UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23762
Fidelity Greenwood Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | January 31 |
Date of reporting period: | January 31, 2023 |
Item 1.
Reports to Stockholders
Contents
$10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Risk Parity Fund - Class A, a class of the fund, on July 07, 2022, when the fund started, and the current 5.75% sales charge was paid. The chart shows how the value of your investment would have changed, and also shows how the MSCI ACWI (All Country World Index) Index performed over the same period. |
Top Holdings (% of Fund's net assets) | ||
Fidelity Commodity Strategy Fund | 18.2 | |
Fidelity International Index Fund | 11.5 | |
Fidelity Long-Term Treasury Bond Index Fund | 8.8 | |
Fidelity Small Cap Value Index Fund | 7.7 | |
Fidelity Small Cap Index Fund | 7.7 | |
Fidelity Inflation-Protected Bond Index Fund | 6.1 | |
U.S. Treasury Bills | 4.7 | |
Fidelity Real Estate Index Fund | 3.3 | |
iShares iBoxx $ High Yield Corporate Bond ETF | 2.9 | |
Invesco Senior Loan ETF | 2.6 | |
73.5 | ||
Asset Allocation (% of Fund's net assets) |
Equity Funds - 52.3% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 38.4% | |||
Fidelity Commodity Strategy Fund (a) | 12,807 | 1,314,000 | |
Fidelity Real Estate Index Fund (a) | 14,814 | 237,762 | |
Fidelity Small Cap Index Fund (a) | 15,554 | 370,660 | |
Fidelity Small Cap Value Index Fund (a) | 23,650 | 555,772 | |
Fidelity Total Market Index Fund (a) | 1,561 | 176,997 | |
SPDR Gold Trust ETF (b) | 635 | 113,925 | |
TOTAL DOMESTIC EQUITY FUNDS | 2,769,116 | ||
International Equity Funds - 13.9% | |||
Fidelity Emerging Markets Index Fund (a) | 16,803 | 172,064 | |
Fidelity International Index Fund (a) | 18,644 | 833,192 | |
TOTAL INTERNATIONAL EQUITY FUNDS | 1,005,256 | ||
TOTAL EQUITY FUNDS (Cost $4,008,235) | 3,774,372 | ||
Fixed-Income Funds - 22.8% | |||
Shares | Value ($) | ||
Fixed-Income Funds - 22.8% | |||
Fidelity Inflation-Protected Bond Index Fund (a) | 48,078 | 442,321 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 58,787 | 636,668 | |
Invesco Senior Loan ETF | 8,752 | 184,755 | |
iShares iBoxx $ High Yield Corporate Bond ETF | 2,717 | 207,389 | |
iShares J.P. Morgan EM Local Currency Bond ETF | 2,199 | 79,032 | |
iShares JPMorgan USD Emerging Markets Bond ETF | 440 | 38,680 | |
iShares U.S. Treasury Bond ETF | 2,315 | 54,009 | |
TOTAL FIXED-INCOME FUNDS (Cost $1,658,015) | 1,642,854 | ||
U.S. Treasury Obligations - 4.8% | |||
Principal Amount (c) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 4.07% to 4.61% 2/2/23 to 4/27/23 (d)(e) (Cost $343,839) | 344,000 | 343,840 | |
Cash Equivalents - 18.5% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 4.38% (f) (Cost $1,336,627) | 1,336,360 | 1,336,627 | |
TOTAL INVESTMENT IN SECURITIES - 98.4% (Cost $7,346,716) | 7,097,693 |
NET OTHER ASSETS (LIABILITIES) - 1.6% | 114,546 |
NET ASSETS - 100.0% | 7,212,239 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE E-mini MSCI EAFE Index Contracts (United States) | 2 | Mar 2023 | 211,900 | 13,367 | 13,367 |
Treasury Contracts | |||||
CBOT 10-Year U.S. Treasury Note Contracts (United States) | 3 | Mar 2023 | 343,547 | 5,736 | 5,736 |
TOTAL PURCHASED | 19,103 | ||||
Sold | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 2 | Mar 2023 | 409,000 | (8,973) | (8,973) |
TOTAL FUTURES CONTRACTS | 10,130 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 7.7% | |||||
The notional amount of futures sold as a percentage of Net Assets is 5.7% |
Total Return Swaps | |||||||||||
Underlying Reference | Pay/ Receive Reference | Reference Payment Frequency | Financing Rate | Financing Frequency | Counterparty | Maturity Date | Notional Amount ($) | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Invesco Senior Loan ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 75 basis points | Monthly | BNP Paribas SA | Jul 2023 | 1,021,175 | 15,398 | 0 | 15,398 | |
iShares US Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 10 basis points | Monthly | BNP Paribas SA | Nov 2023 | 779,456 | (1,597) | 0 | (1,597) | |
iShares US Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 10 basis points | Monthly | BNP Paribas SA | Nov 2023 | 103,084 | 215 | 0 | 215 | |
iShares 20+ Year Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 15 basis points | Monthly | Bank of America, N.A. | Jul 2023 | 78,834 | 4,159 | 0 | 4,159 | |
iShares US Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 38 basis points | Monthly | Bank of America, N.A. | Aug 2023 | 63,861 | 1,130 | 0 | 1,130 | |
iShares TIPS Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 20 basis points | Monthly | Goldman Sachs Intl. | Jul 2023 | 1,731,659 | 23,397 | 0 | 23,397 | |
iShares J.P. Morgan EM Local Currency Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 40 basis points | Monthly | Goldman Sachs Intl. | Jul 2023 | 336,694 | 11,255 | 0 | 11,255 | |
iShares J.P. Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 35 basis points | Monthly | Goldman Sachs Intl. | Jul 2023 | 189,707 | 6,500 | 0 | 6,500 | |
iShares US Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 40 basis points | Monthly | Goldman Sachs Intl. | Jul 2023 | 18,044 | 319 | 0 | 319 | |
SPDR Gold Shares | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 25 basis points | Monthly | Goldman Sachs Intl. | Jul 2023 | 506,167 | 22,864 | 0 | 22,864 | |
SPDR Gold Shares | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 30 basis points | Monthly | Goldman Sachs Intl. | Aug 2023 | 11,632 | 525 | 0 | 525 | |
iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 40 basis points | Monthly | Morgan Stanley Capital Services LLC | Jun 2023 | 642,315 | 20,298 | 0 | 20,298 | |
iShares J.P. Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 10 basis points | Monthly | Morgan Stanley Capital Services LLC | Nov 2023 | 48,257 | 1,513 | 0 | 1,513 | |
TOTAL RETURN SWAPS | 105,976 | 0 | 105,976 |
ETF | - | EXCHANGE-TRADED FUND |
(a) | Affiliated Fund |
(b) | Non-income producing |
(c) | Amount is stated in United States dollars unless otherwise noted. |
(d) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $39,874. |
(e) | Security or a portion of the security has been segregated as collateral for bi- lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $303,966. |
(f) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 4.38% | - | 7,909,318 | 6,572,691 | 21,506 | - | - | 1,336,627 | 0.0% |
Total | - | 7,909,318 | 6,572,691 | 21,506 | - | - | 1,336,627 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Commodity Strategy Fund | - | 1,879,253 | 155,322 | 393,452 | (27,765) | (382,166) | 1,314,000 |
Fidelity Emerging Markets Index Fund | - | 191,646 | 26,391 | 311 | (1,084) | 7,893 | 172,064 |
Fidelity Inflation-Protected Bond Index Fund | - | 1,073,123 | 586,753 | 26,230 | (36,950) | (7,099) | 442,321 |
Fidelity International Bond Index Fund | - | 384,199 | 381,735 | - | (2,464) | - | - |
Fidelity International Index Fund | - | 1,053,019 | 290,291 | 12,640 | (2,166) | 72,630 | 833,192 |
Fidelity Long-Term Treasury Bond Index Fund | - | 1,203,051 | 516,283 | 11,532 | (37,138) | (12,962) | 636,668 |
Fidelity Real Estate Index Fund | - | 261,325 | 22,518 | 4,301 | (2,836) | 1,791 | 237,762 |
Fidelity Small Cap Index Fund | - | 400,823 | 54,686 | 3,339 | (2,409) | 26,932 | 370,660 |
Fidelity Small Cap Value Index Fund | - | 625,295 | 99,133 | 13,868 | (3,568) | 33,178 | 555,772 |
Fidelity Total Market Index Fund | - | 494,105 | 324,329 | 2,216 | 4,223 | 2,998 | 176,997 |
- | 7,565,839 | 2,457,441 | 467,889 | (112,157) | (256,805) | 4,739,436 |
Fund | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain /loss ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Risk Parity Cayman Ltd. | - | 206,050 | - | - | - | 47,507 | 253,557 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equity Funds | 3,774,372 | 3,774,372 | - | - |
Fixed-Income Funds | 1,642,854 | 1,642,854 | - | - |
Other Short-Term Investments | 343,840 | - | 343,840 | - |
Money Market Funds | 1,336,627 | 1,336,627 | - | - |
Total Investments in Securities: | 7,097,693 | 6,753,853 | 343,840 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 19,103 | 19,103 | - | - |
Swaps | 107,573 | - | 107,573 | - |
Total Assets | 126,676 | 19,103 | 107,573 | - |
Liabilities | ||||
Futures Contracts | (8,973) | (8,973) | - | - |
Swaps | (1,597) | - | (1,597) | - |
Total Liabilities | (10,570) | (8,973) | (1,597) | - |
Total Derivative Instruments: | 116,106 | 10,130 | 105,976 | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Commodity Risk | ||
Swaps (a) | 23,389 | 0 |
Total Commodity Risk | 23,389 | 0 |
Credit Risk | ||
Swaps (a) | 54,964 | 0 |
Total Credit Risk | 54,964 | 0 |
Equity Risk | ||
Futures Contracts (b) | 13,367 | (8,973) |
Total Equity Risk | 13,367 | (8,973) |
Interest Rate Risk | ||
Futures Contracts (b) | 5,736 | 0 |
Swaps (a) | 29,220 | (1,597) |
Total Interest Rate Risk | 34,956 | (1,597) |
Total Value of Derivatives | 126,676 | (10,570) |
Counterparty | Value of Derivative Assets ($) | Value of Derivative Liabilities ($) | Collateral Received (a) ($) | Collateral Pledged (a) ($) | Net (b) ($) | ||
Bank of America, N.A. | 5,289 | - | - | - | 5,289 | ||
BNP Paribas SA | 15,613 | (1,597) | - | - | 14,016 | ||
Goldman Sachs Intl. | 64,860 | - | - | - | 64,860 | ||
Morgan Stanley Capital Services LLC | 21,811 | - | - | - | 21,811 | ||
Exchange Traded Futures | 19,103 | (8,973) | - | - | 10,130 | ||
Total | $ | 126,676 | $ | (10,570) | |||
Consolidated Statement of Assets and Liabilities | ||||
January 31, 2023 | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $1,013,848) | $ | 1,021,630 | ||
Fidelity Central Funds (cost $1,336,627) | 1,336,627 | |||
Other affiliated issuers (cost $4,996,241) | 4,739,436 | |||
Total Investment in Securities (cost $7,346,716) | $ | 7,097,693 | ||
Cash | 9,043 | |||
Receivable for investments sold | 3,804 | |||
Receivable for fund shares sold | 1,251 | |||
Distributions receivable from Fidelity Central Funds | 4,719 | |||
Bi-lateral OTC swaps, at value | 107,573 | |||
Receivable from investment adviser for expense reductions | 2,981 | |||
Total assets | 7,227,064 | |||
