January 7, 2022
VIA E-mail
Ren e Fuller
Legal Product Group
Fidelity Investments
245 Summer Street
Boston, MA 02210
renee.fuller@fmr.com
Re: Fidelity Greenwood Street Trust
Registration Statement on Form N-1A
File No. 333-261594; 811-23762
Dear Ms. Fuller:
On December 10, 2021, you filed a registration statement on Form N-1A
on behalf of
Fidelity Greenwood Street Trust. We have reviewed the registration statement
and have
provided our comments below. Where a comment is made with regard to disclosure
in one
location, it is applicable to all similar disclosure appearing elsewhere in the
registration
statement. All capitalized terms not otherwise defined herein have the meaning
given to them in
the registration statement.
GENERAL
1. We note that material portions of the filing are incomplete at this
time (e.g., fees and
expenses, financial information, exhibits, etc.). Please complete and
update all
information that is currently in brackets or missing in the
registration statement,
including exhibits, in a pre-effective amendment to the registration
statement. We may
have additional comments on such portions when you complete them in
pre-effective
amendments, on disclosures made in response to this letter, on
information supplied
supplementally, or on exhibits added in any pre-effective amendment.
LEGAL COMMENTS
Prospectus
Fidelity Global Macro Opportunities Fund
Fee Table, page 3
2. Please include a line item for Acquired Fund Fees and Expenses under
Annual Fund
Operating Expenses. Please apply this comment and make the necessary
revisions to the
Ren e Fuller
Fidelity Greenwood Street Trust
Page 2
disclosure for both the Fidelity Global Macro Opportunities Fund and
the Fidelity Risk
Parity Fund throughout the filing, as applicable.
3. Please include in the footnote to the table that the Fund must be able
to make
recoupment to the adviser without exceeding the net expense ratio in
place at the time
such amounts were waived, and without exceeding its current net expense
ratio. Please
apply this comment and make the necessary revisions to the disclosure
for both the
Fidelity Global Macro Opportunities Fund and the Fidelity Risk Parity
Fund throughout
the filing, as applicable.
Principal Investment Strategies, page 4
4. We note the use of the word global in the name of the Fund. As
such, please
expressly describe how the Fund will ensure that its investments have
sufficient
economic ties to a number of countries throughout the world. See
Investment Company
Names, Investment Company Act Release No. 24828, at n. 42 (Jan. 17,
2001). For
example, the Fund could include a policy that, under normal market
conditions, it will
invest significantly (e.g., at least 40% of its assets, unless market
conditions are not
deemed favorable, in which case the fund would invest at least 30% of
its assets) in
companies organized or located in multiple countries outside the United
States or doing
a substantial amount of business in multiple countries outside the
United States.
5. Please revise the description of the Fund s principal investment
strategies to explain the
Fund s macro investing approach and explain how the various
bullets listed are
consistent with such approach. In addition, to the extent that the Fund
anticipates that
certain of the strategies listed, or particular kinds of investments
identified, will
constitute a more significant component than others, please specify this
and revise your
disclosure accordingly.
6. Please disclose the method the Fund uses for determining if a country is
an emerging
market.
7. Please delete the phrase the full spectrum from the third bullet
point on the page or
expressly describe its meaning in the given context. Please make this
revision to the
disclosure for both the Fidelity Global Macro Opportunities Fund and the
Fidelity Risk
Parity Fund throughout the filing, as applicable.
8. Please revise the fourth bullet on the page to replace the phrase
provide asymmetric
payoffs driven by market divergence versus secular, cyclical, and
geopolitical trends
with a plain English description that more clearly explains this
methodology and key
terminology.
9. Disclosure for any principal investment related to derivatives should be
tailored
specifically to how a fund expects to be managed and should address
those strategies
that the fund expects to be the most important means of achieving its
objectives and that
Ren e Fuller
Fidelity Greenwood Street Trust
Page 3
it anticipates will have a significant effect on its performance.
Disclosure of your
principal investment strategies and risks should not be generic
associated with each
derivative type. (See Barry Miller letter to ICI). Please make any
necessary revisions to
the disclosure for both the Fidelity Global Macro Opportunities Fund
and the Fidelity
Risk Parity Fund throughout the filing, as applicable.
10. We note that both the Fidelity Global Macro Opportunities Fund and the
Fidelity Risk
Parity Fund intend to invest up to 25% of their assets in a
wholly-owned subsidiary
organized under the laws of the Cayman Islands (the Subsidiary )
that invests in
commodity-linked total return swaps. Please disclose, for each Fund,
that:
x The Fund complies with the provisions of the Investment
Company Act
governing investment policies (Section 8) and capital
structure and leverage
(Section 18) on an aggregate basis with the Subsidiary.
x Any investment adviser to the Subsidiary complies with
provisions of the
Investment Company Act relating to investment advisory
contracts (Section
15) as if it were an investment adviser to the Fund under
Section 2(a)(20) of
the Investment Company Act.
