.2 | |
| Alphabet Inc Class A | 2.2 | |
| Broadcom Inc | 2.0 | |
| Alphabet Inc Class C | 2.0 | |
| JPMorgan Chase & Co | 1.8 | |
| | 37.1 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916943.100 7590-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Dynamic Buffered Equity ETF Fidelity® Dynamic Buffered Equity ETF : FBUF Principal U.S. Listing Exchange :CboeBZX Cboe BZX Exchange, Inc. |
| | | |
This semi-annual shareholder report contains information about Fidelity® Dynamic Buffered Equity ETF for the period April 9, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
Fidelity® Dynamic Buffered Equity ETF A | $ 15 | 0.48% | |
A Expenses for the full reporting period would be higher.
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $7,712,308 | |
| Number of Holdings | 183 | |
Portfolio TurnoverA | 36% | |
A Amount not annualized
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Options | 1.1 | |
| |
| Common Stocks | 97.7 |
| Options | 1.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.9 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Apple Inc | 7.4 | |
| NVIDIA Corp | 6.7 | |
| Microsoft Corp | 6.4 | |
| Amazon.com Inc | 3.6 | |
| Meta Platforms Inc Class A | 2.7 | |
| Berkshire Hathaway Inc Class B | 2.2 | |
| Alphabet Inc Class A | 2.2 | |
| Broadcom Inc | 2.0 | |
| Alphabet Inc Class C | 2.0 | |
| JPMorgan Chase & Co | 1.8 | |
| | 37.0 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916941.100 7589-TSRS-0924 |
| |
| | SEMI-ANNUAL SHAREHOLDER REPORT | AS OF JULY 31, 2024 | |
| | Fidelity® Hedged Equity ETF Fidelity® Hedged Equity ETF : FHEQ Principal U.S. Listing Exchange :CboeBZX Cboe BZX Exchange, Inc. |
| | | |
This semi-annual shareholder report contains information about Fidelity® Hedged Equity ETF for the period April 9, 2024 to July 31, 2024. You can find additional information about the Fund at fundresearch.fidelity.com/prospectus/sec. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.
What were your Fund costs for the last six months?(based on hypothetical $10,000 investment)
| | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment | |
Fidelity® Hedged Equity ETF A | $ 15 | 0.48% | |
A Expenses for the full reporting period would be higher.
Key Fund Statistics (as of July 31, 2024)
KEY FACTS | | |
| Fund Size | $465,569,895 | |
| Number of Holdings | 185 | |
Portfolio TurnoverA | 37% | |
A Amount not annualized
What did the Fund invest in?
(as of July 31, 2024)
DERIVATIVE EXPOSURE (% of Fund's net assets) | | |
| Options | 1.2 | |
| |
| Common Stocks | 97.2 |
| Domestic Equity Funds | 1.1 |
| Options | 1.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.5 |
ASSET ALLOCATION (% of Fund's total exposure) |
|
|
TOP HOLDINGS (% of Fund's net assets) | | |
| Apple Inc | 7.3 | |
| NVIDIA Corp | 6.5 | |
| Microsoft Corp | 6.1 | |
| Amazon.com Inc | 3.5 | |
| Meta Platforms Inc Class A | 2.6 | |
| Berkshire Hathaway Inc Class B | 2.2 | |
| Alphabet Inc Class A | 2.1 | |
| Alphabet Inc Class C | 1.9 | |
| Broadcom Inc | 1.9 | |
| JPMorgan Chase & Co | 1.7 | |
| | 35.8 | |
| |
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2024 FMR LLC. All rights reserved. |
| | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec 1.9916939.100 7588-TSRS-0924 |
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Financial Statements and Financial Highlights for Open-End Management Investment Companies
Fidelity® Risk Parity Fund
Semi-Annual Report
July 31, 2024
Includes Fidelity and Fidelity Advisor share classes
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2024 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)
Fidelity® Risk Parity Fund
Consolidated Schedule of Investments July 31, 2024 (Unaudited)
Showing Percentage of Net Assets
| Equity Funds - 42.8% |
| | | Shares | Value ($) |
| Domestic Equity Funds - 34.6% | | | |
| Fidelity Commodity Strategy Fund (a) | | 7,973 | 729,365 |
| Fidelity Real Estate Index Fund (a) | | 16,329 | 267,788 |
| Fidelity Small Cap Index Fund (a) | | 15,235 | 427,179 |
| Fidelity Small Cap Value Index Fund (a) | | 24,044 | 643,895 |
| Fidelity Total Market Index Fund (a) | | 4,600 | 700,004 |
TOTAL DOMESTIC EQUITY FUNDS | | | 2,768,231 |
| International Equity Funds - 8.2% | | | |
| Fidelity Emerging Markets Index Fund (a) | | 10,694 | 116,025 |
| Fidelity International Index Fund (a) | | 10,598 | 543,051 |
TOTAL INTERNATIONAL EQUITY FUNDS | | | 659,076 |
| TOTAL EQUITY FUNDS (Cost $3,053,425) | | | 3,427,307 |
| | | | |
| Fixed-Income Funds - 47.3% |
| | | Shares | Value ($) |
| Fixed-Income Funds - 45.6% | | | |
| Fidelity Inflation-Protected Bond Index Fund (a) | | 241,364 | 2,213,312 |
| Fidelity Long-Term Treasury Bond Index Fund (a) | | 7,899 | 77,410 |
| Invesco Senior Loan ETF | | 4,137 | 86,877 |
| iShares J.P. Morgan EM Local Currency Bond ETF | | 14,550 | 530,493 |
| iShares U.S. Treasury Bond ETF | | 32,557 | 749,137 |
TOTAL FIXED-INCOME FUNDS | | | 3,657,229 |
| Global Fixed-Income Funds - 1.7% | | | |
| Fidelity International Bond Index Fund (a) | | 14,542 | 134,513 |
| TOTAL FIXED-INCOME FUNDS (Cost $3,736,971) | | | 3,791,742 |
| | | | |
| U.S. Treasury Obligations - 4.3% |
| | | Principal Amount (b) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.3% to 5.3% 10/3/24 to 10/10/24 (c)(d) (Cost $346,473) | | 350,000 | 346,514 |
| | | | |
| Cash Equivalents - 4.5% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (e) (Cost $360,061) | | 359,989 | 360,061 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 98.9% (Cost $7,496,930) | 7,925,624 |
NET OTHER ASSETS (LIABILITIES) - 1.1% | 90,897 |
| NET ASSETS - 100.0% | 8,016,521 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Equity Index Contracts | | | | | |
| ICE MSCI EAFE Index Contracts (United States) | 3 | Sep 2024 | 358,455 | 9,161 | 9,161 |
| ICE MSCI Emerging Markets Index Contracts (United States) | 11 | Sep 2024 | 603,075 | 5,578 | 5,578 |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | 14,739 |
| The notional amount of futures purchased as a percentage of Net Assets is 12.0% |
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $673,680.
| Total Return Swaps |
| Underlying Reference | Pay/ Receive Reference | Reference Payment Frequency | Financing Rate | Financing Frequency | Counterparty | Maturity Date | Units | Notional Amount | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Invesco Senior Loan ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index | Monthly | BNP Paribas S.A. | Dec 2024 | 3,579 | | 75,266 | (369) | 0 | (369) |
| iShares 20+ Year Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index | Monthly | BNP Paribas S.A. | Jan 2025 | 2,253 | | 202,567 | 10,102 | 0 | 10,102 |
| SPDR Gold Shares | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index | Monthly | Goldman Sachs Intl. | Jan 2025 | 3,259 | | 702,543 | 32,672 | 0 | 32,672 |
| Invesco Senior Loan ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index | Monthly | Goldman Sachs Intl. | Oct 2024 | 41,728 | | 877,540 | (4,930) | 0 | (4,930) |
| Invesco Senior Loan ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index | Monthly | Goldman Sachs Intl. | Nov 2024 | 5,202 | | 109,398 | (615) | 0 | (615) |
| iShares JPMorgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index | Monthly | Morgan Stanley Capital Services LLC | Oct 2024 | 5,017 | | 440,242 | 11,684 | 0 | 11,684 |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index | Monthly | Morgan Stanley Capital Services LLC | Jan 2025 | 10,841 | | 831,722 | 16,381 | 0 | 16,381 |
| TOTAL RETURN SWAPS | | | | | | | | | | 64,925 | 0 | 64,925 |
For the period, the average monthly notional amount at value for swaps in the aggregate was $3,571,257.
Security Type Abbreviations
Legend
| (b) | Amount is stated in United States dollars unless otherwise noted. |
| (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 $29,728. |
| (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 $138,594. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 1,082,291 | 1,058,660 | 1,780,890 | 18,066 | - | - | 360,061 | 0.0% |
| Total | 1,082,291 | 1,058,660 | 1,780,890 | 18,066 | - | - | 360,061 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Affiliated Underlying Funds
Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur. If an Underlying Funds changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
| Fidelity Commodity Strategy Fund | 718,317 | 62,622 | 55,021 | - | (10,219) | 13,666 | 729,365 |
| Fidelity Emerging Markets Index Fund | 600,671 | 197,959 | 743,905 | - | 40,800 | 20,500 | 116,025 |
| Fidelity Inflation-Protected Bond Index Fund | 1,007,571 | 1,701,401 | 524,786 | 23,472 | (8,965) | 38,091 | 2,213,312 |
| Fidelity International Bond Index Fund | - | 333,315 | 200,253 | 1,583 | (703) | 2,154 | 134,513 |
| Fidelity International Index Fund | 843,816 | 54,118 | 409,744 | 1,932 | 54,560 | 301 | 543,051 |
| Fidelity Long-Term Treasury Bond Index Fund | 464,673 | 86,054 | 457,762 | 4,843 | (45,895) | 30,340 | 77,410 |
| Fidelity Real Estate Index Fund | 218,192 | 44,975 | 18,629 | 1,440 | (256) | 23,506 | 267,788 |
| Fidelity Small Cap Index Fund | 343,463 | 64,950 | 41,872 | 505 | 2,932 | 57,706 | 427,179 |
| Fidelity Small Cap Value Index Fund | 509,657 | 97,473 | 53,679 | - | 1,649 | 88,795 | 643,895 |
| Fidelity Total Market Index Fund | 559,895 | 232,634 | 168,774 | 1,134 | 7,109 | 69,140 | 700,004 |
| | 5,266,255 | 2,875,501 | 2,674,425 | 34,909 | 41,012 | 344,199 | 5,852,542 |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Consolidated Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equity Funds | 3,427,307 | 3,427,307 | - | - |
|
| Fixed-Income Funds | 3,791,742 | 3,791,742 | - | - |
|
| Other Short-Term Investments and Net Other Assets | 346,514 | - | 346,514 | - |
|
| Money Market Funds | 360,061 | 360,061 | - | - |
| Total Investments in Securities: | 7,925,624 | 7,579,110 | 346,514 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 14,739 | 14,739 | - | - |
Swaps | 70,839 | - | 70,839 | - |
| Total Assets | 85,578 | 14,739 | 70,839 | - |
| Liabilities | | | | |
Swaps | (5,914) | - | (5,914) | - |
| Total Liabilities | (5,914) | - | (5,914) | - |
| Total Derivative Instruments: | 79,664 | 14,739 | 64,925 | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Commodity Risk | | |
Swaps (a) | 32,672 | 0 |
| Total Commodity Risk | 32,672 | 0 |
| Credit Risk | | |
Swaps (a) | 28,065 | (5,914) |
| Total Credit Risk | 28,065 | (5,914) |
| Equity Risk | | |
Futures Contracts (b) | 14,739 | 0 |
| Total Equity Risk | 14,739 | 0 |
| Interest Rate Risk | | |
Swaps (a) | 10,102 | 0 |
| Total Interest Rate Risk | 10,102 | 0 |
| Total Value of Derivatives | 85,578 | (5,914) |
(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
Consolidated Financial Statements (Unaudited)
| Consolidated Statement of Assets and Liabilities |
| As of July 31, 2024 (Unaudited) |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $1,692,993) | $ | 1,713,021 | | |
Fidelity Central Funds (cost $360,061) | | 360,061 | | |
Other affiliated issuers (cost $5,443,876) | | 5,852,542 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $7,496,930) | | | $ | 7,925,624 |
| Cash | | | | 11,688 |
| Receivable for investments sold | | | | 49 |
| Dividends receivable | | | | 247 |
| Distributions receivable from Fidelity Central Funds | | | | 1,409 |
| Receivable for daily variation margin on futures contracts | | | | 18,275 |
| Bi-lateral OTC swaps, at value | | | | 70,839 |
| Receivable from investment adviser for expense reductions | | | | 275 |
Total assets | | | | 8,028,406 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 248 | | |
| Payable for fund shares redeemed | | 55 | | |
| Bi-lateral OTC swaps, at value | | 5,914 | | |
| Accrued management fee | | 3,888 | | |
| Distribution and service plan fees payable | | 1,568 | | |
| Other affiliated payables | | 212 | | |
| Total liabilities | | | | 11,885 |
| Net Assets | | | $ | 8,016,521 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 7,911,101 |
| Total accumulated earnings (loss) | | | | 105,420 |
| Net Assets | | | $ | 8,016,521 |
| | | | | |
| Net Asset Value and Maximum Offering Price | | | | |
| Class A : | | | | |
Net Asset Value and redemption price per share ($1,102,595 ÷ 110,410 shares)(a) | | | $ | 9.99 |
| Maximum offering price per share (100/94.25 of $9.99) | | | $ | 10.60 |
| Class M : | | | | |
Net Asset Value and redemption price per share ($1,097,724 ÷ 109,943 shares)(a) | | | $ | 9.98 |
| Maximum offering price per share (100/96.50 of $9.98) | | | $ | 10.34 |
| Class C : | | | | |
Net Asset Value and offering price per share ($1,084,942 ÷ 108,760 shares)(a) | | | $ | 9.98 |
| Fidelity Risk Parity Fund : | | | | |
Net Asset Value, offering price and redemption price per share ($2,412,805 ÷ 242,909 shares) | | | $ | 9.93 |
| Class I : | | | | |
Net Asset Value, offering price and redemption price per share ($1,214,796 ÷ 121,665 shares) | | | $ | 9.98 |
| Class Z : | | | | |
Net Asset Value, offering price and redemption price per share ($1,103,659 ÷ 110,457 shares) | | | $ | 9.99 |
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
| Consolidated Statement of Operations |
Six months ended July 31, 2024 (Unaudited) |
| Investment Income | | | | |
| Dividends (including $34,909 earned from affiliated issuers) | | | $ | 54,693 |
| Interest | | | | 7,883 |
| Income from Fidelity Central Funds | | | | 18,066 |
| Total income | | | | 80,642 |
| Expenses | | | | |
| Management fee | $ | 22,637 | | |
| Distribution and service plan fees | | 9,135 | | |
| Independent trustees' fees and expenses | | 1,812 | | |
| Total expenses before reductions | | 33,584 | | |
| Expense reductions | | (2,285) | | |
| Total expenses after reductions | | | | 31,299 |
| Net Investment income (loss) | | | | 49,343 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 21,465 | | |
| Affiliated issuers | | 41,012 | | |
| Futures contracts | | 22,053 | | |
| Swaps | | 33,463 | | |
| Total net realized gain (loss) | | | | 117,993 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 4,187 | | |
| Affiliated issuers | | 344,199 | | |
| Futures contracts | | 11,413 | | |
| Swaps | | 83,573 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 443,372 |
| Net gain (loss) | | | | 561,365 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 610,708 |
| Consolidated Statement of Changes in Net Assets |
| |
| | Six months ended July 31, 2024 (Unaudited) | | Year ended January 31, 2024 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 49,343 | $ | 196,720 |
| Net realized gain (loss) | | 117,993 | | (342,455) |
| Change in net unrealized appreciation (depreciation) | | 443,372 | | 197,903 |
| Net increase (decrease) in net assets resulting from operations | | 610,708 | | 52,168 |
| Distributions to shareholders | | (100,429) | | (249,670) |
| | | | | |
| Share transactions - net increase (decrease) | | (83,892) | | 575,397 |
| Total increase (decrease) in net assets | | 426,387 | | 377,895 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 7,590,134 | | 7,212,239 |
| End of period | $ | 8,016,521 | $ | 7,590,134 |
| | | | | |
| | | | | |
Consolidated Financial Highlights
Fidelity Advisor® Risk Parity Fund Class A |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 9.35 | $ | 9.64 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .06 | | .25 | | .86 |
| Net realized and unrealized gain (loss) | | .71 | | (.22) | | (.60) |
| Total from investment operations | | .77 | | .03 | | .26 |
| Distributions from net investment income | | (.13) | | (.32) | | (.62) |
| Total distributions | | (.13) | | (.32) | | (.62) |
| Net asset value, end of period | $ | 9.99 | $ | 9.35 | $ | 9.64 |
Total Return D,E,F | | | | .50% | | 2.90% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | .90% I | | .95% | | 2.40% I |
| Expenses net of fee waivers, if any | | | | .85% | | .85% I |
| Expenses net of all reductions | | .84% I | | .84% | | .84% I |
| Net investment income (loss) | | 1.28% I | | 2.74% | | 15.39% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 1,103 | $ | 1,015 | $ | 1,009 |
Portfolio turnover rate J | | | | 84% | | 163% I |
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FTotal returns do not include the effect of the sales charges.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Consolidated Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Fidelity Advisor® Risk Parity Fund Class M |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 9.35 | $ | 9.64 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .05 | | .23 | | .84 |
| Net realized and unrealized gain (loss) | | .71 | | (.23) | | (.60) |
| Total from investment operations | | .76 | | - D | | .24 |
| Distributions from net investment income | | (.13) | | (.29) | | (.60) |
| Total distributions | | (.13) | | (.29) | | (.60) |
| Net asset value, end of period | $ | 9.98 | $ | 9.35 | $ | 9.64 |
Total Return E,F,G | | | | .15% | | 2.77% |
Ratios to Average Net Assets C,H,I | | | | | | |
| Expenses before reductions | | 1.15% J | | 1.20% | | 2.65% J |
| Expenses net of fee waivers, if any | | | | 1.10% | | 1.10% J |
| Expenses net of all reductions | | 1.09% J | | 1.09% | | 1.09% J |
| Net investment income (loss) | | 1.02% J | | 2.49% | | 15.09% J |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 1,098 | $ | 1,013 | $ | 1,008 |
Portfolio turnover rate K | | | | 84% | | 163% J |
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DAmount represents less than $.005 per share.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GTotal returns do not include the effect of the sales charges.
HFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Consolidated Financial Statements section of the most recent Annual or Semi-Annual report.
IExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
JAnnualized.
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Fidelity Advisor® Risk Parity Fund Class C |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 9.37 | $ | 9.64 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .03 | | .18 | | .82 |
| Net realized and unrealized gain (loss) | | .70 | | (.22) | | (.60) |
| Total from investment operations | | .73 | | (.04) | | .22 |
| Distributions from net investment income | | (.12) | | (.23) | | (.58) |
| Total distributions | | (.12) | | (.23) | | (.58) |
| Net asset value, end of period | $ | 9.98 | $ | 9.37 | $ | 9.64 |
Total Return D,E,F | | | | (.30)% | | 2.52% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | 1.65% I | | 1.70% | | 3.15% I |
| Expenses net of fee waivers, if any | | | | 1.60% | | 1.60% I |
| Expenses net of all reductions | | 1.59% I | | 1.59% | | 1.59% I |
| Net investment income (loss) | | .53% I | | 1.99% | | 14.60% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 1,085 | $ | 1,002 | $ | 1,008 |
Portfolio turnover rate J | | | | 84% | | 163% I |
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FTotal returns do not include the effect of the contingent deferred sales charge.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Consolidated Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Fidelity® Risk Parity Fund |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 9.29 | $ | 9.60 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .07 | | .27 | | .27 |
| Net realized and unrealized gain (loss) | | .70 | | (.22) | | (.04) |
| Total from investment operations | | .77 | | .05 | | .23 |
| Distributions from net investment income | | (.13) | | (.36) | | (.63) |
| Total distributions | | (.13) | | (.36) | | (.63) |
| Net asset value, end of period | $ | 9.93 | $ | 9.29 | $ | 9.60 |
Total Return D,E | | | | .70% | | 2.63% |
Ratios to Average Net Assets C,F,G | | | | | | |
| Expenses before reductions | | .65% H | | .70% | | 1.26% H |
| Expenses net of fee waivers, if any | | | | .60% | | .60% H |
| Expenses net of all reductions | | .59% H | | .59% | | .58% H |
| Net investment income (loss) | | 1.52% H | | 2.98% | | 7.06% H |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 2,413 | $ | 2,403 | $ | 2,036 |
Portfolio turnover rate I | | | | 84% | | 163% H |
AFor the period September 1, 2022 (commencement of sale of shares) through January 31, 2023.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Consolidated Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Fidelity Advisor® Risk Parity Fund Class I |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 9.34 | $ | 9.64 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .07 | | .27 | | .88 |
| Net realized and unrealized gain (loss) | | .70 | | (.21) | | (.61) |
| Total from investment operations | | .77 | | .06 | | .27 |
| Distributions from net investment income | | (.13) | | (.36) | | (.63) |
| Total distributions | | (.13) | | (.36) | | (.63) |
| Net asset value, end of period | $ | 9.98 | $ | 9.34 | $ | 9.64 |
Total Return D,E | | | | .76% | | 3.02% |
Ratios to Average Net Assets C,F,G | | | | | | |
| Expenses before reductions | | .65% H | | .70% | | 2.18% H |
| Expenses net of fee waivers, if any | | | | .60% | | .60% H |
| Expenses net of all reductions | | .59% H | | .59% | | .59% H |
| Net investment income (loss) | | 1.52% H | | 2.99% | | 15.81% H |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 1,215 | $ | 1,139 | $ | 1,141 |
Portfolio turnover rate I | | | | 84% | | 163% H |
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Consolidated Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Fidelity Advisor® Risk Parity Fund Class Z |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 9.34 | $ | 9.65 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .08 | | .28 | | .97 |
| Net realized and unrealized gain (loss) | | .70 | | (.23) | | (.69) |
| Total from investment operations | | .78 | | .05 | | .28 |
| Distributions from net investment income | | (.13) | | (.36) | | (.63) |
| Total distributions | | (.13) | | (.36) | | (.63) |
| Net asset value, end of period | $ | 9.99 | $ | 9.34 | $ | 9.65 |
Total Return D,E | | | | .70% | | 3.13% |
Ratios to Average Net Assets C,F,G | | | | | | |
| Expenses before reductions | | .60% H | | .65% | | 2.23% H |
| Expenses net of fee waivers, if any | | | | .55% | | .55% H |
| Expenses net of all reductions | | .54% H | | .54% | | .54% H |
| Net investment income (loss) | | 1.57% H | | 3.04% | | 17.34% H |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 1,104 | $ | 1,018 | $ | 1,011 |
Portfolio turnover rate I | | | | 84% | | 163% H |
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Consolidated Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Notes to Consolidated Financial Statements
(Unaudited)For the period ended July 31, 2024
1. Organization.
Fidelity Risk Parity Fund (the Fund) is a fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund offers Class A, Class M, Class C, Fidelity Risk Parity Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
2. Consolidated Subsidiary.
The Funds included in the table below hold certain commodity-related investments through a wholly owned subsidiary (the "Subsidiary"). As of period end, the investments in the Subsidiaries, were as follows:
| | Subsidiary Name | Net Assets of Subsidiary | % of Fund's Net Assets |
| Fidelity Risk Parity Fund | Fidelity Risk Parity Cayman Ltd. | 185,699 | 2.3 |
The financial statements have been consolidated to include the Subsidiary accounts where applicable. Accordingly, all inter-company transactions and balances have been eliminated.
3. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Consolidated Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| 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% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
4. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the consolidated financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the consolidated financial statements were issued have been evaluated in the preparation of the consolidated financial statements. The Fund's Consolidated Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2024 is included at the end of the Fund's Consolidated Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Consolidated Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying consolidated financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds (ETFs). Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund (ETF). Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Internal Revenue Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary's income. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the consolidated financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swaps, controlled foreign corporations, capital loss carryforwards and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $619,457 |
| Gross unrealized depreciation | (168,721) |
| Net unrealized appreciation (depreciation) | $450,736 |
| Tax cost | $7,554,552 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
Short-term | $(421,753) |
Long-term | (51,213) |
| Total capital loss carryforward | $(472,966) |
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. |
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Consolidated Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Consolidated Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Consolidated Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
| Fidelity Risk Parity Fund | | |
| Commodity Risk | | |
| Swaps | 56,391 | 41,713 |
| Total Commodity Risk | 56,391 | 41,713 |
| Credit Risk | | |
| Swaps | 14,628 | 32,184 |
| Total Credit Risk | 14,628 | 32,184 |
| Equity Risk | | |
| Futures Contracts | 22,053 | 11,413 |
| Total Equity Risk | 22,053 | 11,413 |
| Interest Rate Risk | | |
| Swaps | (37,556) | 9,676 |
| Total Interest Rate Risk | (37,556) | 9,676 |
| Totals | 55,516 | 94,986 |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Consolidated Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Consolidated Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Consolidated Statement of Operations.
Any open futures contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Consolidated Schedule of Investments.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Consolidated Statement of Operations.
Any open swaps at period end are included in the Consolidated Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.
Total Return Swaps. Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty. A fund enters into total return swaps to manage its market exposure.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity Risk Parity Fund | 4,150,567 | 3,757,225 |
7. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which each class of the Fund pays a monthly management fee. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees, distribution and service plan fees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses. During the period, the management fee for each class of the Fund was as follows:
| | Annual % of Class-Level Average Net Assets |
| Class A | .60% |
| Class M | .60% |
| Class C | .60% |
| Fidelity Risk Parity Fund | .60% |
| Class I | .60% |
| Class Z | .55% |
The investment adviser also provides investment management services to the Subsidiary. The Subsidiary does not pay the investment adviser a fee for these services. The Subsidiary pays certain other expenses, such as custody fees.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| | Distribution Fee | Service Fee | Total Fees ($) | Retained by FDC ($) |
| Class A | - % | .25% | 1,314 | 1,311 |
| Class M | .25% | .25% | 2,624 | 2,608 |
| Class C | .75% | .25% | 5,197 | 5,195 |
| | | | 9,135 | 9,114 |
Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
| | Retained by FDC ($) |
| Class A | 6 |
| Class M | 16 |
Class CA | 5 |
| | 27 |
A When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Consolidated Statement of Operations. The commissions paid to these affiliated firms were as follows:
| | Amount ($) |
| Fidelity Risk Parity Fund | 36 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
8. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Consolidated Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
9. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through May 31, 2025. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
| | Expense Limitations | Reimbursement ($) |
| Class A | .85% | 249 |
| Class M | 1.10% | 249 |
| Class C | 1.60% | 246 |
| Fidelity Risk Parity Fund | .60% | 540 |
| Class I | .60% | 280 |
| Class Z | .55% | 250 |
| | | 1,814 |
In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $471.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| | Six months ended July 31, 2024 | Year ended January 31, 2024 |
| Fidelity Risk Parity Fund | | |
| Distributions to shareholders | | |
| Class A | $13,793 | $34,079 |
| Class M | 13,552 | 30,555 |
| Class C | 13,114 | 23,943 |
| Fidelity Risk Parity Fund | 30,065 | 80,347 |
| Class I | 15,739 | 42,566 |
| Class Z | 14,166 | 38,180 |
Total | $100,429 | $249,670 |
11. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
| | Shares | Shares | Dollars | Dollars |
| | Six months ended July 31, 2024 | Year ended January 31, 2024 | Six months ended July 31, 2024 | Year ended January 31, 2024 |
| Fidelity Risk Parity Fund | | | | |
| Class A | | | | |
| Shares sold | 395 | 193 | $3,883 | $1,756 |
| Reinvestment of distributions | 1,449 | 3,788 | 13,793 | 34,079 |
| Shares redeemed | (15) | (6) | (150) | (60) |
| Net increase (decrease) | 1,829 | 3,975 | $17,526 | $35,775 |
| Class M | | | | |
| Shares sold | 182 | 371 | $1,726 | $3,325 |
| Reinvestment of distributions | 1,422 | 3,404 | 13,552 | 30,555 |
| Net increase (decrease) | 1,604 | 3,775 | $15,278 | $33,880 |
| Class C | | | | |
| Shares sold | 501 | 110 | $4,721 | $1,000 |
| Reinvestment of distributions | 1,375 | 2,687 | 13,114 | 23,943 |
| Shares redeemed | (137) | (310) | (1,338) | (2,729) |
| Net increase (decrease) | 1,739 | 2,487 | $16,497 | $22,214 |
| Fidelity Risk Parity Fund | | | | |
| Shares sold | 17,524 | 107,679 | $167,850 | $961,233 |
| Reinvestment of distributions | 876 | 2,124 | 8,287 | 19,219 |
| Shares redeemed | (34,183) | (63,187) | (319,735) | (568,009) |
| Net increase (decrease) | (15,783) | 46,616 | $(143,598) | $412,443 |
| Class I | | | | |
| Reinvestment of distributions | 1,655 | 4,724 | 15,739 | 42,566 |
| Shares redeemed | (2,000) | (1,034) | (19,500) | (9,661) |
| Net increase (decrease) | (345) | 3,690 | $(3,761) | $32,905 |
| Class Z | | | | |
| Reinvestment of distributions | 1,490 | 4,233 | 14,166 | 38,180 |
| Net increase (decrease) | 1,490 | 4,233 | $14,166 | $38,180 |
12. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:
| Fund | Affiliated % |
| Fidelity Risk Parity Fund | 70% |
13. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the consolidated financial statements for each Fund as part of Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Note: This is not applicable for any fund included in this document.