Liabilities | ||||
Payable for fund shares redeemed | $ | 2,483 | ||
Bi-lateral OTC swaps, at value | 1,597 | |||
Accrued management fee | 3,122 | |||
Distribution and service plan fees payable | 1,448 | |||
Payable for daily variation margin on futures contracts | 3,927 | |||
Other affiliated payables | 2,248 | |||
Total Liabilities | 14,825 | |||
Net Assets | $ | 7,212,239 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 7,419,595 | ||
Total accumulated earnings (loss) | (207,356) | |||
Net Assets | $ | 7,212,239 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($1,008,857 ÷ 104,606 shares) (a) | $ | 9.64 | ||
Maximum offering price per share (100/94.25 of $9.64) | $ | 10.23 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($1,008,250 ÷ 104,564 shares) (a) | $ | 9.64 | ||
Maximum offering price per share (100/96.50 of $9.64) | $ | 9.99 | ||
Class C : | ||||
Net Asset Value and offering price per share ($1,007,561 ÷ 104,534 shares) (a) | $ | 9.64 | ||
Fidelity Risk Parity Fund : | ||||
Net Asset Value , offering price and redemption price per share ($2,035,984 ÷ 212,076 shares) | $ | 9.60 | ||
Class I : | ||||
Net Asset Value , offering price and redemption price per share ($1,141,081 ÷ 118,320 shares) | $ | 9.64 | ||
Class Z : | ||||
Net Asset Value , offering price and redemption price per share ($1,010,506 ÷ 104,734 shares) | $ | 9.65 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Consolidated Statement of Operations | ||||
For the period July 7, 2022 (commencement of operations) through January 31, 2023 | ||||
Investment Income | ||||
Dividends: | ||||
Unaffiliated issuers | $ | 6,573 | ||
Affiliated issuers | 461,524 | |||
Interest | 5,555 | |||
Income from Fidelity Central Funds | 21,506 | |||
Total Income | 495,158 | |||
Expenses | ||||
Management fee | $ | 18,501 | ||
Distribution and service plan fees | 9,694 | |||
Independent trustees' fees and expenses | 47,044 | |||
Total expenses before reductions | 75,239 | |||
Expense reductions | (47,364) | |||
Total expenses after reductions | 27,875 | |||
Net Investment income (loss) | 467,283 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (3,139) | |||
Affiliated issuers | (112,157) | |||
Futures contracts | (24,632) | |||
Swaps | (37,475) | |||
Capital gain distributions from underlying funds: | ||||
Affiliated issuers | 6,365 | |||
Total net realized gain (loss) | (171,038) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated Issuers | 7,782 | |||
Affiliated issuers | (256,805) | |||
Futures contracts | 10,130 | |||
Swaps | 105,976 | |||
Total change in net unrealized appreciation (depreciation) | (132,917) | |||
Net gain (loss) | (303,955) | |||
Net increase (decrease) in net assets resulting from operations | $ | 163,328 |
Consolidated Statement of Changes in Net Assets | ||
For the period July 7, 2022 (commencement of operations) through January 31, 2023 | ||
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ | 467,283 |
Net realized gain (loss) | (171,038) | |
Change in net unrealized appreciation (depreciation) | (132,917) | |
Net increase (decrease) in net assets resulting from operations | 163,328 | |
Distributions to shareholders | (370,684) | |
Share transactions - net increase (decrease) | 7,419,595 | |
Total increase (decrease) in net assets | 7,212,239 | |
Net Assets | ||
Beginning of period | - | |
End of period | $ | 7,212,239 |
Fidelity Advisor® Risk Parity Fund Class A |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .86 | |
Net realized and unrealized gain (loss) | (.60) | |
Total from investment operations | .26 | |
Distributions from net investment income | (.62) | |
Total distributions | (.62) | |
Net asset value, end of period | $ | 9.64 |
Total Return D,E,F | 2.90% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | 2.40% I | |
Expenses net of fee waivers, if any | .85% I | |
Expenses net of all reductions | .84% I | |
Net investment income (loss) | 15.39% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,009 |
Portfolio turnover rate J | 163% I |
Fidelity Advisor® Risk Parity Fund Class M |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .84 | |
Net realized and unrealized gain (loss) | (.60) | |
Total from investment operations | .24 | |
Distributions from net investment income | (.60) | |
Total distributions | (.60) | |
Net asset value, end of period | $ | 9.64 |
Total Return D,E,F | 2.77% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | 2.65% I | |
Expenses net of fee waivers, if any | 1.10% I | |
Expenses net of all reductions | 1.09% I | |
Net investment income (loss) | 15.09% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,008 |
Portfolio turnover rate J | 163% I |
Fidelity Advisor® Risk Parity Fund Class C |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .82 | |
Net realized and unrealized gain (loss) | (.60) | |
Total from investment operations | .22 | |
Distributions from net investment income | (.58) | |
Total distributions | (.58) | |
Net asset value, end of period | $ | 9.64 |
Total Return D,E,F | 2.52% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | 3.15% I | |
Expenses net of fee waivers, if any | 1.60% I | |
Expenses net of all reductions | 1.59% I | |
Net investment income (loss) | 14.60% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,008 |
Portfolio turnover rate J | 163% I |
Fidelity® Risk Parity Fund |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .27 | |
Net realized and unrealized gain (loss) | (.04) | |
Total from investment operations | .23 | |
Distributions from net investment income | (.63) | |
Total distributions | (.63) | |
Net asset value, end of period | $ | 9.60 |
Total Return D,E | 2.63% | |
Ratios to Average Net Assets C,F,G | ||
Expenses before reductions | 1.26% H | |
Expenses net of fee waivers, if any | .60% H | |
Expenses net of all reductions | .58% H | |
Net investment income (loss) | 7.06% H | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 2,036 |
Portfolio turnover rate I | 163% H |
Fidelity Advisor® Risk Parity Fund Class I |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .88 | |
Net realized and unrealized gain (loss) | (.61) | |
Total from investment operations | .27 | |
Distributions from net investment income | (.63) | |
Total distributions | (.63) | |
Net asset value, end of period | $ | 9.64 |
Total Return D,E | 3.02% | |
Ratios to Average Net Assets C,F,G | ||
Expenses before reductions | 2.18% H | |
Expenses net of fee waivers, if any | .60% H | |
Expenses net of all reductions | .59% H | |
Net investment income (loss) | 15.81% H | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,141 |
Portfolio turnover rate I | 163% H |
Fidelity Advisor® Risk Parity Fund Class Z |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .97 | |
Net realized and unrealized gain (loss) | (.69) | |
Total from investment operations | .28 | |
Distributions from net investment income | (.63) | |
Total distributions | (.63) | |
Net asset value, end of period | $ | 9.65 |
Total Return D,E | 3.13% | |
Ratios to Average Net Assets C,F,G | ||
Expenses before reductions | 2.23% H | |
Expenses net of fee waivers, if any | .55% H | |
Expenses net of all reductions | .54% H | |
Net investment income (loss) | 17.34% H | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,011 |
Portfolio turnover rate I | 163% H |
Subsidiary Name | $ Amount | % of Fund's Net Assets | |
Fidelity Risk Parity Fund | Fidelity Risk Parity Cayman Ltd. | 253,557 | 3.5 |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $138,144 |
Gross unrealized depreciation | (530,347) |
Net unrealized appreciation (depreciation) | $(392,203) |
Tax Cost | $7,455,009 |
Undistributed ordinary income | $200,655 |
Capital loss carryforward | $(15,809) |
Net unrealized appreciation (depreciation) on securities and other investments | $(392,203) |
Short-term | $(13,473) |
Long-term | (2,336) |
Total capital loss carryforward | $(15,809) |
January 31, 2023 A | |
Ordinary Income | $370,684 |
Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. |
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) ($) | Change in Net Unrealized Appreciation (Depreciation) ($) |
Fidelity Risk Parity Fund | ||
Commodity Risk | ||
Swaps | 18,400 | 23,389 |
Total Commodity Risk | 18,400 | 23,389 |
Credit Risk | ||
Swaps | 55,000 | 54,964 |
Total Credit Risk | 55,000 | 54,964 |
Equity Risk | ||
Futures Contracts | 4,956 | 4,394 |
Total Equity Risk | 4,956 | 4,394 |
Interest Rate Risk | ||
Futures Contracts | (29,588) | 5,736 |
Swaps | (110,875) | 27,623 |
Total Interest Rate Risk | (140,463) | 33,359 |
Totals | (62,107) | 116,106 |
Purchases ($) | Sales ($) | |
Fidelity Risk Parity Fund | 9,855,725 | 3,975,172 |
Annual % of Class-Level Average Net Assets | |
Class A | .60% |
Class M | .60% |
Class C | .60% |
Fidelity Risk Parity Fund | .60% |
Class I | .60% |
Class Z | .55% |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | - % | .25% | $1,390 | $1,385 |
Class M | .25% | .25% | 2,768 | 2,767 |
Class C | .75% | .25% | 5,536 | 5,536 |
$9,694 | $9,688 |
Amount | |
Fidelity Risk Parity Fund | $113 |
Expense Limitations | Reimbursement | |
Class A | .85% | $8,625 |
Class M | 1.10% | 8,552 |
Class C | 1.60% | 8,534 |
Fidelity Risk Parity Fund | .60% | 1,768 |
Class I | .60% | 9,685 |
Class Z | .55% | 9,760 |
$46,924 |
Year ended January 31, 2023 A | |
Fidelity Risk Parity Fund | |
Distributions to shareholders | |
Class A | $60,367 |
Class M | 59,224 |
Class C | 56,987 |
Fidelity Risk Parity Fund | 63,034 |
Class I | 69,528 |
Class Z | 61,544 |
Total | $370,684 |
Shares | Dollars | |
Year ended January 31, 2023 A | Year ended January 31, 2023 A | |
Fidelity Risk Parity Fund | ||
Class A | ||
Shares sold | 98,825 | $988,808 |
Reinvestment of distributions | 6,606 | 60,367 |
Shares redeemed | (825) | (8,067) |
Net increase (decrease) | 104,606 | $1,041,108 |
Class M | ||
Shares sold | 98,083 | $980,805 |
Reinvestment of distributions | 6,481 | 59,224 |
Net increase (decrease) | 104,564 | $1,040,029 |
Class C | ||
Shares sold | 98,298 | $982,961 |
Reinvestment of distributions | 6,236 | 56,987 |
Net increase (decrease) | 104,534 | $1,039,948 |
Fidelity Risk Parity Fund | ||
Shares sold | 219,651 | $2,116,923 |