Please be advised that any investment advisory agreement
between the
Subsidiary and its investment adviser is a material
contract that should be
included as an exhibit to the registration statement. If
the same person is the
adviser to both the Fund and the Subsidiary, then, for
purposes of complying
with Section 15(c), the reviews of the Fund s and the
Subsidiary s investment
advisory agreements may be combined.
x The Subsidiary complies with provisions of the Investment
Company Act
relating to affiliated transactions and custody (Section
17). Identify the
custodian of the Subsidiary, if any.
x The Subsidiary and its board of directors will agree to
designate an agent for
service of process in the United States.
In your correspondence, please:
x Explain whether the financial statements of the Subsidiary will
be consolidated
with those of the Funds. If not, please explain why not.
x Confirm that: (1) the Subsidiary s management fee (including
any performance
fee), if any, will be included in Management Fees and the
Subsidiary s
expenses will be included in Other Expenses in the each
Fund s prospectus fee
table; and (2) the Subsidiary and its board of directors will
agree to inspection by
the staff of the Subsidiary s books and records, which will
be maintained in
Ren e Fuller
Fidelity Greenwood Street Trust
Page 4
accordance with Section 31 of the Investment Company Act and the
rules
thereunder.
Principal Investment Risks, page 4
11. Please ensure that the principal risks identified are sufficiently
correlated to the Fund s
principal investment strategies. For example, you have included
disclosure about the
risks related to small cap investing, but this does not appear to be
consonant with the
principal investment strategies articulated above. As another example,
you have
disclosed that the Fund intends to invest in assets in a manner that
provide[s]
asymmetric payoffs driven by market divergence versus secular,
cyclical, and
geopolitical trends, yet you have included a risk factor for growth
investing, which
appears to be inconsistent with this approach. Please apply this
comment, as applicable,
to the principal risk disclosure for both the Fidelity Global Macro
Opportunities Fund
and the Fidelity Risk Parity Fund and revise the filing as necessary.
Fidelity Risk Parity Fund
Principal Investment Strategies, page 10
12. To the extent that the Fund anticipates that certain of the strategies
listed, or particular
kinds of investments identified, will constitute a more significant
component than
others, please specify this and revise your disclosure accordingly here
and elsewhere in
the filing as necessary.
13. Please expand on the third bullet point in this section by discussing
the four factors
identified (i.e., growth, inflation, real rates and liquidity) and
explain how the Fund
intends to use quantitative analysis to balance these risks. Please
apply this comment
and make revisions to the Fund s disclosure throughout the filing as
necessary.
Principal Investment Risks
Foreign and Emerging Markets Risk, page 19
14. You state that the Adviser will allocate the Fund's assets across
underlying funds and
derivatives representing a broad range of asset classes, including
frontier markets
equities. If there are principal risks unique to investing in frontier
markets not otherwise
addressed by this risk factor, please add risk disclosure as necessary.
ACCOUNTING COMMENTS
15. Please be advised that our review of the required financial statements
and related
information cannot be completed until you have included such
information in the
registration statement by pre-effective amendment. We may have
accounting and
related comments on such disclosure once it has been provided.
Ren e Fuller
Fidelity Greenwood Street Trust
Page 5
Closing
Please respond to this letter in writing via EDGAR correspondence
submitted with a pre-
effective amendment filed pursuant to Rule 472 under the Securities Act. In an
accompanying
supplemental response letter, address each comment noted above and, where
appropriate,
specifically identify the location of new or revised disclosure in the amended
filing. If the pre-
effective amendment reflects no change in response to a comment, indicate this
in your response
letter and briefly provide the basis for your position. The staff may have
further comments based
on your answers and any new, revised, or missing pre-effective amendment
disclosures or
exhibits.
You should review and comply with all applicable requirements of the
federal securities
laws in connection with the preparation and distribution of a preliminary
prospectus. We remind
you that the company and its management are responsible for the accuracy and
adequacy of their
disclosures, notwithstanding any review, comments, action, or absence of action
by the staff.
Should you have any questions regarding this letter, please contact me
at (202) 551-3623.
Sincerely,
/s/ Daniel S. Greenspan
Daniel S. Greenspan
Staff Attorney
cc: John Lee, Branch Chief
Christian Sandoe, Assistant Director