1.9906093.102
RPF-SANN-0924
Fidelity® Dynamic Buffered Equity ETF
Fidelity® Hedged Equity ETF
Fidelity® Yield Enhanced Equity ETF
Semi-Annual Report
July 31, 2024
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-FIDELITY to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2024 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Funds nor Fidelity Distributors Corporation is a bank.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)
Fidelity® Dynamic Buffered Equity ETF
Schedule of Investments July 31, 2024 (Unaudited)
Showing Percentage of Net Assets
| Common Stocks - 98.6% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 10.1% | | | |
| Diversified Telecommunication Services - 0.8% | | | |
| AT&T, Inc. (a) | | 1,875 | 36,094 |
| Verizon Communications, Inc. (a) | | 727 | 29,458 |
| | | | 65,552 |
| Entertainment - 1.6% | | | |
| Netflix, Inc. (a)(b) | | 96 | 60,322 |
| Playtika Holding Corp. (a) | | 3,640 | 27,773 |
| Roku, Inc. Class A (b) | | 67 | 3,900 |
| Spotify Technology SA (a)(b) | | 24 | 8,255 |
| The Walt Disney Co. | | 206 | 19,300 |
| | | | 119,550 |
| Interactive Media & Services - 6.8% | | | |
| Alphabet, Inc.: | | | |
| Class A (a) | | 965 | 165,536 |
| Class C (a) | | 877 | 151,853 |
| Meta Platforms, Inc. Class A (a) | | 435 | 206,551 |
| | | | 523,940 |
| Media - 0.9% | | | |
| Comcast Corp. Class A (a) | | 1,614 | 66,610 |
TOTAL COMMUNICATION SERVICES | | | 775,652 |
| CONSUMER DISCRETIONARY - 9.0% | | | |
| Automobiles - 1.0% | | | |
| Ford Motor Co. | | 1,381 | 14,942 |
| Tesla, Inc. (b) | | 281 | 65,212 |
| | | | 80,154 |
| Broadline Retail - 3.6% | | | |
| Amazon.com, Inc. (a)(b) | | 1,488 | 278,226 |
| Macy's, Inc. | | 67 | 1,158 |
| | | | 279,384 |
| Hotels, Restaurants & Leisure - 1.3% | | | |
| Chipotle Mexican Grill, Inc. (b) | | 201 | 10,918 |
| Draftkings Holdings, Inc. (b) | | 144 | 5,321 |
| Hilton Worldwide Holdings, Inc. | | 52 | 11,163 |
| International Game Technology PLC | | 1,765 | 41,425 |
| Light & Wonder, Inc. Class A (b) | | 36 | 3,859 |
| McDonald's Corp. | | 65 | 17,251 |
| MGM Resorts International (b) | | 196 | 8,422 |
| Travel+Leisure Co. | | 66 | 3,042 |
| | | | 101,401 |
| Household Durables - 0.6% | | | |
| Taylor Morrison Home Corp. (b) | | 355 | 23,813 |
| Toll Brothers, Inc. | | 9 | 1,284 |
| TRI Pointe Homes, Inc. (b) | | 379 | 17,150 |
| | | | 42,247 |
| Specialty Retail - 2.4% | | | |
| Abercrombie & Fitch Co. Class A (b) | | 63 | 9,291 |
| Carvana Co. Class A (b) | | 243 | 32,375 |
| Gap, Inc. | | 809 | 18,995 |
| Ross Stores, Inc. | | 157 | 22,487 |
| The Home Depot, Inc. (a) | | 272 | 100,140 |
| TJX Companies, Inc. | | 16 | 1,808 |
| | | | 185,096 |
| Textiles, Apparel & Luxury Goods - 0.1% | | | |
| lululemon athletica, Inc. (b) | | 12 | 3,104 |
TOTAL CONSUMER DISCRETIONARY | | | 691,386 |
| CONSUMER STAPLES - 4.5% | | | |
| Beverages - 0.4% | | | |
| Boston Beer Co., Inc. Class A (b) | | 51 | 14,291 |
| The Coca-Cola Co. | | 253 | 16,885 |
| | | | 31,176 |
| Consumer Staples Distribution & Retail - 2.1% | | | |
| Costco Wholesale Corp. | | 101 | 83,022 |
| Kroger Co. | | 432 | 23,544 |
| Walmart, Inc. | | 792 | 54,363 |
| | | | 160,929 |
| Household Products - 1.5% | | | |
| Colgate-Palmolive Co. | | 223 | 22,119 |
| Kimberly-Clark Corp. | | 135 | 18,232 |
| Procter & Gamble Co. | | 447 | 71,860 |
| | | | 112,211 |
| Tobacco - 0.5% | | | |
| Philip Morris International, Inc. | | 369 | 42,494 |
TOTAL CONSUMER STAPLES | | | 346,810 |
| ENERGY - 2.4% | | | |
| Oil, Gas & Consumable Fuels - 2.4% | | | |
| Chevron Corp. | | 30 | 4,814 |
| ConocoPhillips Co. | | 43 | 4,782 |
| Devon Energy Corp. | | 193 | 9,077 |
| EOG Resources, Inc. | | 288 | 36,518 |
| Exxon Mobil Corp. | | 1,070 | 126,891 |
| | | | 182,082 |
| FINANCIALS - 14.2% | | | |
| Banks - 2.9% | | | |
| Bank of America Corp. (a) | | 2,078 | 83,764 |
| JPMorgan Chase & Co. (a) | | 657 | 139,810 |
| | | | 223,574 |
| Capital Markets - 3.6% | | | |
| Ameriprise Financial, Inc. (a) | | 87 | 37,416 |
| Bank of New York Mellon Corp. | | 366 | 23,816 |
| BlackRock, Inc. | | 63 | 55,220 |
| Charles Schwab Corp. (a) | | 200 | 13,038 |
| CME Group, Inc. (a) | | 133 | 25,763 |
| Goldman Sachs Group, Inc. (a) | | 19 | 9,672 |
| LPL Financial | | 66 | 14,620 |
| Morgan Stanley | | 297 | 30,653 |
| Raymond James Financial, Inc. (a) | | 163 | 18,908 |
| Robinhood Markets, Inc. (b) | | 84 | 1,728 |
| S&P Global, Inc. | | 14 | 6,786 |
| SEI Investments Co. | | 417 | 28,289 |
| T. Rowe Price Group, Inc. | | 103 | 11,764 |
| Tradeweb Markets, Inc. Class A (a) | | 29 | 3,239 |
| | | | 280,912 |
| Consumer Finance - 0.7% | | | |
| American Express Co. (a) | | 208 | 52,632 |
| Financial Services - 4.8% | | | |
| Berkshire Hathaway, Inc. Class B (a)(b) | | 390 | 171,015 |
| Enact Holdings, Inc. (a) | | 384 | 13,068 |
| Jackson Financial, Inc. | | 60 | 5,284 |
| MasterCard, Inc. Class A (a) | | 216 | 100,161 |
| PayPal Holdings, Inc. (a)(b) | | 789 | 51,900 |
| Visa, Inc. Class A (a) | | 111 | 29,489 |
| | | | 370,917 |
| Insurance - 2.2% | | | |
| Aon PLC (a) | | 114 | 37,450 |
| Globe Life, Inc. | | 305 | 28,286 |
| Marsh & McLennan Companies, Inc. (a) | | 132 | 29,379 |
| Progressive Corp. (a) | | 257 | 55,029 |
| Unum Group (a) | | 109 | 6,271 |
| Willis Towers Watson PLC | | 42 | 11,856 |
| | | | 168,271 |
TOTAL FINANCIALS | | | 1,096,306 |
| HEALTH CARE - 13.1% | | | |
| Biotechnology - 3.6% | | | |
| AbbVie, Inc. (a) | | 355 | 65,789 |
| Alkermes PLC (a)(b) | | 374 | 10,218 |
| Amgen, Inc. | | 72 | 23,938 |
| Biogen, Inc. (a)(b) | | 126 | 26,863 |
| Exelixis, Inc. (a)(b) | | 1,636 | 38,364 |
| Gilead Sciences, Inc. (a) | | 762 | 57,958 |
| Halozyme Therapeutics, Inc. (b) | | 172 | 9,505 |
| Incyte Corp. (a)(b) | | 458 | 29,802 |
| Neurocrine Biosciences, Inc. (b) | | 124 | 17,555 |
| United Therapeutics Corp. (b) | | 3 | 940 |
| | | | 280,932 |
| Health Care Equipment & Supplies - 1.5% | | | |
| Abbott Laboratories | | 179 | 18,963 |
| Becton, Dickinson & Co. (a) | | 192 | 46,284 |
| DexCom, Inc. (b) | | 8 | 543 |
| Edwards Lifesciences Corp. (a)(b) | | 96 | 6,053 |
| GE Healthcare Technologies, Inc. (a) | | 15 | 1,269 |
| Hologic, Inc. (a)(b) | | 456 | 37,214 |
| Solventum Corp. | | 102 | 6,006 |
| | | | 116,332 |
| Health Care Providers & Services - 2.8% | | | |
| Cencora, Inc. | | 48 | 11,418 |
| Centene Corp. (a)(b) | | 24 | 1,846 |
| Cigna Group | | 156 | 54,393 |
| Elevance Health, Inc. (a) | | 88 | 46,819 |
| McKesson Corp. | | 14 | 8,638 |
| UnitedHealth Group, Inc. (a) | | 159 | 91,609 |
| | | | 214,723 |
| Life Sciences Tools & Services - 0.7% | | | |
| Medpace Holdings, Inc. (a)(b) | | 90 | 34,427 |
| Thermo Fisher Scientific, Inc. | | 35 | 21,467 |
| | | | 55,894 |
| Pharmaceuticals - 4.5% | | | |
| Bristol-Myers Squibb Co. (a) | | 1,153 | 54,837 |
| Eli Lilly & Co. (a) | | 85 | 68,363 |
| Johnson & Johnson (a) | | 534 | 84,292 |
| Merck & Co., Inc. (a) | | 698 | 78,965 |
| Pfizer, Inc. (a) | | 1,878 | 57,354 |
| | | | 343,811 |
TOTAL HEALTH CARE | | | 1,011,692 |
| INDUSTRIALS - 10.3% | | | |
| Aerospace & Defense - 3.3% | | | |
| General Electric Co. | | 301 | 51,230 |
| Hexcel Corp. | | 13 | 861 |
| Howmet Aerospace, Inc. | | 522 | 49,955 |
| L3Harris Technologies, Inc. | | 8 | 1,815 |
| Lockheed Martin Corp. (a) | | 114 | 61,779 |
| Northrop Grumman Corp. (a) | | 98 | 47,463 |
| Textron, Inc. (a) | | 445 | 41,341 |
| | | | 254,444 |
| Building Products - 0.4% | | | |
| Trane Technologies PLC (a) | | 86 | 28,748 |
| Commercial Services & Supplies - 1.1% | | | |
| Cintas Corp. (a) | | 51 | 38,961 |
| Waste Management, Inc. | | 205 | 41,545 |
| | | | 80,506 |
| Electrical Equipment - 0.6% | | | |
| Eaton Corp. PLC (a) | | 145 | 44,195 |
| EnerSys | | 7 | 770 |
| | | | 44,965 |
| Ground Transportation - 2.0% | | | |
| CSX Corp. (a) | | 1,344 | 47,174 |
| Uber Technologies, Inc. (a)(b) | | 617 | 39,778 |
| Union Pacific Corp. (a) | | 267 | 65,877 |
| | | | 152,829 |
| Industrial Conglomerates - 0.1% | | | |
| 3M Co. | | 81 | 10,332 |
| Machinery - 0.8% | | | |
| Caterpillar, Inc. (a) | | 84 | 29,081 |
| Illinois Tool Works, Inc. | | 43 | 10,633 |
| PACCAR, Inc. (a) | | 144 | 14,207 |
| Westinghouse Air Brake Tech Co. | | 55 | 8,863 |
| | | | 62,784 |
| Passenger Airlines - 0.3% | | | |
| SkyWest, Inc. (b) | | 270 | 21,584 |
| Professional Services - 1.6% | | | |
| CACI International, Inc. (a)(b) | | 76 | 35,072 |
| Leidos Holdings, Inc. (a) | | 241 | 34,800 |
| SS&C Technologies Holdings, Inc. (a) | | 588 | 42,895 |
| Verisk Analytics, Inc. | | 49 | 12,826 |
| | | | 125,593 |
| Trading Companies & Distributors - 0.1% | | | |
| Applied Industrial Technologies, Inc. | | 49 | 10,691 |
TOTAL INDUSTRIALS | | | 792,476 |
| INFORMATION TECHNOLOGY - 30.4% | | | |
| Communications Equipment - 0.1% | | | |
| Arista Networks, Inc. (b) | | 31 | 10,743 |
| IT Services - 0.4% | | | |
| Twilio, Inc. Class A (b) | | 150 | 8,870 |
| Wix.com Ltd. (b) | | 121 | 18,867 |
| | | | 27,737 |
| Semiconductors & Semiconductor Equipment - 11.9% | | | |
| Advanced Micro Devices, Inc. (b) | | 24 | 3,468 |
| Applied Materials, Inc. | | 303 | 64,297 |
| Broadcom, Inc. | | 960 | 154,253 |
| Cirrus Logic, Inc. (b) | | 63 | 8,220 |
| Intel Corp. | | 897 | 27,574 |
| KLA Corp. | | 60 | 49,384 |
| Micron Technology, Inc. | | 312 | 34,264 |
| NVIDIA Corp. | | 4,356 | 509,739 |
| Qualcomm, Inc. (a) | | 356 | 64,418 |
| | | | 915,617 |
| Software - 10.7% | | | |
| Adobe, Inc. (a)(b) | | 148 | 81,644 |
| Alarm.com Holdings, Inc. (b) | | 206 | 14,533 |
| DocuSign, Inc. (b) | | 252 | 13,981 |
| Dropbox, Inc. Class A (b) | | 1,747 | 41,788 |
| Gen Digital, Inc. | | 369 | 9,590 |
| GitLab, Inc. (b) | | 30 | 1,537 |
| Microsoft Corp. (a) | | 1,156 | 483,613 |
| Pegasystems, Inc. | | 264 | 18,406 |
| RingCentral, Inc. (b) | | 476 | 16,684 |
| Salesforce, Inc. (a) | | 280 | 72,464 |
| Teradata Corp. (b) | | 985 | 31,934 |
| Zoom Video Communications, Inc. Class A (b) | | 654 | 39,502 |
| | | | 825,676 |
| Technology Hardware, Storage & Peripherals - 7.3% | | | |
| Apple, Inc. (a) | | 2,539 | 563,856 |
TOTAL INFORMATION TECHNOLOGY | | | 2,343,629 |
| MATERIALS - 2.0% | | | |
| Chemicals - 0.9% | | | |
| Ecolab, Inc. | | 200 | 46,138 |
| Olin Corp. | | 8 | 365 |
| PPG Industries, Inc. | | 206 | 26,158 |
| | | | 72,661 |
| Construction Materials - 0.5% | | | |
| CRH PLC | | 71 | 6,085 |
| Vulcan Materials Co. | | 129 | 35,412 |
| | | | 41,497 |
| Containers & Packaging - 0.1% | | | |
| Crown Holdings, Inc. | | 56 | 4,967 |
| Metals & Mining - 0.5% | | | |
| Nucor Corp. | | 240 | 39,106 |
TOTAL MATERIALS | | | 158,231 |
| REAL ESTATE - 1.1% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.1% | | | |
| Crown Castle, Inc. | | 26 | 2,862 |
| Invitation Homes, Inc. | | 996 | 35,129 |
| Public Storage Operating Co. | | 114 | 33,735 |
| VICI Properties, Inc. | | 422 | 13,192 |
| | | | 84,918 |
| UTILITIES - 1.5% | | | |
| Electric Utilities - 1.2% | | | |
| NextEra Energy, Inc. | | 716 | 54,695 |
| Otter Tail Corp. | | 338 | 32,759 |
| Xcel Energy, Inc. | | 122 | 7,110 |
| | | | 94,564 |
| Gas Utilities - 0.1% | | | |
| New Jersey Resources Corp. | | 16 | 748 |
| UGI Corp. | | 317 | 7,855 |
| | | | 8,603 |
| Independent Power and Renewable Electricity Producers - 0.2% | | | |
| The AES Corp. | | 698 | 12,417 |
| Vistra Corp. | | 55 | 4,357 |
| | | | 16,774 |
TOTAL UTILITIES | | | 119,941 |
| TOTAL COMMON STOCKS (Cost $7,187,674) | | | 7,603,123 |
| | | | |
| Money Market Funds - 0.5% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (c) (Cost $40,360) | | 40,352 | 40,360 |
| | | | |
| Purchased Options - 0.6% |
| | Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) |
| Put Options | | | | | | |
| S&P 500 Mini Index | Chicago Board Options Exchange | 55 | 3,037,265 | 505 | 08/16/24 | 1,870 |
| S&P 500 Mini Index | Chicago Board Options Exchange | 44 | 2,429,812 | 530 | 09/20/24 | 18,590 |
| S&P 500 Mini Index | Chicago Board Options Exchange | 36 | 1,988,028 | 536 | 10/18/24 | 25,956 |
| | | | | | | |
| | | | | | | 46,416 |
TOTAL PURCHASED OPTIONS (Cost $83,553) | | | | | | 46,416 |
For the period, the average monthly notional amount at value for purchased options in the aggregate was $6,503,499.
| TOTAL INVESTMENT IN SECURITIES - 99.7% (Cost $7,311,587) | 7,689,899 |
NET OTHER ASSETS (LIABILITIES) - 0.3% | 22,409 |
| NET ASSETS - 100.0% | 7,712,308 |
| | |
| Written Options |
| | Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) |
| Call Options | | | | | | |
| S&P 500 Mini Index | Chicago Board Options Exchange | 32 | 1,767,136 | 568.00 | 08/09/24 | (1,728) |
| S&P 500 Mini Index | Chicago Board Options Exchange | 32 | 1,767,136 | 571.00 | 08/16/24 | (2,976) |
| S&P 500 Mini Index | Chicago Board Options Exchange | 33 | 1,822,359 | 557.00 | 08/23/24 | (21,863) |
| S&P 500 Mini Index | Chicago Board Options Exchange | 32 | 1,767,136 | 566.00 | 08/30/24 | (12,832) |
| | | | | | | |
| TOTAL WRITTEN OPTIONS | | | | | | (39,399) |
For the period, the average monthly notional amount at value for written options in the aggregate was $6,032,850.
Legend
| (a) | Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $1,081,500. |
| (c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | - | 118,447 | 78,087 | 730 | - | - | 40,360 | 0.0% |
| Total | - | 118,447 | 78,087 | 730 | - | - | 40,360 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 775,652 | 775,652 | - | - |
Consumer Discretionary | 691,386 | 691,386 | - | - |
Consumer Staples | 346,810 | 346,810 | - | - |
Energy | 182,082 | 182,082 | - | - |
Financials | 1,096,306 | 1,096,306 | - | - |
Health Care | 1,011,692 | 1,011,692 | - | - |
Industrials | 792,476 | 792,476 | - | - |
Information Technology | 2,343,629 | 2,343,629 | - | - |
Materials | 158,231 | 158,231 | - | - |
Real Estate | 84,918 | 84,918 | - | - |
Utilities | 119,941 | 119,941 | - | - |
|
| Money Market Funds | 40,360 | 40,360 | - | - |
|
| Purchased Options | 46,416 | 46,416 | - | - |
| Total Investments in Securities: | 7,689,899 | 7,689,899 | - | - |
Derivative Instruments: Liabilities | | | | |
Written Options | (39,399) | (39,399) | - | - |
| Total Liabilities | (39,399) | (39,399) | - | - |
| Total Derivative Instruments: | (39,399) | (39,399) | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Purchased Options (a) | 46,416 | 0 |
Written Options (b) | 0 | (39,399) |
| Total Equity Risk | 46,416 | (39,399) |
| Total Value of Derivatives | 46,416 | (39,399) |
(a)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.
(b)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
Fidelity® Dynamic Buffered Equity ETF
Financial Statements (Unaudited)
| Statement of Assets and Liabilities |
| As of July 31, 2024 (Unaudited) |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $7,271,227) | $ | 7,649,539 | | |
Fidelity Central Funds (cost $40,360) | | 40,360 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $7,311,587) | | | $ | 7,689,899 |
| Cash | | | | 48,018 |
| Receivable for investments sold | | | | 12,363 |
| Dividends receivable | | | | 5,059 |
| Distributions receivable from Fidelity Central Funds | | | | 197 |
| Receivable from investment adviser for expense reductions | | | | 157 |
Total assets | | | | 7,755,693 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 1,141 | | |
| Accrued management fee | | 2,668 | | |
| Written options, at value (premium received $45,852) | | 39,399 | | |
| Other affiliated payables | | 177 | | |
| Total liabilities | | | | 43,385 |
| Net Assets | | | $ | 7,712,308 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 7,514,023 |
| Total accumulated earnings (loss) | | | | 198,285 |
| Net Assets | | | $ | 7,712,308 |
Net Asset Value, offering price and redemption price per share ($7,712,308 ÷ 300,000 shares) | | | $ | 25.71 |
| Statement of Operations |
For the period April 9, 2024 (commencement of operations) through July 31, 2024 (Unaudited)
|
| Investment Income | | | | |
| Dividends | | | $ | 22,714 |
| Income from Fidelity Central Funds | | | | 730 |
| Total income | | | | 23,444 |
| Expenses | | | | |
| Management fee | $ | 9,060 | | |
| Independent trustees' fees and expenses | | 799 | | |
| Total expenses before reductions | | 9,859 | | |
| Expense reductions | | (669) | | |
| Total expenses after reductions | | | | 9,190 |
| Net Investment income (loss) | | | | 14,254 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (76,263) | | |
| Written options | | (114,221) | | |
| Total net realized gain (loss) | | | | (190,484) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 378,312 | | |
| Written options | | 6,453 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 384,765 |
| Net gain (loss) | | | | 194,281 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 208,535 |
| Statement of Changes in Net Assets |
| |
| | For the period April 9, 2024 (commencement of operations) through July 31, 2024 (Unaudited) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $ | 14,254 |
| Net realized gain (loss) | | (190,484) |
| Change in net unrealized appreciation (depreciation) | | 384,765 |
| Net increase (decrease) in net assets resulting from operations | | 208,535 |
| Distributions to shareholders | | (10,250) |
| | | |
| Share transactions | | |
| Proceeds from sales of shares | | 7,514,023 |
| | | |
Net increase (decrease) in net assets resulting from share transactions | | 7,514,023 |
| Total increase (decrease) in net assets | | 7,712,308 |
| | | |
| Net Assets | | |
| Beginning of period | | - |
| End of period | $ | 7,712,308 |
| | | |
| Other Information | | |
| Shares | | |
| Sold | | 300,000 |
| Net increase (decrease) | | 300,000 |
| | | |
Financial Highlights
Fidelity® Dynamic Buffered Equity ETF |
| |
| | Six months ended (Unaudited) July 31, 2024 A |
Selected Per-Share Data | | |
| Net asset value, beginning of period | $ | 24.99 |
| Income from Investment Operations | | |
Net investment income (loss) B,C | | .06 |
| Net realized and unrealized gain (loss) | | .70 |
| Total from investment operations | | .76 |
| Distributions from net investment income | | (.04) |
| Total distributions | | (.04) |
| Net asset value, end of period | $ | 25.71 |
Total Return D,E | | |
Ratios to Average Net Assets C,F,G | | |
| Expenses before reductions | | .52% H |
| Expenses net of fee waivers, if any | | |
| Expenses net of all reductions | | .48% H |
| Net investment income (loss) | | .75% H |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $ | 7,712 |
Portfolio turnover rate I | | |
AFor the period April 9, 2024 (commencement of operations) through July 31, 2024.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
JAmount not annualized.
KPortfolio turnover rate excludes securities received or delivered in-kind.
Fidelity® Hedged Equity ETF
Schedule of Investments July 31, 2024 (Unaudited)
Showing Percentage of Net Assets
| Common Stocks - 97.2% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 10.0% | | | |
| Diversified Telecommunication Services - 0.9% | | | |
| AT&T, Inc. | | 128,666 | 2,476,821 |
| Verizon Communications, Inc. | | 45,202 | 1,831,585 |
| | | | 4,308,406 |
| Entertainment - 1.6% | | | |
| Netflix, Inc. (a) | | 5,689 | 3,574,683 |
| Playtika Holding Corp. | | 213,503 | 1,629,028 |
| Roku, Inc. Class A (a) | | 3,566 | 207,577 |
| Spotify Technology SA (a) | | 1,424 | 489,771 |
| The Walt Disney Co. | | 14,393 | 1,348,480 |
| | | | 7,249,539 |
| Interactive Media & Services - 6.7% | | | |
| Alphabet, Inc.: | | | |
| Class A | | 57,347 | 9,837,304 |
| Class C | | 51,988 | 9,001,722 |
| Meta Platforms, Inc. Class A | | 25,534 | 12,124,309 |
| | | | 30,963,335 |
| Media - 0.8% | | | |
| Comcast Corp. Class A | | 95,498 | 3,941,202 |
TOTAL COMMUNICATION SERVICES | | | 46,462,482 |
| CONSUMER DISCRETIONARY - 8.7% | | | |
| Automobiles - 1.0% | | | |
| Ford Motor Co. | | 82,816 | 896,069 |
| Tesla, Inc. (a) | | 16,764 | 3,890,421 |
| | | | 4,786,490 |
| Broadline Retail - 3.5% | | | |
| Amazon.com, Inc. (a) | | 86,283 | 16,133,195 |
| Macy's, Inc. | | 8,849 | 152,911 |
| | | | 16,286,106 |
| Hotels, Restaurants & Leisure - 1.4% | | | |
| Chipotle Mexican Grill, Inc. (a) | | 27,810 | 1,510,639 |
| Draftkings Holdings, Inc. (a) | | 8,544 | 315,701 |
| Hilton Worldwide Holdings, Inc. | | 2,015 | 432,560 |
| International Game Technology PLC | | 105,124 | 2,467,260 |
| Light & Wonder, Inc. Class A (a) | | 6,151 | 659,387 |
| MGM Resorts International (a) | | 17,800 | 764,866 |
| Travel+Leisure Co. | | 3,989 | 183,853 |
| | | | 6,334,266 |
| Household Durables - 0.5% | | | |
| Taylor Morrison Home Corp. (a) | | 15,069 | 1,010,829 |
| TRI Pointe Homes, Inc. (a) | | 25,993 | 1,176,183 |
| | | | 2,187,012 |
| Specialty Retail - 2.3% | | | |
| Abercrombie & Fitch Co. Class A (a) | | 3,563 | 525,471 |
| Carvana Co. Class A (a) | | 14,640 | 1,950,487 |
| Gap, Inc. | | 40,339 | 947,160 |
| Ross Stores, Inc. | | 9,295 | 1,331,323 |
| The Home Depot, Inc. | | 15,978 | 5,882,460 |
| TJX Companies, Inc. | | 716 | 80,922 |
| | | | 10,717,823 |
| Textiles, Apparel & Luxury Goods - 0.0% | | | |
| lululemon athletica, Inc. (a) | | 10 | 2,587 |
TOTAL CONSUMER DISCRETIONARY | | | 40,314,284 |
| CONSUMER STAPLES - 4.5% | | | |
| Beverages - 0.5% | | | |
| Boston Beer Co., Inc. Class A (a) | | 3,788 | 1,061,435 |
| PepsiCo, Inc. | | 192 | 33,153 |
| The Coca-Cola Co. | | 17,373 | 1,159,474 |
| | | | 2,254,062 |
| Consumer Staples Distribution & Retail - 2.1% | | | |
| Costco Wholesale Corp. | | 6,124 | 5,033,928 |
| Kroger Co. | | 26,457 | 1,441,907 |
| Walmart, Inc. | | 46,701 | 3,205,557 |
| | | | 9,681,392 |
| Household Products - 1.4% | | | |
| Colgate-Palmolive Co. | | 13,028 | 1,292,247 |
| Kimberly-Clark Corp. | | 7,836 | 1,058,252 |
| Procter & Gamble Co. | | 26,277 | 4,224,291 |
| The Clorox Co. | | 533 | 70,319 |
| | | | 6,645,109 |
| Tobacco - 0.5% | | | |
| Philip Morris International, Inc. | | 21,954 | 2,528,223 |
TOTAL CONSUMER STAPLES | | | 21,108,786 |
| ENERGY - 2.4% | | | |
| Oil, Gas & Consumable Fuels - 2.4% | | | |
| Chevron Corp. | | 1,843 | 295,746 |
| ConocoPhillips Co. | | 4,159 | 462,481 |
| Devon Energy Corp. | | 15,482 | 728,118 |
| EOG Resources, Inc. | | 16,928 | 2,146,470 |
| Exxon Mobil Corp. | | 64,092 | 7,600,670 |
| | | | 11,233,485 |
| FINANCIALS - 13.8% | | | |
| Banks - 2.7% | | | |
| Bank of America Corp. | | 123,410 | 4,974,657 |
| JPMorgan Chase & Co. | | 36,539 | 7,775,499 |
| | | | 12,750,156 |
| Capital Markets - 3.6% | | | |
| Ameriprise Financial, Inc. | | 5,125 | 2,204,109 |
| Bank of New York Mellon Corp. | | 37,381 | 2,432,382 |
| BlackRock, Inc. | | 2,046 | 1,793,319 |
| Charles Schwab Corp. | | 8,952 | 583,581 |
| CME Group, Inc. | | 8,061 | 1,561,496 |
| Goldman Sachs Group, Inc. | | 1,077 | 548,225 |
| LPL Financial | | 3,851 | 853,074 |
| Morgan Stanley | | 22,406 | 2,312,523 |
| Raymond James Financial, Inc. | | 9,636 | 1,117,776 |
| Robinhood Markets, Inc. (a) | | 5,013 | 103,117 |
| S&P Global, Inc. | | 538 | 260,785 |
| SEI Investments Co. | | 24,489 | 1,661,334 |
| T. Rowe Price Group, Inc. | | 8,708 | 994,541 |
| Tradeweb Markets, Inc. Class A | | 717 | 80,075 |
| | | | 16,506,337 |
| Consumer Finance - 0.7% | | | |
| American Express Co. | | 12,104 | 3,062,796 |
| Financial Services - 4.8% | | | |
| Berkshire Hathaway, Inc. Class B (a) | | 23,071 | 10,116,634 |
| Enact Holdings, Inc. | | 22,072 | 751,110 |
| Jackson Financial, Inc. | | 10,478 | 922,693 |
| MasterCard, Inc. Class A | | 13,130 | 6,088,512 |
| PayPal Holdings, Inc. (a) | | 44,096 | 2,900,635 |
| Visa, Inc. Class A | | 6,606 | 1,755,016 |
| | | | 22,534,600 |
| Insurance - 2.0% | | | |
| Allstate Corp. | | 1,800 | 308,016 |
| Aon PLC | | 6,599 | 2,167,837 |
| Globe Life, Inc. | | 12,585 | 1,167,133 |
| Marsh & McLennan Companies, Inc. | | 8,063 | 1,794,582 |
| Progressive Corp. | | 14,620 | 3,130,434 |
| Unum Group | | 2,375 | 136,634 |
| Willis Towers Watson PLC | | 2,564 | 723,766 |
| | | | 9,428,402 |
TOTAL FINANCIALS | | | 64,282,291 |
| HEALTH CARE - 13.0% | | | |
| Biotechnology - 3.5% | | | |
| AbbVie, Inc. | | 17,937 | 3,324,085 |
| Alkermes PLC (a) | | 22,290 | 608,963 |
| Amgen, Inc. | | 4,274 | 1,420,977 |
| Biogen, Inc. (a) | | 7,534 | 1,606,249 |
| Exelixis, Inc. (a) | | 96,308 | 2,258,423 |
| Gilead Sciences, Inc. | | 45,395 | 3,452,744 |
| Halozyme Therapeutics, Inc. (a) | | 7,595 | 419,700 |
| Incyte Corp. (a) | | 38,074 | 2,477,475 |
| Neurocrine Biosciences, Inc. (a) | | 5,780 | 818,275 |
| United Therapeutics Corp. (a) | | 337 | 105,579 |
| | | | 16,492,470 |
| Health Care Equipment & Supplies - 1.7% | | | |
| Abbott Laboratories | | 10,126 | 1,072,748 |
| Becton, Dickinson & Co. | | 10,760 | 2,593,806 |
| DexCom, Inc. (a) | | 8 | 543 |
| Edwards Lifesciences Corp. (a) | | 5,696 | 359,133 |
| Hologic, Inc. (a) | | 27,052 | 2,207,714 |
| IDEXX Laboratories, Inc. (a) | | 2,224 | 1,058,891 |
| Solventum Corp. | | 8,996 | 529,684 |
| | | | 7,822,519 |
| Health Care Providers & Services - 2.7% | | | |
| Cencora, Inc. | | 1,598 | 380,132 |
| Centene Corp. (a) | | 3,486 | 268,143 |
| Cigna Group | | 9,403 | 3,278,544 |
| Elevance Health, Inc. | | 5,442 | 2,895,307 |
| McKesson Corp. | | 714 | 440,552 |
| UnitedHealth Group, Inc. | | 8,765 | 5,050,042 |
| | | | 12,312,720 |
| Life Sciences Tools & Services - 0.7% | | | |
| Medpace Holdings, Inc. (a) | | 5,339 | 2,042,274 |
| Thermo Fisher Scientific, Inc. | | 1,914 | 1,173,933 |
| | | | 3,216,207 |
| Pharmaceuticals - 4.4% | | | |
| Bristol-Myers Squibb Co. | | 68,360 | 3,251,202 |
| Eli Lilly & Co. | | 5,180 | 4,166,119 |
| Johnson & Johnson | | 31,801 | 5,019,788 |
| Merck & Co., Inc. | | 40,996 | 4,637,877 |
| Pfizer, Inc. | | 111,575 | 3,407,501 |
| | | | 20,482,487 |
TOTAL HEALTH CARE | | | 60,326,403 |
| INDUSTRIALS - 10.2% | | | |
| Aerospace & Defense - 3.3% | | | |
| General Electric Co. | | 18,041 | 3,070,578 |
| Hexcel Corp. | | 785 | 51,975 |
| Howmet Aerospace, Inc. | | 31,050 | 2,971,485 |
| Lockheed Martin Corp. | | 6,825 | 3,698,604 |
| Northrop Grumman Corp. | | 5,850 | 2,833,272 |
| Textron, Inc. | | 26,511 | 2,462,872 |
| | | | 15,088,786 |
| Building Products - 0.4% | | | |
| Owens Corning | | 745 | 138,853 |
| Trane Technologies PLC | | 5,270 | 1,761,656 |
| | | | 1,900,509 |
| Commercial Services & Supplies - 1.0% | | | |
| Cintas Corp. | | 3,190 | 2,436,969 |
| Waste Management, Inc. | | 11,714 | 2,373,959 |
| | | | 4,810,928 |
| Electrical Equipment - 0.6% | | | |
| Eaton Corp. PLC | | 8,489 | 2,587,362 |
| Emerson Electric Co. | | 391 | 45,790 |
| | | | 2,633,152 |
| Ground Transportation - 1.9% | | | |
| CSX Corp. | | 80,257 | 2,817,021 |
| Uber Technologies, Inc. (a) | | 33,390 | 2,152,653 |
| Union Pacific Corp. | | 15,950 | 3,935,344 |
| | | | 8,905,018 |
| Industrial Conglomerates - 0.2% | | | |
| 3M Co. | | 8,413 | 1,073,078 |
| Machinery - 0.8% | | | |
| Caterpillar, Inc. | | 5,120 | 1,772,544 |
| Illinois Tool Works, Inc. | | 2,143 | 529,921 |
| PACCAR, Inc. | | 8,544 | 842,951 |
| Westinghouse Air Brake Tech Co. | | 3,341 | 538,402 |
| | | | 3,683,818 |
| Passenger Airlines - 0.2% | | | |
| SkyWest, Inc. (a) | | 13,571 | 1,084,866 |
| Professional Services - 1.7% | | | |
| CACI International, Inc. (a) | | 5,373 | 2,479,532 |
| Leidos Holdings, Inc. | | 13,603 | 1,964,273 |
| SS&C Technologies Holdings, Inc. | | 35,036 | 2,555,876 |
| Verisk Analytics, Inc. | | 2,914 | 762,740 |
| | | | 7,762,421 |
| Trading Companies & Distributors - 0.1% | | | |
| Applied Industrial Technologies, Inc. | | 1,784 | 389,251 |
TOTAL INDUSTRIALS | | | 47,331,827 |
| INFORMATION TECHNOLOGY - 29.9% | | | |
| Communications Equipment - 0.2% | | | |
| Arista Networks, Inc. (a) | | 2,398 | 831,027 |
| Electronic Equipment, Instruments & Components - 0.1% | | | |
| Itron, Inc. (a) | | 2,922 | 302,252 |
| IT Services - 0.3% | | | |
| Twilio, Inc. Class A (a) | | 7,983 | 472,035 |
| Wix.com Ltd. (a) | | 7,122 | 1,110,498 |
| | | | 1,582,533 |
| Semiconductors & Semiconductor Equipment - 11.7% | | | |
| Advanced Micro Devices, Inc. (a) | | 1,409 | 203,572 |
| Applied Materials, Inc. | | 18,045 | 3,829,149 |
| Broadcom, Inc. | | 55,678 | 8,946,341 |
| Cirrus Logic, Inc. (a) | | 2,793 | 364,431 |
| Intel Corp. | | 69,426 | 2,134,155 |
| KLA Corp. | | 3,652 | 3,005,852 |
| Micron Technology, Inc. | | 15,043 | 1,652,022 |
| NVIDIA Corp. | | 258,565 | 30,257,276 |
| Qualcomm, Inc. | | 21,683 | 3,923,539 |
| | | | 54,316,337 |
| Software - 10.4% | | | |
| Adobe, Inc. (a) | | 8,686 | 4,791,632 |
| Alarm.com Holdings, Inc. (a) | | 12,160 | 857,888 |
| DocuSign, Inc. (a) | | 14,952 | 829,537 |
| Dropbox, Inc. Class A (a) | | 104,036 | 2,488,541 |
| Gen Digital, Inc. | | 22,012 | 572,092 |
| GitLab, Inc. (a) | | 622 | 31,865 |
| Microsoft Corp. | | 68,417 | 28,622,252 |
| Pegasystems, Inc. | | 12,885 | 898,342 |
| RingCentral, Inc. (a) | | 30,407 | 1,065,765 |
| Salesforce, Inc. | | 16,053 | 4,154,516 |
| Teradata Corp. (a) | | 58,401 | 1,893,360 |
| Zoom Video Communications, Inc. Class A (a) | | 39,024 | 2,357,050 |
| | | | 48,562,840 |
| Technology Hardware, Storage & Peripherals - 7.2% | | | |
| Apple, Inc. | | 150,930 | 33,518,530 |
| Western Digital Corp. (a) | | 2,850 | 191,093 |
| | | | 33,709,623 |
TOTAL INFORMATION TECHNOLOGY | | | 139,304,612 |
| MATERIALS - 2.1% | | | |
| Chemicals - 0.9% | | | |
| Ecolab, Inc. | | 11,711 | 2,701,611 |
| PPG Industries, Inc. | | 13,750 | 1,745,975 |
| | | | 4,447,586 |
| Construction Materials - 0.6% | | | |
| CRH PLC | | 3,492 | 299,264 |
| Vulcan Materials Co. | | 9,498 | 2,607,296 |
| | | | 2,906,560 |
| Containers & Packaging - 0.1% | | | |
| Crown Holdings, Inc. | | 2,905 | 257,674 |
| Metals & Mining - 0.5% | | | |
| Nucor Corp. | | 13,657 | 2,225,272 |
TOTAL MATERIALS | | | 9,837,092 |
| REAL ESTATE - 1.1% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.1% | | | |
| Invitation Homes, Inc. | | 59,851 | 2,110,945 |
| Public Storage Operating Co. | | 6,839 | 2,023,797 |
| VICI Properties, Inc. | | 36,474 | 1,140,177 |
| | | | 5,274,919 |
| UTILITIES - 1.5% | | | |
| Electric Utilities - 1.2% | | | |
| NextEra Energy, Inc. | | 40,859 | 3,121,219 |
| Otter Tail Corp. | | 22,626 | 2,192,912 |
| Xcel Energy, Inc. | | 7,121 | 415,012 |
| | | | 5,729,143 |
| Gas Utilities - 0.1% | | | |
| UGI Corp. | | 18,515 | 458,802 |
| Independent Power and Renewable Electricity Producers - 0.2% | | | |
| The AES Corp. | | 42,165 | 750,115 |
| Vistra Corp. | | 3,428 | 271,566 |
| | | | 1,021,681 |
TOTAL UTILITIES | | | 7,209,626 |
| TOTAL COMMON STOCKS (Cost $433,837,780) | | | 452,685,807 |
| | | | |
| Money Market Funds - 0.5% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (b) (Cost $2,129,184) | | 2,128,758 | 2,129,184 |
| | | | |
| Equity Funds - 1.1% |
| | | Shares | Value ($) |
| Domestic Equity Funds - 1.1% | | | |
iShares Core S&P 500 ETF (Cost $4,661,651) | | 8,756 | 4,844,870 |
| | | | |
| Purchased Options - 1.2% |
| | Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) |
| Put Options | | | | | | |
| S&P 500 Index | Chicago Board Options Exchange | 332 | 183,340,360 | 5,080 | 08/16/24 | 114,540 |
| S&P 500 Index | Chicago Board Options Exchange | 257 | 141,923,110 | 3,750 | 05/16/25 | 605,235 |
| S&P 500 Index | Chicago Board Options Exchange | 340 | 187,758,200 | 5,300 | 09/20/24 | 1,417,800 |
| S&P 500 Index | Chicago Board Options Exchange | 250 | 138,057,500 | 3,900 | 06/20/25 | 778,750 |
| S&P 500 Index | Chicago Board Options Exchange | 290 | 160,146,700 | 5,360 | 10/18/24 | 2,076,400 |
| S&P 500 Index | Chicago Board Options Exchange | 200 | 110,446,000 | 4,000 | 07/18/25 | 763,000 |
| S&P 500 Mini Index | Chicago Board Options Exchange | 43 | 2,374,589 | 505 | 08/16/24 | 1,462 |
| S&P 500 Mini Index | Chicago Board Options Exchange | 33 | 1,822,359 | 370 | 05/16/25 | 7,425 |
| | | | | | | |
| | | | | | | 5,764,612 |
TOTAL PURCHASED OPTIONS (Cost $7,974,891) | | | | | | 5,764,612 |
For the period, the average monthly notional amount at value for purchased options in the aggregate was $684,357,662.
| TOTAL INVESTMENT IN SECURITIES - 100.0% (Cost $448,603,506) | 465,424,473 |
NET OTHER ASSETS (LIABILITIES) - 0.0% | 145,422 |
| NET ASSETS - 100.0% | 465,569,895 |
| | |
Security Type Abbreviations
Legend
| (b) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | - | 8,474,101 | 6,344,922 | 37,888 | 5 | - | 2,129,184 | 0.0% |
| Total | - | 8,474,101 | 6,344,922 | 37,888 | 5 | - | 2,129,184 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 46,462,482 | 46,462,482 | - | - |
Consumer Discretionary | 40,314,284 | 40,314,284 | - | - |
Consumer Staples | 21,108,786 | 21,108,786 | - | - |
Energy | 11,233,485 | 11,233,485 | - | - |
Financials | 64,282,291 | 64,282,291 | - | - |
Health Care | 60,326,403 | 60,326,403 | - | - |
Industrials | 47,331,827 | 47,331,827 | - | - |
Information Technology | 139,304,612 | 139,304,612 | - | - |
Materials | 9,837,092 | 9,837,092 | - | - |
Real Estate | 5,274,919 | 5,274,919 | - | - |
Utilities | 7,209,626 | 7,209,626 | - | - |
|
| Money Market Funds | 2,129,184 | 2,129,184 | - | - |
|
| Equity Funds | 4,844,870 | 4,844,870 | - | - |
|
| Purchased Options | 5,764,612 | 5,764,612 | - | - |
| Total Investments in Securities: | 465,424,473 | 465,424,473 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Purchased Options (a) | 5,764,612 | 0 |
| Total Equity Risk | 5,764,612 | 0 |
| Total Value of Derivatives | 5,764,612 | 0 |
(a)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.