Reinvestment of distributions | 2,577 | 23,447 |
Shares redeemed | (10,152) | (93,338) |
Net increase (decrease) | 212,076 | $2,047,032 |
Class I | ||
Shares sold | 110,712 | $1,115,000 |
Reinvestment of distributions | 7,608 | 69,528 |
Net increase (decrease) | 118,320 | $1,184,528 |
Class Z | ||
Shares sold | 117,657 | $1,188,529 |
Reinvestment of distributions | 6,734 | 61,544 |
Shares redeemed | (19,657) | (183,123) |
Net increase (decrease) | 104,734 | $1,066,950 |
Fund | Affiliated % |
Fidelity Risk Parity Fund | 71% |
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2022 to January 31, 2023) for Class A and Class M and Class C and Class I and Class Z and for the period (September 1, 2022 to January 31, 2023) for Fidelity® Risk Parity Fund. The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2022 to January 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value | Ending Account Value January 31, 2023 | Expenses Paid During Period | |||||||
Fidelity® Risk Parity Fund | ||||||||||
Class A | .85% | |||||||||
Actual | $ 1,000 | $ 958.10 | $ 4.20 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,020.92 | $ 4.33 D | |||||||
Class M | 1.10% | |||||||||
Actual | $ 1,000 | $ 956.90 | $ 5.43 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,019.66 | $ 5.60 D | |||||||
Class C | 1.60% | |||||||||
Actual | $ 1,000 | $ 955.40 | $ 7.89 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,017.14 | $ 8.13 D | |||||||
Fidelity® Risk Parity Fund | .60% | |||||||||
Actual | $ 1,000 | $ 1,026.30 | $ 2.55 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.18 | $ 3.06 D | |||||||
Class I | .60% | |||||||||
Actual | $ 1,000 | $ 959.30 | $ 2.96 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.18 | $ 3.06 D | |||||||
Class Z | .55% | |||||||||
Actual | $ 1,000 | $ 960.30 | $ 2.72 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.43 | $ 2.80 D | |||||||
Ex-Date | Class A | Class M | Class C | Risk Parity Fund | Class I | Class Z |
12/29/2022 | 3.00% | 3.00% | 3.00% | 2.00% | 2.00% | 2.00% |
12/30/2022 | 3.00% | 3.00% | 3.00% | 3.00% | 3.00% | 3.00% |
Ex-Date | Class A | Class M | Class C | Risk Parity Fund | Class I | Class Z |
12/29/2022 | 4.57% | 4.66% | 4.86% | 4.48% | 4.48% | 4.48% |
12/30/2022 | 4.58% | 4.58% | 4.58% | 4.58% | 4.58% | 4.58% |
Ex-Date | Class A | Class M | Class C | Risk Parity Fund | Class I | Class Z |
12/29/2022 | 0.49% | 0.50% | 0.52% | 0.48% | 0.48% | 0.48% |
12/30/2022 | 0.49% | 0.49% | 0.49% | 0.49% | 0.49% | 0.49% |
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
$10,000 Over Life of Fund |
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Macro Opportunities Fund - Class A, a class of the fund, on July 07, 2022, when the fund started, and the current 5.75% sales charge was paid. The chart shows how the value of your investment would have changed, and also shows how the Bloomberg US 3 Month Treasury Bellwether Index performed over the same period. |
Top Holdings (% of Fund's net assets) | ||
iShares 7-10 Year Treasury Bond ETF | 19.0 | |
Vanguard Consumer Staples ETF | 4.7 | |
Vanguard Health Care ETF | 4.7 | |
iShares Russell 2000 Index ETF | 2.2 | |
iShares MSCI Brazil Index ETF | 2.0 | |
32.6 | ||
Asset Allocation (% of Fund's net assets) |
Foreign investments - 0.2% |
Futures and Swaps - 68.8% |
Foreign Currency Contracts - 5.7% |
U.S. Treasury Obligations - 4.2% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 4.08% to 4.61% 2/9/23 to 4/27/23 (b)(c) (Cost $297,755) | 300,000 | 297,755 | |
Fixed-Income Funds - 19.0% | |||
Shares | Value ($) | ||
iShares 7-10 Year Treasury Bond ETF (Cost $1,396,374) | 13,647 | 1,353,919 | |
Money Market Funds - 60.2% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 4.38% (d) (Cost $4,281,993) | 4,281,136 | 4,281,993 | |
Equity Funds - 13.6% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 9.4% | |||
Vanguard Consumer Staples ETF | 1,752 | 335,088 | |
Vanguard Health Care ETF | 1,348 | 331,716 | |
TOTAL DOMESTIC EQUITY FUNDS | 666,804 | ||
International Equity Funds - 2.0% | |||
iShares MSCI Brazil Index ETF | 4,727 | 143,417 | |
Small Blend Funds - 2.2% | |||
iShares Russell 2000 Index ETF | 832 | 159,311 | |
TOTAL EQUITY FUNDS (Cost $935,356) | 969,532 | ||
Purchased Options - 0.2% | ||||||
Counterparty | Number of Contracts | Notional Amount | Exercise Price ($) | Expiration Date | Value ($) | |
Call Options | ||||||
EURO STOXX Banks Index (e) | Eurex Deutschland | 20 | 111,130 | 100 | 06/16/23 | 11,904 |
11,904 | ||||||
TOTAL PURCHASED OPTIONS (Cost 3,795) | 11,904 |
TOTAL INVESTMENT IN SECURITIES - 97.2% (Cost $6,915,273) | 6,915,103 |
NET OTHER ASSETS (LIABILITIES) - 2.8% | 200,147 |
NET ASSETS - 100.0% | 7,115,250 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 23 | Mar 2023 | 4,729,914 | 14,365 | 14,365 |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 36 | Mar 2023 | 3,932,719 | 29,512 | 29,512 |
TOTAL PURCHASED | 43,877 | ||||
Sold | |||||
Equity Index Contracts | |||||
CME S&P 500 Index Contracts (United States) | 16 | Mar 2023 | 327,200 | (9,707) | (9,707) |
Treasury Contracts | |||||
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 1 | Mar 2023 | 141,750 | (564) | (564) |
TOTAL SOLD | (10,271) | ||||
TOTAL FUTURES CONTRACTS | 33,606 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 121.8% | |||||
The notional amount of futures sold as a percentage of Net Assets is 6.6% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
JPY | 13,605,500 | USD | 99,813 | Bank of America, N.A. | 3/20/23 | 5,363 |
JPY | 13,243,500 | USD | 100,850 | Bank of America, N.A. | 3/20/23 | 1,528 |
JPY | 13,003,500 | USD | 100,638 | Bank of America, N.A. | 3/20/23 | (115) |
JPY | 13,069,000 | USD | 100,913 | Goldman Sachs Bank USA | 3/20/23 | 115 |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 6,891 | |||||
Unrealized Appreciation | 7,006 | |||||
Unrealized Depreciation | (115) |
Credit Default Swaps | ||||||||||
Underlying Reference | Maturity Date | Clearinghouse / Counterparty (1) | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount (2) | Value ($) | Upfront Premium Received/ (Paid) ($) (3) | Unrealized Appreciation/ (Depreciation) ($) | ||
Buy Protection | ||||||||||
5-Year CDX N.A. HY Series 39 | Dec 2027 | ICE | (5%) | Quarterly | 3,820,000 | (194,037) | 0 | (194,037) | ||
EUR | - | European Dollar |
JPY | - | Japanese yen |
USD | - | U.S. dollar |
ETF | - | EXCHANGE-TRADED FUND |
(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 $79,529. |
(c) | Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $218,226. |
(d) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 4.38% | - | 8,176,830 | 3,894,837 | 58,280 | - | - | 4,281,993 | 0.0% |
Total | - | 8,176,830 | 3,894,837 | 58,280 | - | - | 4,281,993 | |
Fund | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain /loss ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Macro Opportunities Cayman Ltd. | - | 57 | - | - | - | - | 57 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 297,755 | - | 297,755 | - |
Fixed-Income Funds | 1,353,919 | 1,353,919 | - | - |
Money Market Funds | 4,281,993 | 4,281,993 | - | - |
Equity Funds | 969,532 | 969,532 | - | - |
Purchased Options | 11,904 | 11,904 | - | - |
Total Investments in Securities: | 6,915,103 | 6,617,348 | 297,755 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 43,877 | 43,877 | - | - |
Forward Foreign Currency Contracts | 7,006 | - | 7,006 | - |
Total Assets | 50,883 | 43,877 | 7,006 | - |
Liabilities | ||||
Futures Contracts | (10,271) | (10,271) | - | - |
Forward Foreign Currency Contracts | (115) | - | (115) | - |
Swaps | (194,037) | - | (194,037) | - |
Total Liabilities | (204,423) | (10,271) | (194,152) | - |
Total Derivative Instruments: | (153,540) | 33,606 | (187,146) | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Credit Risk | ||
Swaps (a) | 0 | (194,037) |
Total Credit Risk | 0 | (194,037) |
Equity Risk | ||
Futures Contracts (b) | 0 | (9,707) |
Purchased Options (d) | 11,904 | 0 |
Total Equity Risk | 11,904 | (9,707) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts (c) | 7,006 | (115) |
Total Foreign Exchange Risk | 7,006 | (115) |
Interest Rate Risk | ||
Futures Contracts (b) | 43,877 | (564) |
Total Interest Rate Risk | 43,877 | (564) |
Total Value of Derivatives | 62,787 | (204,423) |
Counterparty | Value of Derivative Assets ($) | Value of Derivative Liabilities ($) | Collateral Received (a) ($) | Collateral Pledged (a) ($) | Net (b) ($) | ||
Purchased Options | 11,904 | - | - | - | 11,904 | ||
Bank of America, N.A. | 6,891 | (115) | - | - | 6,776 | ||
Goldman Sachs Bank USA | 115 | - | - | - | 115 | ||
Centrally Cleared OTC Swaps | - | (194,037) | - | 194,037 | - | ||
Exchange Traded Futures | 43,877 | (10,271) | - | - | 33,606 | ||
Total | $ | 62,787 | $ | (204,423) | |||
Consolidated Statement of Assets and Liabilities | ||||
January 31, 2023 | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $2,633,280) | $ | 2,633,110 | ||
Fidelity Central Funds (cost $4,281,993) | 4,281,993 | |||
Total Investment in Securities (cost $6,915,273) | $ | 6,915,103 | ||
Cash | 58 | |||
Unrealized appreciation on forward foreign currency contracts | 7,006 | |||
Receivable for fund shares sold | 208,200 | |||
Distributions receivable from Fidelity Central Funds | 12,706 | |||
Receivable for daily variation margin on futures contracts | 6,768 | |||
Receivable from investment adviser for expense reductions | 3,092 | |||
Total assets | 7,152,933 | |||
Liabilities | ||||
Unrealized depreciation on forward foreign currency contracts | $ | 116 | ||
Payable for fund shares redeemed | 2,345 | |||
Accrued management fee | 3,998 | |||
Distribution and service plan fees payable | 1,349 | |||
Payable for daily variation margin on centrally cleared OTC swaps | 27,560 | |||
Other affiliated payables | 2,315 | |||
Total Liabilities | 37,683 | |||
Net Assets | $ | 7,115,250 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 7,403,607 | ||
Total accumulated earnings (loss) | (288,357) | |||
Net Assets | $ | 7,115,250 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($970,955 ÷ 103,669 shares) (a) | $ | 9.37 | ||
Maximum offering price per share (100/94.25 of $9.37) | $ | 9.94 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($920,501 ÷ 98,423 shares) (a) | $ | 9.35 | ||
