UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-23762
Fidelity Greenwood Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Margaret Carey, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | January 31 |
Date of reporting period: | July 31, 2023 |
Item 1.
Reports to Stockholders
Contents
Top Holdings (% of Fund's net assets) | ||
Apple, Inc. | 7.5 | |
Microsoft Corp. | 6.6 | |
Alphabet, Inc. Class A | 3.7 | |
Amazon.com, Inc. | 3.1 | |
NVIDIA Corp. | 3.1 | |
Tesla, Inc. | 2.0 | |
Meta Platforms, Inc. Class A | 1.9 | |
Berkshire Hathaway, Inc. Class B | 1.8 | |
UnitedHealth Group, Inc. | 1.5 | |
JPMorgan Chase & Co. | 1.5 | |
32.7 | ||
Market Sectors (% of Fund's net assets) | ||
Information Technology | 28.0 | |
Health Care | 12.5 | |
Financials | 12.4 | |
Consumer Discretionary | 10.4 | |
Communication Services | 8.3 | |
Industrials | 7.9 | |
Consumer Staples | 6.3 | |
Energy | 4.1 | |
Utilities | 2.6 | |
Real Estate | 2.3 | |
Materials | 2.2 | |
Asset Allocation (% of Fund's net assets) |
Common Stocks - 97.0% | |||
Shares | Value ($) | ||
COMMUNICATION SERVICES - 8.3% | |||
Diversified Telecommunication Services - 0.6% | |||
Frontier Communications Parent, Inc. (a) | 2,837 | 51,662 | |
Iridium Communications, Inc. | 838 | 44,037 | |
Verizon Communications, Inc. | 33,987 | 1,158,277 | |
1,253,976 | |||
Entertainment - 1.4% | |||
Activision Blizzard, Inc. | 6,511 | 603,960 | |
Madison Square Garden Sports Corp. | 269 | 57,230 | |
Netflix, Inc. (a) | 2,676 | 1,174,684 | |
Roku, Inc. Class A (a) | 605 | 58,243 | |
Spotify Technology SA (a) | 261 | 38,996 | |
The Walt Disney Co. (a) | 11,031 | 980,546 | |
World Wrestling Entertainment, Inc. Class A | 602 | 63,210 | |
2,976,869 | |||
Interactive Media & Services - 5.6% | |||
Alphabet, Inc. Class A (a) | 60,248 | 7,996,115 | |
IAC, Inc. (a) | 614 | 42,734 | |
Meta Platforms, Inc. Class A (a) | 12,394 | 3,948,728 | |
Pinterest, Inc. Class A (a) | 1,541 | 44,674 | |
12,032,251 | |||
Media - 0.7% | |||
Cable One, Inc. | 58 | 41,989 | |
Comcast Corp. Class A | 25,906 | 1,172,506 | |
Liberty Media Corp. Liberty SiriusXM Series A (a) | 2,222 | 70,437 | |
Nexstar Broadcasting Group, Inc. Class A | 363 | 67,779 | |
Sirius XM Holdings, Inc. (b) | 12,011 | 61,256 | |
The Trade Desk, Inc. (a) | 495 | 45,174 | |
1,459,141 | |||
TOTAL COMMUNICATION SERVICES | 17,722,237 | ||
CONSUMER DISCRETIONARY - 10.4% | |||
Automobile Components - 0.1% | |||
Autoliv, Inc. | 618 | 62,375 | |
Gentex Corp. | 1,785 | 59,940 | |
Lear Corp. | 695 | 107,558 | |
Visteon Corp. (a) | 272 | 41,912 | |
271,785 | |||
Automobiles - 2.2% | |||
Ford Motor Co. | 33,222 | 438,863 | |
Rivian Automotive, Inc. (a) | 1,168 | 32,284 | |
Tesla, Inc. (a) | 15,920 | 4,257,486 | |
4,728,633 | |||
Broadline Retail - 3.2% | |||
Amazon.com, Inc. (a) | 49,704 | 6,644,431 | |
Kohl's Corp. | 2,180 | 62,021 | |
Macy's, Inc. | 3,080 | 51,097 | |
6,757,549 | |||
Distributors - 0.1% | |||
LKQ Corp. | 5,115 | 280,251 | |
Diversified Consumer Services - 0.0% | |||
H&R Block, Inc. | 1,220 | 41,004 | |
Service Corp. International | 803 | 53,520 | |