Fidelity® Hedged Equity ETF
Financial Statements (Unaudited)
| Statement of Assets and Liabilities |
| As of July 31, 2024 (Unaudited) |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $446,474,322) | $ | 463,295,289 | | |
Fidelity Central Funds (cost $2,129,184) | | 2,129,184 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $448,603,506) | | | $ | 465,424,473 |
| Cash | | | | 500 |
| Dividends receivable | | | | 323,704 |
| Distributions receivable from Fidelity Central Funds | | | | 12,112 |
| Receivable from investment adviser for expense reductions | | | | 8,256 |
Total assets | | | | 465,769,045 |
| Liabilities | | | | |
| Accrued management fee | $ | 186,289 | | |
| Other affiliated payables | | 12,861 | | |
| Total liabilities | | | | 199,150 |
| Net Assets | | | $ | 465,569,895 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 450,403,283 |
| Total accumulated earnings (loss) | | | | 15,166,612 |
| Net Assets | | | $ | 465,569,895 |
Net Asset Value, offering price and redemption price per share ($465,569,895 ÷ 17,850,000 shares) | | | $ | 26.08 |
| Statement of Operations |
For the period April 9, 2024 (commencement of operations) through July 31, 2024 (Unaudited)
|
| Investment Income | | | | |
| Dividends | | | $ | 1,211,421 |
| Income from Fidelity Central Funds | | | | 37,888 |
| Total income | | | | 1,249,309 |
| Expenses | | | | |
| Management fee | $ | 466,576 | | |
| Independent trustees' fees and expenses | | 32,651 | | |
| Total expenses before reductions | | 499,227 | | |
| Expense reductions | | (35,838) | | |
| Total expenses after reductions | | | | 463,389 |
| Net Investment income (loss) | | | | 785,920 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (1,604,266) | | |
| Redemptions in-kind | | (302,764) | | |
| Fidelity Central Funds | | 5 | | |
| Total net realized gain (loss) | | | | (1,907,025) |
| Change in net unrealized appreciation (depreciation) on investment securities | | | | 16,820,967 |
| Net gain (loss) | | | | 14,913,942 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 15,699,862 |
| Statement of Changes in Net Assets |
| |
| | For the period April 9, 2024 (commencement of operations) through July 31, 2024 (Unaudited) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $ | 785,920 |
| Net realized gain (loss) | | (1,907,025) |
| Change in net unrealized appreciation (depreciation) | | 16,820,967 |
| Net increase (decrease) in net assets resulting from operations | | 15,699,862 |
| Distributions to shareholders | | (533,250) |
| | | |
| Share transactions | | |
| Proceeds from sales of shares | | 481,110,032 |
| Cost of shares redeemed | | (30,706,749) |
| | | |
Net increase (decrease) in net assets resulting from share transactions | | 450,403,283 |
| Total increase (decrease) in net assets | | 465,569,895 |
| | | |
| Net Assets | | |
| Beginning of period | | - |
| End of period | $ | 465,569,895 |
| | | |
| Other Information | | |
| Shares | | |
| Sold | | 19,075,000 |
| Redeemed | | (1,225,000) |
| Net increase (decrease) | | 17,850,000 |
| | | |
Financial Highlights
Fidelity® Hedged Equity ETF |
| |
| | Six months ended (Unaudited) July 31, 2024 A |
Selected Per-Share Data | | |
| Net asset value, beginning of period | $ | 24.99 |
| Income from Investment Operations | | |
Net investment income (loss) B,C | | .06 |
| Net realized and unrealized gain (loss) | | 1.06 |
| Total from investment operations | | 1.12 |
| Distributions from net investment income | | (.03) |
| Total distributions | | (.03) |
| Net asset value, end of period | $ | 26.08 |
Total Return D,E | | |
Ratios to Average Net Assets C,F,G | | |
| Expenses before reductions | | .52% H |
| Expenses net of fee waivers, if any | | |
| Expenses net of all reductions | | .48% H |
| Net investment income (loss) | | .82% H |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $ | 465,570 |
Portfolio turnover rate I | | |
AFor the period April 9, 2024 (commencement of operations) through July 31, 2024.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
JAmount not annualized.
KPortfolio turnover rate excludes securities received or delivered in-kind.
Fidelity® Yield Enhanced Equity ETF
Schedule of Investments July 31, 2024 (Unaudited)
Showing Percentage of Net Assets
| Common Stocks - 99.2% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 10.1% | | | |
| Diversified Telecommunication Services - 0.8% | | | |
| AT&T, Inc. (a) | | 1,408 | 27,104 |
| Verizon Communications, Inc. (a) | | 549 | 22,245 |
| | | | 49,349 |
| Entertainment - 1.6% | | | |
| Netflix, Inc. (a)(b) | | 72 | 45,242 |
| Playtika Holding Corp. (a) | | 2,743 | 20,929 |
| Roku, Inc. Class A (b) | | 53 | 3,085 |
| Spotify Technology SA (a)(b) | | 18 | 6,191 |
| The Walt Disney Co. | | 155 | 14,522 |
| | | | 89,969 |
| Interactive Media & Services - 6.8% | | | |
| Alphabet, Inc.: | | | |
| Class A (a) | | 724 | 124,195 |
| Class C (a) | | 658 | 113,933 |
| Meta Platforms, Inc. Class A (a) | | 327 | 155,269 |
| | | | 393,397 |
| Media - 0.9% | | | |
| Comcast Corp. Class A (a) | | 1,212 | 50,019 |
TOTAL COMMUNICATION SERVICES | | | 582,734 |
| CONSUMER DISCRETIONARY - 9.0% | | | |
| Automobiles - 1.1% | | | |
| Ford Motor Co. | | 1,029 | 11,134 |
| Tesla, Inc. (b) | | 212 | 49,199 |
| | | | 60,333 |
| Broadline Retail - 3.6% | | | |
| Amazon.com, Inc. (a)(b) | | 1,114 | 208,296 |
| Macy's, Inc. | | 50 | 864 |
| | | | 209,160 |
| Hotels, Restaurants & Leisure - 1.3% | | | |
| Chipotle Mexican Grill, Inc. (b) | | 162 | 8,800 |
| Draftkings Holdings, Inc. (b) | | 108 | 3,991 |
| Hilton Worldwide Holdings, Inc. | | 39 | 8,372 |
| International Game Technology PLC | | 1,324 | 31,074 |
| Light & Wonder, Inc. Class A (b) | | 27 | 2,894 |
| McDonald's Corp. | | 50 | 13,270 |
| MGM Resorts International (b) | | 148 | 6,360 |
| Travel+Leisure Co. | | 50 | 2,305 |
| | | | 77,066 |
| Household Durables - 0.6% | | | |
| Taylor Morrison Home Corp. (b) | | 271 | 18,179 |
| Toll Brothers, Inc. | | 7 | 999 |
| TRI Pointe Homes, Inc. (b) | | 288 | 13,032 |
| | | | 32,210 |
| Specialty Retail - 2.4% | | | |
| Abercrombie & Fitch Co. Class A (b) | | 48 | 7,079 |
| Carvana Co. Class A (b) | | 185 | 24,648 |
| Gap, Inc. | | 609 | 14,299 |
| Ross Stores, Inc. | | 119 | 17,044 |
| The Home Depot, Inc. (a) | | 205 | 75,473 |
| TJX Companies, Inc. | | 13 | 1,469 |
| | | | 140,012 |
| Textiles, Apparel & Luxury Goods - 0.0% | | | |
| lululemon athletica, Inc. (b) | | 10 | 2,587 |
TOTAL CONSUMER DISCRETIONARY | | | 521,368 |
| CONSUMER STAPLES - 4.5% | | | |
| Beverages - 0.4% | | | |
| Boston Beer Co., Inc. Class A (b) | | 39 | 10,928 |
| The Coca-Cola Co. | | 190 | 12,681 |
| | | | 23,609 |
| Consumer Staples Distribution & Retail - 2.1% | | | |
| Costco Wholesale Corp. | | 77 | 63,294 |
| Kroger Co. | | 324 | 17,658 |
| Walmart, Inc. | | 594 | 40,772 |
| | | | 121,724 |
| Household Products - 1.4% | | | |
| Colgate-Palmolive Co. | | 166 | 16,466 |
| Kimberly-Clark Corp. | | 101 | 13,640 |
| Procter & Gamble Co. | | 337 | 54,176 |
| | | | 84,282 |
| Tobacco - 0.6% | | | |
| Philip Morris International, Inc. | | 281 | 32,360 |
TOTAL CONSUMER STAPLES | | | 261,975 |
| ENERGY - 2.4% | | | |
| Oil, Gas & Consumable Fuels - 2.4% | | | |
| Chevron Corp. | | 24 | 3,851 |
| ConocoPhillips Co. | | 33 | 3,670 |
| Devon Energy Corp. | | 145 | 6,819 |
| EOG Resources, Inc. | | 216 | 27,389 |
| Exxon Mobil Corp. | | 806 | 95,584 |
| | | | 137,313 |
| FINANCIALS - 14.4% | | | |
| Banks - 2.9% | | | |
| Bank of America Corp. (a) | | 1,559 | 62,843 |
| JPMorgan Chase & Co. (a) | | 494 | 105,123 |
| | | | 167,966 |
| Capital Markets - 3.7% | | | |
| Ameriprise Financial, Inc. (a) | | 66 | 28,385 |
| Bank of New York Mellon Corp. | | 279 | 18,155 |
| BlackRock, Inc. | | 48 | 42,072 |
| Charles Schwab Corp. (a) | | 149 | 9,713 |
| CME Group, Inc. (a) | | 100 | 19,371 |
| Goldman Sachs Group, Inc. (a) | | 15 | 7,635 |
| LPL Financial | | 50 | 11,076 |
| Morgan Stanley | | 224 | 23,119 |
| Raymond James Financial, Inc. (a) | | 124 | 14,384 |
| Robinhood Markets, Inc. (b) | | 64 | 1,316 |
| S&P Global, Inc. | | 11 | 5,332 |
| SEI Investments Co. | | 314 | 21,302 |
| T. Rowe Price Group, Inc. | | 79 | 9,023 |
| Tradeweb Markets, Inc. Class A (a) | | 23 | 2,569 |
| | | | 213,452 |
| Consumer Finance - 0.7% | | | |
| American Express Co. (a) | | 158 | 39,980 |
| Financial Services - 4.8% | | | |
| Berkshire Hathaway, Inc. Class B (a)(b) | | 293 | 128,481 |
| Enact Holdings, Inc. (a) | | 288 | 9,801 |
| Jackson Financial, Inc. | | 45 | 3,963 |
| MasterCard, Inc. Class A (a) | | 162 | 75,121 |
| PayPal Holdings, Inc. (a)(b) | | 591 | 38,876 |
| Visa, Inc. Class A (a) | | 84 | 22,316 |
| | | | 278,558 |
| Insurance - 2.3% | | | |
| Aon PLC (a) | | 87 | 28,580 |
| Globe Life, Inc. | | 231 | 21,423 |
| Marsh & McLennan Companies, Inc. (a) | | 99 | 22,034 |
| Progressive Corp. (a) | | 194 | 41,539 |
| Unum Group (a) | | 110 | 6,328 |
| Willis Towers Watson PLC | | 32 | 9,033 |
| | | | 128,937 |
TOTAL FINANCIALS | | | 828,893 |
| HEALTH CARE - 13.2% | | | |
| Biotechnology - 3.7% | | | |
| AbbVie, Inc. (a) | | 269 | 49,851 |
| Alkermes PLC (a)(b) | | 282 | 7,704 |
| Amgen, Inc. | | 54 | 17,953 |
| Biogen, Inc. (a)(b) | | 95 | 20,254 |
| Exelixis, Inc. (a)(b) | | 1,232 | 28,890 |
| Gilead Sciences, Inc. (a) | | 573 | 43,582 |
| Halozyme Therapeutics, Inc. (b) | | 130 | 7,184 |
| Incyte Corp. (a)(b) | | 344 | 22,384 |
| Neurocrine Biosciences, Inc. (b) | | 95 | 13,449 |
| United Therapeutics Corp. (b) | | 3 | 940 |
| | | | 212,191 |
| Health Care Equipment & Supplies - 1.5% | | | |
| Abbott Laboratories | | 135 | 14,302 |
| Becton, Dickinson & Co. (a) | | 145 | 34,954 |
| DexCom, Inc. (b) | | 8 | 543 |
| Edwards Lifesciences Corp. (a)(b) | | 72 | 4,540 |
| GE Healthcare Technologies, Inc. (a) | | 11 | 931 |
| Hologic, Inc. (a)(b) | | 342 | 27,911 |
| Solventum Corp. | | 77 | 4,534 |
| | | | 87,715 |
| Health Care Providers & Services - 2.8% | | | |
| Cencora, Inc. | | 36 | 8,564 |
| Centene Corp. (a)(b) | | 16 | 1,231 |
| Cigna Group | | 119 | 41,492 |
| Elevance Health, Inc. (a) | | 66 | 35,114 |
| McKesson Corp. | | 11 | 6,787 |
| UnitedHealth Group, Inc. (a) | | 120 | 69,139 |
| | | | 162,327 |
| Life Sciences Tools & Services - 0.7% | | | |
| Medpace Holdings, Inc. (a)(b) | | 68 | 26,011 |
| Thermo Fisher Scientific, Inc. | | 27 | 16,560 |
| | | | 42,571 |
| Pharmaceuticals - 4.5% | | | |
| Bristol-Myers Squibb Co. (a) | | 865 | 41,139 |
| Eli Lilly & Co. (a) | | 64 | 51,473 |
| Johnson & Johnson (a) | | 401 | 63,298 |
| Merck & Co., Inc. (a) | | 524 | 59,280 |
| Pfizer, Inc. (a) | | 1,407 | 42,970 |
| | | | 258,160 |
TOTAL HEALTH CARE | | | 762,964 |
| INDUSTRIALS - 10.4% | | | |
| Aerospace & Defense - 3.3% | | | |
| General Electric Co. | | 226 | 38,465 |
| Hexcel Corp. | | 10 | 662 |
| Howmet Aerospace, Inc. | | 395 | 37,802 |
| L3Harris Technologies, Inc. | | 7 | 1,588 |
| Lockheed Martin Corp. (a) | | 87 | 47,147 |
| Northrop Grumman Corp. (a) | | 74 | 35,840 |
| Textron, Inc. (a) | | 334 | 31,029 |
| | | | 192,533 |
| Building Products - 0.4% | | | |
| Trane Technologies PLC (a) | | 65 | 21,728 |
| Commercial Services & Supplies - 1.1% | | | |
| Cintas Corp. (a) | | 39 | 29,794 |
| Waste Management, Inc. | | 156 | 31,615 |
| | | | 61,409 |
| Electrical Equipment - 0.6% | | | |
| Eaton Corp. PLC (a) | | 109 | 33,222 |
| EnerSys | | 6 | 660 |
| | | | 33,882 |
| Ground Transportation - 2.0% | | | |
| CSX Corp. (a) | | 1,008 | 35,381 |
| Uber Technologies, Inc. (a)(b) | | 462 | 29,785 |
| Union Pacific Corp. (a) | | 201 | 49,593 |
| | | | 114,759 |
| Industrial Conglomerates - 0.1% | | | |
| 3M Co. | | 62 | 7,908 |
| Machinery - 0.8% | | | |
| Caterpillar, Inc. (a) | | 63 | 21,811 |
| Illinois Tool Works, Inc. | | 34 | 8,408 |
| PACCAR, Inc. (a) | | 108 | 10,655 |
| Westinghouse Air Brake Tech Co. | | 43 | 6,929 |
| | | | 47,803 |
| Passenger Airlines - 0.3% | | | |
| SkyWest, Inc. (b) | | 204 | 16,308 |
| Professional Services - 1.6% | | | |
| CACI International, Inc. (a)(b) | | 58 | 26,766 |
| Leidos Holdings, Inc. (a) | | 181 | 26,136 |
| SS&C Technologies Holdings, Inc. (a) | | 441 | 32,171 |
| Verisk Analytics, Inc. | | 37 | 9,685 |
| | | | 94,758 |
| Trading Companies & Distributors - 0.2% | | | |
| Applied Industrial Technologies, Inc. | | 38 | 8,291 |
TOTAL INDUSTRIALS | | | 599,379 |
| INFORMATION TECHNOLOGY - 30.4% | | | |
| Communications Equipment - 0.1% | | | |
| Arista Networks, Inc. (b) | | 24 | 8,317 |
| IT Services - 0.4% | | | |
| Twilio, Inc. Class A (b) | | 115 | 6,800 |
| Wix.com Ltd. (b) | | 90 | 14,033 |
| | | | 20,833 |
| Semiconductors & Semiconductor Equipment - 11.9% | | | |
| Advanced Micro Devices, Inc. (b) | | 19 | 2,745 |
| Applied Materials, Inc. | | 228 | 48,382 |
| Broadcom, Inc. | | 730 | 117,296 |
| Cirrus Logic, Inc. (b) | | 47 | 6,133 |
| Intel Corp. | | 674 | 20,719 |
| KLA Corp. | | 45 | 37,038 |
| Micron Technology, Inc. | | 235 | 25,808 |
| NVIDIA Corp. | | 3,258 | 381,251 |
| Qualcomm, Inc. (a) | | 267 | 48,314 |
| | | | 687,686 |
| Software - 10.7% | | | |
| Adobe, Inc. (a)(b) | | 111 | 61,233 |
| Alarm.com Holdings, Inc. (b) | | 157 | 11,076 |
| DocuSign, Inc. (b) | | 189 | 10,486 |
| Dropbox, Inc. Class A (b) | | 1,312 | 31,383 |
| Gen Digital, Inc. | | 279 | 7,251 |
| GitLab, Inc. (b) | | 25 | 1,281 |
| Microsoft Corp. (a) | | 868 | 363,128 |
| Pegasystems, Inc. | | 118 | 8,227 |
| RingCentral, Inc. (b) | | 361 | 12,653 |
| Salesforce, Inc. (a) | | 211 | 54,607 |
| Teradata Corp. (b) | | 739 | 23,958 |
| Zoom Video Communications, Inc. Class A (b) | | 492 | 29,717 |
| | | | 615,000 |
| Technology Hardware, Storage & Peripherals - 7.3% | | | |
| Apple, Inc. (a) | | 1,906 | 423,281 |
TOTAL INFORMATION TECHNOLOGY | | | 1,755,117 |
| MATERIALS - 2.1% | | | |
| Chemicals - 1.0% | | | |
| Ecolab, Inc. | | 152 | 35,065 |
| Olin Corp. | | 7 | 319 |
| PPG Industries, Inc. | | 155 | 19,682 |
| | | | 55,066 |
| Construction Materials - 0.5% | | | |
| CRH PLC | | 53 | 4,542 |
| Vulcan Materials Co. | | 98 | 26,902 |
| | | | 31,444 |
| Containers & Packaging - 0.1% | | | |
| Crown Holdings, Inc. | | 42 | 3,725 |
| Metals & Mining - 0.5% | | | |
| Nucor Corp. | | 180 | 29,329 |
TOTAL MATERIALS | | | 119,564 |
| REAL ESTATE - 1.1% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.1% | | | |
| Crown Castle, Inc. | | 20 | 2,202 |
| Invitation Homes, Inc. | | 755 | 26,629 |
| Public Storage Operating Co. | | 87 | 25,745 |
| VICI Properties, Inc. | | 316 | 9,878 |
| | | | 64,454 |
| UTILITIES - 1.6% | | | |
| Electric Utilities - 1.3% | | | |
| NextEra Energy, Inc. | | 537 | 41,021 |
| Otter Tail Corp. | | 256 | 24,812 |
| Xcel Energy, Inc. | | 93 | 5,420 |
| | | | 71,253 |
| Gas Utilities - 0.1% | | | |
| New Jersey Resources Corp. | | 13 | 608 |
| UGI Corp. | | 241 | 5,972 |
| | | | 6,580 |
| Independent Power and Renewable Electricity Producers - 0.2% | | | |
| The AES Corp. | | 530 | 9,429 |
| Vistra Corp. | | 43 | 3,406 |
| | | | 12,835 |
TOTAL UTILITIES | | | 90,668 |
| TOTAL COMMON STOCKS (Cost $5,367,586) | | | 5,724,429 |
| | | | |
| Money Market Funds - 0.6% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (c) (Cost $33,639) | | 33,632 | 33,639 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 99.8% (Cost $5,401,225) | 5,758,068 |
NET OTHER ASSETS (LIABILITIES) - 0.2% | 13,357 |
| NET ASSETS - 100.0% | 5,771,425 |
| | |
| Written Options |
| | Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) |
| Call Options | | | | | | |
| S&P 500 Mini Index | Chicago Board Options Exchange | 24 | 1,325,352 | 568.00 | 08/09/24 | (1,296) |
| S&P 500 Mini Index | Chicago Board Options Exchange | 24 | 1,325,352 | 571.00 | 08/16/24 | (2,232) |
| S&P 500 Mini Index | Chicago Board Options Exchange | 25 | 1,380,575 | 557.00 | 08/23/24 | (16,563) |
| S&P 500 Mini Index | Chicago Board Options Exchange | 24 | 1,325,352 | 566.00 | 08/30/24 | (9,624) |
| | | | | | | |
| TOTAL WRITTEN OPTIONS | | | | | | (29,715) |
For the period, the average monthly notional amount at value for written options in the aggregate was $5,282,578.
Legend
| (a) | Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $1,081,500. |
| (c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | - | 164,032 | 130,393 | 1,283 | - | - | 33,639 | 0.0% |
| Total | - | 164,032 | 130,393 | 1,283 | - | - | 33,639 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 582,734 | 582,734 | - | - |
Consumer Discretionary | 521,368 | 521,368 | - | - |
Consumer Staples | 261,975 | 261,975 | - | - |
Energy | 137,313 | 137,313 | - | - |
Financials | 828,893 | 828,893 | - | - |
Health Care | 762,964 | 762,964 | - | - |
Industrials | 599,379 | 599,379 | - | - |
Information Technology | 1,755,117 | 1,755,117 | - | - |
Materials | 119,564 | 119,564 | - | - |
Real Estate | 64,454 | 64,454 | - | - |
Utilities | 90,668 | 90,668 | - | - |
|
| Money Market Funds | 33,639 | 33,639 | - | - |
| Total Investments in Securities: | 5,758,068 | 5,758,068 | - | - |
Derivative Instruments: Liabilities | | | | |
Written Options | (29,715) | (29,715) | - | - |
| Total Liabilities | (29,715) | (29,715) | - | - |
| Total Derivative Instruments: | (29,715) | (29,715) | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Written Options (a) | 0 | (29,715) |
| Total Equity Risk | 0 | (29,715) |
| Total Value of Derivatives | 0 | (29,715) |
(a)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.
Fidelity® Yield Enhanced Equity ETF
Financial Statements (Unaudited)
| Statement of Assets and Liabilities |
| As of July 31, 2024 (Unaudited) |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $5,367,586) | $ | 5,724,429 | | |
Fidelity Central Funds (cost $33,639) | | 33,639 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $5,401,225) | | | $ | 5,758,068 |
| Cash | | | | 31,100 |
| Receivable for investments sold | | | | 9,272 |
| Dividends receivable | | | | 4,411 |
| Distributions receivable from Fidelity Central Funds | | | | 169 |
| Receivable from investment adviser for expense reductions | | | | 175 |
Total assets | | | | 5,803,195 |
| Liabilities | | | | |
| Payable for investments purchased | $ | 547 | | |
| Accrued management fee | | 1,345 | | |
| Written options, at value (premium received $36,777) | | 29,715 | | |
| Other affiliated payables | | 163 | | |
| Total liabilities | | | | 31,770 |
| Net Assets | | | $ | 5,771,425 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 5,621,752 |
| Total accumulated earnings (loss) | | | | 149,673 |
| Net Assets | | | $ | 5,771,425 |
Net Asset Value, offering price and redemption price per share ($5,771,425 ÷ 225,000 shares) | | | $ | 25.65 |
| Statement of Operations |
For the period April 9, 2024 (commencement of operations) through July 31, 2024 (Unaudited)
|
| Investment Income | | | | |
| Dividends | | | $ | 20,857 |
| Income from Fidelity Central Funds | | | | 1,283 |
| Total income | | | | 22,140 |
| Expenses | | | | |
| Management fee | $ | 4,867 | | |
| Independent trustees' fees and expenses | | 758 | | |
| Total expenses before reductions | | 5,625 | | |
| Expense reductions | | (680) | | |
| Total expenses after reductions | | | | 4,945 |
| Net Investment income (loss) | | | | 17,195 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (19,933) | | |
| Written options | | (110,019) | | |
| Total net realized gain (loss) | | | | (129,952) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 356,843 | | |
| Written options | | 7,062 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 363,905 |
| Net gain (loss) | | | | 233,953 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 251,148 |
| Statement of Changes in Net Assets |
| |
| | For the period April 9, 2024 (commencement of operations) through July 31, 2024 (Unaudited) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $ | 17,195 |
| Net realized gain (loss) | | (129,952) |
| Change in net unrealized appreciation (depreciation) | | 363,905 |
| Net increase (decrease) in net assets resulting from operations | | 251,148 |
| Distributions to shareholders | | (101,475) |
| | | |
| Share transactions | | |
| Proceeds from sales of shares | | 5,621,752 |
| | | |
Net increase (decrease) in net assets resulting from share transactions | | 5,621,752 |
| Total increase (decrease) in net assets | | 5,771,425 |
| | | |
| Net Assets | | |
| Beginning of period | | - |
| End of period | $ | 5,771,425 |
| | | |
| Other Information | | |
| Shares | | |
| Sold | | 225,000 |
| Net increase (decrease) | | 225,000 |
| | | |
Financial Highlights
Fidelity® Yield Enhanced Equity ETF |
| |
| | Six months ended (Unaudited) July 31, 2024 A |
Selected Per-Share Data | | |
| Net asset value, beginning of period | $ | 24.99 |
| Income from Investment Operations | | |
Net investment income (loss) B,C | | .08 |
| Net realized and unrealized gain (loss) | | 1.03 |
| Total from investment operations | | 1.11 |
| Distributions from net investment income | | (.45) |
| Total distributions | | (.45) |
| Net asset value, end of period | $ | 25.65 |
Total Return D,E | | |
Ratios to Average Net Assets C,F,G | | |
| Expenses before reductions | | .32% H |
| Expenses net of fee waivers, if any | | |
| Expenses net of all reductions | | .28% H |
| Net investment income (loss) | | .99% H |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $ | 5,771 |
Portfolio turnover rate I | | |
AFor the period April 9, 2024 (commencement of operations) through July 31, 2024.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
JAmount not annualized.
KPortfolio turnover rate excludes securities received or delivered in-kind.
Notes to Financial Statements
(Unaudited)For the period ended July 31, 2024
1. Organization.
Fidelity Dynamic Buffered Equity ETF, Fidelity Hedged Equity ETF and Fidelity Yield Enhanced Equity ETF (the Funds) are exchange-traded funds of Fidelity Greenwood Street Trust (the Trust) and are authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| 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% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated each Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, each Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages each Fund's fair valuation practices and maintains the fair valuation policies and procedures. Each Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value each Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2024 is included at the end of each Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business (normally 4:00 p.m. Eastern time) of the Cboe BZX Exchange, Inc. (CboeBZX). Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Funds represent a return of capital or capital gain. The Funds determine the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:
| | Tax cost ($) | Gross unrealized appreciation ($) | Gross unrealized depreciation ($) | Net unrealized appreciation (depreciation) ($) |
| Fidelity Dynamic Buffered Equity ETF | 7,316,776 | 559,612 | (180,036) | 379,576 |
| Fidelity Hedged Equity ETF | 448,706,342 | 25,718,808 | (9,000,677) | 16,718,131 |
| Fidelity Yield Enhanced Equity ETF | 5,405,897 | 480,287 | (121,054) | 359,233 |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. Each Fund's investment objectives allow for various types of derivative instruments, including options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
| Fidelity Dynamic Buffered Equity ETF | | |
| Equity Risk | | |
| Purchased Options | (46,492) | (37,137) |
| Written Options | (114,221) | 6,453 |
| Total Equity Risk | (160,713) | (30,684) |
| Totals | (160,713) | (30,684) |
| Fidelity Hedged Equity ETF | | |
| Equity Risk | | |
| Purchased Options | (738,843) | (2,210,279) |
| Total Equity Risk | (738,843) | (2,210,279) |
| Totals | (738,843) | (2,210,279) |
| Fidelity Yield Enhanced Equity ETF | | |
| Equity Risk | | |
| Written Options | (110,019) | 7,062 |
| Total Equity Risk | (110,019) | 7,062 |
| Totals | (110,019) | 7,062 |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. Exchange-traded and/or OTC options were used to manage exposure to the market.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period unless an average notional amount is presented.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity Dynamic Buffered Equity ETF | 1,627,738 | 1,811,821 |
| Fidelity Hedged Equity ETF | 90,076,444 | 82,466,954 |
| Fidelity Yield Enhanced Equity ETF | 1,500,175 | 1,670,235 |
| | |
Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.
| | In-Kind Subscriptions ($) | In-Kind Redemptions ($) |
| Fidelity Dynamic Buffered Equity ETF | 7,401,838 | - |
| Fidelity Hedged Equity ETF | 461,512,081 | 29,439,460 |
| Fidelity Yield Enhanced Equity ETF | 5,557,869 | - |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Diversifying Solutions LLC (the investment adviser) provides the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of each Fund's average net assets as noted in the table below. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.
| | Fee Rate |
| Fidelity Dynamic Buffered Equity ETF | .48% |
| Fidelity Hedged Equity ETF | .48% |
| Fidelity Yield Enhanced Equity ETF | .28% |
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
| | Amount ($) |
| Fidelity Dynamic Buffered Equity ETF | 20 |
| Fidelity Hedged Equity ETF | 556 |
| Fidelity Yield Enhanced Equity ETF | 20 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below. During the period, there were no interfund trades.
| | Purchases ($) | Sales ($) | Realized Gain (Loss) ($) |
| Fidelity Dynamic Buffered Equity ETF | 381 | - | - |
| Fidelity Hedged Equity ETF | 1,104,485 | 1,155,451 | (50,037) |
| Fidelity Yield Enhanced Equity ETF | 334 | - | - |
7. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each Fund to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. This reimbursement will remain in place through May 31, 2025. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.
The following Funds were in reimbursement during the period:
| | Expense Limitations | Reimbursement ($) |
| Fidelity Dynamic Buffered Equity ETF | .48% | 669 |
| Fidelity Hedged Equity ETF | .48% | 35,838 |
| Fidelity Yield Enhanced Equity ETF | .28% | 680 |
8. Share Transactions.
Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities to a fund and redemption proceeds are paid with a basket of securities from a fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Dynamic Buffered Equity ETF
Fidelity Hedged Equity ETF
Fidelity Yield Enhanced Equity ETF
At its February 2024 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve each fund's management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements with affiliates of FDS (together, the Advisory Contracts) for each fund. FDS and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requested and considered a broad range of information.
Nature, Extent, and Quality of Services Provided. The Board considered staffing as it relates to each fund, including the backgrounds and experience of investment personnel of the Investment Advisers, and also considered the Investment Advisers' implementation of each fund's investment program.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of the Fidelity investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering pricing and bookkeeping and securities lending services for each fund. The Board also considered the nature and extent of Fidelity's supervision of third-party service providers, principally transfer agents, custodians, subcustodians, and pricing vendors.
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools.
Investment Performance. Each fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contracts. The Board considered the Investment Advisers' strength in managing assets and trading derivatives instruments.
Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to each fund under the Advisory Contracts should benefit the shareholders of each fund.
Competitiveness of Management Fee and Total Expense Ratio. In reviewing the Advisory Contracts, the Board considered the fund's proposed all-inclusive (subject to certain exceptions) fee rate. The Board also considered other expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees, paid by FDS under the all-inclusive arrangement. The Board noted that each fund's proposed management fee rate is below the median fee rate of funds with similar Morningstar investment objective categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board also considered that the projected total net expense ratio of each fund is below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure.
Other Contractual Arrangements. The Board noted that FDS has agreed to contractually limit each fund's total operating expenses, with certain limited exceptions, to 48 basis points for Fidelity Dynamic Buffered Equity ETF and Fidelity Hedged Equity ETF and 28 basis points for Fidelity Yield Enhanced Equity ETF.
Based on its review, the Board concluded that the management fee and the projected total expenses of each fund were fair and reasonable in light of the services that each fund and its shareholders will receive, and the other factors considered.
Costs of the Services and Profitability. Each fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved the Advisory Contracts. In connection with its consideration of future renewals of each fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and servicing each fund's shareholders.
Economies of Scale. The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee for each fund was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that each fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, concluded that the advisory and sub-advisory fee arrangements are fair and reasonable, in light of all of the surrounding circumstances and that each fund's Advisory Contracts should be approved through February 2026.