Maximum offering price per share (100/96.50 of $9.35) | $ | 9.69 | ||
Class C : | ||||
Net Asset Value and offering price per share ($914,474 ÷ 98,059 shares) (a) | $ | 9.33 | ||
Fidelity Macro Opportunities Fund : | ||||
Net Asset Value , offering price and redemption price per share ($1,699,039 ÷ 177,344 shares) | $ | 9.58 | ||
Class I : | ||||
Net Asset Value , offering price and redemption price per share ($1,691,029 ÷ 180,404 shares) | $ | 9.37 | ||
Class Z : | ||||
Net Asset Value , offering price and redemption price per share ($919,252 ÷ 98,000 shares) | $ | 9.38 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Consolidated Statement of Operations | ||||
For the period July 7, 2022 (commencement of operations) through January 31, 2023 | ||||
Investment Income | ||||
Dividends | $ | 35,490 | ||
Interest | 4,550 | |||
Income from Fidelity Central Funds | 58,280 | |||
Total Income | 98,320 | |||
Expenses | ||||
Management fee | $ | 25,605 | ||
Distribution and service plan fees | 9,383 | |||
Independent trustees' fees and expenses | 48,105 | |||
Total expenses before reductions | 83,093 | |||
Expense reductions | (48,133) | |||
Total expenses after reductions | 34,960 | |||
Net Investment income (loss) | 63,360 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (95,812) | |||
Forward foreign currency contracts | (1,157) | |||
Futures contracts | (143,331) | |||
Swaps | (39,301) | |||
Total net realized gain (loss) | (279,601) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated Issuers | (170) | |||
Forward foreign currency contracts | 6,891 | |||
Futures contracts | 33,606 | |||
Swaps | (194,037) | |||
Total change in net unrealized appreciation (depreciation) | (153,710) | |||
Net gain (loss) | (433,311) | |||
Net increase (decrease) in net assets resulting from operations | $ | (369,951) |
Consolidated Statement of Changes in Net Assets | ||
For the period July 7, 2022 (commencement of operations) through January 31, 2023 | ||
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ | 63,360 |
Net realized gain (loss) | (279,601) | |
Change in net unrealized appreciation (depreciation) | (153,710) | |
Net increase (decrease) in net assets resulting from operations | (369,951) | |
Share transactions - net increase (decrease) | 7,485,201 | |
Total increase (decrease) in net assets | 7,115,250 | |
Net Assets | ||
Beginning of period | - | |
End of period | $ | 7,115,250 |
Fidelity Advisor® Macro Opportunities Fund Class A |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .11 | |
Net realized and unrealized gain (loss) | (.74) | |
Total from investment operations | (.63) | |
Net asset value, end of period | $ | 9.37 |
Total Return D,E,F | (6.30)% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | 2.51% I | |
Expenses net of fee waivers, if any | 1.05% I | |
Expenses net of all reductions | 1.05% I | |
Net investment income (loss) | 2.04% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 971 |
Portfolio turnover rate J | 68% I |
Fidelity Advisor® Macro Opportunities Fund Class M |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .10 | |
Net realized and unrealized gain (loss) | (.75) | |
Total from investment operations | (.65) | |
Net asset value, end of period | $ | 9.35 |
Total Return D,E,F | (6.50)% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | 2.78% I | |
Expenses net of fee waivers, if any | 1.30% I | |
Expenses net of all reductions | 1.30% I | |
Net investment income (loss) | 1.79% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 921 |
Portfolio turnover rate J | 68% I |
Fidelity Advisor® Macro Opportunities Fund Class C |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .07 | |
Net realized and unrealized gain (loss) | (.74) | |
Total from investment operations | (.67) | |
Net asset value, end of period | $ | 9.33 |
Total Return D,E,F | (6.70)% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | 3.28% I | |
Expenses net of fee waivers, if any | 1.80% I | |
Expenses net of all reductions | 1.80% I | |
Net investment income (loss) | 1.28% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 914 |
Portfolio turnover rate J | 68% I |
Fidelity® Macro Opportunities Fund |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .10 | |
Net realized and unrealized gain (loss) | (.52) | |
Total from investment operations | (.42) | |
Net asset value, end of period | $ | 9.58 |
Total Return D,E | (4.20)% | |
Ratios to Average Net Assets C,F,G | ||
Expenses before reductions | 1.50% H | |
Expenses net of fee waivers, if any | .80% H | |
Expenses net of all reductions | .80% H | |
Net investment income (loss) | 2.66% H | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,699 |
Portfolio turnover rate I | 68% H |
Fidelity Advisor® Macro Opportunities Fund Class I |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .12 | |
Net realized and unrealized gain (loss) | (.75) | |
Total from investment operations | (.63) | |
Net asset value, end of period | $ | 9.37 |
Total Return D,E | (6.30)% | |
Ratios to Average Net Assets C,F,G | ||
Expenses before reductions | 2.35% H | |
Expenses net of fee waivers, if any | .80% H | |
Expenses net of all reductions | .79% H | |
Net investment income (loss) | 2.14% H | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,691 |
Portfolio turnover rate I | 68% H |
Fidelity Advisor® Macro Opportunities Fund Class Z |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .12 | |
Net realized and unrealized gain (loss) | (.74) | |
Total from investment operations | (.62) | |
Net asset value, end of period | $ | 9.38 |
Total Return D,E | (6.20)% | |
Ratios to Average Net Assets C,F,G | ||
Expenses before reductions | 2.36% H | |
Expenses net of fee waivers, if any | .75% H | |
Expenses net of all reductions | .75% H | |
Net investment income (loss) | 2.20% H | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 919 |
Portfolio turnover rate I | 68% H |
Subsidiary Name | $ Amount | % of Fund's Net Assets | |
Fidelity Macro Opportunities Fund | Fidelity Macro Opportunities Cayman Ltd. | 57 | - A |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $- |
Gross unrealized depreciation | (138,835) |
Net unrealized appreciation (depreciation) | $(138,835) |
Tax Cost | $6,909,438 |
Capital loss carryforward | $(148,365) |
Net unrealized appreciation (depreciation) on securities and other investments | $(138,835) |
Short-term | $(82,529) |
Long-term | (65,836) |
Total capital loss carryforward | $(148,365) |
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Fidelity Macro Opportunities Fund | ||
Credit Risk | ||
Swaps | $(39,301) | $(194,037) |
Total Credit Risk | (39,301) | (194,037) |
Equity Risk | ||
Futures Contracts | (19,767) | (9,707) |
Purchased Options | (3,782) | 8,109 |
Total Equity Risk | (23,549) | (1,598) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | (1,157) | 6,891 |
Total Foreign Exchange Risk | (1,157) | 6,891 |
Interest Rate Risk | ||
Futures Contracts | (123,564) | 43,313 |
Total Interest Rate Risk | (123,564) | 43,313 |
Totals | $(187,571) | $(145,431) |
Purchases ($) | Sales ($) | |
Fidelity Macro Opportunities Fund | 3,310,381 | 889,541 |
Annual % of Class-Level Average Net Assets | |
Class A | .80% |
Class M | .80% |
Class C | .80% |
Fidelity Macro Opportunities Fund | .80% |
Class I | .80% |
Class Z | .75% |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | - % | .25% | $1,369 | $1,337 |
Class M | .25% | .25% | 2,674 | 2,674 |
Class C | .75% | .25% | 5,340 | 5,340 |
$9,383 | $9,351 |
Expense Limitations | Reimbursement | |
Class A | 1.05% | $7,999 |
Class M | 1.30% | 7,904 |
Class C | 1.80% | 7,880 |
Fidelity Macro Opportunities Fund | .80% | 1,036 |
Class I | .80% | 13,941 |
Class Z | .75% | 9,202 |
$47,962 |
Shares | Dollars | |
Year ended January 31, 2023 A | Year ended January 31, 2023 A | |
Fidelity Macro Opportunities Fund | ||
Class A | ||
Shares sold | 103,669 | $1,033,368 |
Net increase (decrease) | 103,669 | $1,033,368 |
Class M | ||
Shares sold | 98,423 | $983,956 |
Net increase (decrease) | 98,423 | $983,956 |
Class C | ||
Shares sold | 98,059 | $980,551 |
Net increase (decrease) | 98,059 | $980,551 |
Fidelity Macro Opportunities Fund | ||
Shares sold | 182,920 | $1,760,545 |
Shares redeemed | (5,576) | (53,383) |
Net increase (decrease) | 177,344 | $1,707,162 |
Class I | ||
Shares sold | 180,457 | $1,790,750 |
Shares redeemed | (53) | (500) |
Net increase (decrease) | 180,404 | $1,790,250 |
Class Z | ||
Shares sold | 119,054 | $1,188,529 |
Shares redeemed | (21,054) | (198,615) |
Net increase (decrease) | 98,000 | $989,914 |
Fund | Affiliated % |
Fidelity Macro Opportunities Fund | 68% |
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2022 to January 31, 2023) for Class A and Class M and Class C and Class I and Class Z and for the period (September 1, 2022 to January 31, 2023) for Fidelity® Macro Opportunities Fund. The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2022 to January 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value | Ending Account Value January 31, 2023 | Expenses Paid During Period | |||||||
Fidelity® Macro Opportunities Fund | ||||||||||
Class A | 1.05% | |||||||||
Actual | $ 1,000 | $ 935.10 | $ 5.12 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,019.91 | $ 5.35 D | |||||||
Class M | 1.30% | |||||||||
Actual | $ 1,000 | $ 934.10 | $ 6.34 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,018.65 | $ 6.61 D | |||||||
Class C | 1.80% | |||||||||
Actual | $ 1,000 | $ 932.10 | $ 8.77 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,016.13 | $ 9.15 D | |||||||
Fidelity® Macro Opportunities Fund | .80% | |||||||||
Actual | $ 1,000 | $ 958.00 | $ 3.28 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.17 | $ 4.08 D | |||||||
Class I | .80% | |||||||||
Actual | $ 1,000 | $ 935.10 | $ 3.90 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.17 | $ 4.08 D | |||||||
Class Z | .75% | |||||||||
Actual | $ 1,000 | $ 936.10 | $ 3.66 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.42 | $ 3.82 D | |||||||
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Contents
Top Holdings (% of Fund's net assets) | ||
Apple, Inc. | 6.2 | |
Microsoft Corp. | 5.3 | |
Alphabet, Inc. Class A | 3.3 | |
iShares S&P 500 Index ETF | 2.6 | |
Amazon.com, Inc. | 2.6 | |
Berkshire Hathaway, Inc. Class B | 1.8 | |
UnitedHealth Group, Inc. | 1.6 | |
Exxon Mobil Corp. | 1.5 | |
NVIDIA Corp. | 1.5 | |
Johnson & Johnson | 1.4 | |
27.8 | ||
Market Sectors (% of Fund's net assets) | ||
Information Technology | 25.3 | |
Health Care | 13.8 | |
Financials | 11.2 | |
Consumer Discretionary | 10.0 | |
Industrials | 8.3 | |
Communication Services | 7.3 | |
Consumer Staples | 6.4 | |
Energy | 4.7 | |
Utilities | 3.0 | |
Real Estate | 2.6 | |
Materials | 2.5 | |
Asset Allocation (% of Fund's net assets) |
Foreign investments - 2.9% |
Common Stocks - 95.1% | |||
Shares | Value ($) | ||
COMMUNICATION SERVICES - 7.3% | |||
Diversified Telecommunication Services - 0.8% | |||
Frontier Communications Parent, Inc. (a) | 527 | 15,604 | |
Verizon Communications, Inc. | 9,222 | 383,359 | |
398,963 | |||
Entertainment - 1.4% | |||
Liberty Media Corp. Liberty Formula One Class A (a) | 237 | 15,092 | |
Madison Square Garden Sports Corp. | 82 | 14,911 | |
Netflix, Inc. (a) | 676 | 239,209 | |
Spotify Technology SA (a) | 137 | 15,443 | |
The Walt Disney Co. (a) | 3,168 | 343,696 | |
Warner Bros Discovery, Inc. (a) | 3,545 | 52,537 | |
680,888 | |||
Interactive Media & Services - 4.3% | |||
Alphabet, Inc. Class A (a) | 16,823 | 1,662,785 | |
Meta Platforms, Inc. Class A (a) | 3,374 | 502,625 | |
Pinterest, Inc. Class A (a) | 493 | 12,961 | |
2,178,371 | |||
Media - 0.8% | |||
Comcast Corp. Class A | 8,032 | 316,059 | |
DISH Network Corp. Class A (a) | 1,470 | 21,153 | |
Liberty Media Corp. Liberty SiriusXM Series A (a) | 501 | 20,351 | |
Nexstar Broadcasting Group, Inc. Class A | 108 | 22,115 | |
Sirius XM Holdings, Inc. | 3,724 | 21,562 | |
401,240 | |||
TOTAL COMMUNICATION SERVICES | 3,659,462 | ||
CONSUMER DISCRETIONARY - 10.0% | |||
Auto Components - 0.1% | |||
Gentex Corp. | 545 | 16,083 | |
Lear Corp. | 163 | 23,762 | |
39,845 | |||
Automobiles - 1.5% | |||
Ford Motor Co. | 7,852 | 106,081 | |
Harley-Davidson, Inc. | 279 | 12,842 | |
Tesla, Inc. (a) | 3,726 | 645,418 | |
764,341 | |||
Hotels, Restaurants & Leisure - 1.9% | |||
Airbnb, Inc. Class A (a) | 189 | 21,000 | |
ARAMARK Holdings Corp. | 113 | 5,032 | |
Booking Holdings, Inc. (a) | 60 | 146,046 | |
Caesars Entertainment, Inc. (a) | 470 | 24,468 | |
Hyatt Hotels Corp. Class A (a) | 243 | 26,516 | |
Las Vegas Sands Corp. (a) | 741 | 43,719 | |
Marriott Vacations Worldwide Corp. | 156 | 24,966 | |
McDonald's Corp. | 1,409 | 376,767 | |
Starbucks Corp. | 1,796 | 196,015 | |
Texas Roadhouse, Inc. Class A | 295 | 29,627 | |
Vail Resorts, Inc. | 93 | 24,398 | |
Wendy's Co. | 1,033 | 23,036 | |
Wyndham Hotels & Resorts, Inc. | 325 | 25,191 | |
966,781 | |||
Household Durables - 0.5% | |||
Leggett & Platt, Inc. | 562 | 20,547 | |
PulteGroup, Inc. | 1,937 | 110,196 | |
Tempur Sealy International, Inc. | 346 | 14,100 | |
Toll Brothers, Inc. | 465 | 27,663 | |
TopBuild Corp. (a) | 89 | 17,805 | |
Whirlpool Corp. | 273 | 42,476 | |
232,787 | |||
Internet & Direct Marketing Retail - 2.8% | |||
Amazon.com, Inc. (a) | 12,741 | 1,313,979 | |
Doordash, Inc. (a) | 236 | 13,669 | |
Etsy, Inc. (a) | 277 | 38,110 | |
Uber Technologies, Inc. (a) | 683 | 21,125 | |
1,386,883 | |||
Multiline Retail - 0.5% | |||
Dollar Tree, Inc. (a) | 544 | 81,698 | |
Macy's, Inc. | 85 | 2,009 | |
Target Corp. | 1,111 | 191,248 | |
274,955 | |||
Specialty Retail - 2.2% | |||
Burlington Stores, Inc. (a) | 57 | 13,100 | |
Dick's Sporting Goods, Inc. | 183 | 23,929 | |
Five Below, Inc. (a) | 67 | 13,208 | |
Floor & Decor Holdings, Inc. Class A (a) | 161 | 14,614 | |
Foot Locker, Inc. | 354 | 15,403 | |
Gap, Inc. | 940 | 12,756 | |
Lowe's Companies, Inc. | 1,050 | 218,663 | |
Murphy U.S.A., Inc. | 14 | 3,808 | |
RH (a) | 49 | 15,288 | |
Ross Stores, Inc. | 1,192 | 140,882 | |
The Home Depot, Inc. | 1,655 | 536,501 | |
Tractor Supply Co. | 321 | 73,185 | |
Williams-Sonoma, Inc. | 110 | 14,843 | |
1,096,180 | |||
Textiles, Apparel & Luxury Goods - 0.5% | |||
NIKE, Inc. Class B | 1,941 | 247,148 | |
Ralph Lauren Corp. | 221 | 27,371 | |
274,519 | |||
TOTAL CONSUMER DISCRETIONARY | 5,036,291 | ||
CONSUMER STAPLES - 6.4% | |||
Beverages - 1.8% | |||
Brown-Forman Corp. Class B (non-vtg.) | 1,343 | 89,417 | |
PepsiCo, Inc. | 2,309 | 394,885 | |
The Coca-Cola Co. | 6,784 | 415,995 | |
900,297 | |||
Food & Staples Retailing - 1.5% | |||
BJ's Wholesale Club Holdings, Inc. (a) | 261 | 18,915 | |
Casey's General Stores, Inc. | 54 | 12,739 | |
Costco Wholesale Corp. | 719 | 367,510 | |
Performance Food Group Co. (a) | 180 | 11,038 | |
U.S. Foods Holding Corp. (a) | 730 | 27,835 | |
Walmart, Inc. | 2,288 | 329,175 | |
767,212 | |||
Food Products - 1.2% | |||
Bunge Ltd. | 222 | 22,000 | |
Campbell Soup Co. | 2,094 | 108,741 | |
Flowers Foods, Inc. | 761 | 21,072 | |
Hormel Foods Corp. | 1,874 | 84,911 | |
Ingredion, Inc. | 239 | 24,569 | |
Kellogg Co. | 1,678 | 115,077 | |
Post Holdings, Inc. (a) | 139 | 13,198 | |
The Hershey Co. | 814 | 182,824 | |
572,392 | |||
Household Products - 1.4% | |||
Colgate-Palmolive Co. | 2,867 | 213,678 | |
Procter & Gamble Co. | 3,565 | 507,585 | |
721,263 | |||
Personal Products - 0.0% | |||
Coty, Inc. Class A (a) | 1,753 | 17,460 | |
Tobacco - 0.5% | |||
Philip Morris International, Inc. | 2,166 | 225,784 | |
TOTAL CONSUMER STAPLES | 3,204,408 | ||
ENERGY - 4.7% | |||
Energy Equipment & Services - 0.5% | |||
Halliburton Co. | 2,225 | 91,715 | |
Schlumberger Ltd. | 2,621 | 149,345 | |
241,060 | |||
Oil, Gas & Consumable Fuels - 4.2% | |||
Antero Midstream GP LP | 1,266 | 13,799 | |
Antero Resources Corp. (a) | 362 | 10,440 | |
Cheniere Energy, Inc. | 212 | 32,391 | |
Chesapeake Energy Corp. | 199 | 17,257 | |
Chevron Corp. | 2,773 | 482,557 | |
CNX Resources Corp. (a) | 725 | 12,129 | |
ConocoPhillips Co. | 2,007 | 244,593 | |
Devon Energy Corp. | 1,794 | 113,453 | |
Exxon Mobil Corp. | 6,366 | 738,520 | |
Kinder Morgan, Inc. | 6,951 | 127,203 | |
Marathon Oil Corp. | 2,955 | 81,174 | |
Murphy Oil Corp. | 533 | 23,244 | |
Occidental Petroleum Corp. | 1,507 | 97,639 | |
Ovintiv, Inc. | 689 | 33,919 | |
PDC Energy, Inc. | 171 | 11,582 | |
Targa Resources Corp. | 798 | 59,866 | |
Vitesse Energy, Inc. (a) | 85 | 1,357 | |
2,101,123 | |||
TOTAL ENERGY | 2,342,183 | ||
FINANCIALS - 11.2% | |||
Banks - 3.5% | |||
Bank of America Corp. | 12,531 | 444,600 | |
Cadence Bank | 740 | 18,929 | |
Commerce Bancshares, Inc. | 325 | 21,632 | |
Cullen/Frost Bankers, Inc. | 82 | 10,683 | |
East West Bancorp, Inc. | 378 | 29,681 | |
First Citizens Bancshares, Inc. | 16 | 12,443 | |
First Horizon National Corp. | 835 | 20,650 | |
FNB Corp., Pennsylvania | 784 | 11,188 | |
Huntington Bancshares, Inc. | 6,206 | 94,145 | |
JPMorgan Chase & Co. | 4,870 | 681,605 | |
Old National Bancorp, Indiana | 697 | 12,198 | |
Popular, Inc. | 261 | 17,915 | |
Prosperity Bancshares, Inc. | 324 | 24,579 | |
Synovus Financial Corp. | 415 | 17,409 | |
Webster Financial Corp. | 260 | 13,689 | |
Wells Fargo & Co. | 6,888 | 322,841 | |
Wintrust Financial Corp. | 267 | 24,422 | |
1,778,609 | |||
Capital Markets - 2.7% | |||
Affiliated Managers Group, Inc. | 87 | 15,028 | |
Ares Management Corp. | 297 | 24,648 | |
BlackRock, Inc. Class A | 289 | 219,412 | |
Blackstone, Inc. | 266 | 25,525 | |
Carlyle Group LP | 747 | 26,870 | |
Charles Schwab Corp. | 2,467 | 190,995 | |
Evercore, Inc. Class A | 215 | 27,909 | |
Goldman Sachs Group, Inc. | 683 | 249,848 | |
Interactive Brokers Group, Inc. | 298 | 23,822 | |
Janus Henderson Group PLC | 303 | 7,854 | |
Jefferies Financial Group, Inc. | 727 | 28,557 | |
KKR & Co. LP | 571 | 31,868 | |
Lazard Ltd. Class A | 192 | 7,695 | |
LPL Financial | 86 | 20,392 | |
Morgan Stanley | 2,763 | 268,923 | |
Morningstar, Inc. | 55 | 13,358 | |
SEI Investments Co. | 379 | 23,661 | |
State Street Corp. | 1,179 | 107,678 | |
Stifel Financial Corp. | 363 | 24,470 | |
Tradeweb Markets, Inc. Class A | 111 | 8,274 | |
1,346,787 | |||
Consumer Finance - 0.5% | |||
Ally Financial, Inc. | 1,003 | 32,587 | |
American Express Co. | 1,130 | 197,671 | |
SLM Corp. | 781 | 13,722 | |
243,980 | |||
Diversified Financial Services - 2.0% | |||
Apollo Global Management, Inc. | 404 | 28,595 | |
Berkshire Hathaway, Inc. Class B (a) | 2,966 | 923,968 | |
Equitable Holdings, Inc. | 1,138 | 36,496 | |
Voya Financial, Inc. | 393 | 27,420 | |
1,016,479 | |||
Insurance - 2.3% | |||
AFLAC, Inc. | 2,708 | 199,038 | |
American Financial Group, Inc. | 158 | 22,529 | |
Arch Capital Group Ltd. (a) | 1,677 | 107,915 | |
Assured Guaranty Ltd. | 213 | 13,334 | |
Axis Capital Holdings Ltd. | 148 | 9,260 | |
Brighthouse Financial, Inc. (a) | 239 | 13,449 | |
Brown & Brown, Inc. | 1,440 | 84,326 | |
Fidelity National Financial, Inc. | 662 | 29,148 | |
First American Financial Corp. | 263 | 16,272 | |
Globe Life, Inc. | 581 | 70,214 | |
Hanover Insurance Group, Inc. | 148 | 19,918 | |
Lincoln National Corp. | 373 | 13,215 | |
Loews Corp. | 1,879 | 115,521 | |
Markel Corp. (a) | 25 | 35,225 | |
Old Republic International Corp. | 928 | 24,490 | |
Primerica, Inc. | 91 | 14,719 | |
Principal Financial Group, Inc. | 1,234 | 114,207 | |
Reinsurance Group of America, Inc. | 96 | 14,570 | |
RenaissanceRe Holdings Ltd. | 71 | 13,894 | |
Selective Insurance Group, Inc. | 143 | 13,585 | |
Unum Group | 330 | 13,870 | |
W.R. Berkley Corp. | 1,535 | 107,665 | |
Willis Towers Watson PLC | 394 | 100,151 | |
1,166,515 | |||
Mortgage Real Estate Investment Trusts - 0.2% | |||
AGNC Investment Corp. | 1,821 | 21,124 | |
Annaly Capital Management, Inc. | 1,278 | 29,995 | |
Starwood Property Trust, Inc. | 1,653 | 34,531 | |
85,650 | |||
Thrifts & Mortgage Finance - 0.0% | |||
New York Community Bancorp, Inc. | 1,404 | 14,026 | |
TOTAL FINANCIALS | 5,652,046 | ||
HEALTH CARE - 13.8% | |||
Biotechnology - 2.6% | |||
AbbVie, Inc. | 2,752 | 406,608 | |
Alnylam Pharmaceuticals, Inc. (a) | 56 | 12,678 | |
Amgen, Inc. | 892 | 225,141 | |
Biogen, Inc. (a) | 298 | 86,688 | |
BioMarin Pharmaceutical, Inc. (a) | 104 | 11,996 | |
Gilead Sciences, Inc. | 2,001 | 167,964 | |
Moderna, Inc. (a) | 527 | 92,784 | |
Regeneron Pharmaceuticals, Inc. (a) | 171 | 129,698 | |