1.9911148.100
HBE-SANN-0924
Fidelity® Equity Market Neutral Fund
Semi-Annual Report
July 31, 2024
Includes Fidelity and Fidelity Advisor share classes
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
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This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)
Fidelity® Equity Market Neutral Fund
Schedule of Investments July 31, 2024 (Unaudited)
Showing Percentage of Net Assets
| Common Stocks - 81.9% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 10.2% | | | |
| Diversified Telecommunication Services - 3.1% | | | |
| Cellnex Telecom SA (a) | | 2,081 | 72,578 |
| Telenor ASA | | 14,785 | 176,164 |
| True Corp. PCL NVDR (b) | | 237,100 | 61,697 |
| | | | 310,439 |
| Interactive Media & Services - 1.7% | | | |
| Meta Platforms, Inc. Class A | | 363 | 172,363 |
| Media - 1.8% | | | |
| Ipsos SA | | 2,903 | 179,552 |
| Wireless Telecommunication Services - 3.6% | | | |
| Far EasTone Telecommunications Co. Ltd. | | 58,000 | 153,458 |
| T-Mobile U.S., Inc. | | 1,101 | 200,690 |
| | | | 354,148 |
TOTAL COMMUNICATION SERVICES | | | 1,016,502 |
| CONSUMER DISCRETIONARY - 11.5% | | | |
| Automobile Components - 1.8% | | | |
| Linamar Corp. | | 868 | 43,298 |
| Nexteer Auto Group Ltd. | | 204,000 | 88,516 |
| Nifco, Inc. | | 2,000 | 51,721 |
| | | | 183,535 |
| Automobiles - 0.9% | | | |
| Brilliance China Automotive Holdings Ltd. | | 186,000 | 90,942 |
| Broadline Retail - 2.0% | | | |
| PDD Holdings, Inc. ADR (b) | | 1,533 | 197,588 |
| Hotels, Restaurants & Leisure - 2.2% | | | |
| Expedia Group, Inc. (b) | | 1,678 | 214,230 |
| Household Durables - 0.5% | | | |
| De'Longhi SpA | | 1,612 | 50,837 |
| Specialty Retail - 2.8% | | | |
| Aritzia, Inc. (b) | | 2,019 | 66,274 |
| Lovisa Holdings Ltd. | | 4,089 | 93,430 |
| Valvoline, Inc. (b) | | 2,632 | 122,388 |
| | | | 282,092 |
| Textiles, Apparel & Luxury Goods - 1.3% | | | |
| PVH Corp. | | 1,305 | 133,097 |
TOTAL CONSUMER DISCRETIONARY | | | 1,152,321 |
| CONSUMER STAPLES - 7.8% | | | |
| Beverages - 3.7% | | | |
| The Coca-Cola Co. | | 3,423 | 228,453 |
| Treasury Wine Estates Ltd. | | 18,037 | 145,672 |
| | | | 374,125 |
| Consumer Staples Distribution & Retail - 1.2% | | | |
| CP ALL PCL (For. Reg.) | | 74,100 | 121,424 |
| Food Products - 1.3% | | | |
| Darling Ingredients, Inc. (b) | | 3,133 | 124,474 |
| Personal Care Products - 1.6% | | | |
| Kose Corp. | | 2,400 | 159,968 |
TOTAL CONSUMER STAPLES | | | 779,991 |
| FINANCIALS - 13.8% | | | |
| Banks - 4.0% | | | |
| JPMorgan Chase & Co. | | 1,011 | 215,141 |
| Wells Fargo & Co. | | 3,152 | 187,040 |
| | | | 402,181 |
| Capital Markets - 3.5% | | | |
| IGM Financial, Inc. | | 6,055 | 171,565 |
| Morgan Stanley | | 1,710 | 176,489 |
| | | | 348,054 |
| Financial Services - 2.1% | | | |
| Apollo Global Management, Inc. | | 1,657 | 207,639 |
| Insurance - 4.2% | | | |
| Hyundai Marine & Fire Insurance Co. Ltd. | | 5,757 | 151,512 |
| RenaissanceRe Holdings Ltd. | | 702 | 162,801 |
| Storebrand ASA (A Shares) | | 10,261 | 103,075 |
| | | | 417,388 |
TOTAL FINANCIALS | | | 1,375,262 |
| HEALTH CARE - 8.7% | | | |
| Biotechnology - 3.4% | | | |
| Biogen, Inc. (b) | | 922 | 196,570 |
| CSL Ltd. | | 736 | 149,070 |
| | | | 345,640 |
| Health Care Equipment & Supplies - 2.4% | | | |
| Insulet Corp. (b) | | 868 | 168,696 |
| Shenzhen Mindray Bio-Medical Electronics Co. Ltd. (A Shares) | | 2,100 | 74,785 |
| | | | 243,481 |
| Health Care Providers & Services - 1.3% | | | |
| Guardant Health, Inc. (b) | | 3,678 | 129,208 |
| Pharmaceuticals - 1.6% | | | |
| Merck KGaA | | 868 | 155,751 |
TOTAL HEALTH CARE | | | 874,080 |
| INDUSTRIALS - 15.6% | | | |
| Aerospace & Defense - 1.4% | | | |
| Airbus Group NV | | 955 | 144,517 |
| Air Freight & Logistics - 2.2% | | | |
| FedEx Corp. | | 725 | 219,131 |
| Building Products - 2.9% | | | |
| Allegion PLC | | 684 | 93,578 |
| Fortune Brands Innovations, Inc. | | 2,399 | 193,863 |
| | | | 287,441 |
| Electrical Equipment - 0.9% | | | |
| TKH Group NV (bearer) (depositary receipt) | | 1,995 | 87,227 |
| Ground Transportation - 0.4% | | | |
| Localiza Rent a Car SA | | 5,900 | 45,720 |
| Localiza Rent a Car SA rights 8/1/24 (b) | | 59 | 121 |
| | | | 45,841 |
| Machinery - 5.4% | | | |
| Fluidra SA | | 6,597 | 146,933 |
| Miura Co. Ltd. | | 8,000 | 186,429 |
| Schindler Holding AG (participation certificate) | | 788 | 210,971 |
| | | | 544,333 |
| Passenger Airlines - 1.0% | | | |
| Ryanair Holdings PLC sponsored ADR | | 957 | 96,944 |
| Professional Services - 1.4% | | | |
| TransUnion | | 1,522 | 137,376 |
TOTAL INDUSTRIALS | | | 1,562,810 |
| INFORMATION TECHNOLOGY - 8.4% | | | |
| Communications Equipment - 1.9% | | | |
| Telefonaktiebolaget LM Ericsson (B Shares) | | 27,953 | 192,201 |
| Electronic Equipment, Instruments & Components - 2.0% | | | |
| Taiyo Yuden Co. Ltd. | | 6,700 | 201,336 |
| Semiconductors & Semiconductor Equipment - 3.7% | | | |
| First Solar, Inc. (b) | | 739 | 159,617 |
| Taiwan Semiconductor Manufacturing Co. Ltd. | | 7,000 | 205,091 |
| | | | 364,708 |
| Software - 0.8% | | | |
| ANSYS, Inc. (b) | | 252 | 79,035 |
TOTAL INFORMATION TECHNOLOGY | | | 837,280 |
| MATERIALS - 5.3% | | | |
| Chemicals - 1.2% | | | |
| Air Liquide SA | | 666 | 121,517 |
| Containers & Packaging - 1.7% | | | |
| CCL Industries, Inc. Class B | | 3,158 | 171,801 |
| Metals & Mining - 2.4% | | | |
| Nickel Industries Ltd. | | 370,309 | 207,050 |
| Rio Tinto PLC | | 405 | 26,338 |
| | | | 233,388 |
TOTAL MATERIALS | | | 526,706 |
| REAL ESTATE - 0.6% | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.6% | | | |
| Sun Communities, Inc. | | 508 | 64,379 |
| TOTAL COMMON STOCKS (Cost $8,057,793) | | | 8,189,331 |
| | | | |
| Money Market Funds - 19.0% |
| | | Shares | Value ($) |
Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class 5.32% (c) (Cost $1,905,009) | | 1,905,009 | 1,905,390 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 100.9% (Cost $9,962,802) | 10,094,721 |
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (89,298) |
| NET ASSETS - 100.0% | 10,005,423 |
| | |
| Forward Foreign Currency Contracts |
Currency Purchased
| Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) |
| | | | | | | |
| AUD | 155 | USD | 101 | UBS Ag London Branch | 8/01/24 | 0 |
| GBP | 78 | USD | 100 | JPMorgan Chase Bank, N.A. | 8/01/24 | 0 |
| JPY | 15,400 | USD | 102 | JPMorgan Chase Bank, N.A. | 8/01/24 | 0 |
| USD | 510 | AUD | 785 | HSBC Bank | 8/01/24 | (3) |
| USD | 2,477 | EUR | 2,286 | JPMorgan Chase Bank, N.A. | 8/01/24 | 3 |
| USD | 3,369 | GBP | 2,623 | JPMorgan Chase Bank, N.A. | 8/01/24 | (3) |
| USD | 1,367 | JPY | 211,878 | HSBC Bank | 8/01/24 | (48) |
| USD | 51,237 | JPY | 7,704,402 | Morgan Stanley Cap. Group, Inc | 8/01/24 | (192) |
| BRL | 15,000 | USD | 2,698 | Morgan Stanley Cap. Group, Inc | 8/28/24 | (53) |
| CNY | 110,000 | USD | 15,155 | Goldman Sachs Intl London | 8/28/24 | 130 |
| EUR | 52,000 | USD | 56,723 | HSBC Bank | 8/28/24 | (373) |
| EUR | 62,000 | USD | 67,112 | JPMorgan Chase Bank, N.A. | 8/28/24 | 74 |
| GBP | 5,000 | USD | 6,445 | Goldman Sachs Intl London | 8/28/24 | (15) |
| GBP | 13,000 | USD | 16,793 | HSBC Bank | 8/28/24 | (76) |
| GBP | 17,000 | USD | 21,841 | JPMorgan Chase Bank, N.A. | 8/28/24 | 19 |
| GBP | 33,000 | USD | 43,043 | JPMorgan Chase Bank, N.A. | 8/28/24 | (609) |
| GBP | 3,000 | USD | 3,881 | JPMorgan Chase Bank, N.A. | 8/28/24 | (23) |
| HKD | 795,000 | USD | 101,928 | HSBC Bank | 8/28/24 | (87) |
| HKD | 148,000 | USD | 18,959 | JPMorgan Chase Bank, N.A. | 8/28/24 | 0 |
| JPY | 6,890,000 | USD | 45,030 | Goldman Sachs Intl London | 8/28/24 | 1,152 |
| JPY | 11,417,000 | USD | 76,231 | Morgan Stanley Cap. Group, Inc | 8/28/24 | 295 |
| THB | 82,000 | USD | 2,275 | Goldman Sachs Intl London | 8/28/24 | 37 |
| THB | 146,000 | USD | 4,071 | HSBC Bank | 8/28/24 | 45 |
| THB | 1,086,000 | USD | 30,355 | HSBC Bank | 8/28/24 | 263 |
| THB | 71,000 | USD | 1,984 | JPMorgan Chase Bank, N.A. | 8/28/24 | 18 |
| THB | 309,000 | USD | 8,670 | UBS Ag London Branch | 8/28/24 | 42 |
| TWD | 322,000 | USD | 9,831 | UBS Ag London Branch | 8/28/24 | 38 |
| TWD | 6,514,000 | USD | 200,749 | UBS Ag London Branch | 8/28/24 | (1,105) |
| TWD | 415,000 | USD | 12,641 | UBS Ag London Branch | 8/28/24 | 78 |
| USD | 594,085 | AUD | 879,000 | HSBC Bank | 8/28/24 | 18,842 |
| USD | 50,437 | BRL | 276,000 | UBS Ag London Branch | 8/28/24 | 1,774 |
| USD | 446,994 | CAD | 610,000 | HSBC Bank | 8/28/24 | 4,819 |
| USD | 219,702 | CHF | 194,000 | Goldman Sachs Intl London | 8/28/24 | (2,028) |
| USD | 22,636 | CHF | 20,000 | HSBC Bank | 8/28/24 | (222) |
| USD | 14,731 | CHF | 13,000 | JPMorgan Chase Bank, N.A. | 8/28/24 | (128) |
| USD | 290,560 | CNY | 2,106,000 | HSBC Bank | 8/28/24 | (2,080) |
| USD | 1,176,303 | EUR | 1,073,000 | Goldman Sachs Intl London | 8/28/24 | 13,550 |
| USD | 9,023 | GBP | 7,000 | HSBC Bank | 8/28/24 | 22 |
| USD | 11,580 | GBP | 9,000 | HSBC Bank | 8/28/24 | 7 |
| USD | 7,808 | GBP | 6,000 | HSBC Bank | 8/28/24 | 92 |
| USD | 2,589 | GBP | 2,000 | JPMorgan Chase Bank, N.A. | 8/28/24 | 17 |
| USD | 83,429 | GBP | 65,000 | UBS Ag London Branch | 8/28/24 | (154) |
| USD | 286,962 | HKD | 2,238,000 | Morgan Stanley Cap. Group, Inc | 8/28/24 | 272 |
| USD | 14,739 | HKD | 115,000 | UBS Ag London Branch | 8/28/24 | 7 |
| USD | 639,412 | JPY | 99,293,000 | JPMorgan Chase Bank, N.A. | 8/28/24 | (26,136) |
| USD | 143,834 | KRW | 197,753,000 | UBS Ag London Branch | 8/28/24 | (771) |
| USD | 282,742 | NOK | 3,030,000 | JPMorgan Chase Bank, N.A. | 8/28/24 | 4,839 |
| USD | 24,468 | SEK | 264,000 | Goldman Sachs Intl London | 8/28/24 | (219) |
| USD | 13,486 | SEK | 145,000 | HSBC Bank | 8/28/24 | (73) |
| USD | 193,417 | SEK | 2,029,000 | JPMorgan Chase Bank, N.A. | 8/28/24 | 3,687 |
| USD | 2,854 | THB | 103,000 | Goldman Sachs Intl London | 8/28/24 | (50) |
| USD | 2,772 | THB | 100,000 | Morgan Stanley Cap. Group, Inc | 8/28/24 | (47) |
| USD | 4,272 | THB | 154,000 | Morgan Stanley Cap. Group, Inc | 8/28/24 | (69) |
| USD | 372,792 | TWD | 12,115,000 | JPMorgan Chase Bank, N.A. | 8/28/24 | 1,487 |
| | | | | | | |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | | 17,045 |
| Unrealized Appreciation | | | 51,609 |
| Unrealized Depreciation | | | (34,564) |
For the period, the average contract value for forward foreign currency contracts was $4,985,966. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively.
| Total Return Swaps |
| Fund Receives/Pays | Payment Frequency | Counterparty | Maturity Date | Absolute Notional Value ($) | Value ($) | Net Cash and Other Receivables/(Payables) ($) | Unrealized Appreciation (Depreciation) ($) |
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on a benchmark plus or minus a specified spread ranging from (.90)% to .22% on short/long CFDs, respectively. | Monthly | UBS AG London | Jun 2027 to July 2027 | 1,102,086 | (42,883) | 1,674 | (41,209) |
| Description | Shares | Notional Value ($) | Unrealized Appreciation/ (Depreciation) ($) | Percentage of Swap Value (%) | Currency | Benchmark | Investment Type | Industry |
| TOKIO MARINE HOLDINGS INC | 2,800 | 109,853 | (2,424) | 0.06 | JPY | TONAR | Common Stock | Insurance |
| AMERICAN WATER WRKS COMPANY | (946) | (134,673) | (2,138) | 0.05 | USD | SOFR-1D | Common Stock | Water Utilities |
| CHUNGHWA TELECOM CO LTD | (54,000) | (200,971) | (1,176) | 0.03 | USD | SOFR-1D | Common Stock | Diversified Telecommunication Services |
| CONSTELLATION ENERGY CORP | (611) | (115,968) | (11,835) | 0.28 | USD | SOFR-1D | Common Stock | Electric Utilities |
| DELTA ELECTRONICS THAI-NVDR | (53,100) | (152,365) | (17,635) | 0.41 | USD | SOFR-1D | Common Stock | Electronic Equipment, Instruments & Components |
| RAYTHEON TECHNOLOGIES CORP | (1,844) | (216,652) | (7,413) | 0.17 | USD | SOFR-1D | Common Stock | Aerospace & Defense |
| TAKE-TWO INTERACTV SOFTWR INC | (1,140) | (171,604) | (262) | 0.01 | USD | SOFR-1D | Common Stock | Entertainment |
| Total Return Swaps |
| Fund Receives/Pays | Payment Frequency | Counterparty | Maturity Date | Absolute Notional Value ($) | Value ($) | Net Cash and Other Receivables/(Payables) ($) | Unrealized Appreciation/(Depreciation) ($) |
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on a benchmark plus or minus a specified spread ranging from (.58)% to .31% on short/long CFDs, respectively. | Monthly | Goldman Sachs International Ltd. | Jun 2039 to Dec 2039 | 5,935,005 | (79,132) | (1,494) | (80,626) |
| Description | Shares | Notional Value ($) | Unrealized Appreciation/ (Depreciation) ($) | Percentage of Swap Value (%) | Currency | Benchmark | Investment Type | Industry |
| DEXCOM INC | 1,456 | 98,746 | (2,737) | 0.03 | USD | SOFR-1D | Common Stock | Health Care Equipment & Supplies |
| ANTOFAGASTA PLC | (5,011) | (130,126) | (4,661) | 0.06 | GBP | SONIA | Common Stock | Metals & Mining |
| AT&T INC | (10,563) | (203,338) | (2,852) | 0.04 | USD | SOFR-1D | Common Stock | Diversified Telecommunication Services |
| BANK OF QUEENSLAND LTD | (36,138) | (149,121) | (945) | 0.01 | AUD | BBSW-1M | Common Stock | Banks |
| BRIDGEPOINT GROUP PLC | (57,514) | (216,636) | (11,830) | 0.15 | GBP | SONIA | Common Stock | Capital Markets |
| CAIXABANK SA | (20,836) | (121,521) | (607) | 0.01 | EUR | ESTR-1D | Common Stock | Banks |
| CARGOTEC CORP B | (1,933) | (98,575) | (4,013) | 0.05 | EUR | ESTR-1D | Common Stock | Machinery |
| CARLYLE GROUP INC (THE) | (3,138) | (156,084) | (3,828) | 0.05 | USD | SOFR-1D | Common Stock | Capital Markets |
| CK INFRASTRUCTURE HOLDINGS LTD | (13,000) | (86,774) | 499 | (0.01) | HKD | HIBOR-1M | Common Stock | Electric Utilities |
| CME GROUP INC CL A | (764) | (147,994) | 2,666 | (0.03) | USD | SOFR-1D | Common Stock | Capital Markets |
| CRH PLC | (2,817) | (240,171) | (8,909) | 0.11 | GBP | SONIA | Common Stock | Construction Materials |
| DAYFORCE INC | (1,593) | (94,433) | (8,921) | 0.11 | USD | SOFR-1D | Common Stock | Professional Services |
| DECKERS OUTDOOR CORP | (188) | (173,454) | (2,143) | 0.03 | USD | SOFR-1D | Common Stock | Textiles, Apparel & Luxury Goods |
| DELIVERY HERO SE | (3,798) | (84,499) | (4,840) | 0.06 | EUR | ESTR-1D | Common Stock | Hotels, Restaurants & Leisure |
| DENKA CO LTD | (11,800) | (171,962) | (87) | 0.00 | JPY | TONAR | Common Stock | Chemicals |
| ELIS SA | (3,785) | (87,579) | (244) | 0.00 | EUR | ESTR-1D | Common Stock | Commercial Services & Supplies |
| EPAM SYSTEMS INC | (492) | (105,844) | (699) | 0.01 | USD | SOFR-1D | Common Stock | IT Services |
| FIFTH THIRD BANCORP | (1,774) | (75,111) | (142) | 0.00 | USD | SOFR-1D | Common Stock | Banks |
| FORD MOTOR CO | (6,705) | (72,548) | 134 | (0.00) | USD | SOFR-1D | Common Stock | Automobiles |
| GROCERY OUTLET HOLDING CORP | (2,140) | (41,858) | 3,231 | (0.04) | USD | SOFR-1D | Common Stock | Consumer Staples Distribution & Retail |
| HUHTAMAKI OYJ | (1,461) | (59,231) | 853 | (0.01) | EUR | ESTR-1D | Common Stock | Containers & Packaging |
| INCYTE CORP | (2,274) | (147,969) | 6,185 | (0.08) | USD | SOFR-1D | Common Stock | Biotechnology |
| INTL BUS MACH CORP | (1,057) | (203,092) | (1,163) | 0.01 | USD | SOFR-1D | Common Stock | IT Services |
| KKR & CO INC | (912) | (112,586) | (3,156) | 0.04 | USD | SOFR-1D | Common Stock | Capital Markets |
| LULULEMON ATHLETICA INC | (394) | (101,912) | (1,048) | 0.01 | USD | SOFR-1D | Common Stock | Textiles, Apparel & Luxury Goods |
| MARKETAXESS HLDGS INC | (555) | (124,059) | 272 | (0.00) | USD | SOFR-1D | Common Stock | Capital Markets |
| MEDTRONIC PLC | (2,493) | (200,238) | 1,222 | (0.02) | USD | SOFR-1D | Common Stock | Health Care Equipment & Supplies |
| NIO INC ADR | (18,919) | (84,000) | (378) | 0.00 | USD | SOFR-1D | Common Stock | Automobiles |
| PAYPAL HLDGS INC | (2,874) | (189,052) | (5,116) | 0.06 | USD | SOFR-1D | Common Stock | Financial Services |
| PEARSON PLC | (17,871) | (242,473) | (2,394) | 0.03 | GBP | SONIA | Common Stock | Diversified Consumer Services |
| PERFORMANCE FOOD GROUP CO | (1,817) | (125,373) | (345) | 0.00 | USD | SOFR-1D | Common Stock | Consumer Staples Distribution & Retail |
| PERNOD-RICARD | (1,065) | (142,922) | 1,207 | (0.02) | EUR | ESTR-1D | Common Stock | Beverages |
| PRICE (T ROWE)GROUP INC | (454) | (51,851) | (686) | 0.01 | USD | SOFR-1D | Common Stock | Capital Markets |
| QUALYS INC | (403) | (60,103) | (197) | 0.00 | USD | SOFR-1D | Common Stock | Software |
| RIGHTMOVE PLC | (13,265) | (98,258) | (3,101) | 0.04 | GBP | SONIA | Common Stock | Interactive Media & Services |
| SCHNEIDER ELECTRIC SE | (875) | (210,906) | (4,090) | 0.05 | EUR | ESTR-1D | Common Stock | Electrical Equipment |
| SITC INTL HOLDINGS CO LTD | (68,000) | (151,443) | (1,393) | 0.02 | HKD | HIBOR-1M | Common Stock | Marine Transportation |
| SOCIONEXT INC | (8,100) | (163,569) | 3,492 | (0.04) | JPY | TONAR | Common Stock | Semiconductors & Semiconductor Equipment |
| STARBUCKS CORP | (2,798) | (218,104) | (5,624) | 0.07 | USD | SOFR-1D | Common Stock | Hotels, Restaurants & Leisure |
| TEXAS INSTRUMENTS INC | (820) | (167,124) | (2,312) | 0.03 | USD | SOFR-1D | Common Stock | Semiconductors & Semiconductor Equipment |
| TOYODA GOSEI CO | (8,900) | (165,577) | (8,468) | 0.11 | JPY | TONAR | Common Stock | Automobile Components |
| TREX CO INC | (1,457) | (121,849) | 1,268 | (0.02) | USD | SOFR-1D | Common Stock | Building Products |
| VALEO SA | (5,455) | (62,335) | (1,911) | 0.02 | EUR | ESTR-1D | Common Stock | Automobile Components |
| WATCHES OF SWITZERLAND GROUP LTD | (10,452) | (54,660) | (725) | 0.01 | GBP | SONIA | Common Stock | Specialty Retail |
| YUM BRANDS INC | (903) | (119,945) | (596) | 0.01 | USD | SOFR-1D | Common Stock | Hotels, Restaurants & Leisure |
| Total Return Swaps |
| Fund Receives/Pays | Payment Frequency | Counterparty | Maturity Date | Absolute Notional Value ($) | Value ($) | Net Cash and Other Receivables/(Payables) ($) | Unrealized Appreciation/(Depreciation) ($) |
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on a benchmark plus or minus a specified spread ranging from .05% to .08% on short/long CFDs, respectively. | Monthly | HSBC Bank PLC | Oct 2025 | 262,535 | 3,968 | - | 3,968 |
| Description | Shares | Notional Value ($) | Unrealized Appreciation/ (Depreciation) ($) | Percentage of Swap Value (%) | Currency | Benchmark | Investment Type | Industry |
| DESCARTES SYS GROUP INC | (984) | (100,024) | (2,204) | (0.56) | USD | SOFR-1D | Common Stock | Software |
OCCIDENTAL PETROLEUM CORP | (2,672) | (162,511) | 6,172 | 1.56 | USD | SOFR-1D | Common Stock | Oil, Gas & Consumable Fuels |
| Total Return Swaps |
| Fund Receives/Pays | Payment Frequency | Counterparty | Maturity Date | Absolute Notional Value ($) | Value ($) | Net Cash and Other Receivables/(Payables) ($) | Unrealized Appreciation/(Depreciation) ($) |
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on a benchmark plus or minus a specified spread ranging from (3.00)% to .30% on short/long CFDs, respectively. | Monthly | JP Morgan Securities PLC | Jul 2029 to Aug 2029 | 4,056,735 | (42,841) | 340 | (42,501) |
| Description | Shares | Notional Value ($) | Unrealized Appreciation/ (Depreciation) ($) | Percentage of Swap Value (%) | Currency | Benchmark | Investment Type | Industry |
| APPLIED MATERIALS INC | 518 | 109,920 | (16,162) | 0.38 | USD | SOFR-1D | Common Stock | Semiconductors & Semiconductor Equipment |
| ASKUL CORP | 3,400 | 48,320 | 131 | (0.00) | JPY | TONAR | Common Stock | Broadline Retail |
| AUCTION TECHNOLOGY GROUP PLC | 7,021 | 45,761 | 1,291 | (0.03) | GBP | SONIA | Common Stock | Diversified Consumer Services |
| HARMONIC DRIVE SYSTEMS INC | 4,700 | 130,046 | (12,080) | 0.28 | JPY | TONAR | Common Stock | Machinery |
| NATIONAL GRID PLC | 2,982 | 37,836 | 1,093 | (0.03) | GBP | SONIA | Common Stock | Multi-Utilities |
| RESORTTRUST INC | 10,500 | 177,541 | 9,883 | (0.23) | JPY | TONAR | Common Stock | Hotels, Restaurants & Leisure |
| SERCO GROUP PLC | 47,348 | 116,563 | 2,072 | (0.05) | GBP | SONIA | Common Stock | Commercial Services & Supplies |
| SHIN-ETSU CHEMICAL CO LTD | 2,500 | 111,077 | (986) | 0.02 | JPY | TONAR | Common Stock | Chemicals |
| SIMPLEX HOLDINGS INC | 7,600 | 109,938 | (26,026) | 0.61 | JPY | TONAR | Common Stock | IT Services |
| SSE PLC | 9,376 | 226,663 | 483 | (0.01) | GBP | SONIA | Common Stock | Electric Utilities |
| UNILEVER PLC ORD | 2,586 | 158,922 | 12,447 | (0.29) | GBP | SONIA | Common Stock | Personal Care Products |
| ABB LTD | (3,780) | (209,815) | 8,953 | (0.21) | CHF | SARON-1D | Common Stock | Electrical Equipment |
| ASSET WORLD CORP PCL (FOR) | (636,900) | (65,217) | 129 | (0.00) | USD | SOFR-1D | Common Stock | Hotels, Restaurants & Leisure |
| CAE INC | (3,520) | (64,044) | 1,785 | (0.04) | CAD | CORRA | Common Stock | Aerospace & Defense |
| CANADIAN TIRE LTD A PHYS DELIVERY | (760) | (78,045) | (463) | 0.01 | CAD | CORRA | Common Stock | Broadline Retail |
| CHUGAI PHARMACEUTICAL CO LTD | (3,600) | (157,113) | (4,419) | 0.10 | JPY | TONAR | Common Stock | Pharmaceuticals |
| COLLIERS INTERNATIONAL GROUP INC | (1,305) | (175,875) | (16,768) | 0.39 | CAD | CORRA | Common Stock | Real Estate Management & Development |
| FLOOR & DECOR HOLDINGS INC | (1,257) | (123,186) | (4,123) | 0.10 | USD | SOFR-1D | Common Stock | Specialty Retail |
| GEBERIT AG (REG) | (181) | (115,560) | (1,609) | 0.04 | CHF | SARON-1D | Common Stock | Building Products |
| KOBAYASHI PHARMAC CO LTD | (1,900) | (76,429) | (5,061) | 0.12 | JPY | TONAR | Common Stock | Personal Care Products |
| MINERAL RESOURCES LTD | (3,195) | (113,411) | 5,595 | (0.13) | AUD | BBSW-1M | Common Stock | Metals & Mining |
| NISSAN MOTOR CO LTD ORD | (24,000) | (76,179) | 432 | (0.01) | JPY | TONAR | Common Stock | Automobiles |
| OTSUKA HOLDINGS CO LTD | (4,000) | (203,873) | (11,730) | 0.27 | JPY | TONAR | Common Stock | Pharmaceuticals |
| REGIS RESOURCES LTD | (59,892) | (65,604) | 7,834 | (0.18) | AUD | BBSW-1M | Common Stock | Metals & Mining |
| REMY COINTREAU SA | (1,279) | (100,920) | 3,314 | (0.08) | EUR | ESTR-1D | Common Stock | Beverages |
| SANDFIRE RESOURCES LTD | (13,218) | (75,202) | 3,285 | (0.08) | AUD | BBSW-1M | Common Stock | Metals & Mining |
| SERVICE STREAM LTD | (86,992) | (79,644) | (4,267) | 0.10 | AUD | BBSW-1M | Common Stock | Construction & Engineering |
| SIEMENS AG (REGD) | (1,024) | (187,491) | 10,770 | (0.25) | EUR | ESTR-1D | Common Stock | Industrial Conglomerates |
| SOLVENTUM CORP | (1,969) | (115,935) | (19,454) | 0.45 | USD | SOFR-1D | Common Stock | Health Care Equipment & Supplies |
| STRAUMANN HOLDG AG (REGD) | (814) | (104,967) | 6,689 | (0.16) | CHF | SARON-1D | Common Stock | Health Care Equipment & Supplies |
| SUN LIFE FINANCIAL INC | (4,439) | (220,367) | (1) | 0.00 | CAD | CORRA | Common Stock | Insurance |
| WEIBO CORP SPON ADR | (15,898) | (122,733) | 12,400 | (0.29) | USD | SOFR-1D | Common Stock | Interactive Media & Services |
| WESTPAC BANKING CORP | (5,247) | (102,252) | (7,594) | 0.18 | AUD | BBSW-1M | Common Stock | Banks |
| ZURICH INSURANCE GROUP AG | (273) | (150,286) | (684) | 0.02 | CHF | SARON-1D | Common Stock | Insurance |
| Total Return Swaps |
| Fund Receives/Pays | Payment Frequency | Counterparty | Maturity Date | Absolute Notional Value ($) | Value ($) | Net Cash and Other Receivables/(Payables) ($) | Unrealized Appreciation/(Depreciation) ($) |
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on a benchmark plus or minus a specified spread ranging from (.20)% to .20% on short/long CFDs, respectively. | Monthly | Morgan Stanley & Co. International PLC | Jun 2026 | 2,978,452 | 51,302 | 15,271 | 66,573 |
| Description | Shares | Notional Value ($) | Unrealized Appreciation/ (Depreciation) ($) | Percentage of Swap Value (%) | Currency | Benchmark | Investment Type | Industry |
| AGNICO EAGLE MINES LTD | 2,345 | 180,964 | 21,386 | 0.42 | USD | SOFR-1D | Common Stock | Metals & Mining |
| ALLISON TRANSMISSION HLDGS INC | 902 | 79,908 | 11,401 | 0.22 | USD | SOFR-1D | Common Stock | Machinery |
| CONTINENTAL AG | 1,908 | 116,968 | 5,646 | 0.11 | EUR | ESTR-1D | Common Stock | Automobile Components |
| FORVIA | 9,277 | 108,784 | (4,920) | (0.10) | EUR | ESTR-1D | Common Stock | Automobile Components |
| NN GROUP NV | 3,450 | 173,023 | 7,057 | 0.14 | EUR | ESTR-1D | Common Stock | Insurance |
| ROCHE HOLDINGS AG (GENUSSCHEINE) | 541 | 175,154 | (998) | (0.02) | CHF | SARON-1D | Common Stock | Pharmaceuticals |
| SIEMENS ENERGY AG | 8,214 | 239,219 | 8,535 | 0.17 | EUR | ESTR-1D | Common Stock | Industrial Conglomerates |
| SIKA AG | 288 | 87,540 | - | - | CHF | SARON-1D | Common Stock | Chemicals |
| SOPRA STERIA GROUP | 592 | 109,943 | (12,878) | (0.25) | EUR | ESTR-1D | Common Stock | IT Services |
| SWISS RE LTD | 1,071 | 132,327 | - | - | CHF | SARON-1D | Common Stock | Insurance |
| TELE2 AB B SHS | 15,566 | 160,178 | 9,375 | 0.18 | SEK | STIBO-1M | Common Stock | Wireless Telecommunication Services |
| CASEY GENERAL STORES | (299) | (115,964) | (5,256) | (0.10) | USD | SOFR-1D | Common Stock | Consumer Staples Distribution & Retail |
| DR ING HC F PORSCHE AG PFD | (1,236) | (93,072) | (805) | (0.02) | EUR | ESTR-1D | Preferred Stock | Automobiles |
| EQUINOR ASA | (4,809) | (127,343) | 7,421 | 0.14 | NOK | NIBOR-1M | Common Stock | Oil, Gas & Consumable Fuels |
| FORTUM OYJ | (8,955) | (137,523) | (3,660) | (0.07) | EUR | ESTR-1D | Common Stock | Electric Utilities |
| HEXAGON AB SER B | (19,285) | (196,407) | 21,578 | 0.42 | SEK | STIBO-1M | Common Stock | Electronic Equipment, Instruments & Components |
| JDE PEETS BV | (6,360) | (139,589) | (9,843) | (0.19) | EUR | ESTR-1D | Common Stock | Food Products |
| SODEXO | (1,950) | (184,764) | (15,828) | (0.31) | EUR | ESTR-1D | Common Stock | Hotels, Restaurants & Leisure |
| SVENSKA CELLULOSA AB CL B | (7,902) | (107,434) | 5,313 | 0.10 | SEK | STIBO-1M | Common Stock | Paper & Forest Products |
| VERIZON COMMUNICATIONS INC | (3,376) | (136,796) | 2,026 | 0.04 | USD | SOFR-1D | Common Stock | Diversified Telecommunication Services |
| VOLKSWAG PFD PERP | (1,573) | (175,552) | 5,752 | 0.11 | EUR | ESTR-1D | Preferred Stock | Automobiles |
| Benchmark Abbreviations & Rates | | |
| Benchmark | Benchmark Rate |
| BBSW-1M | Bank Bill Swap Rate | 4.34% |
| CORRA | Canadian Overnight Repo Rate Average | 4.53% |
| ESTR-1D | Euro Short-Term Rate | 3.65% |
| HIBOR-1M | Hong Kong Inter-Bank Offered Rate | 4.52% |
| NIBOR-1M | Norwegian Interbank Offered Rate | 4.63% |
| SARON-1D | Swiss Average Rate Overnight | 1.21% |
| SOFR-1D | Secured Overnight Financing Rate | 5.38% |
| SONIA | Sterling Overnight Average | 5.20% |
| STIBO-1M | Stockholm Interbank Offered Rate | 3.68% |
| TONAR | Tokyo Overnight Average Rate | 0.08% |
Currency Abbreviations
| AUD | - | Australian dollar |
| BRL | - | Brazilian real |
| CAD | - | Canadian dollar |
| CHF | - | Swiss franc |
| CNY | - | Chinese yuan |
| EUR | - | European Monetary Unit |
| GBP | - | British pound sterling |
| HKD | - | Hong Kong dollar |
| JPY | - | Japanese yen |
| KRW | - | Korean won |
| NOK | - | Norwegian krone |
| SEK | - | Swedish krona |
| THB | - | Thai baht |
| TWD | - | Taiwanese dollar |
| USD | - | U.S. dollar |
Legend
| (a) | 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 $72,578 or 0.7% of net assets. |
| (c) | The rate quoted is the annualized seven-day yield of the fund at period end. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | - | 10,000,000 | 10,000,000 | 2,979 | - | - | - | 0.0% |
| Total | - | 10,000,000 | 10,000,000 | 2,979 | - | - | - | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 1,016,502 | 790,466 | 226,036 | - |
Consumer Discretionary | 1,152,321 | 1,152,321 | - | - |
Consumer Staples | 779,991 | 779,991 | - | - |
Financials | 1,375,262 | 1,375,262 | - | - |
Health Care | 874,080 | 874,080 | - | - |
Industrials | 1,562,810 | 1,418,293 | 144,517 | - |
Information Technology | 837,280 | 238,652 | 598,628 | - |
Materials | 526,706 | 378,851 | 147,855 | - |
Real Estate | 64,379 | 64,379 | - | - |
|
| Money Market Funds | 1,905,390 | 1,905,390 | - | - |
| Total Investments in Securities: | 10,094,721 | 8,977,685 | 1,117,036 | - |
Derivative Instruments: Assets | | | | |
Forward Foreign Currency Contracts | 51,609 | - | 51,609 | - |
Swaps | 70,541 | - | 70,541 | - |
| Total Assets | 122,150 | - | 122,150 | - |
| Liabilities | | | | |
Forward Foreign Currency Contracts | (34,564) | - | (34,564) | - |
Swaps | (164,336) | - | (164,336) | - |
| Total Liabilities | (198,900) | - | (198,900) | - |
| Total Derivative Instruments: | (76,750) | - | (76,750) | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
| Swaps | 70,541 | (164,336) |
| Total Equity Risk | 70,541 | (164,336) |
| Foreign Exchange Risk | | |
Forward Foreign Currency Contracts (a) | 51,609 | (34,564) |
| Total Foreign Exchange Risk | 51,609 | (34,564) |
| Total Value of Derivatives | 122,150 | (198,900) |
(a)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.
| | | | | | | | | | | |
| Counterparty | | Value of Derivative Assets ($) | | Value of Derivative Liabilities ($) | | Collateral Received(a) ($) | | Collateral Pledged(a) ($) | | Net(b) ($) |
| Goldman Sachs Intl. | | 14,869 | | (82,938) | | - | | - | | (68,069) |
| HSBC Bank | | 28,058 | | (2,962) | | - | | - | | 25,096 |
| JPMorgan Chase Bank, N.A. | | 10,144 | | (69,400) | | - | | - | | (59,256) |
| Morgan Stanley Cap. Group, Inc | | 67,140 | | (361) | | - | | - | | 66,779 |
| UBS AG | | 1,939 | | (43,239) | | - | | - | | (41,300) |
| Total | $ | 122,150 | $ | (198,900) | $ | - | $ | - | $ | (76,750) |
| | | | | | | | | | | |
(a) Reflects collateral received from or pledged to an individual counterparty, excluding any excess or initial collateral amounts.