Seagen, Inc. (a) | 106 | 14,785 | |
Vertex Pharmaceuticals, Inc. (a) | 438 | 141,518 | |
1,289,860 | |||
Health Care Equipment & Supplies - 2.4% | |||
Abbott Laboratories | 3,102 | 342,926 | |
Boston Scientific Corp. (a) | 4,921 | 227,596 | |
DexCom, Inc. (a) | 661 | 70,786 | |
Envista Holdings Corp. (a) | 398 | 15,518 | |
GE HealthCare Technologies, Inc. (a) | 1,079 | 75,012 | |
Globus Medical, Inc. (a) | 355 | 26,803 | |
Insulet Corp. (a) | 46 | 13,217 | |
Integra LifeSciences Holdings Corp. (a) | 181 | 10,371 | |
Intuitive Surgical, Inc. (a) | 678 | 166,578 | |
Masimo Corp. (a) | 44 | 7,484 | |
STERIS PLC | 423 | 87,354 | |
Teleflex, Inc. | 248 | 60,368 | |
The Cooper Companies, Inc. | 300 | 104,679 | |
1,208,692 | |||
Health Care Providers & Services - 3.0% | |||
Acadia Healthcare Co., Inc. (a) | 248 | 20,837 | |
Centene Corp. (a) | 1,118 | 85,236 | |
Chemed Corp. | 43 | 21,721 | |
CVS Health Corp. | 2,490 | 219,668 | |
Encompass Health Corp. | 406 | 25,355 | |
HCA Holdings, Inc. | 479 | 122,179 | |
Humana, Inc. | 387 | 198,028 | |
LHC Group, Inc. (a) | 79 | 12,529 | |
Option Care Health, Inc. (a) | 314 | 9,065 | |
UnitedHealth Group, Inc. | 1,593 | 795,210 | |
1,509,828 | |||
Health Care Technology - 0.0% | |||
Teladoc Health, Inc. (a) | 224 | 6,586 | |
Veeva Systems, Inc. Class A (a) | 120 | 20,466 | |
27,052 | |||
Life Sciences Tools & Services - 1.4% | |||
Avantor, Inc. (a) | 935 | 22,347 | |
Danaher Corp. | 1,122 | 296,634 | |
QIAGEN NV (a) | 471 | 23,079 | |
Thermo Fisher Scientific, Inc. | 626 | 357,027 | |
699,087 | |||
Pharmaceuticals - 4.4% | |||
Bristol-Myers Squibb Co. | 3,774 | 274,181 | |
Eli Lilly & Co. | 1,162 | 399,902 | |
Johnson & Johnson | 4,411 | 720,846 | |
Merck & Co., Inc. | 3,956 | 424,914 | |
Pfizer, Inc. | 8,364 | 369,354 | |
Royalty Pharma PLC | 476 | 18,654 | |
2,207,851 | |||
TOTAL HEALTH CARE | 6,942,370 | ||
INDUSTRIALS - 8.3% | |||
Aerospace & Defense - 1.6% | |||
Curtiss-Wright Corp. | 73 | 12,103 | |
HEICO Corp. | 256 | 43,763 | |
Howmet Aerospace, Inc. | 2,065 | 84,025 | |
Lockheed Martin Corp. | 433 | 200,592 | |
Raytheon Technologies Corp. | 2,673 | 266,899 | |
The Boeing Co. (a) | 862 | 183,606 | |
Woodward, Inc. | 132 | 13,498 | |
804,486 | |||
Air Freight & Logistics - 0.6% | |||
C.H. Robinson Worldwide, Inc. | 545 | 54,593 | |
United Parcel Service, Inc. Class B | 1,348 | 249,690 | |
304,283 | |||
Airlines - 0.2% | |||
American Airlines Group, Inc. (a) | 3,183 | 51,374 | |
United Airlines Holdings, Inc. (a) | 1,211 | 59,291 | |
110,665 | |||
Building Products - 0.4% | |||
Builders FirstSource, Inc. (a) | 192 | 15,302 | |
Carlisle Companies, Inc. | 93 | 23,330 | |
Fortune Brands Home & Security, Inc. | 330 | 21,288 | |
Lennox International, Inc. | 87 | 22,674 | |
Masco Corp. | 1,640 | 87,248 | |
Owens Corning | 255 | 24,646 | |
194,488 | |||
Commercial Services & Supplies - 0.8% | |||
Cintas Corp. | 429 | 190,364 | |
Clean Harbors, Inc. (a) | 175 | 22,803 | |
Republic Services, Inc. | 1,326 | 165,511 | |
Stericycle, Inc. (a) | 437 | 23,515 | |
Tetra Tech, Inc. | 89 | 13,841 | |
416,034 | |||
Construction & Engineering - 0.1% | |||
AECOM | 343 | 29,934 | |
Willscot Mobile Mini Holdings (a) | 283 | 13,714 | |
43,648 | |||
Electrical Equipment - 0.4% | |||
AMETEK, Inc. | 897 | 129,993 | |
Hubbell, Inc. Class B | 91 | 20,831 | |
Regal Rexnord Corp. | 156 | 21,715 | |
Sensata Technologies, Inc. PLC | 546 | 27,764 | |
200,303 | |||
Industrial Conglomerates - 0.9% | |||
General Electric Co. | 2,358 | 189,772 | |
Honeywell International, Inc. | 1,206 | 251,427 | |
441,199 | |||
Machinery - 2.2% | |||
AGCO Corp. | 99 | 13,675 | |
Caterpillar, Inc. | 772 | 194,768 | |
Cummins, Inc. | 636 | 158,707 | |
Dover Corp. | 946 | 143,631 | |
Fortive Corp. | 1,720 | 117,012 | |
Graco, Inc. | 321 | 21,931 | |
IDEX Corp. | 499 | 119,600 | |
ITT, Inc. | 287 | 26,286 | |
Lincoln Electric Holdings, Inc. | 150 | 25,031 | |
Middleby Corp. (a) | 94 | 14,612 | |
Oshkosh Corp. | 148 | 14,915 | |
PACCAR, Inc. | 1,251 | 136,747 | |
Snap-On, Inc. | 319 | 79,345 | |
Toro Co. | 118 | 13,159 | |
1,079,419 | |||
Professional Services - 0.2% | |||
Booz Allen Hamilton Holding Corp. Class A | 207 | 19,590 | |
CACI International, Inc. Class A (a) | 71 | 21,874 | |
KBR, Inc. | 435 | 22,285 | |
Science Applications International Corp. | 215 | 22,313 | |
TransUnion Holding Co., Inc. | 353 | 25,328 | |
111,390 | |||
Road & Rail - 0.6% | |||
Knight-Swift Transportation Holdings, Inc. Class A | 412 | 24,349 | |
Landstar System, Inc. | 138 | 23,851 | |
Saia, Inc. (a) | 59 | 16,094 | |
Union Pacific Corp. | 1,135 | 231,756 | |
Werner Enterprises, Inc. | 312 | 14,655 | |
XPO, Inc. (a) | 194 | 7,733 | |
318,438 | |||
Trading Companies & Distributors - 0.3% | |||
W.W. Grainger, Inc. | 177 | 104,338 | |
Watsco, Inc. | 77 | 22,127 | |
126,465 | |||
TOTAL INDUSTRIALS | 4,150,818 | ||
INFORMATION TECHNOLOGY - 25.3% | |||
Communications Equipment - 0.8% | |||
Ciena Corp. (a) | 192 | 9,988 | |
Cisco Systems, Inc. | 7,934 | 386,148 | |
396,136 | |||
Electronic Equipment & Components - 0.5% | |||
Arrow Electronics, Inc. (a) | 207 | 24,320 | |
Avnet, Inc. | 102 | 4,680 | |
Coherent Corp. (a) | 511 | 22,177 | |
Jabil, Inc. | 341 | 26,813 | |
Keysight Technologies, Inc. (a) | 788 | 141,328 | |
National Instruments Corp. | 502 | 27,108 | |
TD SYNNEX Corp. | 222 | 22,677 | |
269,103 | |||
IT Services - 4.0% | |||
Accenture PLC Class A | 1,186 | 330,953 | |
Amdocs Ltd. | 243 | 22,339 | |
Block, Inc. Class A (a) | 362 | 29,583 | |
Cloudflare, Inc. (a) | 222 | 11,746 | |
ExlService Holdings, Inc. (a) | 69 | 11,771 | |
Genpact Ltd. | 441 | 20,850 | |
GoDaddy, Inc. (a) | 275 | 22,586 | |
IBM Corp. | 1,585 | 213,547 | |
MasterCard, Inc. Class A | 1,281 | 474,739 | |
Maximus, Inc. | 337 | 25,224 | |
MongoDB, Inc. Class A (a) | 63 | 13,495 | |
Okta, Inc. (a) | 224 | 16,489 | |
PayPal Holdings, Inc. (a) | 1,883 | 153,446 | |
Snowflake, Inc. (a) | 47 | 7,353 | |
SS&C Technologies Holdings, Inc. | 396 | 23,899 | |
The Western Union Co. | 1,374 | 19,470 | |
Twilio, Inc. Class A (a) | 267 | 15,977 | |
Visa, Inc. Class A | 2,562 | 589,798 | |
WEX, Inc. (a) | 63 | 11,653 | |
2,014,918 | |||
Semiconductors & Semiconductor Equipment - 5.4% | |||
Advanced Micro Devices, Inc. (a) | 2,662 | 200,049 | |
Broadcom, Inc. | 724 | 423,547 | |
Enphase Energy, Inc. (a) | 226 | 50,032 | |
Entegris, Inc. | 415 | 33,495 | |
Intel Corp. | 6,503 | 183,775 | |
Lam Research Corp. | 453 | 226,545 | |
Lattice Semiconductor Corp. (a) | 221 | 16,750 | |
Micron Technology, Inc. | 2,356 | 142,067 | |
MKS Instruments, Inc. | 242 | 24,761 | |
NVIDIA Corp. | 3,744 | 731,465 | |
onsemi (a) | 1,171 | 86,010 | |
Qualcomm, Inc. | 1,776 | 236,581 | |
SolarEdge Technologies, Inc. (a) | 113 | 36,062 | |
Texas Instruments, Inc. | 1,756 | 311,181 | |
Universal Display Corp. | 116 | 15,373 | |
Wolfspeed, Inc. (a) | 111 | 8,548 | |
2,726,241 | |||
Software - 8.2% | |||
Adobe, Inc. (a) | 733 | 271,459 | |
Aspen Technology, Inc. (a) | 47 | 9,341 | |
Atlassian Corp. PLC (a) | 88 | 14,223 | |
Bill.Com Holdings, Inc. (a) | 85 | 9,828 | |
Crowdstrike Holdings, Inc. (a) | 122 | 12,920 | |
Datadog, Inc. Class A (a) | 218 | 16,309 | |
DocuSign, Inc. (a) | 322 | 19,526 | |
Dolby Laboratories, Inc. Class A | 283 | 22,515 | |
Dropbox, Inc. Class A (a) | 960 | 22,301 | |
Dynatrace, Inc. (a) | 332 | 12,759 | |
Fair Isaac Corp. (a) | 23 | 15,317 | |
Guidewire Software, Inc. (a) | 328 | 24,023 | |
HubSpot, Inc. (a) | 43 | 14,921 | |
Intuit, Inc. | 507 | 214,294 | |
Manhattan Associates, Inc. (a) | 150 | 19,554 | |
Microsoft Corp. | 10,663 | 2,642,398 | |
Oracle Corp. | 2,420 | 214,073 | |
Palo Alto Networks, Inc. (a) | 118 | 18,720 | |
Paylocity Holding Corp. (a) | 47 | 9,790 | |
Salesforce.com, Inc. (a) | 1,513 | 254,139 | |
ServiceNow, Inc. (a) | 402 | 182,962 | |
Splunk, Inc. (a) | 235 | 22,506 | |
VMware, Inc. Class A (a) | 177 | 21,677 | |
Workday, Inc. Class A (a) | 159 | 28,847 | |
Zoom Video Communications, Inc. Class A (a) | 181 | 13,575 | |
Zscaler, Inc. (a) | 120 | 14,899 | |
4,122,876 | |||
Technology Hardware, Storage & Peripherals - 6.4% | |||
Apple, Inc. | 21,362 | 3,082,313 | |
Dell Technologies, Inc. | 210 | 8,530 | |
Hewlett Packard Enterprise Co. | 5,537 | 89,312 | |
Xerox Holdings Corp. | 829 | 13,579 | |
3,193,734 | |||
TOTAL INFORMATION TECHNOLOGY | 12,723,008 | ||
MATERIALS - 2.5% | |||
Chemicals - 1.7% | |||
Albemarle Corp. | 227 | 63,889 | |
Ashland, Inc. | 203 | 22,182 | |
Axalta Coating Systems Ltd. (a) | 1,372 | 41,297 | |
Celanese Corp. Class A | 598 | 73,674 | |
Eastman Chemical Co. | 938 | 82,703 | |
Element Solutions, Inc. | 1,132 | 23,183 | |
Huntsman Corp. | 798 | 25,289 | |
Linde PLC | 1,064 | 352,120 | |
LyondellBasell Industries NV Class A | 1,204 | 116,415 | |
Olin Corp. | 229 | 14,791 | |
RPM International, Inc. | 248 | 22,298 | |
Valvoline, Inc. | 404 | 14,811 | |
Westlake Corp. | 126 | 15,467 | |
868,119 | |||
Construction Materials - 0.0% | |||
Eagle Materials, Inc. | 108 | 15,777 | |
Containers & Packaging - 0.3% | |||
Aptargroup, Inc. | 201 | 23,244 | |
Berry Global Group, Inc. | 410 | 25,309 | |
Crown Holdings, Inc. | 387 | 34,118 | |
Graphic Packaging Holding Co. | 945 | 22,765 | |
Silgan Holdings, Inc. | 451 | 24,304 | |
Sonoco Products Co. | 336 | 20,533 | |
150,273 | |||
Metals & Mining - 0.5% | |||
Alcoa Corp. | 268 | 14,000 | |
Newmont Corp. | 2,076 | 109,883 | |
Reliance Steel & Aluminum Co. | 66 | 15,012 | |
Royal Gold, Inc. | 132 | 16,768 | |
Southern Copper Corp. | 215 | 16,170 | |
Steel Dynamics, Inc. | 511 | 61,647 | |
233,480 | |||
TOTAL MATERIALS | 1,267,649 | ||
REAL ESTATE - 2.6% | |||
Equity Real Estate Investment Trusts (REITs) - 2.6% | |||
American Homes 4 Rent Class A | 1,299 | 44,543 | |
American Tower Corp. | 892 | 199,264 | |
Americold Realty Trust | 455 | 14,292 | |
Brixmor Property Group, Inc. | 1,005 | 23,648 | |
Camden Property Trust (SBI) | 958 | 118,035 | |
CubeSmart | 476 | 21,796 | |
EastGroup Properties, Inc. | 129 | 21,704 | |
Equity Lifestyle Properties, Inc. | 346 | 24,836 | |
Federal Realty Investment Trust (SBI) | 692 | 77,179 | |
First Industrial Realty Trust, Inc. | 409 | 21,820 | |
Gaming & Leisure Properties | 423 | 22,656 | |