(b) Net represents the receivable / (payable) that would be due from / (to) the counterparty in an event of default. Netting may be allowed across transactions traded under the same legal agreement with the same legal entity. Please refer to Derivative Instruments - Risk Exposures and the Use of Derivative Instruments section in the accompanying Notes to Financial Statements.
Financial Statements (Unaudited)
| Statement of Assets and Liabilities |
| As of July 31, 2024 (Unaudited) |
| Assets | | | | |
Investment in securities, at value - See accompanying schedule Unaffiliated issuers (cost $9,962,802): | | | $ | 10,094,721 |
| Foreign currency held at value (cost $58,838) | | | | 58,833 |
| Unrealized appreciation on forward foreign currency contracts | | | | 51,609 |
| Receivable for unsettled total return swaps | | | | 31,114 |
| Dividends receivable | | | | 3,951 |
| Bi-lateral OTC swaps, at value | | | | 70,541 |
| Prepaid expenses | | | | 106,008 |
| Receivable from investment adviser for expense reductions | | | | 22,742 |
Total assets | | | | 10,439,519 |
| Liabilities | | | | |
| Payable to custodian bank | $ | 208,126 | | |
| Unrealized depreciation on forward foreign currency contracts | | 34,564 | | |
| Bi-lateral OTC swaps, at value | | 164,336 | | |
| Accrued management fee | | 8,375 | | |
| Distribution and service plan fees payable | | 1,465 | | |
| Other affiliated payables | | 282 | | |
| Other payables and accrued expenses | | 16,948 | | |
| Total liabilities | | | | 434,096 |
| Net Assets | | | $ | 10,005,423 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 10,081,250 |
| Total accumulated earnings (loss) | | | | (75,827) |
| Net Assets | | | $ | 10,005,423 |
| | | | | |
| Net Asset Value and Maximum Offering Price | | | | |
| Class A : | | | | |
Net Asset Value and redemption price per share ($992,459 ÷ 100,000 shares)(a) | | | $ | 9.92 |
| Maximum offering price per share (100/94.25 of $9.92) | | | $ | 10.53 |
| Class M : | | | | |
Net Asset Value and redemption price per share ($992,201 ÷ 100,000 shares)(a) | | | $ | 9.92 |
| Maximum offering price per share (100/96.50 of $9.92) | | | $ | 10.28 |
| Class C : | | | | |
Net Asset Value and offering price per share ($991,685 ÷ 100,000 shares)(a) | | | $ | 9.92 |
| Fidelity Equity Market Neutral Fund : | | | | |
Net Asset Value, offering price and redemption price per share ($5,043,592 ÷ 508,065 shares) | | | $ | 9.93 |
| Class I : | | | | |
Net Asset Value, offering price and redemption price per share ($992,717 ÷ 100,000 shares) | | | $ | 9.93 |
| Class Z : | | | | |
Net Asset Value, offering price and redemption price per share ($992,769 ÷ 100,000 shares) | | | $ | 9.93 |
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
| Statement of Operations |
For the period June 25, 2024 (commencement of operations) through July 31, 2024 (Unaudited)
|
| Investment Income | | | | |
| Dividends | | | $ | 14,273 |
| Special dividends | | | | 102,391 |
| Income from Fidelity Central Funds | | | | 2,979 |
| Income before foreign taxes withheld | | | $ | 119,643 |
| Less foreign taxes withheld | | | | (860) |
| Total income | | | | 118,783 |
| Expenses | | | | |
| Management fee | $ | 10,121 | | |
| Distribution and service plan fees | | 1,771 | | |
| Custodian fees and expenses | | 1,379 | | |
| Independent trustees' fees and expenses | | 366 | | |
| Registration fees | | 13,655 | | |
| Audit fees | | 13,134 | | |
| Total expenses before reductions | | 40,426 | | |
| Expense reductions | | (27,116) | | |
| Total expenses after reductions | | | | 13,310 |
| Net Investment income (loss) | | | | 105,473 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Forward foreign currency contracts | | (50,538) | | |
| Foreign currency transactions | | 5,662 | | |
| Swaps | | (191,593) | | |
| Total net realized gain (loss) | | | | (236,469) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 131,538 | | |
| Fidelity Central Funds | | 381 | | |
| Forward foreign currency contracts | | 17,045 | | |
| Swaps | | (93,795) | | |
| Total change in net unrealized appreciation (depreciation) | | | | 55,169 |
| Net gain (loss) | | | | (181,300) |
| Net increase (decrease) in net assets resulting from operations | | | $ | (75,827) |
| Statement of Changes in Net Assets |
| |
| | For the period June 25, 2024 (commencement of operations) through July 31, 2024 (Unaudited) |
| Increase (Decrease) in Net Assets | | |
| Operations | | |
| Net investment income (loss) | $ | 105,473 |
| Net realized gain (loss) | | (236,469) |
| Change in net unrealized appreciation (depreciation) | | 55,169 |
| Net increase (decrease) in net assets resulting from operations | | (75,827) |
| Share transactions - net increase (decrease) | | 10,081,250 |
| Total increase (decrease) in net assets | | 10,005,423 |
| | | |
| Net Assets | | |
| Beginning of period | | - |
| End of period | $ | 10,005,423 |
| | | |
| | | |
Financial Highlights
Fidelity Advisor® Equity Market Neutral Fund Class A |
| |
| | Six months ended (Unaudited) July 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 | | .10 D |
| Net realized and unrealized gain (loss) | | (.18) |
| Total from investment operations | | (.08) |
| Net asset value, end of period | $ | 9.92 |
Total Return E,F,G | | |
Ratios to Average Net Assets C,H,I | | |
| Expenses before reductions | | 4.06% J |
| Expenses net of fee waivers, if any | | |
| Expenses net of all reductions | | 1.35% J |
| Net investment income (loss) | | 10.29% D,J |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $ | 992 |
Portfolio turnover rate K | | |
AFor the period June 25, 2024 (commencement of operations) through July 31, 2024.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.10 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s) the ratio of net investment income (loss) to average net assets would have been .22%.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GTotal returns do not include the effect of the sales charges.
HFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
IExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
JAnnualized.
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
LAmount not annualized.
Fidelity Advisor® Equity Market Neutral Fund Class M |
| |
| | Six months ended (Unaudited) July 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 | | .10 D |
| Net realized and unrealized gain (loss) | | (.18) |
| Total from investment operations | | (.08) |
| Net asset value, end of period | $ | 9.92 |
Total Return E,F,G | | |
Ratios to Average Net Assets C,H,I | | |
| Expenses before reductions | | 4.31% J |
| Expenses net of fee waivers, if any | | |
| Expenses net of all reductions | | 1.60% J |
| Net investment income (loss) | | 10.03% D,J |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $ | 992 |
Portfolio turnover rate K | | |
AFor the period June 25, 2024 (commencement of operations) through July 31, 2024.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.10 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s) the ratio of net investment income (loss) to average net assets would have been (.04)%.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GTotal returns do not include the effect of the sales charges.
HFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
IExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
JAnnualized.
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
LAmount not annualized.
Fidelity Advisor® Equity Market Neutral Fund Class C |
| |
| | Six months ended (Unaudited) July 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 | | .10 D |
| Net realized and unrealized gain (loss) | | (.18) |
| Total from investment operations | | (.08) |
| Net asset value, end of period | $ | 9.92 |
Total Return E,F,G | | |
Ratios to Average Net Assets C,H,I | | |
| Expenses before reductions | | 4.81% J |
| Expenses net of fee waivers, if any | | |
| Expenses net of all reductions | | 2.10% J |
| Net investment income (loss) | | 9.51% D,J |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $ | 992 |
Portfolio turnover rate K | | |
AFor the period June 25, 2024 (commencement of operations) through July 31, 2024.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.10 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s) the ratio of net investment income (loss) to average net assets would have been (.55)%.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GTotal returns do not include the effect of the contingent deferred sales charge.
HFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
IExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
JAnnualized.
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
LAmount not annualized.
Fidelity® Equity Market Neutral Fund |
| |
| | Six months ended (Unaudited) July 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 | | .11 D |
| Net realized and unrealized gain (loss) | | (.18) |
| Total from investment operations | | (.07) |
| Net asset value, end of period | $ | 9.93 |
Total Return E,F | | |
Ratios to Average Net Assets C,G,H | | |
| Expenses before reductions | | 3.81% I |
| Expenses net of fee waivers, if any | | |
| Expenses net of all reductions | | 1.10% I |
| Net investment income (loss) | | 10.55% D,I |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $ | 5,044 |
Portfolio turnover rate J | | |
AFor the period June 25, 2024 (commencement of operations) through July 31, 2024.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.10 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s) the ratio of net investment income (loss) to average net assets would have been .48%.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KAmount not annualized.
Fidelity Advisor® Equity Market Neutral Fund Class I |
| |
| | Six months ended (Unaudited) July 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 | | .11 D |
| Net realized and unrealized gain (loss) | | (.18) |
| Total from investment operations | | (.07) |
| Net asset value, end of period | $ | 9.93 |
Total Return E,F | | |
Ratios to Average Net Assets C,G,H | | |
| Expenses before reductions | | 3.81% I |
| Expenses net of fee waivers, if any | | |
| Expenses net of all reductions | | 1.10% I |
| Net investment income (loss) | | 10.54% D,I |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $ | 993 |
Portfolio turnover rate J | | |
AFor the period June 25, 2024 (commencement of operations) through July 31, 2024.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.10 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s) the ratio of net investment income (loss) to average net assets would have been .48%.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KAmount not annualized.
Fidelity Advisor® Equity Market Neutral Fund Class Z |
| |
| | Six months ended (Unaudited) July 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 | | .11 D |
| Net realized and unrealized gain (loss) | | (.18) |
| Total from investment operations | | (.07) |
| Net asset value, end of period | $ | 9.93 |
Total Return E,F | | |
Ratios to Average Net Assets C,G,H | | |
| Expenses before reductions | | 3.76% I |
| Expenses net of fee waivers, if any | | |
| Expenses net of all reductions | | 1.05% I |
| Net investment income (loss) | | 10.60% D,I |
| Supplemental Data | | |
| Net assets, end of period (000 omitted) | $ | 993 |
Portfolio turnover rate J | | |
AFor the period June 25, 2024 (commencement of operations) through July 31, 2024.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.10 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s) the ratio of net investment income (loss) to average net assets would have been .53%.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KAmount not annualized.
Notes to Financial Statements
(Unaudited)For the period ended July 31, 2024
1. Organization.
Fidelity Equity Market Neutral Fund (the Fund) is a fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund offers Class A, Class M, Class C, Fidelity Equity Market Neutral Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| 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% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2024 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Large, non-recurring dividends recognized by the Fund are presented separately on the Statement of Operations as "Special Dividends" and the impact of these dividends is presented in the Financial Highlights. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds (ETFs). Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund (ETF). Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $697,949 |
| Gross unrealized depreciation | (642,780) |
| Net unrealized appreciation (depreciation) | $55,169 |
| Tax cost | $9,962,802 |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including forward foreign currency contracts and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. A summary of derivatives inclusive of potential netting arrangements is presented at the end of the Schedule of Investments.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
| Fidelity Equity Market Neutral Fund | | |
| Equity Risk | | |
| Swaps | (191,593) | (93,795) |
| Total Equity Risk | (191,593) | (93,795) |
| Foreign Exchange Risk | | |
| Forward Foreign Currency Contracts | (50,538) | 17,045 |
| Total Foreign Exchange Risk | (50,538) | 17,045 |
| Totals | (242,131) | (76,750) |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period unless an average contract value is presented.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.
Total Return Swaps. Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty at the specified payment frequency.
The Fund enters into contracts for difference (CFD), which are total return swap transactions, to obtain exposure to long and/or short positions in a single equity stock or financial index for hedging, efficient portfolio management and investment purposes. The Fund may trade in and out of these long and short positions and receives the economic benefits and risks equivalent to direct investments in these positions, which includes unrealized appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes financing charges and credits related to the notional values of the long and short positions and cash balances within the swap. Finance charges and credits are based on defined market rates plus or minus a specified spread. Positions within the swap are reset periodically, and financing costs are reset generally monthly. During a reset, any realized gains (losses) from positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Fund and the counterparty. Prior to the reset, these amounts are included as a component of the swap value in net cash and other receivables (payables).
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity Equity Market Neutral Fund | 8,057,971 | - |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which each class of the Fund pays a monthly management fee. Under the management contract, the investment adviser pays all other operating expenses, except third-party expenses (including custody, audit and registration fees) and certain other limited exceptions. During the period, the management fee for each class of the Fund was as follows:
| | Annual % of Class-Level Average Net Assets |
| Class A | 1.00% |
| Class M | 1.00% |
| Class C | 1.00% |
| Fidelity Equity Market Neutral Fund | 1.00% |
| Class I | 1.00% |
| Class Z | .95% |
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| | Distribution Fee | Service Fee | Total Fees ($) | Retained by FDC ($) |
| Class A | - % | .25% | 253 | 253 |
| Class M | .25% | .25% | 506 | 506 |
| Class C | .75% | .25% | 1,012 | 1,012 |
| | | | 1,771 | 1,771 |
Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, there were no sales charge amounts retained by FDC.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through May 31, 2025. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
| | Expense Limitations | Reimbursement ($) |
| Class A | 1.35% | 2,697 |
| Class M | 1.60% | 2,689 |
| Class C | 2.10% | 2,673 |
| Fidelity Equity Market Neutral Fund | 1.10% | 13,645 |
| Class I | 1.10% | 2,705 |
| Class Z | 1.05% | 2,707 |
| | | 27,116 |
8. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
| | Shares | Dollars |
| | Six months ended July 31, 2024A | Six months ended July 31, 2024A |
| Fidelity Equity Market Neutral Fund | | |
| Class A | | |
| Shares sold | 100,000 | $1,000,000 |
| Net increase (decrease) | 100,000 | $1,000,000 |
| Class M | | |
| Shares sold | 100,000 | $1,000,000 |
| Net increase (decrease) | 100,000 | $1,000,000 |
| Class C | | |
| Shares sold | 100,000 | $1,000,000 |
| Net increase (decrease) | 100,000 | $1,000,000 |
| Fidelity Equity Market Neutral Fund | | |
| Shares sold | 508,088 | $5,081,477 |
| Shares redeemed | (23) | (227) |
| Net increase (decrease) | 508,065 | $5,081,250 |
| Class I | | |
| Shares sold | 100,000 | $1,000,000 |
| Net increase (decrease) | 100,000 | $1,000,000 |
| Class Z | | |
| Shares sold | 100,000 | $1,000,000 |
| Net increase (decrease) | 100,000 | $1,000,000 |
A For the period June 25, 2024 (commencement of operations) through July 31, 2024.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:
| Fund | Affiliated % |
| Fidelity Equity Market Neutral Fund | 99% |
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Equity Market Neutral Fund
At its May 2024 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the fund's management contract with Fidelity Diversifying Solutions LLC (FDS), the sub-advisory agreements with affiliates of FDS, the sub-advisory agreement with FIL Investment Advisors (FIA), and the sub-subadvisory agreement between FIA and FIA (UK) (together, the Advisory Contracts) for the fund. FDS and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requested and considered a broad range of information.
Nature, Extent, and Quality of Services Provided. The Board considered staffing as it relates to the fund, including the backgrounds and experience of investment personnel of the Investment Advisers, and also considered the Investment Advisers' implementation of the fund's investment program.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's and FIA's investment staff, including their size, education, experience, and resources, as well as Fidelity's and FIA's approach to recruiting, training, managing, and compensating investment personnel. The Board considered that Fidelity's and FIA's investment professionals have extensive resources, tools and capabilities so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously. Additionally, in its deliberations, the Board considered Fidelity's and FIA's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and by FDS's affiliates under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of Fidelity's supervision of third party service providers, principally custodians, subcustodians, and pricing vendors.
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools.
Investment Performance. The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. The Board considered the Investment Advisers' strength in managing assets and trading derivatives instruments.
Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.
Competitiveness of Management Fee and Total Expense Ratio. The Board was provided with information regarding industry trends in management fees and expenses. The Board considered the fund's proposed class-level management fee rates under the management contract. The Board also considered other expenses, such as transfer agent fees, and pricing and bookkeeping fees paid by FDS under the fund's unitary fee arrangement. In reviewing the Advisory Contracts, the Board also considered the projected total net expense ratio of each class of the fund.
The Board noted that the fund's proposed class-level management fee rates were lower than the median fee rate of funds with similar Morningstar categories and comparable investment mandates, regardless of whether their management fee structures are comparable. The Board noted that the difference in management fee rates between classes is the result of separate arrangements for class level services and/or waivers of certain expense. The Board further noted that such difference is not the result of any difference in advisory or custodial fees or other expense related to the management of the fund's assets, which do not vary by class. The Board also considered that the projected total net expense ratio of each class of the fund was below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure.
Other Contractual Arrangements. The Board noted that FDS has agreed to contractually limit each class of the fund's total operating expenses, with certain limited exceptions, as a percentage of their respective net assets exceed a certain limit through May 31, 2025.
Based on its review, the Board concluded that the proposed management fee and projected total net expenses of each class of the fund were fair and reasonable in light of the services that the fund and its shareholders will receive and the other factors considered.
Costs of the Services and Profitability. The fund is a new fund and therefore no revenue, cost, or profitability data were available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its consideration of future renewals of the fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.
Economies of Scale. The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee for each class of the fund was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, concluded that the advisory, sub-advisory and sub-subadvisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that the fund's Advisory Contracts should be approved through November 2025.
1.991186.100
EMN-SANN-0924
Fidelity® Hedged Equity Fund
Semi-Annual Report
July 31, 2024
Includes Fidelity and Fidelity Advisor share classes
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2024 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)
Fidelity® Hedged Equity Fund
Schedule of Investments July 31, 2024 (Unaudited)
Showing Percentage of Net Assets
| Common Stocks - 97.3% |
| | | Shares | Value ($) |
| COMMUNICATION SERVICES - 8.5% | | | |
| Diversified Telecommunication Services - 0.7% | | | |
| Frontier Communications Parent, Inc. (a) | | 1,792 | 52,506 |
| Liberty Global Ltd. Class A | | 3,866 | 75,348 |
| Verizon Communications, Inc. | | 38,884 | 1,575,580 |
| | | | 1,703,434 |
| Entertainment - 1.3% | | | |
| Liberty Media Corp. Liberty Formula One Class A | | 983 | 72,713 |
| Madison Square Garden Sports Corp. (a) | | 255 | 51,105 |
| Netflix, Inc. (a) | | 2,476 | 1,555,795 |
| Roblox Corp. (a) | | 1,011 | 41,977 |
| Spotify Technology SA (a) | | 406 | 139,640 |
| The Walt Disney Co. | | 12,761 | 1,195,578 |
| TKO Group Holdings, Inc. | | 571 | 62,439 |
| | | | 3,119,247 |
| Interactive Media & Services - 6.3% | | | |
| Alphabet, Inc. Class A | | 56,790 | 9,741,757 |
| IAC, Inc. (a) | | 583 | 30,788 |
| Meta Platforms, Inc. Class A | | 11,503 | 5,461,969 |
| Pinterest, Inc. Class A (a) | | 1,463 | 46,743 |
| | | | 15,281,257 |
| Media - 0.2% | | | |
| Fox Corp. Class A | | 9,703 | 369,102 |
| Liberty Media Corp. Liberty SiriusXM Class A | | 2,109 | 47,706 |
| The New York Times Co. Class A | | 945 | 50,643 |
| The Trade Desk, Inc. Class A (a) | | 941 | 84,577 |
| | | | 552,028 |
TOTAL COMMUNICATION SERVICES | | | 20,655,966 |
| CONSUMER DISCRETIONARY - 9.7% | | | |
| Automobile Components - 0.1% | | | |
| Autoliv, Inc. | | 587 | 59,369 |
| Gentex Corp. | | 1,694 | 52,616 |
| Lear Corp. | | 660 | 80,546 |
| | | | 192,531 |
| Automobiles - 1.5% | | | |
| Ford Motor Co. | | 35,102 | 379,804 |
| Tesla, Inc. (a) | | 14,701 | 3,411,661 |
| | | | 3,791,465 |
| Broadline Retail - 3.8% | | | |
| Amazon.com, Inc. (a) | | 48,997 | 9,161,459 |
| Coupang, Inc. Class A (a) | | 2,126 | 44,115 |
| | | | 9,205,574 |
| Diversified Consumer Services - 0.1% | | | |
| H&R Block, Inc. | | 1,158 | 67,095 |
| Service Corp. International | | 1,529 | 122,182 |
| | | | 189,277 |
| Hotels, Restaurants & Leisure - 1.7% | | | |
| Airbnb, Inc. Class A (a) | | 3,088 | 430,961 |
| Aramark | | 3,127 | 107,162 |
| Boyd Gaming Corp. | | 2,314 | 140,853 |
| Choice Hotels International, Inc. (b) | | 732 | 93,293 |
| Churchill Downs, Inc. | | 389 | 55,845 |
| Domino's Pizza, Inc. | | 462 | 198,059 |
| Doordash, Inc. (a) | | 635 | 70,307 |
| Draftkings Holdings, Inc. (a) | | 1,804 | 66,658 |
| Expedia Group, Inc. (a) | | 1,507 | 192,399 |
| Hilton Grand Vacations, Inc. (a) | | 1,128 | 48,741 |
| Hyatt Hotels Corp. Class A | | 1,570 | 231,308 |
| Light & Wonder, Inc. Class A (a) | | 1,089 | 116,741 |
| McDonald's Corp. | | 6,265 | 1,662,731 |
| MGM Resorts International (a) | | 7,238 | 311,017 |
| Planet Fitness, Inc. (a) | | 554 | 40,830 |
| Texas Roadhouse, Inc. | | 1,168 | 203,944 |
| Vail Resorts, Inc. | | 295 | 53,693 |
| Wingstop, Inc. | | 120 | 44,866 |
| Wyndham Hotels & Resorts, Inc. | | 1,371 | 103,812 |
| | | | 4,173,220 |
| Household Durables - 0.4% | | | |
| NVR, Inc. (a) | | 55 | 473,411 |
| Tempur Sealy International, Inc. | | 1,898 | 99,360 |
| Toll Brothers, Inc. | | 1,946 | 277,714 |
| TopBuild Corp. (a) | | 158 | 75,609 |
| | | | 926,094 |
| Specialty Retail - 1.7% | | | |
| AutoNation, Inc. (a) | | 454 | 86,587 |
| Burlington Stores, Inc. (a) | | 411 | 106,992 |
| Floor & Decor Holdings, Inc. Class A (a) | | 609 | 59,682 |
| Lithia Motors, Inc. Class A (sub. vtg.) | | 212 | 58,582 |
| Murphy U.S.A., Inc. | | 276 | 139,358 |
| Penske Automotive Group, Inc. | | 617 | 107,426 |
| Ross Stores, Inc. | | 5,390 | 772,010 |
| The Home Depot, Inc. | | 7,053 | 2,596,632 |
| Ulta Beauty, Inc. (a) | | 601 | 219,299 |
| Valvoline, Inc. (a) | | 1,265 | 58,823 |
| Williams-Sonoma, Inc. | | 636 | 98,376 |
| | | | 4,303,767 |
| Textiles, Apparel & Luxury Goods - 0.4% | | | |
| NIKE, Inc. Class B | | 9,680 | 724,645 |
| Ralph Lauren Corp. Class A | | 1,036 | 181,911 |
| | | | 906,556 |
TOTAL CONSUMER DISCRETIONARY | | | 23,688,484 |
| CONSUMER STAPLES - 5.8% | | | |
| Beverages - 1.7% | | | |
| Keurig Dr. Pepper, Inc. | | 18,412 | 631,163 |
| PepsiCo, Inc. | | 9,394 | 1,622,062 |
| The Coca-Cola Co. | | 27,602 | 1,842,157 |
| | | | 4,095,382 |
| Consumer Staples Distribution & Retail - 2.0% | | | |
| Albertsons Companies, Inc. | | 3,229 | 64,031 |
| BJ's Wholesale Club Holdings, Inc. (a) | | 1,232 | 108,367 |
| Casey's General Stores, Inc. | | 348 | 134,968 |
| Costco Wholesale Corp. | | 2,499 | 2,054,178 |
| Performance Food Group Co. (a) | | 1,564 | 107,916 |
| Sprouts Farmers Market LLC (a) | | 994 | 99,291 |
| Target Corp. | | 3,731 | 561,180 |
| U.S. Foods Holding Corp. (a) | | 2,662 | 144,786 |
| Walmart, Inc. | | 24,069 | 1,652,096 |
| | | | 4,926,813 |
| Food Products - 0.7% | | | |
| Campbell Soup Co. | | 7,851 | 367,898 |
| Flowers Foods, Inc. | | 1,658 | 37,338 |
| Ingredion, Inc. | | 407 | 50,619 |
| Kellanova | | 10,387 | 604,004 |
| Post Holdings, Inc. (a) | | 1,345 | 147,089 |
| The Hershey Co. | | 3,172 | 626,407 |
| | | | 1,833,355 |
| Household Products - 1.4% | | | |
| Colgate-Palmolive Co. | | 11,425 | 1,133,246 |
| Procter & Gamble Co. | | 14,125 | 2,270,735 |
| | | | 3,403,981 |
| Personal Care Products - 0.0% | | | |
| BellRing Brands, Inc. (a) | | 771 | 39,537 |
TOTAL CONSUMER STAPLES | | | 14,299,068 |
| ENERGY - 3.6% | | | |
| Energy Equipment & Services - 0.3% | | | |
| Schlumberger Ltd. | | 13,929 | 672,631 |
| TechnipFMC PLC | | 1,182 | 34,869 |
| | | | 707,500 |
| Oil, Gas & Consumable Fuels - 3.3% | | | |
| Antero Midstream GP LP | | 5,075 | 72,877 |
| Antero Resources Corp. (a) | | 1,888 | 54,790 |
| Cheniere Energy, Inc. | | 1,370 | 250,217 |
| Chesapeake Energy Corp. | | 1,009 | 77,017 |
| Chevron Corp. | | 11,697 | 1,877,018 |
| Chord Energy Corp. | | 364 | 62,484 |
| CNX Resources Corp. (a) | | 2,265 | 59,955 |
| Diamondback Energy, Inc. | | 3,282 | 663,981 |
| DT Midstream, Inc. | | 742 | 55,917 |
| Exxon Mobil Corp. | | 28,066 | 3,328,347 |
| HF Sinclair Corp. | | 1,331 | 68,507 |
| Kinder Morgan, Inc. | | 32,194 | 680,259 |
| Marathon Oil Corp. | | 13,231 | 371,130 |
| Matador Resources Co. | | 1,353 | 83,182 |
| Ovintiv, Inc. | | 3,176 | 147,493 |
| Permian Resource Corp. Class A | | 4,995 | 76,623 |
| Range Resources Corp. | | 1,648 | 51,467 |
| Southwestern Energy Co. (a) | | 6,407 | 41,325 |
| | | | 8,022,589 |
TOTAL ENERGY | | | 8,730,089 |
| FINANCIALS - 12.9% | | | |
| Banks - 3.2% | | | |
| Bank of America Corp. | | 53,651 | 2,162,672 |
| Cullen/Frost Bankers, Inc. | | 518 | 60,637 |
| East West Bancorp, Inc. | | 905 | 79,540 |
| First Citizens Bancshares, Inc. | | 59 | 123,174 |
| First Horizon National Corp. | | 4,122 | 68,961 |
| JPMorgan Chase & Co. | | 18,315 | 3,897,432 |
| Nu Holdings Ltd. Class A (a) | | 3,961 | 48,047 |
| Old National Bancorp, Indiana | | 2,480 | 49,650 |
| Pinnacle Financial Partners, Inc. | | 1,192 | 114,813 |
| Prosperity Bancshares, Inc. | | 1,028 | 74,551 |
| Synovus Financial Corp. | | 1,320 | 61,710 |
| U.S. Bancorp | | 18,675 | 838,134 |
| Wintrust Financial Corp. | | 841 | 90,996 |
| Zions Bancorporation NA | | 1,062 | 54,874 |
| | | | 7,725,191 |
| Capital Markets - 2.6% | | | |
| Affiliated Managers Group, Inc. | | 274 | 50,860 |
| Ameriprise Financial, Inc. | | 1,649 | 709,185 |
| Ares Management Corp. Class A, | | 1,389 | 212,795 |
| Blackstone, Inc. | | 5,739 | 815,799 |
| Carlyle Group LP | | 2,931 | 145,788 |
| Charles Schwab Corp. | | 9,593 | 625,368 |
| Coinbase Global, Inc. (a) | | 218 | 48,910 |
| Evercore, Inc. Class A | | 557 | 139,467 |
| Franklin Resources, Inc. | | 9,357 | 213,995 |
| Houlihan Lokey | | 383 | 57,546 |
| Interactive Brokers Group, Inc. | | 944 | 112,591 |
| Jefferies Financial Group, Inc. | | 3,777 | 220,841 |
| KKR & Co., Inc. | | 4,696 | 579,721 |
| Lazard, Inc. Class A | | 1,192 | 58,611 |
| LPL Financial | | 456 | 101,013 |
| Morgan Stanley | | 13,273 | 1,369,906 |
| Morningstar, Inc. | | 164 | 52,095 |
| NASDAQ, Inc. | | 7,042 | 476,603 |
| SEI Investments Co. | | 1,508 | 102,303 |
| Stifel Financial Corp. | | 1,138 | 100,906 |
| Tradeweb Markets, Inc. Class A | | 859 | 95,933 |
| Virtu Financial, Inc. Class A | | 2,042 | 55,787 |
| | | | 6,346,023 |
| Consumer Finance - 0.1% | | | |
| Ally Financial, Inc. | | 3,161 | 142,277 |
| OneMain Holdings, Inc. | | 856 | 44,735 |
| SLM Corp. | | 2,459 | 55,795 |
| | | | 242,807 |
| Financial Services - 4.7% | | | |
| Apollo Global Management, Inc. | | 1,064 | 133,330 |
| Berkshire Hathaway, Inc. Class B (a) | | 10,920 | 4,788,420 |
| Block, Inc. Class A (a) | | 1,141 | 70,605 |
| Corpay, Inc. (a) | | 844 | 246,296 |
| Equitable Holdings, Inc. | | 3,016 | 131,528 |
| MasterCard, Inc. Class A | | 5,871 | 2,722,441 |
| MGIC Investment Corp. | | 2,374 | 58,970 |
| PayPal Holdings, Inc. (a) | | 7,271 | 478,286 |
| Visa, Inc. Class A | | 10,772 | 2,861,797 |
| Voya Financial, Inc. | | 1,244 | 90,476 |
| WEX, Inc. (a) | | 213 | 39,075 |
| | | | 11,621,224 |
| Insurance - 2.1% | | | |
| AFLAC, Inc. | | 8,924 | 851,171 |
| American Financial Group, Inc. | | 979 | 128,210 |
| Arthur J. Gallagher & Co. | | 3,664 | 1,038,707 |
| Fidelity National Financial, Inc. | | 1,744 | 96,635 |
| Loews Corp. | | 7,500 | 599,625 |
| Markel Group, Inc. (a) | | 130 | 213,051 |
| Old Republic International Corp. | | 2,928 | 101,367 |
| Prudential Financial, Inc. | | 7,859 | 984,890 |
| Reinsurance Group of America, Inc. | | 581 | 130,975 |
| RenaissanceRe Holdings Ltd. | | 228 | 52,875 |
| Selective Insurance Group, Inc. | | 466 | 42,089 |
| Unum Group | | 1,038 | 59,716 |
| W.R. Berkley Corp. | | 8,488 | 467,943 |
| Willis Towers Watson PLC | | 1,642 | 463,504 |
| | | | 5,230,758 |
| Mortgage Real Estate Investment Trusts - 0.2% | | | |
| AGNC Investment Corp. (b) | | 5,703 | 57,087 |
| Annaly Capital Management, Inc. | | 6,415 | 127,723 |
| Rithm Capital Corp. | | 8,135 | 94,447 |
| Starwood Property Trust, Inc. | | 8,126 | 162,114 |
| | | | 441,371 |
TOTAL FINANCIALS | | | 31,607,374 |
| HEALTH CARE - 11.4% | | | |
| Biotechnology - 2.0% | | | |
| AbbVie, Inc. | | 10,932 | 2,025,918 |
| Alnylam Pharmaceuticals, Inc. (a) | | 288 | 68,388 |
| BioMarin Pharmaceutical, Inc. (a) | | 1,652 | 139,313 |
| Exelixis, Inc. (a) | | 3,607 | 84,584 |
| Gilead Sciences, Inc. | | 12,160 | 924,890 |
| Moderna, Inc. (a) | | 2,024 | 241,301 |
| Natera, Inc. (a) | | 119 | 12,184 |
| Neurocrine Biosciences, Inc. (a) | | 859 | 121,609 |
| Regeneron Pharmaceuticals, Inc. (a) | | 984 | 1,061,923 |
| Repligen Corp. (a) | | 276 | 46,189 |
| United Therapeutics Corp. (a) | | 205 | 64,224 |
| | | | 4,790,523 |
| Health Care Equipment & Supplies - 2.1% | | | |
| Boston Scientific Corp. (a) | | 16,287 | 1,203,284 |
| Dentsply Sirona, Inc. | | 1,695 | 46,002 |
| DexCom, Inc. (a) | | 2,530 | 171,585 |
| GE Healthcare Technologies, Inc. | | 4,440 | 375,757 |
| Globus Medical, Inc. (a) | | 1,115 | 80,235 |
| Haemonetics Corp. (a) | | 141 | 12,697 |
| Hologic, Inc. (a) | | 5,329 | 434,900 |
| Intuitive Surgical, Inc. (a) | | 2,366 | 1,051,947 |
| Medtronic PLC | | 12,463 | 1,001,028 |
| Penumbra, Inc. (a) | | 159 | 26,567 |
| ResMed, Inc. | | 1,339 | 285,542 |
| Zimmer Biomet Holdings, Inc. | | 4,706 | 524,013 |
| | | | 5,213,557 |
| Health Care Providers & Services - 2.5% | | | |
| Acadia Healthcare Co., Inc. (a) | | 779 | 50,518 |
| Chemed Corp. | | 137 | 78,112 |
| CVS Health Corp. | | 10,850 | 654,581 |
| Encompass Health Corp. | | 1,504 | 139,782 |
| HCA Holdings, Inc. | | 2,481 | 900,727 |
| Humana, Inc. | | 1,561 | 564,473 |
| Tenet Healthcare Corp. (a) | | 557 | 83,383 |
| UnitedHealth Group, Inc. | | 6,085 | 3,505,934 |
| | | | 5,977,510 |
| Health Care Technology - 0.0% | | | |
| Veeva Systems, Inc. Class A (a) | | 449 | 86,177 |
| Life Sciences Tools & Services - 1.3% | | | |
| Avantor, Inc. (a) | | 2,956 | 79,073 |
| Bruker Corp. | | 1,117 | 76,526 |
| Danaher Corp. | | 4,297 | 1,190,613 |
| Medpace Holdings, Inc. (a) | | 134 | 51,258 |
| QIAGEN NV | | 2,804 | 124,750 |
| Thermo Fisher Scientific, Inc. | | 2,705 | 1,659,085 |
| | | | 3,181,305 |
| Pharmaceuticals - 3.5% | | | |
| Catalent, Inc. (a) | | 1,394 | 82,720 |
| Elanco Animal Health, Inc. (a) | | 4,278 | 55,785 |
| Eli Lilly & Co. | | 4,417 | 3,552,461 |
| Jazz Pharmaceuticals PLC (a) | | 801 | 88,310 |
| Johnson & Johnson | | 16,628 | 2,624,730 |
| Merck & Co., Inc. | | 17,781 | 2,011,565 |
| Royalty Pharma PLC | | 4,760 | 134,089 |
| | | | 8,549,660 |
TOTAL HEALTH CARE | | | 27,798,732 |
| INDUSTRIALS - 7.7% | | | |
| Aerospace & Defense - 1.7% | | | |
| BWX Technologies, Inc. | | 255 | 25,370 |
| Curtiss-Wright Corp. | | 278 | 81,927 |
| HEICO Corp. | | 696 | 167,973 |
| Howmet Aerospace, Inc. | | 4,672 | 447,110 |
| Lockheed Martin Corp. | | 2,628 | 1,424,166 |
| RTX Corp. | | 10,941 | 1,285,458 |
| The Boeing Co. (a) | | 3,695 | 704,267 |
| Woodward, Inc. | | 145 | 22,619 |
| | | | 4,158,890 |
| Air Freight & Logistics - 0.5% | | | |
| GXO Logistics, Inc. (a) | | 676 | 37,842 |
| United Parcel Service, Inc. Class B | | 8,644 | 1,126,918 |
| | | | 1,164,760 |
| Building Products - 0.5% | | | |
| Advanced Drain Systems, Inc. | | 329 | 58,246 |
| Allegion PLC | | 2,379 | 325,471 |
| Armstrong World Industries, Inc. | | 465 | 61,101 |
| Carlisle Companies, Inc. | | 467 | 195,477 |
| Fortune Brands Innovations, Inc. | | 1,455 | 117,579 |
| Lennox International, Inc. | | 344 | 200,724 |
| Owens Corning | | 677 | 126,179 |
| The AZEK Co., Inc. Class A, (a) | | 1,373 | 61,634 |
| Trex Co., Inc. (a) | | 882 | 73,762 |
| | | | 1,220,173 |
| Commercial Services & Supplies - 0.9% | | | |
| Cintas Corp. | | 1,441 | 1,100,838 |
| Clean Harbors, Inc. (a) | | 285 | 68,038 |
| MSA Safety, Inc. | | 244 | 46,031 |
| RB Global, Inc. | | 809 | 64,421 |
| Republic Services, Inc. | | 4,565 | 887,071 |
| Tetra Tech, Inc. | | 548 | 116,856 |
| | | | 2,283,255 |
| Construction & Engineering - 0.1% | | | |
| AECOM | | 1,099 | 99,580 |
| EMCOR Group, Inc. | | 251 | 94,235 |
| Willscot Holdings Corp. (a) | | 889 | 36,449 |
| | | | 230,264 |
| Electrical Equipment - 0.4% | | | |
| Acuity Brands, Inc. | | 191 | 48,008 |
| AMETEK, Inc. | | 3,668 | 636,325 |
| nVent Electric PLC | | 1,184 | 85,994 |
| Regal Rexnord Corp. | | 368 | 59,130 |
| Sensata Technologies PLC | | 596 | 23,238 |
| Vertiv Holdings Co. | | 458 | 36,045 |
| | | | 888,740 |
| Ground Transportation - 0.7% | | | |
| J.B. Hunt Transport Services, Inc. | | 1,866 | 323,098 |
| Knight-Swift Transportation Holdings, Inc. | | 2,548 | 138,688 |
| Landstar System, Inc. | | 862 | 163,996 |
| Ryder System, Inc. | | 594 | 83,255 |
| Saia, Inc. (a) | | 221 | 92,345 |
| Uber Technologies, Inc. (a) | | 13,747 | 886,269 |
| XPO, Inc. (a) | | 370 | 42,509 |
| | | | 1,730,160 |
| Industrial Conglomerates - 0.6% | | | |
| Honeywell International, Inc. | | 6,681 | 1,367,935 |
| Machinery - 1.7% | | | |
| AGCO Corp. | | 313 | 29,553 |
| Caterpillar, Inc. | | 4,069 | 1,408,688 |
| CNH Industrial NV | | 6,322 | 67,329 |
| Donaldson Co., Inc. | | 594 | 44,443 |
| Dover Corp. | | 4,322 | 796,372 |
| Flowserve Corp. | | 989 | 49,994 |
| Graco, Inc. | | 1,615 | 137,356 |
| IDEX Corp. | | 2,089 | 435,515 |
| ITT, Inc. | | 901 | 127,455 |
| Lincoln Electric Holdings, Inc. | | 559 | 114,824 |
| Middleby Corp. (a) | | 840 | 113,887 |
| Oshkosh Corp. | | 460 | 49,979 |
| PACCAR, Inc. | | 6,046 | 596,498 |
| Timken Co. | | 670 | 58,257 |
| Toro Co. | | 372 | 35,612 |
| Watts Water Technologies, Inc. Class A | | 324 | 67,236 |
| | | | 4,132,998 |
| Passenger Airlines - 0.1% | | | |
| Alaska Air Group, Inc. (a) | | 2,904 | 108,987 |
| American Airlines Group, Inc. (a)(b) | | 16,980 | 180,667 |
| | | | 289,654 |
| Professional Services - 0.3% | | | |
| Booz Allen Hamilton Holding Corp. Class A | | 1,391 | 199,344 |
| CACI International, Inc. (a) | | 223 | 102,910 |
| Genpact Ltd. | | 1,397 | 48,434 |
| KBR, Inc. | | 1,453 | 96,755 |
| Science Applications International Corp. | | 676 | 84,094 |
| SS&C Technologies Holdings, Inc. | | 2,710 | 197,695 |
| TransUnion | | 1,114 | 100,550 |
| | | | 829,782 |
| Trading Companies & Distributors - 0.2% | | | |
| Air Lease Corp. Class A | | 890 | 44,162 |
| Core & Main, Inc. (a) | | 1,076 | 57,534 |
| Ferguson PLC | | 1,054 | 234,673 |
| GATX Corp. (b) | | 547 | 76,307 |
| MSC Industrial Direct Co., Inc. Class A | | 384 | 34,157 |
| Watsco, Inc. | | 241 | 117,967 |
| | | | 564,800 |
TOTAL INDUSTRIALS | | | 18,861,411 |
| INFORMATION TECHNOLOGY - 30.9% | | | |
| Communications Equipment - 0.7% | | | |
| Ciena Corp. (a) | | 1,047 | 55,219 |
| Cisco Systems, Inc. | | 35,460 | 1,718,037 |
| | | | 1,773,256 |
| Electronic Equipment, Instruments & Components - 0.9% | | | |
| Amphenol Corp. Class A | | 16,438 | 1,056,306 |
| Arrow Electronics, Inc. (a) | | 646 | 79,904 |
| Coherent Corp. (a) | | 839 | 58,462 |
| TD SYNNEX Corp. | | 987 | 117,621 |
| TE Connectivity Ltd. | | 5,125 | 790,941 |
| | | | 2,103,234 |
| IT Services - 1.2% | | | |
| Accenture PLC Class A | | 3,863 | 1,277,185 |
| Amdocs Ltd. | | 972 | 85,021 |
| Cloudflare, Inc. (a) | | 254 | 19,685 |
| GoDaddy, Inc. (a) | | 1,638 | 238,247 |
| IBM Corp. | | 6,294 | 1,209,329 |
| MongoDB, Inc. Class A (a) | | 106 | 26,750 |
| Snowflake, Inc. (a) | | 242 | 31,552 |
| Twilio, Inc. Class A (a) | | 831 | 49,137 |
| | | | 2,936,906 |
| Semiconductors & Semiconductor Equipment - 10.9% | | | |
| Advanced Micro Devices, Inc. (a) | | 9,758 | 1,409,836 |
| Amkor Technology, Inc. | | 1,240 | 40,498 |
| Broadcom, Inc. | | 24,550 | 3,944,694 |
| Cirrus Logic, Inc. (a) | | 813 | 106,080 |
| Entegris, Inc. | | 1,603 | 189,619 |
| GlobalFoundries, Inc. (a) | | 1,635 | 83,401 |
| Intel Corp. | | 26,846 | 825,246 |
| Lam Research Corp. | | 1,449 | 1,334,877 |
| Lattice Semiconductor Corp. (a) | | 1,378 | 73,034 |
| MACOM Technology Solutions Holdings, Inc. (a) | | 972 | 98,094 |
| Micron Technology, Inc. | | 6,917 | 759,625 |
| MKS Instruments, Inc. | | 1,050 | 132,195 |
| NVIDIA Corp. | | 128,659 | 15,055,676 |
| Onto Innovation, Inc. (a) | | 467 | 89,337 |
| Power Integrations, Inc. | | 859 | 62,741 |
| Qorvo, Inc. (a) | | 2,031 | 243,314 |
| Qualcomm, Inc. | | 7,838 | 1,418,286 |
| Rambus, Inc. (a) | | 990 | 50,926 |
| Skyworks Solutions, Inc. | | 2,933 | 333,247 |
| Synaptics, Inc. (a) | | 439 | 38,333 |
| Teradyne, Inc. | | 2,777 | 364,231 |
| Universal Display Corp. | | 372 | 82,815 |
| | | | 26,736,105 |
| Software - 10.2% | | | |
| Adobe, Inc. (a) | | 2,529 | 1,395,123 |
| Atlassian Corp. PLC Class A, (a) | | 270 | 47,674 |
| Bentley Systems, Inc. Class B | | 718 | 34,995 |
| Crowdstrike Holdings, Inc. (a) | | 1,371 | 318,017 |
| Datadog, Inc. Class A (a) | | 449 | 52,282 |
| DocuSign, Inc. (a) | | 1,001 | 55,535 |
| Dolby Laboratories, Inc. Class A | | 398 | 31,346 |
| Dropbox, Inc. Class A (a) | | 3,746 | 89,604 |
| Dynatrace, Inc. (a) | | 1,024 | 44,974 |
| Guidewire Software, Inc. (a) | | 224 | 33,616 |
| HubSpot, Inc. (a) | | 192 | 95,430 |
| Intuit, Inc. | | 1,812 | 1,172,998 |
| Manhattan Associates, Inc. (a) | | 287 | 73,294 |
| Microsoft Corp. | | 39,247 | 16,418,982 |
| Oracle Corp. | | 9,572 | 1,334,815 |
| Palantir Technologies, Inc. Class A (a) | | 2,895 | 77,847 |
| Palo Alto Networks, Inc. (a) | | 2,217 | 719,926 |
| Salesforce, Inc. | | 5,869 | 1,518,897 |
| ServiceNow, Inc. (a) | | 1,311 | 1,067,665 |
| Workday, Inc. Class A (a) | | 562 | 127,641 |
| Zoom Video Communications, Inc. Class A (a) | | 936 | 56,534 |
| Zscaler, Inc. (a) | | 377 | 67,615 |
| | | | 24,834,810 |
| Technology Hardware, Storage & Peripherals - 7.0% | | | |
| Apple, Inc. | | 75,741 | 16,820,551 |
| Dell Technologies, Inc. | | 394 | 44,790 |
| Super Micro Computer, Inc. (a) | | 278 | 195,059 |
| | | | 17,060,400 |
TOTAL INFORMATION TECHNOLOGY | | | 75,444,711 |
| MATERIALS - 2.1% | | | |
| Chemicals - 1.4% | | | |
| Ashland, Inc. | | 638 | 61,663 |
| Axalta Coating Systems Ltd. (a) | | 3,664 | 130,622 |
| Celanese Corp. | | 2,128 | 300,367 |
| Dow, Inc. | | 10,578 | 576,184 |
| Eastman Chemical Co. | | 2,706 | 279,611 |
| Element Solutions, Inc. | | 2,073 | 55,867 |
| Linde PLC | | 3,967 | 1,799,035 |
| Olin Corp. | | 228 | 10,399 |
| RPM International, Inc. | | 1,095 | 132,999 |
| Westlake Corp. | | 396 | 58,553 |
| | | | 3,405,300 |
| Construction Materials - 0.1% | | | |
| CRH PLC | | 1,198 | 102,669 |
| Eagle Materials, Inc. | | 573 | 156,028 |
| | | | 258,697 |
| Containers & Packaging - 0.2% | | | |
| Aptargroup, Inc. | | 807 | 118,613 |
| Berry Global Group, Inc. | | 1,293 | 84,976 |
| Crown Holdings, Inc. | | 1,244 | 110,343 |
| Graphic Packaging Holding Co. | | 2,996 | 90,180 |
| Sealed Air Corp. | | 790 | 30,060 |
| Silgan Holdings, Inc. | | 934 | 48,036 |
| Sonoco Products Co. | | 1,063 | 57,317 |
| | | | 539,525 |
| Metals & Mining - 0.4% | | | |
| Cleveland-Cliffs, Inc. (a) | | 2,471 | 37,930 |
| Newmont Corp. | | 11,357 | 557,288 |
| Reliance, Inc. | | 206 | 62,739 |
| Royal Gold, Inc. | | 264 | 36,464 |
| Southern Copper Corp. (b) | | 629 | 67,058 |
| United States Steel Corp. | | 1,634 | 67,141 |
| | | | 828,620 |
TOTAL MATERIALS | | | 5,032,142 |
| REAL ESTATE - 2.2% | | | |
| Equity Real Estate Investment Trusts (REITs) - 2.2% | | | |
| Agree Realty Corp. | | 2,028 | 139,871 |
| American Homes 4 Rent Class A | | 5,495 | 198,315 |
| American Tower Corp. | | 4,447 | 980,119 |
| Americold Realty Trust | | 1,838 | 54,938 |
| Brixmor Property Group, Inc. | | 5,210 | 132,699 |
| Camden Property Trust (SBI) | | 2,587 | 286,510 |
| CubeSmart | | 1,502 | 71,465 |
| Digital Realty Trust, Inc. | | 3,194 | 477,471 |
| EastGroup Properties, Inc. | | 681 | 127,340 |
| Equinix, Inc. | | 731 | 577,665 |
| Equity Lifestyle Properties, Inc. | | 2,988 | 205,216 |
| Federal Realty Investment Trust (SBI) | | 3,113 | 347,566 |
| First Industrial Realty Trust, Inc. | | 1,294 | 70,808 |
| Gaming & Leisure Properties | | 5,327 | 267,415 |
| Healthcare Realty Trust, Inc. | | 2,797 | 49,479 |
| Healthpeak Properties, Inc. | | 17,359 | 378,773 |
| Kite Realty Group Trust | | 2,060 | 50,800 |
| Lamar Advertising Co. Class A | | 922 | 110,511 |
| Mid-America Apartment Communities, Inc. | | 2,475 | 345,931 |
| NNN (REIT), Inc. | | 2,967 | 133,189 |
| Omega Healthcare Investors, Inc. | | 2,007 | 73,055 |
| Rexford Industrial Realty, Inc. | | 1,492 | 74,764 |
| STAG Industrial, Inc. | | 1,693 | 69,091 |
| Sun Communities, Inc. | | 924 | 117,099 |
| WP Carey, Inc. | | 2,159 | 124,812 |
| | | | 5,464,902 |
| Real Estate Management & Development - 0.0% | | | |
| Jones Lang LaSalle, Inc. (a) | | 82 | 20,574 |
TOTAL REAL ESTATE | | | 5,485,476 |
| UTILITIES - 2.5% | | | |
| Electric Utilities - 1.2% | | | |
| Alliant Energy Corp. | | 14,782 | 822,766 |
| NextEra Energy, Inc. | | 14,849 | 1,134,315 |
| OGE Energy Corp. | | 4,854 | 188,190 |
| Pinnacle West Capital Corp. (b) | | 3,682 | 315,142 |
| Xcel Energy, Inc. | | 9,541 | 556,049 |
| | | | 3,016,462 |
| Gas Utilities - 0.0% | | | |
| National Fuel Gas Co. | | 773 | 45,290 |
| Multi-Utilities - 1.2% | | | |
| Ameren Corp. | | 9,188 | 728,333 |
| CMS Energy Corp. | | 12,889 | 835,207 |
| DTE Energy Co. | | 7,164 | 863,477 |
| NiSource, Inc. | | 16,640 | 520,000 |
| | | | 2,947,017 |
| Water Utilities - 0.1% | | | |
| Essential Utilities, Inc. | | 3,929 | 159,714 |
TOTAL UTILITIES | | | 6,168,483 |
| TOTAL COMMON STOCKS (Cost $182,516,761) | | | 237,771,936 |
| | | | |
| Money Market Funds - 0.8% |
| | | Shares | Value ($) |
| Fidelity Cash Central Fund 5.39% (c) | | 1,098,827 | 1,099,047 |
| Fidelity Securities Lending Cash Central Fund 5.39% (c)(d) | | 694,013 | 694,083 |
| TOTAL MONEY MARKET FUNDS (Cost $1,793,129) | | | 1,793,130 |
| | | | |
| Equity Funds - 1.0% |
| | | Shares | Value ($) |
| Domestic Equity Funds - 1.0% | | | |
iShares Core S&P 500 ETF (Cost $2,069,474) | | 4,422 | 2,446,781 |
| | | | |
| Purchased Options - 1.2% |
| | Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) |
| Put Options | | | | | | |
| S&P 500 Index | Chicago Board Options Exchange | 177 | 97,744,710 | 5,050 | 08/16/24 | 55,755 |
| S&P 500 Index | Chicago Board Options Exchange | 131 | 72,342,130 | 3,700 | 05/16/25 | 292,130 |
| S&P 500 Index | Chicago Board Options Exchange | 179 | 98,849,170 | 5,300 | 09/20/24 | 746,430 |
| S&P 500 Index | Chicago Board Options Exchange | 130 | 71,789,900 | 3,900 | 06/20/25 | 404,950 |
| S&P 500 Index | Chicago Board Options Exchange | 152 | 83,938,960 | 5,360 | 10/18/24 | 1,088,320 |
| S&P 500 Index | Chicago Board Options Exchange | 100 | 55,223,000 | 4,000 | 07/18/25 | 381,500 |
| | | | | | | |
| | | | | | | 2,969,085 |
TOTAL PURCHASED OPTIONS (Cost $4,427,474) | | | | | | 2,969,085 |
For the period, the average monthly notional amount at value for purchased options in the aggregate was $461,252,583.
| TOTAL INVESTMENT IN SECURITIES - 100.3% (Cost $190,806,838) | 244,980,932 |
NET OTHER ASSETS (LIABILITIES) - (0.3)% | (627,371) |
| NET ASSETS - 100.0% | 244,353,561 |
| | |
Security Type Abbreviations
Legend
| (b) | Security or a portion of the security is on loan at period end. |
| (c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
| (d) | Investment made with cash collateral received from securities on loan. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 2,000,277 | 11,735,408 | 12,636,641 | 34,123 | 2 | 1 | 1,099,047 | 0.0% |
| Fidelity Securities Lending Cash Central Fund 5.39% | 585,275 | 13,639,248 | 13,530,440 | 534 | - | - | 694,083 | 0.0% |
| Total | 2,585,552 | 25,374,656 | 26,167,081 | 34,657 | 2 | 1 | 1,793,130 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Equities: | | | | |
Communication Services | 20,655,966 | 20,655,966 | - | - |
Consumer Discretionary | 23,688,484 | 23,688,484 | - | - |
Consumer Staples | 14,299,068 | 14,299,068 | - | - |
Energy | 8,730,089 | 8,730,089 | - | - |
Financials | 31,607,374 | 31,607,374 | - | - |
Health Care | 27,798,732 | 27,798,732 | - | - |
Industrials | 18,861,411 | 18,861,411 | - | - |
Information Technology | 75,444,711 | 75,444,711 | - | - |
Materials | 5,032,142 | 5,032,142 | - | - |
Real Estate | 5,485,476 | 5,485,476 | - | - |
Utilities | 6,168,483 | 6,168,483 | - | - |
|
| Money Market Funds | 1,793,130 | 1,793,130 | - | - |
|
| Equity Funds | 2,446,781 | 2,446,781 | - | - |
|
| Purchased Options | 2,969,085 | 2,969,085 | - | - |
| Total Investments in Securities: | 244,980,932 | 244,980,932 | - | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Equity Risk | | |
Purchased Options (a) | 2,969,085 | 0 |
| Total Equity Risk | 2,969,085 | 0 |
| Total Value of Derivatives | 2,969,085 | 0 |
(a)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.
Financial Statements (Unaudited)
| Statement of Assets and Liabilities |
| As of July 31, 2024 (Unaudited) |
| Assets | | | | |
| Investment in securities, at value (including securities loaned of $678,293) - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $189,013,709) | $ | 243,187,802 | | |
Fidelity Central Funds (cost $1,793,129) | | 1,793,130 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $190,806,838) | | | $ | 244,980,932 |
| Receivable for fund shares sold | | | | 65,780 |
| Dividends receivable | | | | 133,486 |
| Distributions receivable from Fidelity Central Funds | | | | 6,718 |
| Receivable from investment adviser for expense reductions | | | | 8,656 |
Total assets | | | | 245,195,572 |
| Liabilities | | | | |
| Payable for fund shares redeemed | $ | 27,833 | | |
| Accrued management fee | | 112,008 | | |
| Distribution and service plan fees payable | | 1,395 | | |
| Other affiliated payables | | 6,692 | | |
| Collateral on securities loaned | | 694,083 | | |
| Total liabilities | | | | 842,011 |
| Net Assets | | | $ | 244,353,561 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 198,113,487 |
| Total accumulated earnings (loss) | | | | 46,240,074 |
| Net Assets | | | $ | 244,353,561 |
| | | | | |
| Net Asset Value and Maximum Offering Price | | | | |
| Class A : | | | | |
Net Asset Value and redemption price per share ($1,517,456 ÷ 121,449 shares)(a) | | | $ | 12.49 |
| Maximum offering price per share (100/94.25 of $12.49) | | | $ | 13.25 |
| Class M : | | | | |
Net Asset Value and redemption price per share ($728,630 ÷ 58,421 shares)(a) | | | $ | 12.47 |
| Maximum offering price per share (100/96.50 of $12.47) | | | $ | 12.92 |
| Class C : | | | | |
Net Asset Value and offering price per share ($1,067,568 ÷ 86,035 shares)(a) | | | $ | 12.41 |
| Fidelity Hedged Equity Fund : | | | | |
Net Asset Value, offering price and redemption price per share ($235,684,821 ÷ 18,848,820 shares) | | | $ | 12.50 |
| Class I : | | | | |
Net Asset Value, offering price and redemption price per share ($3,669,186 ÷ 293,464 shares) | | | $ | 12.50 |
| Class Z : | | | | |
Net Asset Value, offering price and redemption price per share ($1,685,900 ÷ 134,676 shares) | | | $ | 12.52 |
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
| Statement of Operations |
Six months ended July 31, 2024 (Unaudited) |
| Investment Income | | | | |
| Dividends | | | $ | 1,656,816 |
| Income from Fidelity Central Funds (including $534 from security lending) | | | | 34,657 |
| Total income | | | | 1,691,473 |
| Expenses | | | | |
| Management fee | $ | 657,096 | | |
| Distribution and service plan fees | | 7,254 | | |
| Independent trustees' fees and expenses | | 55,659 | | |
| Total expenses before reductions | | 720,009 | | |
| Expense reductions | | (56,595) | | |
| Total expenses after reductions | | | | 663,414 |
| Net Investment income (loss) | | | | 1,028,059 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (4,117,992) | | |
| Fidelity Central Funds | | 2 | | |
| Foreign currency transactions | | 40 | | |
| Total net realized gain (loss) | | | | (4,117,950) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 28,200,511 | | |
| Fidelity Central Funds | | 1 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 28,200,512 |
| Net gain (loss) | | | | 24,082,562 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 25,110,621 |
| Statement of Changes in Net Assets |
| |
| | Six months ended July 31, 2024 (Unaudited) | | Year ended January 31, 2024 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 1,028,059 | $ | 1,545,923 |
| Net realized gain (loss) | | (4,117,950) | | (3,975,632) |
| Change in net unrealized appreciation (depreciation) | | 28,200,512 | | 23,819,426 |
| Net increase (decrease) in net assets resulting from operations | | 25,110,621 | | 21,389,717 |
| Distributions to shareholders | | (60,015) | | (1,544,823) |
| | | | | |
| Share transactions - net increase (decrease) | | (4,683,122) | | 153,894,084 |
| Total increase (decrease) in net assets | | 20,367,484 | | 173,738,978 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 223,986,077 | | 50,247,099 |
| End of period | $ | 244,353,561 | $ | 223,986,077 |
| | | | | |
| | | | | |
Financial Highlights
Fidelity Advisor® Hedged Equity Fund Class A |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 11.24 | $ | 9.91 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .04 | | .08 | | .04 |
| Net realized and unrealized gain (loss) | | 1.21 | | 1.30 | | (.10) |
| Total from investment operations | | 1.25 | | 1.38 | | (.06) |
| Distributions from net investment income | | - | | (.05) | | (.03) |
| Total distributions | | - | | (.05) | | (.03) |
| Net asset value, end of period | $ | 12.49 | $ | 11.24 | $ | 9.91 |
Total Return D,E,F | | | | 13.95% | | (.59)% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | .85% I | | .89% | | 1.34% I |
| Expenses net of fee waivers, if any | | | | .80% | | .80% I |
| Expenses net of all reductions | | .80% I | | .80% | | .79% I |
| Net investment income (loss) | | .62% I | | .81% | | .90% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 1,517 | $ | 1,292 | $ | 1,317 |
Portfolio turnover rate J | | | | 38% | | 21% K |
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FTotal returns do not include the effect of the sales charges.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KAmount not annualized.
Fidelity Advisor® Hedged Equity Fund Class M |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 11.23 | $ | 9.91 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .02 | | .06 | | .03 |
| Net realized and unrealized gain (loss) | | 1.22 | | 1.29 | | (.10) |
| Total from investment operations | | 1.24 | | 1.35 | | (.07) |
| Distributions from net investment income | | - | | (.03) | | (.02) |
| Total distributions | | - | | (.03) | | (.02) |
| Net asset value, end of period | $ | 12.47 | $ | 11.23 | $ | 9.91 |
Total Return D,E,F | | | | 13.64% | | (.71)% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | 1.10% I | | 1.14% | | 1.54% I |
| Expenses net of fee waivers, if any | | | | 1.05% | | 1.05% I |
| Expenses net of all reductions | | 1.05% I | | 1.05% | | 1.04% I |
| Net investment income (loss) | | .37% I | | .56% | | .65% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 729 | $ | 645 | $ | 509 |
Portfolio turnover rate J | | | | 38% | | 21% K |
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FTotal returns do not include the effect of the sales charges.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KAmount not annualized.
Fidelity Advisor® Hedged Equity Fund Class C |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 11.20 | $ | 9.90 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | (.01) | | .01 | | .01 |
| Net realized and unrealized gain (loss) | | 1.22 | | 1.29 | | (.11) |
| Total from investment operations | | 1.21 | | 1.30 | | (.10) |
| Distributions from net investment income | | - | | - | | - D |
| Net asset value, end of period | $ | 12.41 | $ | 11.20 | $ | 9.90 |
Total Return E,F,G | | | | 13.13% | | (.97)% |
Ratios to Average Net Assets C,H,I | | | | | | |
| Expenses before reductions | | 1.59% J | | 1.64% | | 2.04% J |
| Expenses net of fee waivers, if any | | | | 1.55% | | 1.55% J |
| Expenses net of all reductions | | 1.54% J | | 1.55% | | 1.54% J |
| Net investment income (loss) | | (.13)% J | | .06% | | .15% J |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 1,068 | $ | 678 | $ | 526 |
Portfolio turnover rate K | | | | 38% | | 21% L |
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DAmount represents less than $.005 per share.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GTotal returns do not include the effect of the contingent deferred sales charge.
HFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
IExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
JAnnualized.
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
LAmount not annualized.
Fidelity® Hedged Equity Fund |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 11.23 | $ | 9.91 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .05 | | .11 | | .05 |
| Net realized and unrealized gain (loss) | | 1.22 | | 1.30 | | (.10) |
| Total from investment operations | | 1.27 | | 1.41 | | (.05) |
| Distributions from net investment income | | - D | | (.09) | | (.04) |
| Total distributions | | - D | | (.09) | | (.04) |
| Net asset value, end of period | $ | 12.50 | $ | 11.23 | $ | 9.91 |
Total Return E,F | | | | 14.22% | | (.54)% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | .60% I | | .61% | | 1.12% I |
| Expenses net of fee waivers, if any | | | | .55% | | .55% I |
| Expenses net of all reductions | | .55% I | | .55% | | .54% I |
| Net investment income (loss) | | .87% I | | 1.06% | | 1.15% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 235,685 | $ | 219,076 | $ | 46,678 |
Portfolio turnover rate J | | | | 38% | | 21% K |
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DAmount represents less than $.005 per share.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KAmount not annualized.
Fidelity Advisor® Hedged Equity Fund Class I |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 11.23 | $ | 9.91 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .05 | | .11 | | .05 |
| Net realized and unrealized gain (loss) | | 1.22 | | 1.30 | | (.10) |
| Total from investment operations | | 1.27 | | 1.41 | | (.05) |
| Distributions from net investment income | | - D | | (.09) | | (.04) |
| Total distributions | | - D | | (.09) | | (.04) |
| Net asset value, end of period | $ | 12.50 | $ | 11.23 | $ | 9.91 |
Total Return E,F | | | | 14.22% | | (.54)% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | .59% I | | .63% | | 1.04% I |
| Expenses net of fee waivers, if any | | | | .55% | | .55% I |
| Expenses net of all reductions | | .55% I | | .55% | | .55% I |
| Net investment income (loss) | | .87% I | | 1.06% | | 1.15% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 3,669 | $ | 984 | $ | 497 |
Portfolio turnover rate J | | | | 38% | | 21% K |
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DAmount represents less than $.005 per share.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KAmount not annualized.
Fidelity Advisor® Hedged Equity Fund Class Z |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 11.24 | $ | 9.91 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .06 | | .12 | | .05 |
| Net realized and unrealized gain (loss) | | 1.22 | | 1.29 | | (.10) |
| Total from investment operations | | 1.28 | | 1.41 | | (.05) |
| Distributions from net investment income | | - D | | (.08) | | (.04) |
| Total distributions | | - D | | (.08) | | (.04) |
| Net asset value, end of period | $ | 12.52 | $ | 11.24 | $ | 9.91 |
Total Return E,F | | | | 14.30% | | (.54)% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | .55% I | | .59% | | 1.01% I |
| Expenses net of fee waivers, if any | | | | .50% | | .50% I |
| Expenses net of all reductions | | .50% I | | .50% | | .50% I |
| Net investment income (loss) | | .92% I | | 1.11% | | 1.20% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 1,686 | $ | 1,311 | $ | 720 |
Portfolio turnover rate J | | | | 38% | | 21% K |
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DAmount represents less than $.005 per share.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
KAmount not annualized.
Notes to Financial Statements
(Unaudited)For the period ended July 31, 2024
1. Organization.
Fidelity Hedged Equity Fund (the Fund) is a fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund offers Class A, Class M, Class C, Fidelity Hedged Equity Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| 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% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2024 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds (ETFs). Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund (ETF). Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to options, partnerships, capital loss carryforwards and losses deferred due to option transactions and wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $58,655,312 |
| Gross unrealized depreciation | (4,811,586) |
| Net unrealized appreciation (depreciation) | $53,843,726 |
| Tax cost | $191,137,206 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
| Short-term | $(1,879,602) |
| Long-term | (4,965,198) |
| Total capital loss carryforward | $(6,844,800) |
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. Exchange-traded options were used to manage exposure to the market.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period unless an average notional amount is presented.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity Hedged Equity Fund | 32,095,433 | 41,960,692 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which each class of the Fund pays a monthly management fee. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees, distribution and service plan fees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses. During the period, the management fee for each class of the Fund was as follows:
| | Annual % of Class-Level Average Net Assets |
| Class A | .55% |
| Class M | .55% |
| Class C | .55% |
| Fidelity Hedged Equity Fund | .55% |
| Class I | .55% |
| Class Z | .50% |
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| | Distribution Fee | Service Fee | Total Fees ($) | Retained by FDC ($) |
| Class A | - % | .25% | 1,627 | 1,232 |
| Class M | .25% | .25% | 1,740 | 1,684 |
| Class C | .75% | .25% | 3,887 | 3,740 |
| | | | 7,254 | 6,656 |
Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
| | Retained by FDC ($) |
| Class A | 451 |
| Class M | 11 |
| | 462 |
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:
| | Amount ($) |
| Fidelity Hedged Equity Fund | 235 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.
| | Purchases ($) | Sales ($) | Realized Gain (Loss)($) |
| Fidelity Hedged Equity Fund | 270,311 | 1,335,175 | (40,952) |
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
8. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
| | 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 | 50 | - | - |
9. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through May 31, 2025. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
| | Expense Limitations | Reimbursement ($) |
| Class A | .80% | 312 |
| Class M | 1.05% | 163 |
| Class C | 1.55% | 182 |
| Fidelity Hedged Equity Fund | .55% | 53,977 |
| Class I | .55% | 511 |
| Class Z | .50% | 352 |
| | | 55,497 |
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $1,098.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| | Six months ended July 31, 2024 | Year ended January 31, 2024 |
| Fidelity Hedged Equity Fund | | |
| Distributions to shareholders | | |
| Class A | $- | $6,146 |
| Class M | - | 1,668 |
| Fidelity Hedged Equity Fund | 59,124 | 1,521,057 |
| Class I | 532 | 7,129 |
| Class Z | 359 | 8,823 |
Total | $60,015 | $1,544,823 |
11. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
| | Shares | Shares | Dollars | Dollars |
| | Six months ended July 31, 2024 | Year ended January 31, 2024 | Six months ended July 31, 2024 | Year ended January 31, 2024 |
| Fidelity Hedged Equity Fund | | | | |
| Class A | | | | |
| Shares sold | 31,362 | 21,779 | $379,540 | $227,205 |
| Reinvestment of distributions | - | 576 | - | 6,146 |
| Shares redeemed | (24,919) | (40,298) | (296,700) | (425,903) |
| Net increase (decrease) | 6,443 | (17,943) | $82,840 | $(192,552) |
| Class M | | | | |
| Shares sold | 1,003 | 7,667 | $11,853 | $82,888 |
| Reinvestment of distributions | - | 156 | - | 1,668 |
| Shares redeemed | (2) | (1,730) | (25) | (18,904) |
| Net increase (decrease) | 1,001 | 6,093 | $11,828 | $65,652 |
| Class C | | | | |
| Shares sold | 25,739 | 12,925 | $318,453 | $136,244 |
| Shares redeemed | (260) | (5,512) | (3,062) | (57,957) |
| Net increase (decrease) | 25,479 | 7,413 | $315,391 | $78,287 |
| Fidelity Hedged Equity Fund | | | | |
| Shares sold | 1,131,883 | 16,485,931 | $13,617,387 | $171,136,667 |
| Reinvestment of distributions | 4,884 | 137,835 | 57,580 | 1,483,791 |
| Shares redeemed | (1,788,701) | (1,832,355) | (21,476,572) | (19,523,269) |
| Net increase (decrease) | (651,934) | 14,791,411 | $(7,801,605) | $153,097,189 |
| Class I | | | | |
| Shares sold | 238,083 | 46,971 | $2,891,550 | $492,760 |
| Reinvestment of distributions | 45 | 664 | 532 | 7,129 |
| Shares redeemed | (32,280) | (10,199) | (398,480) | (110,354) |
| Net increase (decrease) | 205,848 | 37,436 | $2,493,602 | $389,535 |
| Class Z | | | | |
| Shares sold | 19,507 | 45,118 | $231,684 | $467,939 |
| Reinvestment of distributions | 30 | 823 | 359 | 8,823 |
| Shares redeemed | (1,431) | (1,976) | (17,221) | (20,789) |
| Net increase (decrease) | 18,106 | 43,965 | $214,822 | $455,973 |
12. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| | VIP FundsManager 50% Portfolio | VIP FundsManager 60% Portfolio | VIP FundsManager 70% Portfolio |
| Fidelity Hedged Equity Fund | 22% | 35% | 12% |
Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.
| Fund | % of shares held |
| Fidelity Hedged Equity Fund | 78% |
13. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Note: This is not applicable for any fund included in this document.