Healthcare Trust of America, Inc. | 881 | 18,968 | |
Healthpeak Properties, Inc. | 3,612 | 99,258 | |
Independence Realty Trust, Inc. | 1,109 | 20,882 | |
Kite Realty Group Trust | 665 | 14,431 | |
Lamar Advertising Co. Class A | 96 | 10,228 | |
Life Storage, Inc. | 173 | 18,691 | |
Medical Properties Trust, Inc. | 1,511 | 19,567 | |
Mid-America Apartment Communities, Inc. | 763 | 127,207 | |
National Retail Properties, Inc. | 466 | 22,065 | |
Omega Healthcare Investors, Inc. | 638 | 18,783 | |
Physicians Realty Trust | 877 | 13,909 | |
Rexford Industrial Realty, Inc. | 346 | 21,961 | |
SBA Communications Corp. Class A | 341 | 101,458 | |
Spirit Realty Capital, Inc. | 366 | 16,060 | |
Store Capital Corp. | 668 | 21,516 | |
Sun Communities, Inc. | 295 | 46,274 | |
UDR, Inc. | 2,081 | 88,630 | |
WP Carey, Inc. | 422 | 36,094 | |
1,305,755 | |||
Real Estate Management & Development - 0.0% | |||
Jones Lang LaSalle, Inc. (a) | 82 | 15,159 | |
TOTAL REAL ESTATE | 1,320,914 | ||
UTILITIES - 3.0% | |||
Electric Utilities - 1.4% | |||
Exelon Corp. | 3,794 | 160,069 | |
IDACORP, Inc. | 180 | 19,046 | |
NextEra Energy, Inc. | 3,972 | 296,430 | |
OGE Energy Corp. | 508 | 19,975 | |
PNM Resources, Inc. | 300 | 14,844 | |
Xcel Energy, Inc. | 2,527 | 173,782 | |
684,146 | |||
Gas Utilities - 0.0% | |||
National Fuel Gas Co. | 202 | 11,728 | |
Independent Power and Renewable Electricity Producers - 0.0% | |||
Vistra Corp. | 287 | 6,618 | |
Multi-Utilities - 1.5% | |||
Ameren Corp. | 1,851 | 160,796 | |
Black Hills Corp. | 262 | 18,964 | |
CMS Energy Corp. | 2,381 | 150,455 | |
Consolidated Edison, Inc. | 1,799 | 171,463 | |
DTE Energy Co. | 1,225 | 142,553 | |
NiSource, Inc. | 4,249 | 117,910 | |
762,141 | |||
Water Utilities - 0.1% | |||
Essential Utilities, Inc. | 665 | 31,075 | |
TOTAL UTILITIES | 1,495,708 | ||
TOTAL COMMON STOCKS (Cost $44,755,634) | 47,794,857 | ||
Money Market Funds - 1.2% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 4.38% (b) (Cost $575,547) | 575,432 | 575,547 | |
Equity Funds - 2.6% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 2.6% | |||
iShares S&P 500 Index ETF (Cost $1,300,013) | 3,239 | 1,322,516 | |
Purchased Options - 1.2% | ||||||
Counterparty | Number of Contracts | Notional Amount | Exercise Price ($) | Expiration Date | Value ($) | |
Put Options | ||||||
S&P 500 Index | Chicago Board Options Exchange | 47 | 19,160,020 | 2,550 | 01/19/24 | 118,675 |
S&P 500 Index | Chicago Board Options Exchange | 45 | 18,344,700 | 3,770 | 04/21/23 | 207,900 |
S&P 500 Index | Chicago Board Options Exchange | 36 | 14,675,760 | 3,700 | 03/17/23 | 66,600 |
S&P 500 Index | Chicago Board Options Exchange | 61 | 24,867,260 | 2,400 | 11/17/23 | 99,125 |
S&P 500 Index | Chicago Board Options Exchange | 35 | 14,268,100 | 3,730 | 02/17/23 | 18,025 |
S&P 500 Index | Chicago Board Options Exchange | 58 | 23,644,280 | 2,450 | 12/15/23 | 114,260 |
TOTAL PURCHASED OPTIONS (Cost 1,532,155) | 624,585 |
TOTAL INVESTMENT IN SECURITIES - 100.1% (Cost $48,163,349) | 50,317,505 |
NET OTHER ASSETS (LIABILITIES) - (0.1)% | (70,406) |
NET ASSETS - 100.0% | 50,247,099 |
ETF | - | EXCHANGE-TRADED FUND |
(a) | Non-income producing |
(b) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 4.38% | - | 45,875,880 | 45,300,333 | 16,606 | - | - | 575,547 | 0.0% |
Total | - | 45,875,880 | 45,300,333 | 16,606 | - | - | 575,547 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | 3,659,462 | 3,659,462 | - | - |
Consumer Discretionary | 5,036,291 | 5,036,291 | - | - |
Consumer Staples | 3,204,408 | 3,204,408 | - | - |
Energy | 2,342,183 | 2,342,183 | - | - |
Financials | 5,652,046 | 5,652,046 | - | - |
Health Care | 6,942,370 | 6,942,370 | - | - |
Industrials | 4,150,818 | 4,150,818 | - | - |
Information Technology | 12,723,008 | 12,723,008 | - | - |
Materials | 1,267,649 | 1,267,649 | - | - |
Real Estate | 1,320,914 | 1,320,914 | - | - |
Utilities | 1,495,708 | 1,495,708 | - | - |
Money Market Funds | 575,547 | 575,547 | - | - |
Equity Funds | 1,322,516 | 1,322,516 | - | - |
Purchased Options | 624,585 | 624,585 | - | - |
Total Investments in Securities: | 50,317,505 | 50,317,505 | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Equity Risk | ||
Purchased Options (a) | 624,585 | 0 |
Total Equity Risk | 624,585 | 0 |
Total Value of Derivatives | 624,585 | 0 |
Statement of Assets and Liabilities | ||||
January 31, 2023 | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $47,587,802) | $ | 49,741,958 | ||
Fidelity Central Funds (cost $575,547) | 575,547 | |||
Total Investment in Securities (cost $48,163,349) | $ | 50,317,505 | ||
Receivable for fund shares sold | 26,636 | |||
Dividends receivable | 38,454 | |||
Distributions receivable from Fidelity Central Funds | 2,735 | |||
Receivable from investment adviser for expense reductions | 24,167 | |||
Total assets | 50,409,497 | |||
Liabilities | ||||
Payable for investments purchased | $ | 120,976 | ||
Payable for fund shares redeemed | 17 | |||
Accrued management fee | 22,059 | |||
Distribution and service plan fees payable | 897 | |||
Other affiliated payables | 18,438 | |||
Other payables and accrued expenses | 11 | |||
Total Liabilities | 162,398 | |||
Net Assets | $ | 50,247,099 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 48,902,526 | ||
Total accumulated earnings (loss) | 1,344,573 | |||
Net Assets | $ | 50,247,099 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($1,317,089 ÷ 132,949 shares) (a) | $ | 9.91 | ||
Maximum offering price per share (100/94.25 of $9.91) | $ | 10.51 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($508,521 ÷ 51,327 shares) (a) | $ | 9.91 | ||
Maximum offering price per share (100/96.50 of $9.91) | $ | 10.27 | ||
Class C : | ||||
Net Asset Value and offering price per share ($526,288 ÷ 53,143 shares) (a) | $ | 9.90 | ||
Fidelity Hedged Equity Fund : | ||||
Net Asset Value , offering price and redemption price per share ($46,678,041 ÷ 4,709,343 shares) | $ | 9.91 | ||
Class I : | ||||
Net Asset Value , offering price and redemption price per share ($497,367 ÷ 50,180 shares) | $ | 9.91 | ||
Class Z : | ||||
Net Asset Value , offering price and redemption price per share ($719,793 ÷ 72,605 shares) | $ | 9.91 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Statement of Operations | ||||
For the period September 1, 2022 (commencement of operations) through January 31, 2023 | ||||
Investment Income | ||||
Dividends | $ | 258,995 | ||
Income from Fidelity Central Funds | 16,606 | |||
Total Income | 275,601 | |||
Expenses | ||||
Management fee | $ | 89,553 | ||
Distribution and service plan fees | 3,813 | |||
Independent trustees' fees and expenses | 91,689 | |||
Total expenses before reductions | 185,055 | |||
Expense reductions | (92,729) | |||
Total expenses after reductions | 92,326 | |||
Net Investment income (loss) | 183,275 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (831,002) | |||
Total net realized gain (loss) | (831,002) | |||
Change in net unrealized appreciation (depreciation) on investment securities | 2,154,156 | |||
Net gain (loss) | 1,323,154 | |||
Net increase (decrease) in net assets resulting from operations | $ | 1,506,429 |
Statement of Changes in Net Assets | ||
For the period September 1, 2022 (commencement of operations) through January 31, 2023 | ||
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ | 183,275 |
Net realized gain (loss) | (831,002) | |
Change in net unrealized appreciation (depreciation) | 2,154,156 | |
Net increase (decrease) in net assets resulting from operations | 1,506,429 | |
Distributions to shareholders | (161,856) | |
Share transactions - net increase (decrease) | 48,902,526 | |
Total increase (decrease) in net assets | 50,247,099 | |
Net Assets | ||
Beginning of period | - | |
End of period | $ | 50,247,099 |
Fidelity Advisor® Hedged Equity Fund Class A |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .04 | |
Net realized and unrealized gain (loss) | (.10) | |
Total from investment operations | (.06) | |
Distributions from net investment income | (.03) | |
Total distributions | (.03) | |
Net asset value, end of period | $ | 9.91 |
Total Return D,E,F | (.59)% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | 1.34% I | |
Expenses net of fee waivers, if any | .80% I | |
Expenses net of all reductions | .79% I | |
Net investment income (loss) | .90% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 1,317 |
Portfolio turnover rate J | 21% K |
Fidelity Advisor® Hedged Equity Fund Class M |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .03 | |
Net realized and unrealized gain (loss) | (.10) | |
Total from investment operations | (.07) | |
Distributions from net investment income | (.02) | |
Total distributions | (.02) | |
Net asset value, end of period | $ | 9.91 |
Total Return D,E,F | (.71)% | |
Ratios to Average Net Assets C,G,H | ||
Expenses before reductions | 1.54% I | |
Expenses net of fee waivers, if any | 1.05% I | |
Expenses net of all reductions | 1.04% I | |
Net investment income (loss) | .65% I | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 509 |
Portfolio turnover rate J | 21% K |
Fidelity Advisor® Hedged Equity Fund Class C |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .01 | |
Net realized and unrealized gain (loss) | (.11) | |
Total from investment operations | (.10) | |
Distributions from net investment income | - D | |
Net asset value, end of period | $ | 9.90 |
Total Return E,F,G | (.97)% | |
Ratios to Average Net Assets C,H,I | ||
Expenses before reductions | 2.04% J | |
Expenses net of fee waivers, if any | 1.55% J | |
Expenses net of all reductions | 1.54% J | |
Net investment income (loss) | .15% J | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 526 |
Portfolio turnover rate K | 21% L |
Fidelity® Hedged Equity Fund |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .05 | |
Net realized and unrealized gain (loss) | (.10) | |
Total from investment operations | (.05) | |
Distributions from net investment income | (.04) | |
Total distributions | (.04) | |
Net asset value, end of period | $ | 9.91 |
Total Return D,E | (.54)% | |
Ratios to Average Net Assets C,F,G | ||
Expenses before reductions | 1.12% H | |