1.9905821.101
FHE-SANN-0924
Fidelity® Macro Opportunities Fund
Semi-Annual Report
July 31, 2024
Includes Fidelity and Fidelity Advisor share classes
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2024 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)
Fidelity® Macro Opportunities Fund
Consolidated Schedule of Investments July 31, 2024 (Unaudited)
Showing Percentage of Net Assets
| U.S. Treasury Obligations - 9.3% |
| | | Principal Amount (a) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.23% to 5.31% 8/15/24 to 10/24/24 (b)(c)(d) (Cost $960,288) | | 970,000 | 960,338 |
| | | | |
| Other - 4.9% |
| | | Shares | Value ($) |
| Exchange - Traded Notes - Commodities - 4.9% | | | |
iPath Bloomberg Commodity Index Total Return ETN (issued by Barclays Bank PLC, maturity date 6/12/36) (e) (Cost $530,134) | | 16,475 | 506,277 |
| | | | |
| Money Market Funds - 64.7% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (f) (Cost $6,699,107) | | 6,697,767 | 6,699,107 |
| | | | |
| Equity Funds - 21.0% |
| | | Shares | Value ($) |
| Domestic Equity Funds - 11.0% | | | |
| SPDR Gold Shares (e) | | 3,869 | 876,522 |
| Vanguard Consumer Staples ETF | | 636 | 131,881 |
| Vanguard Health Care ETF | | 497 | 136,516 |
TOTAL DOMESTIC EQUITY FUNDS | | | 1,144,919 |
| International Equity Funds - 4.0% | | | |
| iShares MSCI EAFE Index ETF | | 5,146 | 413,533 |
| Small Blend Funds - 6.0% | | | |
| iShares Russell 2000 ETF | | 2,768 | 619,644 |
| TOTAL EQUITY FUNDS (Cost $1,881,549) | | | 2,178,096 |
| | | | |
| Purchased Options - 0.2% |
| | Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) |
| Call Options | | | | | | |
| iShares MSCI China ETF | Chicago Board Options Exchange | 100 | 415,200 | 51 | 11/15/24 | 1,750 |
| | | | | | | |
| | | | | | | 1,750 |
| Put Options | | | | | | |
| SPDR S&P 500 ETF Trust | Chicago Board Options Exchange | 10 | 550,810 | 566 | 10/18/24 | 19,215 |
| | | | | | | |
| | | | | | | 19,215 |
TOTAL PURCHASED OPTIONS (Cost $32,515) | | | | | | 20,965 |
For the period, the average monthly notional amount at value for purchased options in the aggregate was $3,215,702.
| TOTAL INVESTMENT IN SECURITIES - 100.1% (Cost $10,103,593) | 10,364,783 |
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (8,851) |
| NET ASSETS - 100.0% | 10,355,932 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Purchased | | | | | |
| | | | | | |
| Commodity Futures Contracts | | | | | |
| NYMEX WTI Crude Oil Contracts (United States) | 3 | Aug 2024 | 233,730 | 2,873 | 2,873 |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 74 | Sep 2024 | 15,197,172 | 108,910 | 108,910 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 91 | Sep 2024 | 9,818,047 | 154,548 | 154,548 |
| | | | | | |
| TOTAL TREASURY CONTRACTS | | | | | 263,458 |
| | | | | | |
| TOTAL PURCHASED | | | | | 266,331 |
| | | | | | |
| Sold | | | | | |
| | | | | | |
| Bond Index Contracts | | | | | |
| SGX 10-year Mini Japanese Government Bond Contracts (Singapore) | 10 | Sep 2024 | 953,039 | 3,294 | 3,294 |
| | | | | | |
| Equity Index Contracts | | | | | |
| CME E-mini S&P 500 Index Contracts (United States) | 12 | Sep 2024 | 333,480 | (3,331) | (3,331) |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 20 | Sep 2024 | 2,559,375 | (67,680) | (67,680) |
| | | | | | |
| TOTAL SOLD | | | | | (67,717) |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | 198,614 |
| The notional amount of futures purchased as a percentage of Net Assets is 243.8% |
| The notional amount of futures sold as a percentage of Net Assets is 37.1% |
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $25,630,578.
| Written Options |
| | Counterparty | Number of Contracts | Notional Amount ($) | Exercise Price ($) | Expiration Date | Value ($) |
| Put Options | | | | | | |
| iShares Russell 2000 ETF | Chicago Board Options Exchange | 25 | 559,650 | 225.00 | 10/18/24 | (22,638) |
| | | | | | | |
| Forward Foreign Currency Contracts |
Currency Purchased
| Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) |
| | | | | | | |
| GBP | 425,000 | USD | 534,269 | HSBC Bank | 9/18/24 | 12,325 |
| JPY | 163,000,000 | USD | 1,065,568 | Bank of America, N.A. | 9/18/24 | 30,331 |
| KRW | 290,000,000 | USD | 215,653 | Bank of America, N.A. | 9/19/24 | (3,316) |
| BRL | 2,750,000 | USD | 527,831 | Bank of America, N.A. | 10/02/24 | (44,829) |
| USD | 101,471 | BRL | 552,000 | Bank of America, N.A. | 10/02/24 | 4,519 |
| | | | | | | |
| TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | | (970) |
| Unrealized Appreciation | | | 47,175 |
| Unrealized Depreciation | | | (48,145) |
For the period, the average contract value for forward foreign currency contracts was $2,299,575. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively.
| Credit Default Swaps |
| Underlying Reference | | Maturity Date | Clearinghouse / Counterparty(1) | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) |
| Buy Protection | | | | | | | | | | |
| 5-Year CDX N.A. HY Series 42 | | Jun 2029 | ICE | (5%) | Quarterly | | 3,100,000 | (6,282) | 0 | (6,282) |
| Republic of Italy | | Jun 2029 | BNP Paribas S.A. | (1%) | Quarterly | | 450,000 | (7,446) | 6,040 | (1,406) |
| Republic of Italy | | Jun 2029 | Barclays Bank PLC | (1%) | Quarterly | | 700,000 | (11,582) | 9,396 | (2,186) |
| | | | | | | | | | | |
| TOTAL CREDIT DEFAULT SWAPS | | | | | | | | (25,310) | 15,436 | (9,874) |
(1)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.
(2)Notional amount is stated in U.S. Dollars unless otherwise noted.
(3)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
For the period, the average monthly notional amount at value for swaps in the aggregate was $4,816,750.
Currency Abbreviations
| BRL | - | Brazilian real |
| GBP | - | British pound sterling |
| JPY | - | Japanese yen |
| KRW | - | Korean won |
| USD | - | U.S. dollar |
Security Type Abbreviations
| ETF | - | EXCHANGE-TRADED FUND |
| ETN | - | EXCHANGE-TRADED NOTE |
Legend
| (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 $197,915. |
| (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 $167,962. |
| (d) | Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $594,461. |
| (f) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 8,258,897 | 2,338,879 | 3,898,672 | 203,903 | 3 | - | 6,699,107 | 0.0% |
| Total | 8,258,897 | 2,338,879 | 3,898,672 | 203,903 | 3 | - | 6,699,107 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Consolidated Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| U.S. Government and Government Agency Obligations | 960,338 | - | 960,338 | - |
|
| Other | 506,277 | 506,277 | - | - |
|
| Money Market Funds | 6,699,107 | 6,699,107 | - | - |
|
| Equity Funds | 2,178,096 | 2,178,096 | - | - |
|
| Purchased Options | 20,965 | 20,965 | - | - |
| Total Investments in Securities: | 10,364,783 | 9,404,445 | 960,338 | - |
Derivative Instruments: Assets | | | | |
Futures Contracts | 269,625 | 269,625 | - | - |
Forward Foreign Currency Contracts | 47,175 | - | 47,175 | - |
| Total Assets | 316,800 | 269,625 | 47,175 | - |
| Liabilities | | | | |
Futures Contracts | (71,011) | (71,011) | - | - |
Forward Foreign Currency Contracts | (48,145) | - | (48,145) | - |
Swaps | (25,310) | - | (25,310) | - |
Written Options | (22,638) | (22,638) | - | - |
| Total Liabilities | (167,104) | (93,649) | (73,455) | - |
| Total Derivative Instruments: | 149,696 | 175,976 | (26,280) | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Commodity Risk | | |
Futures Contracts (a) | 2,873 | 0 |
| Total Commodity Risk | 2,873 | 0 |
| Credit Risk | | |
Swaps (b)(c) | 0 | (25,310) |
| Total Credit Risk | 0 | (25,310) |
| Equity Risk | | |
Futures Contracts (a) | 0 | (3,331) |
Purchased Options (d) | 20,965 | 0 |
Written Options (e) | 0 | (22,638) |
| Total Equity Risk | 20,965 | (25,969) |
| Foreign Exchange Risk | | |
Forward Foreign Currency Contracts (f) | 47,175 | (48,145) |
| Total Foreign Exchange Risk | 47,175 | (48,145) |
| Interest Rate Risk | | |
Futures Contracts (a) | 266,752 | (67,680) |
| Total Interest Rate Risk | 266,752 | (67,680) |
| Total Value of Derivatives | 337,765 | (167,104) |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(b)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).
(c)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
(d)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the Investments in Securities at value line-item.
(e)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the written options, at value line-item.
(f)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.
The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.
| | | | | | | | | | | |
| Counterparty | | Value of Derivative Assets ($) | | Value of Derivative Liabilities ($) | | Collateral Received(a) ($) | | Collateral Pledged(a) ($) | | Net(b) ($) |
| Bank of America, N.A. | | 34,850 | | (48,145) | | - | | - | | (13,295) |
| Barclays Bank PLC | | - | | (11,582) | | - | | - | | (11,582) |
| BNP Paribas S.A. | | - | | (7,446) | | - | | - | | (7,446) |
| HSBC Bank | | 12,325 | | - | | - | | - | | 12,325 |
| Total | $ | 47,175 | $ | (67,173) | $ | - | $ | - | $ | (19,998) |
| | | | | | | | | | | |
(a) Reflects collateral received from or pledged to an individual counterparty, excluding any excess or initial collateral amounts.
(b) Net represents the receivable / (payable) that would be due from / (to) the counterparty in an event of default. Netting may be allowed across transactions traded under the same legal agreement with the same legal entity. Please refer to Derivative Instruments - Risk Exposures and the Use of Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.
Consolidated Financial Statements (Unaudited)
| Consolidated Statement of Assets and Liabilities |
| As of July 31, 2024 (Unaudited) |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $3,404,486) | $ | 3,665,676 | | |
Fidelity Central Funds (cost $6,699,107) | | 6,699,107 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $10,103,593) | | | $ | 10,364,783 |
| Cash | | | | 11,711 |
| Unrealized appreciation on forward foreign currency contracts | | | | 47,175 |
| Receivable for fund shares sold | | | | 4,000 |
| Distributions receivable from Fidelity Central Funds | | | | 31,075 |
| Receivable for daily variation margin on futures contracts | | | | 11,415 |
| Receivable from investment adviser for expense reductions | | | | 415 |
Total assets | | | | 10,470,574 |
| Liabilities | | | | |
| Unrealized depreciation on forward foreign currency contracts | $ | 48,145 | | |
| Payable for fund shares redeemed | | 6,470 | | |
| Bi-lateral OTC swaps, at value | | 19,028 | | |
| Accrued management fee | | 6,802 | | |
| Distribution and service plan fees payable | | 1,239 | | |
| Payable for daily variation margin on centrally cleared swaps | | 10,004 | | |
| Written options, at value (premium received $23,569) | | 22,638 | | |
| Other affiliated payables | | 290 | | |
| Other payables and accrued expenses | | 26 | | |
| Total liabilities | | | | 114,642 |
| Net Assets | | | $ | 10,355,932 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 11,316,756 |
| Total accumulated earnings (loss) | | | | (960,824) |
| Net Assets | | | $ | 10,355,932 |
| | | | | |
| Net Asset Value and Maximum Offering Price | | | | |
| Class A : | | | | |
Net Asset Value and redemption price per share ($891,988 ÷ 101,628 shares)(a) | | | $ | 8.78 |
| Maximum offering price per share (100/94.25 of $8.78) | | | $ | 9.32 |
| Class M : | | | | |
Net Asset Value and redemption price per share ($869,390 ÷ 99,432 shares)(a) | | | $ | 8.74 |
| Maximum offering price per share (100/96.50 of $8.74) | | | $ | 9.06 |
| Class C : | | | | |
Net Asset Value and offering price per share ($850,893 ÷ 98,330 shares)(a) | | | $ | 8.65 |
| Fidelity Macro Opportunities Fund : | | | | |
Net Asset Value, offering price and redemption price per share ($5,197,339 ÷ 579,188 shares) | | | $ | 8.97 |
| Class I : | | | | |
Net Asset Value, offering price and redemption price per share ($1,676,320 ÷ 190,706 shares) | | | $ | 8.79 |
| Class Z : | | | | |
Net Asset Value, offering price and redemption price per share ($870,002 ÷ 98,875 shares) | | | $ | 8.80 |
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
| Consolidated Statement of Operations |
Six months ended July 31, 2024 (Unaudited) |
| Investment Income | | | | |
| Dividends | | | $ | 18,804 |
| Interest | | | | 25,294 |
| Income from Fidelity Central Funds | | | | 203,903 |
| Total income | | | | 248,001 |
| Expenses | | | | |
| Management fee | $ | 43,852 | | |
| Distribution and service plan fees | | 7,407 | | |
| Independent trustees' fees and expenses | | 2,700 | | |
| Total expenses before reductions | | 53,959 | | |
| Expense reductions | | (2,902) | | |
| Total expenses after reductions | | | | 51,057 |
| Net Investment income (loss) | | | | 196,944 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | (102,047) | | |
| Fidelity Central Funds | | 3 | | |
| Forward foreign currency contracts | | (137,032) | | |
| Foreign currency transactions | | 32,061 | | |
| Futures contracts | | (315,813) | | |
| Swaps | | (440,938) | | |
| Written options | | 4,429 | | |
| Total net realized gain (loss) | | | | (959,337) |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 269,252 | | |
| Forward foreign currency contracts | | 9,048 | | |
| Assets and liabilities in foreign currencies | | (33) | | |
| Futures contracts | | 39,559 | | |
| Swaps | | 255,631 | | |
| Written options | | 1,745 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 575,202 |
| Net gain (loss) | | | | (384,135) |
| Net increase (decrease) in net assets resulting from operations | | | $ | (187,191) |
| Consolidated Statement of Changes in Net Assets |
| |
| | Six months ended July 31, 2024 (Unaudited) | | Year ended January 31, 2024 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 196,944 | $ | 383,961 |
| Net realized gain (loss) | | (959,337) | | (881,311) |
| Change in net unrealized appreciation (depreciation) | | 575,202 | | 28,365 |
| Net increase (decrease) in net assets resulting from operations | | (187,191) | | (468,985) |
| Distributions to shareholders | | (51,158) | | - |
| | | | | |
| Share transactions - net increase (decrease) | | (1,559,606) | | 5,507,622 |
| Total increase (decrease) in net assets | | (1,797,955) | | 5,038,637 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 12,153,887 | | 7,115,250 |
| End of period | $ | 10,355,932 | $ | 12,153,887 |
| | | | | |
| | | | | |
Consolidated Financial Highlights
Fidelity Advisor® Macro Opportunities Fund Class A |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 8.91 | $ | 9.37 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .15 | | .31 | | .11 |
| Net realized and unrealized gain (loss) | | (.27) | | (.77) | | (.74) |
| Total from investment operations | | (.12) | | (.46) | | (.63) |
| Distributions from net investment income | | (.01) | | - | | - |
| Total distributions | | (.01) | | - | | - |
| Net asset value, end of period | $ | 8.78 | $ | 8.91 | $ | 9.37 |
Total Return D,E,F | | | | (4.91)% | | (6.30)% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | 1.10% I | | 1.15% | | 2.51% I |
| Expenses net of fee waivers, if any | | | | 1.05% | | 1.05% I |
| Expenses net of all reductions | | 1.05% I | | 1.05% | | 1.05% I |
| Net investment income (loss) | | 3.46% I | | 3.44% | | 2.04% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 892 | $ | 890 | $ | 971 |
Portfolio turnover rate J | | | | 22% | | 68% I |
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FTotal returns do not include the effect of the sales charges.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Fidelity Advisor® Macro Opportunities Fund Class M |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 8.87 | $ | 9.35 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .14 | | .29 | | .10 |
| Net realized and unrealized gain (loss) | | (.27) | | (.77) | | (.75) |
| Total from investment operations | | (.13) | | (.48) | | (.65) |
| Net asset value, end of period | $ | 8.74 | $ | 8.87 | $ | 9.35 |
Total Return D,E,F | | | | (5.13)% | | (6.50)% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | 1.35% I | | 1.40% | | 2.78% I |
| Expenses net of fee waivers, if any | | | | 1.30% | | 1.30% I |
| Expenses net of all reductions | | 1.30% I | | 1.30% | | 1.30% I |
| Net investment income (loss) | | 3.21% I | | 3.19% | | 1.79% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 869 | $ | 875 | $ | 921 |
Portfolio turnover rate J | | | | 22% | | 68% I |
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FTotal returns do not include the effect of the sales charges.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Fidelity Advisor® Macro Opportunities Fund Class C |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 8.80 | $ | 9.33 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .12 | | .24 | | .07 |
| Net realized and unrealized gain (loss) | | (.27) | | (.77) | | (.74) |
| Total from investment operations | | (.15) | | (.53) | | (.67) |
| Net asset value, end of period | $ | 8.65 | $ | 8.80 | $ | 9.33 |
Total Return D,E,F | | | | (5.68)% | | (6.70)% |
Ratios to Average Net Assets C,G,H | | | | | | |
| Expenses before reductions | | 1.85% I | | 1.90% | | 3.28% I |
| Expenses net of fee waivers, if any | | | | 1.80% | | 1.80% I |
| Expenses net of all reductions | | 1.80% I | | 1.80% | | 1.80% I |
| Net investment income (loss) | | 2.71% I | | 2.69% | | 1.28% I |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 851 | $ | 865 | $ | 914 |
Portfolio turnover rate J | | | | 22% | | 68% I |
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FTotal returns do not include the effect of the contingent deferred sales charge.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Fidelity® Macro Opportunities Fund |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 9.13 | $ | 9.58 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .16 | | .34 | | .10 |
| Net realized and unrealized gain (loss) | | (.27) | | (.79) | | (.52) |
| Total from investment operations | | (.11) | | (.45) | | (.42) |
| Distributions from net investment income | | (.05) | | - | | - |
| Total distributions | | (.05) | | - | | - |
| Net asset value, end of period | $ | 8.97 | $ | 9.13 | $ | 9.58 |
Total Return D,E | | | | (4.70)% | | (4.20)% |
Ratios to Average Net Assets C,F,G | | | | | | |
| Expenses before reductions | | .85% H | | .88% | | 1.50% H |
| Expenses net of fee waivers, if any | | | | .80% | | .80% H |
| Expenses net of all reductions | | .80% H | | .80% | | .80% H |
| Net investment income (loss) | | 3.71% H | | 3.69% | | 2.66% H |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 5,197 | $ | 6,947 | $ | 1,699 |
Portfolio turnover rate I | | | | 22% | | 68% H |
AFor the period September 1, 2022 (commencement of sale of shares) through January 31, 2023.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Fidelity Advisor® Macro Opportunities Fund Class I |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 8.94 | $ | 9.37 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .16 | | .34 | | .12 |
| Net realized and unrealized gain (loss) | | (.27) | | (.77) | | (.75) |
| Total from investment operations | | (.11) | | (.43) | | (.63) |
| Distributions from net investment income | | (.04) | | - | | - |
| Total distributions | | (.04) | | - | | - |
| Net asset value, end of period | $ | 8.79 | $ | 8.94 | $ | 9.37 |
Total Return D,E | | | | (4.59)% | | (6.30)% |
Ratios to Average Net Assets C,F,G | | | | | | |
| Expenses before reductions | | .85% H | | .90% | | 2.35% H |
| Expenses net of fee waivers, if any | | | | .80% | | .80% H |
| Expenses net of all reductions | | .80% H | | .80% | | .79% H |
| Net investment income (loss) | | 3.71% H | | 3.69% | | 2.14% H |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 1,676 | $ | 1,697 | $ | 1,691 |
Portfolio turnover rate I | | | | 22% | | 68% H |
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Fidelity Advisor® Macro Opportunities Fund Class Z |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 | | 2023 A |
Selected Per-Share Data | | | | | | |
| Net asset value, beginning of period | $ | 8.95 | $ | 9.38 | $ | 10.00 |
| Income from Investment Operations | | | | | | |
Net investment income (loss) B,C | | .16 | | .34 | | .12 |
| Net realized and unrealized gain (loss) | | (.27) | | (.77) | | (.74) |
| Total from investment operations | | (.11) | | (.43) | | (.62) |
| Distributions from net investment income | | (.04) | | - | | - |
| Total distributions | | (.04) | | - | | - |
| Net asset value, end of period | $ | 8.80 | $ | 8.95 | $ | 9.38 |
Total Return D,E | | | | (4.58)% | | (6.20)% |
Ratios to Average Net Assets C,F,G | | | | | | |
| Expenses before reductions | | .80% H | | .85% | | 2.36% H |
| Expenses net of fee waivers, if any | | | | .75% | | .75% H |
| Expenses net of all reductions | | .75% H | | .75% | | .75% H |
| Net investment income (loss) | | 3.76% H | | 3.74% | | 2.20% H |
| Supplemental Data | | | | | | |
| Net assets, end of period (000 omitted) | $ | 870 | $ | 880 | $ | 919 |
Portfolio turnover rate I | | | | 22% | | 68% H |
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal returns for periods of less than one year are not annualized.
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
FFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
GExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
HAnnualized.
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
Notes to Consolidated Financial Statements
(Unaudited)For the period ended July 31, 2024
1. Organization.
Fidelity Macro Opportunities Fund (the Fund) is a non-diversified fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund offers Class A, Class M, Class C, Fidelity Macro Opportunities Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
2. Consolidated Subsidiary.
The Funds included in the table below hold certain commodity-related investments through a wholly owned subsidiary (the "Subsidiary"). As of period end, the investments in the Subsidiaries, were as follows:
| | Subsidiary Name | Net Assets of Subsidiary | % of Fund's Net Assets |
| Fidelity Macro Opportunities Fund | Fidelity Macro Opportunities Cayman Ltd. | 1,442,258 | 13.9 |
The financial statements have been consolidated to include the Subsidiary accounts where applicable. Accordingly, all inter-company transactions and balances have been eliminated.
3. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Consolidated Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| 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% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
4. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the consolidated financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the consolidated financial statements were issued have been evaluated in the preparation of the consolidated financial statements. The Fund's Consolidated Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2024 is included at the end of the Fund's Consolidated Schedule of Investments.
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Consolidated Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying consolidated financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds (ETFs). Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund (ETF). Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Internal Revenue Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary's income. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the consolidated financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to swaps, futures, foreign currency transactions, capital loss carryforwards and losses deferred due to excise tax regulations.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $593,764 |
| Gross unrealized depreciation | (143,873) |
| Net unrealized appreciation (depreciation) | $449,891 |
| Tax cost | $10,103,593 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
Short-term | $(250,593) |
Long-term | (273,469) |
| Total capital loss carryforward | $(524,062) |
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| | |
| Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. |
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Consolidated Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse. A summary of derivatives inclusive of potential netting arrangements is presented at the end of the Consolidated Schedule of Investments.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Consolidated Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Consolidated Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
| Fidelity Macro Opportunities Fund | | |
| Commodity Risk | | |
| Futures Contracts | (16,469) | 2,873 |
| Total Commodity Risk | (16,469) | 2,873 |
| Credit Risk | | |
| Swaps | (440,938) | 255,631 |
| Total Credit Risk | (440,938) | 255,631 |
| Equity Risk | | |
| Futures Contracts | (84,702) | 30,353 |
| Purchased Options | (31,636) | 1,625 |
| Written Options | 4,429 | 1,745 |
| Total Equity Risk | (111,909) | 33,723 |
| Foreign Exchange Risk | | |
| Forward Foreign Currency Contracts | (137,032) | 9,048 |
| Total Foreign Exchange Risk | (137,032) | 9,048 |
| Interest Rate Risk | | |
| Futures Contracts | (214,642) | 6,333 |
| Total Interest Rate Risk | (214,642) | 6,333 |
| Totals | (920,990) | 307,608 |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Consolidated Schedule of Investments.
Forward Foreign Currency Contracts. Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Consolidated Statement of Operations.
Any open forward foreign currency contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period unless an average contract value is presented.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market, commodities market, bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Consolidated Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Consolidated Statement of Operations.
Any open futures contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. Exchange-traded options were used to manage exposure to the market.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Consolidated Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Consolidated Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Consolidated Statement of Operations.
Any open options at period end are presented in the Consolidated Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period unless an average notional amount is presented.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Consolidated Schedule of Investments.
Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Consolidated Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Consolidated Statement of Operations.
Any open swaps at period end are included in the Consolidated Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.
Credit Default Swaps. Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Consolidated Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Consolidated Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity Macro Opportunities Fund | 1,691,184 | 2,515,623 |
7. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which each class of the Fund pays a monthly management fee. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees, distribution and service plan fees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses. During the period, the management fee for each class of the Fund was as follows:
| | Annual % of Class-Level Average Net Assets |
| Class A | .80% |
| Class M | .80% |
| Class C | .80% |
| Fidelity Macro Opportunities Fund | .80% |
| Class I | .80% |
| Class Z | .75% |
The investment adviser also provides investment management services to the Subsidiary. The Subsidiary does not pay the investment adviser a fee for these services. The Subsidiary pays certain other expenses, such as custody fees.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| | Distribution Fee | Service Fee | Total Fees ($) | Retained by FDC ($) |
| Class A | - % | .25% | 1,088 | 1,065 |
| Class M | .25% | .25% | 2,128 | 2,108 |
| Class C | .75% | .25% | 4,191 | 4,189 |
| | | | 7,407 | 7,362 |
Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
| | Retained by FDC ($) |
| Class A | 98 |
| Class M | 32 |
| | 130 |
A When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Consolidated Statement of Operations. The commissions paid to these affiliated firms were as follows:
| | Amount ($) |
| Fidelity Macro Opportunities Fund | 22 |
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
8. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Consolidated Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
9. Expense Reductions.
The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through May 31, 2025. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
| | Expense Limitations | Reimbursement ($) |
| Class A | 1.05% | 213 |
| Class M | 1.30% | 208 |
| Class C | 1.80% | 205 |
| Fidelity Macro Opportunities Fund | .80% | 1,482 |
| Class I | .80% | 402 |
| Class Z | .75% | 209 |
| | | 2,719 |
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expense by $183.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
| | Six months ended July 31, 2024 | Year ended January 31, 2024 |
| Fidelity Macro Opportunities Fund | | |
| Distributions to shareholders | | |
| Class A | $1,203 | $ - |
| Fidelity Macro Opportunities Fund | 38,318 | - |
| Class I | 7,406 | - |
| Class Z | 4,231 | - |
Total | $51,158 | $ - |
11. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
| | Shares | Shares | Dollars | Dollars |
| | Six months ended July 31, 2024 | Year ended January 31, 2024 | Six months ended July 31, 2024 | Year ended January 31, 2024 |
| Fidelity Macro Opportunities Fund | | | | |
| Class A | | | | |
| Shares sold | 1,624 | 3,872 | $14,024 | $36,640 |
| Reinvestment of distributions | 137 | - | 1,203 | - |
| Shares redeemed | - | (7,674) | - | (67,876) |
| Net increase (decrease) | 1,761 | (3,802) | $15,227 | $(31,236) |
| Class M | | | | |
| Shares sold | 779 | 230 | $6,632 | $2,047 |
| Net increase (decrease) | 779 | 230 | $6,632 | $2,047 |
| Class C | | | | |
| Shares sold | 124 | 147 | $1,054 | $1,323 |
| Net increase (decrease) | 124 | 147 | $1,054 | $1,323 |
| Fidelity Macro Opportunities Fund | | | | |
| Shares sold | 82,634 | 803,369 | $729,835 | $7,445,942 |
| Reinvestment of distributions | 4,215 | - | 37,808 | - |
| Shares redeemed | (268,281) | (220,093) | (2,361,581) | (2,004,822) |
| Net increase (decrease) | (181,432) | 583,276 | $(1,593,938) | $5,441,120 |
| Class I | | | | |
| Shares sold | - | 10,493 | $ - | $100,000 |
| Reinvestment of distributions | 843 | - | 7,406 | - |
| Shares redeemed | (25) | (1,009) | (218) | (9,152) |
| Net increase (decrease) | 818 | 9,484 | $7,188 | $90,848 |
| Class Z | | | | |
| Shares sold | - | 394 | $ - | $3,520 |
| Reinvestment of distributions | 481 | - | 4,231 | - |
| Net increase (decrease) | 481 | 394 | $4,231 | $3,520 |
12. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:
| Fund | Affiliated % |
| Fidelity Macro Opportunities Fund | 43% |
13. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the consolidated financial statements for each Fund as part of Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Note: This is not applicable for any fund included in this document.
1.9904682.102
GMO-SANN-0924
Fidelity® SAI Convertible Arbitrage Fund
Semi-Annual Report
July 31, 2024
Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.
Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2024 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)
Fidelity® SAI Convertible Arbitrage Fund
Schedule of Investments July 31, 2024 (Unaudited)
Showing Percentage of Net Assets
| Convertible Bonds - 32.5% |
| | | Principal Amount (a) | Value ($) |
| COMMUNICATION SERVICES - 0.7% | | | |
| Media - 0.7% | | | |
| Cable One, Inc. 0% 3/15/26 | | 2,000,000 | 1,780,000 |
| CONSUMER DISCRETIONARY - 4.0% | | | |
| Hotels, Restaurants & Leisure - 4.0% | | | |
| Royal Caribbean Cruises Ltd. 6% 8/15/25 | | 2,965,000 | 9,387,190 |
| HEALTH CARE - 12.3% | | | |
| Biotechnology - 3.6% | | | |
| Insmed, Inc. 0.75% 6/1/28 | | 3,700,000 | 8,426,750 |
| Health Care Equipment & Supplies - 7.1% | | | |
| Enovis Corp. 3.875% 10/15/28 (b) | | 4,000,000 | 4,318,000 |
| Lantheus Holdings, Inc. 2.625% 12/15/27 | | 6,500,000 | 9,724,000 |
| NuVasive, Inc. 0.375% 3/15/25 | | 3,000,000 | 2,880,000 |
| | | | 16,922,000 |
| Pharmaceuticals - 1.6% | | | |
| Pacira Biosciences, Inc. 0.75% 8/1/25 | | 4,000,000 | 3,700,000 |
TOTAL HEALTH CARE | | | 29,048,750 |
| INDUSTRIALS - 8.5% | | | |
| Construction & Engineering - 7.1% | | | |
| Granite Construction, Inc.: | | | |
| 3.25% 6/15/30 (b) | | 6,000,000 | 6,591,000 |
| 3.75% 5/15/28 | | 6,500,000 | 10,211,500 |
| | | | 16,802,500 |
| Machinery - 0.7% | | | |
| Middleby Corp. 1% 9/1/25 | | 1,500,000 | 1,694,250 |
| Passenger Airlines - 0.7% | | | |
| JetBlue Airways Corp. 0.5% 4/1/26 | | 1,875,000 | 1,729,316 |
TOTAL INDUSTRIALS | | | 20,226,066 |
| INFORMATION TECHNOLOGY - 5.7% | | | |
| Electronic Equipment, Instruments & Components - 1.6% | | | |
| Advanced Energy Industries, Inc. 2.5% 9/15/28 (b) | | 3,500,000 | 3,785,950 |
| Software - 4.1% | | | |
| BlackLine, Inc. 1% 6/1/29 (b) | | 7,372,000 | 7,105,983 |
| MicroStrategy, Inc. 2.25% 6/15/32 (b) | | 2,500,000 | 2,619,865 |
| | | | 9,725,848 |
TOTAL INFORMATION TECHNOLOGY | | | 13,511,798 |
| REAL ESTATE - 1.3% | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.3% | | | |
| Federal Realty OP LP 3.25% 1/15/29 (b) | | 3,000,000 | 3,060,000 |
| TOTAL CONVERTIBLE BONDS (Cost $71,133,750) | | | 77,013,804 |
| | | | |
| U.S. Treasury Obligations - 56.3% |
| | | Principal Amount (a) | Value ($) |
U.S. Treasury Bills, yield at date of purchase 5.3% to 5.31% 8/15/24 to 10/3/24 (c)(d) (Cost $133,157,453) | | 134,000,000 | 133,159,961 |
| | | | |
| Equity Funds - 8.9% |
| | | Shares | Value ($) |
| iShares MSCI ACWI Index ETF | | 89,500 | 10,214,635 |
| SPDR S&P 500 ETF Trust | | 19,600 | 10,795,876 |
| TOTAL EQUITY FUNDS (Cost $20,474,554) | | | 21,010,511 |
| | | | |
| Money Market Funds - 0.9% |
| | | Shares | Value ($) |
Fidelity Cash Central Fund 5.39% (e) (Cost $2,065,404) | | 2,064,991 | 2,065,404 |
| | | | |
| TOTAL INVESTMENT IN SECURITIES - 98.6% (Cost $226,831,161) | 233,249,680 |
NET OTHER ASSETS (LIABILITIES) - 1.4% | 3,397,070 |
| NET ASSETS - 100.0% | 236,646,750 |
| | |
| Futures Contracts |
| | Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) |
| Sold | | | | | |
| | | | | | |
| Treasury Contracts | | | | | |
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 100 | Sep 2024 | 20,536,719 | (115,958) | (115,958) |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 275 | Sep 2024 | 29,669,922 | (259,469) | (259,469) |
| | | | | | |
| TOTAL FUTURES CONTRACTS | | | | | (375,427) |
| The notional amount of futures sold as a percentage of Net Assets is 21.2% |
For the period, the average monthly notional amount at value for futures contracts in the aggregate was $25,366,318.
| Total Return Swaps |
| Description | Counterparty | Maturity Date | Absolute Notional Amount ($) | Value ($) | Net Cash and Other Receivables/(Payables) ($) | Unrealized Appreciation/(Depreciation) ($) |
| The Fund receives the total return on a portfolio of long and short equity positions and fixed income positions and pays or receives the Secured Overnight Fin. Rate (SOFR)plus or minus a specified spread ranging from (0.21)% to 0.55% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap as applicable. | Bank of Montreal | Sep 2024 | 274,730,711 | 199,756 | (54,175) | 145,581 |
| | | | | | | |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end. |
| | | | | | | |
| Description | Principal Amount / (Shares) | Notional Amount ($) | Unrealized Appreciation / (Depreciation) ($) | Percentage of Swap Value (%) | Investment Type |
| Airbnb, Inc. Class A | (3,800) | (530,328) | 35,673 | 0.25 | Common Stock |
| Altair Engineering, Inc. Class A | (55,800) | (4,930,488) | 493,045 | 3.39 | Common Stock |
| Ascendis Pharma A/S sponsored ADR | (31,700) | (4,231,950) | 122,146 | 0.84 | Common Stock |
| Avid Bioservices, Inc. | (310,800) | (3,244,752) | (698,368) | (4.80) | Common Stock |
| BlackLine, Inc. | - | - | 726 | 0.00 | Common Stock |
| Burlington Stores, Inc. | (37,800) | (9,840,096) | (565,506) | (3.88) | Common Stock |
| Cable One, Inc. | (300) | (124,014) | (20,671) | (0.14) | Common Stock |
| Coinbase Global, Inc. | (12,200) | (2,737,192) | 232,547 | 1.60 | Common Stock |
| Cracker Barrel Old Country Store, Inc. | (4,000) | (183,320) | (14,893) | (0.10) | Common Stock |
| Datadog, Inc. Class A | (17,500) | (2,037,700) | 232,238 | 1.60 | Common Stock |
| DexCom, Inc. | (2,500) | (169,550) | (10,079) | (0.07) | Common Stock |
| Etsy, Inc. | (5,500) | (358,270) | (23,543) | (0.16) | Common Stock |
| Exact Sciences Corp. | (49,800) | (2,274,864) | 73,581 | 0.51 | Common Stock |
| FirstEnergy Corp. | (30,800) | (1,290,828) | (91,204) | (0.63) | Common Stock |
| Ford Motor Co. | (215,000) | (2,326,300) | 895,742 | 6.15 | Common Stock |
| Green Plains, Inc. | (87,000) | (1,542,510) | (135,992) | (0.93) | Common Stock |
| Liberty Media Corp. Liberty Formula One Class C | (53,200) | (4,302,284) | (141,067) | (0.97) | Common Stock |
| Live Nation Entertainment, Inc. | (22,700) | (2,183,513) | 54,817 | 0.38 | Common Stock |
| Lyft, Inc. | (208,900) | (2,517,245) | 221,654 | 1.52 | Common Stock |
| MACOM Technology Solutions Holdings, Inc. | (21,000) | (2,119,320) | 272,784 | 1.87 | Common Stock |
| MakeMyTrip Ltd. | (49,000) | (4,585,910) | (104,931) | (0.72) | Common Stock |
| Marriott Vacations Worldwide Corp. | (14,500) | (1,226,410) | 34,485 | 0.24 | Common Stock |
| Merck & Co., Inc. | (40,500) | (4,581,765) | 112,873 | 0.78 | Common Stock |
| Meritage Homes Corp. | - | - | (172,338) | (1.18) | Common Stock |
| Mesa Laboratories, Inc. | (500) | (57,260) | (5,742) | (0.04) | Common Stock |
| Mirum Pharmaceuticals, Inc. | (47,300) | (1,918,015) | (46,342) | (0.32) | Common Stock |
| Okta, Inc. | (5,000) | (469,700) | 23,775 | 0.16 | Common Stock |
| Peabody Energy Corp. | (96,000) | (2,132,160) | 127,071 | 0.87 | Common Stock |
| PG&E Corp. | (42,600) | (777,450) | (22,903) | (0.16) | Common Stock |
| Progress Software Corp. | (44,600) | (2,604,640) | (140,669) | (0.97) | Common Stock |
| Seagate Technology Holdings PLC | (40,000) | (4,086,800) | 280,741 | 1.93 | Common Stock |
| Snap, Inc. Class A | (320,000) | (4,262,400) | 936,653 | 6.40 | Common Stock |
| Spotify Technology SA | (3,250) | (1,117,805) | (133,573) | (0.92) | Common Stock |
| The Boeing Co. | (11,000) | (2,096,600) | (101,284) | (0.70) | Common Stock |
| The Cheesecake Factory, Inc. | (1,000) | (38,890) | (1,847) | (0.01) | Common Stock |
| The Greenbrier Companies, Inc. | (57,500) | (2,933,075) | (257,785) | (1.77) | Common Stock |
| Tyler Technologies, Inc. | (3,700) | (2,102,007) | (170,149) | (1.17) | Common Stock |
| Uber Technologies, Inc. | (51,200) | (3,300,864) | 409,090 | 2.81 | Common Stock |
| Winnebago Industries, Inc. | (14,000) | (875,280) | (62,125) | (0.43) | Common Stock |
| Airbnb, Inc. 0% 3/15/26 | 7,500,000 | 6,873,415 | (18,409) | (0.13) | Convertible Corporate Bond |
| Altair Engineering, Inc. 1.75% 6/15/27 | 5,000,000 | 6,706,680 | (560,826) | (3.85) | Convertible Corporate Bond |
| Ascendis Pharma A/S 2.25% 4/1/28 | 7,500,000 | 8,324,028 | (168,109) | (1.15) | Convertible Corporate Bond |
| Avid Bioservices, Inc. 7% 3/1/29 | 4,000,000 | 5,562,039 | 813,536 | 5.59 | Convertible Corporate Bond |
| BlackLine, Inc. 0.125% 8/1/24 | 1,500,000 | 1,494,937 | (4,219) | (0.03) | Convertible Corporate Bond |
| BofA Finance LLC 0.6% 5/25/27 | 5,000,000 | 5,502,950 | (131,142) | (0.90) | Convertible Corporate Bond |
| Burlington Stores, Inc. 1.25% 12/15/27 | 9,500,000 | 13,205,923 | 544,911 | 3.74 | Convertible Corporate Bond |
| Cable One, Inc. 0% 3/15/26 | 3,000,000 | 2,670,000 | 8,346 | 0.06 | Convertible Corporate Bond |
| Coinbase Global, Inc. 0.25% 4/1/30 | 5,000,000 | 4,937,118 | (144,389) | (0.99) | Convertible Corporate Bond |
| Cracker Barrel Old Country Store, Inc. 0.625% 6/15/26 | 3,500,000 | 3,119,581 | 23,245 | 0.16 | Convertible Corporate Bond |
| Datadog, Inc. 0.125% 6/15/25 | 2,000,000 | 2,652,319 | (229,900) | (1.58) | Convertible Corporate Bond |
| DexCom, Inc. 0.25% 11/15/25 | 7,500,000 | 7,042,472 | (7,031) | (0.05) | Convertible Corporate Bond |
| Etsy, Inc. 0.125% 9/1/27 | 5,500,000 | 4,695,089 | 13,214 | 0.09 | Convertible Corporate Bond |
| Exact Sciences Corp. 2% 3/1/30 | 5,500,000 | 5,103,979 | (92,017) | (0.63) | Convertible Corporate Bond |
| FirstEnergy Corp. 4% 5/1/26 | 5,250,000 | 5,391,750 | 109,993 | 0.76 | Convertible Corporate Bond |
| Ford Motor Co. 0% 3/15/26 | 7,500,000 | 7,271,250 | (740,584) | (5.09) | Convertible Corporate Bond |
| Green Plains, Inc. 2.25% 3/15/27 | 5,000,000 | 4,600,636 | 98,864 | 0.68 | Convertible Corporate Bond |
| Jazz Investments I Ltd. 1.5% 8/15/24 | 4,000,000 | 4,019,837 | (1,023) | (0.01) | Convertible Corporate Bond |
| JPMorgan Chase Financial Co. LLC 0.5% 6/15/27 | 4,000,000 | 4,362,555 | 94,459 | 0.65 | Convertible Corporate Bond |
| Liberty Media Corp. 2.375% 9/30/53 | 3,500,000 | 3,813,407 | (67,207) | (0.46) | Convertible Corporate Bond |
| Liberty Media Corp. Liberty Formula One 2.25% 8/15/27 | 6,750,000 | 7,616,483 | 88,641 | 0.61 | Convertible Corporate Bond |
| Lyft, Inc. 0.625% 3/1/29 | 5,500,000 | 5,167,097 | (191,431) | (1.31) | Convertible Corporate Bond |
| MACOM Technology Solutions Holdings, Inc. 0.25% 3/15/26 | 2,000,000 | 2,617,907 | (265,220) | (1.82) | Convertible Corporate Bond |
| MakeMyTrip Ltd. 0% 2/15/28 | 2,000,000 | 4,886,000 | 92,224 | 0.63 | Convertible Corporate Bond |
| Marriott Vacations Worldwide Corp. 3.25% 12/15/27 | 7,500,000 | 6,897,395 | (10,885) | (0.07) | Convertible Corporate Bond |
| Meritage Homes Corp. 1.75% 5/15/28 | - | - | 179,970 | 1.24 | Convertible Corporate Bond |
| Mesa Laboratories, Inc. 1.375% 8/15/25 | 1,000,000 | 951,912 | 1,412 | 0.01 | Convertible Corporate Bond |
| Mirum Pharmaceuticals, Inc. 4% 5/1/29 | 2,000,000 | 3,029,778 | 67,559 | 0.46 | Convertible Corporate Bond |
| Okta, Inc. 0.125% 9/1/25 | 1,540,000 | 1,454,562 | (12,497) | (0.09) | Convertible Corporate Bond |
| Okta, Inc. 0.375% 6/15/26 | 2,700,000 | 2,475,843 | (12,340) | (0.08) | Convertible Corporate Bond |
| Peabody Energy Corp. 3.25% 3/1/28 | 2,500,000 | 3,321,354 | (151,158) | (1.04) | Convertible Corporate Bond |
| PG&E Corp. 4.25% 12/1/27 | 1,630,000 | 1,692,890 | 24,171 | 0.17 | Convertible Corporate Bond |
| Progress Software Corp. 1% 4/15/26 | 4,000,000 | 4,383,578 | 126,762 | 0.87 | Convertible Corporate Bond |
| Seagate HDD Cayman 3.5% 6/1/28 | 4,000,000 | 5,482,333 | (270,024) | (1.85) | Convertible Corporate Bond |
| Snap, Inc. 0.5% 5/1/30 | 10,000,000 | 9,335,833 | (913,989) | (6.28) | Convertible Corporate Bond |
| Spotify U.S.A., Inc. 0% 3/15/26 | 5,000,000 | 4,871,440 | 111,311 | 0.76 | Convertible Corporate Bond |
| The Cheesecake Factory, Inc. 0.375% 6/15/26 | 500,000 | 455,586 | 2,382 | 0.02 | Convertible Corporate Bond |
| The Greenbrier Companies, Inc. 2.875% 4/15/28 | 5,000,000 | 5,472,048 | 223,517 | 1.54 | Convertible Corporate Bond |
| Tyler Technologies, Inc. 0.25% 3/15/26 | 3,000,000 | 3,634,333 | 224,280 | 1.54 | Convertible Corporate Bond |
| Uber Technologies, Inc. 0.875% 12/1/28 | 5,500,000 | 6,137,770 | (420,936) | (2.89) | Convertible Corporate Bond |
| Winnebago Industries, Inc. 1.5% 4/1/25 | 1,250,000 | 1,385,049 | 71,490 | 0.49 | Convertible Corporate Bond |
| | | | | | | |
| Description | Counterparty | Maturity Date | Absolute Notional Amount ($) | Value ($) | Net Cash and Other Receivables/(Payables) ($) | Unrealized Appreciation/(Depreciation) ($) |
| The Fund receives the total return on a portfolio of long and short equity positions and fixed income positions and pays or receives the Secured Overnight Fin. Rate (SOFR)plus or minus a specified spread ranging from (0.50)% to 0.75% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap as applicable. | BNP Paribas SA | Sep 2024 | 474,451,116 | 1,723,226 | (195,002) | 1,528,224 |
| | | | | | | |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end. |
| | | | | | | |
| Description | Principal Amount / (Shares) | Notional Amount ($) | Unrealized Appreciation / (Depreciation) ($) | Percentage of Swap Value (%) | Investment Type |
| Advanced Energy Industries, Inc. | (27,950) | (3,252,541) | (107,030) | (0.07) | Common Stock |
| Akamai Technologies, Inc. | (53,800) | (5,287,464) | (96,431) | (0.06) | Common Stock |
| Axon Enterprise, Inc. | (27,900) | (8,370,279) | 277,094 | 0.18 | Common Stock |
| BlackLine, Inc. | (73,000) | (3,468,960) | 60,154 | 0.04 | Common Stock |
| Bread Financial Holdings, Inc. | (10,400) | (567,632) | (55,367) | (0.04) | Common Stock |
| Carnival Corp. | - | - | 155,951 | 0.10 | Common Stock |
| Cinemark Holdings, Inc. | (485,400) | (11,445,732) | (962,116) | (0.63) | Common Stock |
| Enovis Corp. | (52,000) | (2,477,280) | (145,299) | (0.10) | Common Stock |
| Etsy, Inc. | - | - | (123,793) | (0.08) | Common Stock |
| Federal Realty Investment Trust (SBI) | (11,000) | (1,228,150) | (54,982) | (0.04) | Common Stock |
| Five9, Inc. | (1,100) | (49,005) | (413) | 0.00 | Common Stock |
| Freshpet, Inc. | (78,000) | (9,492,600) | 558,789 | 0.37 | Common Stock |
| Granite Construction, Inc. | (172,400) | (11,802,504) | (689,245) | (0.45) | Common Stock |
| Guess?, Inc. | (101,000) | (2,429,050) | (142,065) | (0.09) | Common Stock |
| HubSpot, Inc. | (8,750) | (4,349,012) | (210,212) | (0.14) | Common Stock |
| IMAX Corp. | (51,300) | (1,082,430) | (194,898) | (0.13) | Common Stock |
| Innoviva, Inc. | (82,500) | (1,554,300) | (160,888) | (0.11) | Common Stock |
| Insight Enterprises, Inc. | (36,500) | (8,194,250) | (565,274) | (0.37) | Common Stock |
| Insmed, Inc. | (176,600) | (12,847,650) | 865,900 | 0.57 | Common Stock |
| InterDigital, Inc. | (23,500) | (2,884,860) | (15,074) | (0.01) | Common Stock |
| Jazz Pharmaceuticals PLC | (9,200) | (1,014,300) | (61,416) | (0.04) | Common Stock |
| Lantheus Holdings, Inc. | (69,600) | (7,296,168) | 1,298,134 | 0.86 | Common Stock |
| Lumentum Holdings, Inc. | (22,000) | (1,139,160) | 139,195 | 0.09 | Common Stock |
| Merit Medical Systems, Inc. | (48,700) | (4,153,623) | 27,394 | 0.02 | Common Stock |
| MicroStrategy, Inc. Class A | (1,075) | (1,735,523) | 313 | 0.00 | Common Stock |
| Middleby Corp. | (27,500) | (3,728,450) | (129,228) | (0.08) | Common Stock |
| Mirum Pharmaceuticals, Inc. | (52,700) | (2,136,985) | (51,469) | (0.03) | Common Stock |
| MongoDB, Inc. Class A | (29,800) | (7,520,328) | 23,158 | 0.02 | Common Stock |
| Natera, Inc. | - | - | 121,816 | 0.08 | Common Stock |
| NextEra Energy, Inc. | (51,400) | (3,926,446) | (269,476) | (0.18) | Common Stock |
| Nutanix, Inc. Class A | (84,400) | (4,263,044) | 114,137 | 0.07 | Common Stock |
| OSI Systems, Inc. | (14,000) | (2,071,720) | 5,125 | 0.00 | Common Stock |
| Pacira Biosciences, Inc. | (5,000) | (103,250) | 3,501 | 0.00 | Common Stock |
| Palo Alto Networks, Inc. | (57,850) | (18,785,630) | 982,643 | 0.64 | Common Stock |
| PetIQ, Inc. Class A | (60,100) | (1,314,988) | 17,567 | 0.01 | Common Stock |
| Repligen Corp. | (21,000) | (3,514,350) | (767,358) | (0.50) | Common Stock |
| Rivian Automotive, Inc. | (299,500) | (4,914,795) | 332,609 | 0.22 | Common Stock |
| Royal Caribbean Cruises Ltd. | (94,100) | (14,747,352) | 1,072,416 | 0.70 | Common Stock |
| Sarepta Therapeutics, Inc. | (19,400) | (2,759,456) | 209,345 | 0.14 | Common Stock |
| Stride, Inc. | (60,200) | (4,573,996) | (337,360) | (0.22) | Common Stock |
| Tandem Diabetes Care, Inc. | (105,000) | (3,882,900) | 1,095,343 | 0.72 | Common Stock |
| TransMedics Group, Inc. | (52,000) | (7,397,520) | 126,427 | 0.08 | Common Stock |
| Travere Therapeutics, Inc. | (37,500) | (357,750) | 10,994 | 0.01 | Common Stock |
| Tyler Technologies, Inc. | (500) | (284,055) | (22,984) | (0.02) | Common Stock |
| Uber Technologies, Inc. | (30,800) | (1,985,676) | 246,417 | 0.16 | Common Stock |
| Vishay Intertechnology, Inc. | (73,600) | (1,789,216) | (59,215) | (0.04) | Common Stock |
| Wayfair, Inc. Class A | (13,600) | (740,248) | (43,470) | (0.03) | Common Stock |
| Western Digital Corp. | (55,800) | (3,741,390) | 667,165 | 0.44 | Common Stock |
| Workiva, Inc. | (8,200) | (604,914) | 8,992 | 0.01 | Common Stock |
| World Kinect Corp. | (114,400) | (3,195,192) | (173,624) | (0.11) | Common Stock |
| Xerox Holdings Corp. | (168,000) | (1,808,520) | 25,418 | 0.02 | Common Stock |
| Ziff Davis, Inc. | (10,000) | (478,800) | 8,349 | 0.01 | Common Stock |
| Zillow Group, Inc. Class C | - | - | (297,621) | (0.19) | Common Stock |
| Zscaler, Inc. | (15,500) | (2,779,925) | 396,853 | 0.26 | Common Stock |
| iShares MSCI ACWI Index ETF | (89,500) | (10,214,635) | 200,731 | 0.13 | Investment Companies |
| SPDR S&P 500 ETF Trust | (19,600) | (10,795,876) | 204,098 | 0.13 | Investment Companies |
| Advanced Energy Industries, Inc. 2.5% 9/15/28 | 2,000,000 | 2,182,288 | 68,659 | 0.04 | Convertible Corporate Bond |
| Akamai Technologies, Inc. 0.375% 9/1/27 | 10,000,000 | 10,179,712 | 114,040 | 0.07 | Convertible Corporate Bond |
| Axon Enterprise, Inc. 0.5% 12/15/27 | 7,500,000 | 10,521,404 | (271,242) | (0.18) | Convertible Corporate Bond |
| Bread Financial Holdings, Inc. 4.25% 6/15/28 | 500,000 | 774,315 | 56,004 | 0.04 | Convertible Corporate Bond |
| Bread Financial Holdings, Inc. 9.75% 3/15/29 | (250,000) | (277,653) | (4,277) | 0.00 | Convertible Corporate Bond |
| Carnival Corp. 5.75% 10/1/24 | - | - | (178,160) | (0.12) | Convertible Corporate Bond |
| Cinemark Holdings, Inc. 4.5% 8/15/25 | 8,250,000 | 14,216,812 | 998,554 | 0.65 | Convertible Corporate Bond |
| Etsy, Inc. 0.125% 10/1/26 | - | - | 61,048 | 0.04 | Convertible Corporate Bond |
| Five9, Inc. 0.5% 6/1/25 | 1,500,000 | 1,430,751 | (6,308) | 0.00 | Convertible Corporate Bond |
| Freshpet, Inc. 3% 4/1/28 | 6,000,000 | 11,306,353 | (588,946) | (0.39) | Convertible Corporate Bond |
| Galaxy Digital Holdings LP 3% 12/15/26 | 750,000 | 660,999 | (5,986) | 0.00 | Convertible Corporate Bond |
| Guess?, Inc. 3.75% 4/15/28 | 3,000,000 | 3,660,125 | 105,382 | 0.07 | Convertible Corporate Bond |
| HubSpot, Inc. 0.375% 6/1/25 | 2,500,000 | 4,419,062 | 182,830 | 0.12 | Convertible Corporate Bond |
| IMAX Corp. 0.5% 4/1/26 | 4,500,000 | 4,464,395 | 241,546 | 0.16 | Convertible Corporate Bond |
| Innoviva, Inc. 2.5% 8/15/25 | 2,500,000 | 2,987,591 | 150,986 | 0.10 | Convertible Corporate Bond |
| Insight Enterprises, Inc. 0.75% 2/15/25 | 2,500,000 | 8,202,395 | 540,301 | 0.35 | Convertible Corporate Bond |
| Insmed, Inc. 0.75% 6/1/28 | 2,404,000 | 5,478,115 | (325,062) | (0.21) | Convertible Corporate Bond |
| InterDigital, Inc. 3.5% 6/1/27 | 2,000,000 | 3,264,210 | 6,131 | 0.00 | Convertible Corporate Bond |
| Jazz Investments I Ltd. 2% 6/15/26 | 3,500,000 | 3,427,655 | 54,484 | 0.04 | Convertible Corporate Bond |
| Lumentum Holdings, Inc. 0.5% 6/15/28 | 7,500,000 | 5,996,915 | (127,874) | (0.08) | Convertible Corporate Bond |
| Merit Medical Systems, Inc. 3% 2/1/29 | 6,000,000 | 7,037,312 | (16,761) | (0.01) | Convertible Corporate Bond |
| Middleby Corp. 1% 9/1/25 | 3,250,000 | 3,684,416 | 60,156 | 0.04 | Convertible Corporate Bond |
| Mirum Pharmaceuticals, Inc. 4% 5/1/29 | 2,000,000 | 3,029,778 | 67,263 | 0.04 | Convertible Corporate Bond |
| MongoDB, Inc. 0.25% 1/15/26 | 8,785,000 | 11,649,886 | (37,177) | (0.02) | Convertible Corporate Bond |
| Natera, Inc. 2.25% 5/1/27 | - | - | (137,012) | (0.09) | Convertible Corporate Bond |
| NextEra Energy Capital Holdings, Inc. 3% 3/1/27 | 5,000,000 | 6,087,500 | 265,034 | 0.17 | Convertible Corporate Bond |
| Nutanix, Inc. 0.25% 10/1/27 | 7,500,000 | 8,238,087 | (124,955) | (0.08) | Convertible Corporate Bond |
| OSI Systems, Inc. 2.25% 8/1/29 | - | - | (1,805) | 0.00 | Convertible Corporate Bond |
| OSI Systems, Inc. 2.25% 8/1/29 | 4,300,000 | 4,294,228 | (56,903) | (0.04) | Convertible Corporate Bond |
| Palo Alto Networks, Inc. 0.375% 6/1/25 | 5,750,000 | 18,766,970 | (989,841) | (0.65) | Convertible Corporate Bond |
| PetIQ, Inc. 4% 6/1/26 | 3,708,000 | 3,962,826 | (28,418) | (0.02) | Convertible Corporate Bond |
| Repligen Corp. 1% 12/15/28 | 6,000,000 | 6,499,656 | 832,814 | 0.54 | Convertible Corporate Bond |
| Rivian Automotive, Inc. 3.625% 10/15/30 | 7,750,000 | 7,585,689 | (524,786) | (0.34) | Convertible Corporate Bond |
| Royal Caribbean Cruises Ltd. 6% 8/15/25 | 2,000,000 | 6,387,333 | (440,455) | (0.29) | Convertible Corporate Bond |
| Sarepta Therapeutics, Inc. 1.25% 9/15/27 | 4,000,000 | 4,845,940 | (223,769) | (0.15) | Convertible Corporate Bond |
| Stride, Inc. 1.125% 9/1/27 | 4,000,000 | 6,126,750 | 369,779 | 0.24 | Convertible Corporate Bond |
| Tandem Diabetes Care, Inc. 1.5% 3/15/29 | 4,000,000 | 5,238,946 | (1,065,207) | (0.70) | Convertible Corporate Bond |
| TransMedics Group, Inc. 1.5% 6/1/28 | 5,500,000 | 9,333,751 | (94,361) | (0.06) | Convertible Corporate Bond |
| Travere Therapeutics, Inc. 2.25% 3/1/29 | 1,500,000 | 1,065,000 | (3,547) | 0.00 | Convertible Corporate Bond |
| Uber Technologies, Inc. 0.875% 12/1/28 | 2,500,000 | 2,789,895 | (191,634) | (0.13) | Convertible Corporate Bond |
| Vishay Intertechnology, Inc. 2.25% 9/15/30 | 3,000,000 | 3,004,500 | 38,993 | 0.03 | Convertible Corporate Bond |
| Wayfair LLC 1% 8/15/26 | 7,500,000 | 6,863,333 | 27,029 | 0.02 | Convertible Corporate Bond |
| Western Digital Corp. 3% 11/15/28 | 3,500,000 | 5,122,886 | (672,914) | (0.44) | Convertible Corporate Bond |
| Workiva, Inc. 1.125% 8/15/26 | 1,000,000 | 1,116,187 | (8,478) | (0.01) | Convertible Corporate Bond |
| World Kinect Corp. 3.25% 7/1/28 | 5,000,000 | 5,651,041 | 146,156 | 0.10 | Convertible Corporate Bond |
| Xerox Holdings Corp. 3.75% 3/15/30 | 5,000,000 | 3,958,569 | (76,847) | (0.05) | Convertible Corporate Bond |
| Ziff Davis, Inc. 1.75% 11/1/26 | 5,000,000 | 4,537,561 | (47,107) | (0.03) | Convertible Corporate Bond |
| Zillow Group, Inc. 0.75% 9/1/24 | - | - | 264,922 | 0.17 | Convertible Corporate Bond |
| Zscaler, Inc. 0.125% 7/1/25 | 2,808,000 | 3,582,446 | (393,775) | (0.26) | Convertible Corporate Bond |
For the period, the average monthly notional amount at value for swaps in the aggregate was $548,346,206.
Security Type Abbreviations
Legend
| (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 $27,480,798 or 11.6% 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 $475,647. |
| (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 $68,155,370. |
| (e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
| Fidelity Cash Central Fund 5.39% | 5,110,094 | 297,997,752 | 301,040,100 | 419,208 | (2,342) | - | 2,065,404 | 0.0% |
| Total | 5,110,094 | 297,997,752 | 301,040,100 | 419,208 | (2,342) | - | 2,065,404 | |
| | | | | | | | | |
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2024, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
| Valuation Inputs at Reporting Date: |
| Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | | | | |
|
| Corporate Bonds | 77,013,804 | - | 77,013,804 | - |
|
| U.S. Government and Government Agency Obligations | 133,159,961 | - | 133,159,961 | - |
|
| Equity Funds | 21,010,511 | 21,010,511 | - | - |
|
| Money Market Funds | 2,065,404 | 2,065,404 | - | - |
| Total Investments in Securities: | 233,249,680 | 23,075,915 | 210,173,765 | - |
Derivative Instruments: Assets | | | | |
Swaps | 1,673,805 | - | 1,673,805 | - |
| Total Assets | 1,673,805 | - | 1,673,805 | - |
| Liabilities | | | | |
Futures Contracts | (375,427) | (375,427) | - | - |
| Total Liabilities | (375,427) | (375,427) | - | - |
| Total Derivative Instruments: | 1,298,378 | (375,427) | 1,673,805 | - |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2024. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value |
| Asset ($) | Liability ($) |
| Interest Rate Risk | | |
Futures Contracts (a) | 0 | (375,427) |
| Total Interest Rate Risk | 0 | (375,427) |
| Equity Risk | | |
Swaps (b) | 1,673,805 | 0 |
| Total Equity Risk | 1,673,805 | 0 |
| Total Value of Derivatives | 1,673,805 | (375,427) |
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
(b)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
Financial Statements (Unaudited)
| Statement of Assets and Liabilities |
| As of July 31, 2024 (Unaudited) |
| Assets | | | | |
| Investment in securities, at value - See accompanying schedule: | | | | |
Unaffiliated issuers (cost $224,765,757) | $ | 231,184,276 | | |
Fidelity Central Funds (cost $2,065,404) | | 2,065,404 | | |
| | | | | |
| | | | | |
| Total Investment in Securities (cost $226,831,161) | | | $ | 233,249,680 |
| Receivable for investments sold | | | | 1,734,375 |
| Interest receivable | | | | 322,376 |
| Distributions receivable from Fidelity Central Funds | | | | 58,788 |
| Bi-lateral OTC swaps, at value | | | | 1,673,805 |
| Prepaid expenses | | | | 5,012 |
| Receivable from investment adviser for expense reductions | | | | 9,229 |
Total assets | | | | 237,053,265 |
| Liabilities | | | | |
| Accrued management fee | $ | 274,393 | | |
| Payable for daily variation margin on futures contracts | | 45,703 | | |
| Other affiliated payables | | 6,606 | | |
| Audit fee payable | | 51,437 | | |
| Other payables and accrued expenses | | 28,376 | | |
| Total liabilities | | | | 406,515 |
| Net Assets | | | $ | 236,646,750 |
| Net Assets consist of: | | | | |
| Paid in capital | | | $ | 227,457,371 |
| Total accumulated earnings (loss) | | | | 9,189,379 |
| Net Assets | | | $ | 236,646,750 |
Net Asset Value, offering price and redemption price per share ($236,646,750 ÷ 22,512,917 shares) | | | $ | 10.51 |
| Statement of Operations |
Six months ended July 31, 2024 (Unaudited) |
| Investment Income | | | | |
| Dividends | | | $ | 34,477 |
| Interest | | | | 4,092,010 |
| Income from Fidelity Central Funds | | | | 419,208 |
| Total income | | | | 4,545,695 |
| Expenses | | | | |
| Management fee | $ | 1,390,120 | | |
| Custodian fees and expenses | | 17,194 | | |
| Independent trustees' fees and expenses | | 45,114 | | |
| Registration fees | | 32,387 | | |
| Audit fees | | 51,545 | | |
| Legal | | 6,918 | | |
| Miscellaneous | | 5,332 | | |
| Total expenses before reductions | | 1,548,610 | | |
| Expense reductions | | (107,083) | | |
| Total expenses after reductions | | | | 1,441,527 |
| Net Investment income (loss) | | | | 3,104,168 |
| Realized and Unrealized Gain (Loss) | | | | |
| Net realized gain (loss) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 5,662,542 | | |
| Fidelity Central Funds | | (2,342) | | |
| Futures contracts | | 109,508 | | |
| Swaps | | (5,622,965) | | |
| Total net realized gain (loss) | | | | 146,743 |
| Change in net unrealized appreciation (depreciation) on: | | | | |
| Investment Securities: | | | | |
| Unaffiliated issuers | | 3,641,014 | | |
| Futures contracts | | (228,313) | | |
| Swaps | | 2,551,164 | | |
| Total change in net unrealized appreciation (depreciation) | | | | 5,963,865 |
| Net gain (loss) | | | | 6,110,608 |
| Net increase (decrease) in net assets resulting from operations | | | $ | 9,214,776 |
| Statement of Changes in Net Assets |
| |
| | Six months ended July 31, 2024 (Unaudited) | | For the period September 12, 2023 (commencement of operations) through January 31, 2024 |
| Increase (Decrease) in Net Assets | | | | |
| Operations | | | | |
| Net investment income (loss) | $ | 3,104,168 | $ | 1,415,431 |
| Net realized gain (loss) | | 146,743 | | (730,770) |
| Change in net unrealized appreciation (depreciation) | | 5,963,865 | | 1,753,032 |
| Net increase (decrease) in net assets resulting from operations | | 9,214,776 | | 2,437,693 |
| Distributions to shareholders | | (1,848,770) | | (614,320) |
| | | | | |
| Share transactions | | | | |
| Proceeds from sales of shares | | 75,000,000 | | 155,010,150 |
| Reinvestment of distributions | | 1,848,770 | | 614,320 |
| Cost of shares redeemed | | - | | (5,015,869) |
| | | | | |
Net increase (decrease) in net assets resulting from share transactions | | 76,848,770 | | 150,608,601 |
| Total increase (decrease) in net assets | | 84,214,776 | | 152,431,974 |
| | | | | |
| Net Assets | | | | |
| Beginning of period | | 152,431,974 | | - |
| End of period | $ | 236,646,750 | $ | 152,431,974 |
| | | | | |
| Other Information | | | | |
| Shares | | | | |
| Sold | | 7,300,479 | | 15,469,713 |
| Issued in reinvestment of distributions | | 181,787 | | 60,955 |
| Redeemed | | - | | (500,017) |
| Net increase (decrease) | | 7,482,266 | | 15,030,651 |
| | | | | |
Financial Highlights
Fidelity® SAI Convertible Arbitrage Fund |
| |
| | Six months ended (Unaudited) July 31, 2024 | | Years ended January 31, 2024 A |
Selected Per-Share Data | | | | |
| Net asset value, beginning of period | $ | 10.14 | $ | 10.00 |
| Income from Investment Operations | | | | |
Net investment income (loss) B,C | | .16 | | .13 |
| Net realized and unrealized gain (loss) | | .33 | | .05 |
| Total from investment operations | | .49 | | .18 |
| Distributions from net investment income | | (.12) | | (.04) |
| Distributions from net realized gain | | - | | (.01) |
| Total distributions | | (.12) | | (.04) D |
| Net asset value, end of period | $ | 10.51 | $ | 10.14 |
Total Return E,F | | | | 1.81% |
Ratios to Average Net Assets C,G,H | | | | |
| Expenses before reductions | | 1.55% I | | 1.61% I,J |
| Expenses net of fee waivers, if any | | | | 1.45% I |
| Expenses net of all reductions | | 1.45% I | | 1.45% I |
| Net investment income (loss) | | 3.12% I | | 3.39% I |
| Supplemental Data | | | | |
| Net assets, end of period (000 omitted) | $ | 236,647 | $ | 152,432 |
Portfolio turnover rate K | | | | 71% L |
AFor the period September 12, 2023 (commencement of operations) through January 31, 2024.
BCalculated based on average shares outstanding during the period.
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
DTotal distributions per share do not sum due to rounding.
ETotal returns for periods of less than one year are not annualized.
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
GFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
IAnnualized.
JAudit fees are not annualized.
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
LAmount not annualized.
Notes to Financial Statements
(Unaudited)For the period ended July 31, 2024
1. Organization.
Fidelity SAI Convertible Arbitrage Fund (the Fund) is a non-diversified fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| 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% |
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2024 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. During the period, the Fund incurred an excise tax liability on undistributed net investment income which is included in Miscellaneous expense on the Statement of Operations. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to swaps and certain mark to market elections.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
| Gross unrealized appreciation | $9,216,494 |
| Gross unrealized depreciation | (1,262,785) |
| Net unrealized appreciation (depreciation) | $7,953,709 |
| Tax cost | $226,594,349 |
Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, swaps and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
Derivatives were used to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
Derivatives were used to increase or decrease exposure to the following risk(s):
| 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. |
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
| Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
| Fidelity SAI Convertible Arbitrage Fund | | |
| Equity Risk | | |
| Swaps | (5,622,965) | 2,551,164 |
| Total Equity Risk | (5,622,965) | 2,551,164 |
| Interest Rate Risk | | |
| Futures Contracts | 109,508 | (228,313) |
| Total Interest Rate Risk | 109,508 | (228,313) |
| Totals | (5,513,457) | 2,322,851 |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.
Exchange-traded written covered call options were used to manage exposure to the market. When a fund writes a covered call option, a fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.
Upon entering into a written options contract, a fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.
Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.
Any open options at period end are presented in the Schedule of Investments under the caption "Written Options", and are representative of volume of activity during the period unless an average contracts amount is presented.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.
Total Return Swaps. Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty. A fund enters into total return swaps to manage its market exposure.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| | Purchases ($) | Sales ($) |
| Fidelity SAI Convertible Arbitrage Fund | 276,384,591 | 227,207,978 |
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of 1.40% of the Fund's average net assets.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
7. Committed Line of Credit.
Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The participating funds have agreed to pay commitment fees on their pro-rata portion of the line of credit, which are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below. During the period, there were no borrowings on this line of credit.
| | Amount ($) |
| Fidelity SAI Convertible Arbitrage Fund | 62 |
8. Expense Reductions.
The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded 1.45% of average net assets. This reimbursement will remain in place through May 31, 2025. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $106,406.
Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses by $677.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.
| | Strategic Advisers Alternatives Fund |
| Fidelity SAI Convertible Arbitrage Fund | 99% |
10. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 9: Proxy Disclosures for Open-End Management Investment Companies
Note: This is not applicable for any fund included in this document.
Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies
Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment companies.
Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract
Note: This is not applicable for any fund included in this document.
1.9909698.100
SCA-SANN-0924
Item 8.
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
See Item 7.
Item 9.
Proxy Disclosures for Open-End Management Investment Companies
See Item 7.
Item 10.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
See Item 7.
Item 11.
Statement Regarding Basis for Approval of Investment Advisory Contract
See Item 7.
Item 12.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 13.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 14.
Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 15.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Greenwood Street Trust’s Board of Trustees.
Item 16.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Greenwood Street Trust’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the 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 17.
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
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 (Principal Executive Officer) |
|
|
Date: | September 25, 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 (Principal Executive Officer) |
|
|
Date: | September 25, 2024 |
|
By: | /s/John J. Burke III |
| John J. Burke III |
| Chief Financial Officer (Principal Financial Officer) |
|
|
Date: | September 25, 2024 |