Expenses net of fee waivers, if any | .55% H | |
Expenses net of all reductions | .54% H | |
Net investment income (loss) | 1.15% H | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 46,678 |
Portfolio turnover rate I | 21% J |
Fidelity Advisor® Hedged Equity Fund Class I |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .05 | |
Net realized and unrealized gain (loss) | (.10) | |
Total from investment operations | (.05) | |
Distributions from net investment income | (.04) | |
Total distributions | (.04) | |
Net asset value, end of period | $ | 9.91 |
Total Return D,E | (.54)% | |
Ratios to Average Net Assets C,F,G | ||
Expenses before reductions | 1.04% H | |
Expenses net of fee waivers, if any | .55% H | |
Expenses net of all reductions | .55% H | |
Net investment income (loss) | 1.15% H | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 497 |
Portfolio turnover rate I | 21% J |
Fidelity Advisor® Hedged Equity Fund Class Z |
Years ended January 31, | 2023 A | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ | 10.00 |
Income from Investment Operations | ||
Net investment income (loss) B,C | .05 | |
Net realized and unrealized gain (loss) | (.10) | |
Total from investment operations | (.05) | |
Distributions from net investment income | (.04) | |
Total distributions | (.04) | |
Net asset value, end of period | $ | 9.91 |
Total Return D,E | (.54)% | |
Ratios to Average Net Assets C,F,G | ||
Expenses before reductions | 1.01% H | |
Expenses net of fee waivers, if any | .50% H | |
Expenses net of all reductions | .50% H | |
Net investment income (loss) | 1.20% H | |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ | 720 |
Portfolio turnover rate I | 21% J |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio A |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $4,193,874 |
Gross unrealized depreciation | (1,172,811) |
Net unrealized appreciation (depreciation) | $3,021,063 |
Tax Cost | $47,296,442 |
Undistributed ordinary income | $21,416 |
Capital loss carryforward | $(1,681,984) |
Net unrealized appreciation (depreciation) on securities and other investments | $3,005,141 |
Short-term | $(552,437) |
Long-term | (1,129,547) |
Total capital loss carryforward | $(1,681,984) |
January 31, 2023 A | |
Ordinary Income | $161,856 |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Purchases ($) | Sales ($) | |
Fidelity Hedged Equity Fund | 55,093,337 | 9,118,085 |
Annual % of Class-Level Average Net Assets | |
Class A | .55% |
Class M | .55% |
Class C | .55% |
Fidelity Hedged Equity Fund | .55% |
Class I | .55% |
Class Z | .50% |
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | - % | .25% | $756 | $522 |
Class M | .25% | .25% | 1,016 | 1,009 |
Class C | .75% | .25% | 2,041 | 2,032 |
$3,813 | $3,563 |
Retained by FDC | |
Class A | $166 |
Amount | |
Fidelity Hedged Equity Fund | $351 |
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity Hedged Equity Fund | 106,204 | - | - |
Expense Limitations | Reimbursement | |
Class A | .80% | $1,633 |
Class M | 1.05% | 1,004 |
Class C | 1.55% | 1,016 |
Fidelity Hedged Equity Fund | .55% | 86,608 |
Class I | .55% | 990 |
Class Z | .50% | 1,371 |
$92,622 |
Year ended January 31, 2023 A | |
Fidelity Hedged Equity Fund | |
Distributions to shareholders | |
Class A | $2,528 |
Class M | 958 |
Class C | 150 |
Fidelity Hedged Equity Fund | 154,020 |
Class I | 1,750 |
Class Z | 2,450 |
Total | $161,856 |
Shares | Dollars | |
Year ended January 31, 2023 A | Year ended January 31, 2023 A | |
Fidelity Hedged Equity Fund | ||
Class A | ||
Shares sold | 133,546 | $1,303,675 |
Reinvestment of distributions | 260 | 2,528 |
Shares redeemed | (857) | (8,250) |
Net increase (decrease) | 132,949 | $1,297,953 |
Class M | ||
Shares sold | 51,229 | $511,835 |
Reinvestment of distributions | 98 | 958 |
Net increase (decrease) | 51,327 | $512,793 |
Class C | ||
Shares sold | 53,128 | $530,661 |
Reinvestment of distributions | 15 | 150 |
Net increase (decrease) | 53,143 | $530,811 |
Fidelity Hedged Equity Fund | ||
Shares sold | 4,777,239 | $45,999,665 |
Reinvestment of distributions | 15,347 | 149,478 |
Shares redeemed | (83,243) | (808,623) |
Net increase (decrease) | 4,709,343 | $45,340,520 |
Class I | ||
Shares sold | 50,000 | $500,000 |
Reinvestment of distributions | 180 | 1,750 |
Net increase (decrease) | 50,180 | $501,750 |
Class Z | ||
Shares sold | 72,944 | $721,934 |
Reinvestment of distributions | 252 | 2,450 |
Shares redeemed | (591) | (5,685) |
Net increase (decrease) | 72,605 | $718,699 |
VIP FundsManager 50% Portfolio | VIP FundsManager 60% Portfolio | |
Fidelity Hedged Equity Fund | 25% | 31% |
Fund | % of shares held |
Fidelity Hedged Equity Fund | 74% |
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2022 to January 31, 2023). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2022 to January 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value | Ending Account Value January 31, 2023 | Expenses Paid During Period | |||||||
Fidelity® Hedged Equity Fund | ||||||||||
Class A | .80% | |||||||||
Actual | $ 1,000 | $ 994.10 | $ 3.34 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,021.17 | $ 4.08 D | |||||||
Class M | 1.05% | |||||||||
Actual | $ 1,000 | $ 992.90 | $ 4.39 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,019.91 | $ 5.35 D | |||||||
Class C | 1.55% | |||||||||
Actual | $ 1,000 | $ 990.30 | $ 6.47 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,017.39 | $ 7.88 D | |||||||
Fidelity® Hedged Equity Fund | .55% | |||||||||
Actual | $ 1,000 | $ 994.60 | $ 2.30 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.43 | $ 2.80 D | |||||||
Class I | .55% | |||||||||
Actual | $ 1,000 | $ 994.60 | $ 2.30 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.43 | $ 2.80 D | |||||||
Class Z | .50% | |||||||||
Actual | $ 1,000 | $ 994.60 | $ 2.09 C | |||||||
Hypothetical- B | $ 1,000 | $ 1,022.68 | $ 2.55 D | |||||||
At its May 2022 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements with affiliates of FDS (together, the Advisory Contracts) for the fund. FDS and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.
- Highly liquid investments - cash or convertible to cash within three business days or less
- Moderately liquid investments - convertible to cash in three to seven calendar days
- Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days
- Illiquid investments - cannot be sold or disposed of within seven calendar days
Item 2.
Code of Ethics
As of the end of the period, January 31, 2023, Fidelity Greenwood Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3.
Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Jennifer M. Birmingham is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Birmingham is independent for purposes of Item 3 of Form N-CSR.
Item 4.
Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, “Deloitte Entities”) in each of the last two fiscal years for services rendered to Fidelity Hedged Equity Fund, Fidelity Macro Opportunities Fund, and Fidelity Risk Parity Fund (the “Funds”):
Services Billed by Deloitte Entities
January 31, 2023 FeesA,B
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Hedged Equity Fund | $44,500 | $- | $9,700 | $300 |
Fidelity Macro Opportunities Fund | $74,400 | $- | $9,300 | $500 |
Fidelity Risk Parity Fund | $76,200 | $- | $9,300 | $500 |
January 31, 2022 FeesB
Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees | |
Fidelity Hedged Equity Fund | $- | $- | $- | $- |
Fidelity Macro Opportunities Fund | $- | $- | $- | $- |
Fidelity Risk Parity Fund | $- | $- | $- | $- |
A Amounts may reflect rounding.
B Fidelity Macro Opportunities Fund and Fidelity Risk Parity Fund commenced operations on July 7, 2022. Fidelity Hedged Equity Fund commenced operations on September 1, 2022.
The following table(s) present(s) fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Diversifying Solutions LLC ("FDS") and entities controlling, controlled by, or under common control with FDS (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) (“Fund Service Providers”):
Services Billed by Deloitte Entities
January 31, 2023A,B | January 31, 2022B | |
Audit-Related Fees | $- | $- |
Tax Fees | $- | $- |
All Other Fees | $- | $- |
A Amounts may reflect rounding.
B May include amounts billed prior to the Fidelity Hedged Equity Fund, Fidelity Macro Opportunities Fund, and Fidelity Risk Parity Fund’s commencement of operations.
“Audit-Related Fees” represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
“Tax Fees” represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
“All Other Fees” represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund(s), FDS (not including any sub-adviser whose role is primarily portfolio
management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:
Billed By | January 31, 2023A,B | January 31, 2022A,B |
Deloitte Entities | $487,200 | $521,600 |
A Amounts may reflect rounding.
B May include amounts billed prior to the Fidelity Hedged Equity Fund, Fidelity Macro Opportunities Fund, and Fidelity Risk Parity Fund’s commencement of operations.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FDS’s review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust’s Audit Committee must pre-approve all audit and non-audit services provided by a fund’s independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee’s consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (“Covered Service”) are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair’s absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X (“De Minimis Exception”)
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund’s(s’) last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable.
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information
relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | |
(a) | (3) | Not applicable. |
(b) |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Greenwood Street Trust
By: | /s/Heather Bonner |
Heather Bonner | |
President and Treasurer | |
Date: | March 23, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Heather Bonner |
Heather Bonner | |
President and Treasurer | |
Date: | March 23, 2023 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | March 23, 2023 |