94,524 | |||
Hotels, Restaurants & Leisure - 1.9% | |||
Airbnb, Inc. Class A (a) | 623 | 94,814 | |
ARAMARK Holdings Corp. | 1,642 | 66,288 | |
Booking Holdings, Inc. (a) | 259 | 769,437 | |
Boyd Gaming Corp. | 1,324 | 90,456 | |
Choice Hotels International, Inc. | 385 | 50,339 | |
Churchill Downs, Inc. | 393 | 45,529 | |
Hyatt Hotels Corp. Class A | 604 | 76,315 | |
Light & Wonder, Inc. Class A (a) | 572 | 40,212 | |
Marriott Vacations Worldwide Corp. | 516 | 66,311 | |
McDonald's Corp. | 5,480 | 1,606,736 | |
Penn Entertainment, Inc. (a) | 1,631 | 42,879 | |
Planet Fitness, Inc. (a) | 584 | 39,443 | |
Starbucks Corp. | 7,418 | 753,446 | |
Texas Roadhouse, Inc. Class A | 971 | 108,315 | |
Vail Resorts, Inc. | 311 | 73,237 | |
Wendy's Co. | 2,155 | 46,311 | |
Wyndham Hotels & Resorts, Inc. | 1,078 | 83,998 | |
4,054,066 | |||
Household Durables - 0.4% | |||
KB Home | 751 | 40,531 | |
Leggett & Platt, Inc. | 1,875 | 54,863 | |
NVR, Inc. (a) | 70 | 441,451 | |
Taylor Morrison Home Corp. (a) | 832 | 40,285 | |
Tempur Sealy International, Inc. | 1,999 | 89,215 | |
Toll Brothers, Inc. | 1,532 | 123,066 | |
TopBuild Corp. (a) | 166 | 45,472 | |
834,883 | |||
Specialty Retail - 2.0% | |||
AutoNation, Inc. (a) | 478 | 76,948 | |
Best Buy Co., Inc. | 2,681 | 222,657 | |
Burlington Stores, Inc. (a) | 433 | 76,909 | |
Five Below, Inc. (a) | 218 | 45,418 | |
Floor & Decor Holdings, Inc. Class A (a) | 642 | 73,734 | |
Gap, Inc. (b) | 5,496 | 56,609 | |
Lithia Motors, Inc. Class A (sub. vtg.) | 223 | 69,248 | |
Murphy U.S.A., Inc. | 291 | 89,346 | |
Penske Automotive Group, Inc. (b) | 650 | 104,923 | |
RH (a) | 280 | 108,688 | |
Ross Stores, Inc. | 5,025 | 576,066 | |
The Home Depot, Inc. | 6,910 | 2,306,834 | |
Ulta Beauty, Inc. (a) | 695 | 309,136 | |
Valvoline, Inc. | 1,333 | 50,614 | |
Williams-Sonoma, Inc. | 558 | 77,361 | |
4,244,491 | |||
Textiles, Apparel & Luxury Goods - 0.5% | |||
NIKE, Inc. Class B | 7,666 | 846,250 | |
Ralph Lauren Corp. | 1,221 | 160,354 | |
1,006,604 | |||
TOTAL CONSUMER DISCRETIONARY | 22,272,786 | ||
CONSUMER STAPLES - 6.3% | |||
Beverages - 2.1% | |||
Brown-Forman Corp. Class B (non-vtg.) | 6,020 | 425,012 | |
Keurig Dr. Pepper, Inc. | 17,478 | 594,427 | |
PepsiCo, Inc. | 9,480 | 1,777,121 | |
The Coca-Cola Co. | 28,094 | 1,739,861 | |
4,536,421 | |||
Consumer Staples Distribution & Retail - 1.7% | |||
Albertsons Companies, Inc. | 2,642 | 57,411 | |
BJ's Wholesale Club Holdings, Inc. (a) | 1,298 | 86,070 | |
Casey's General Stores, Inc. | 367 | 92,726 | |
Costco Wholesale Corp. | 2,651 | 1,486,336 | |
Performance Food Group Co. (a) | 923 | 55,158 | |
Target Corp. | 4,140 | 564,986 | |
U.S. Foods Holding Corp. (a) | 1,792 | 76,572 | |
Walmart, Inc. | 8,163 | 1,304,937 | |
3,724,196 | |||
Food Products - 1.0% | |||
Campbell Soup Co. | 8,799 | 403,170 | |
Darling Ingredients, Inc. (a) | 642 | 44,459 | |
Flowers Foods, Inc. | 3,725 | 92,045 | |
Ingredion, Inc. | 429 | 47,731 | |
Kellogg Co. | 9,691 | 648,231 | |
Post Holdings, Inc. (a)(b) | 1,180 | 100,654 | |
The Hershey Co. | 3,048 | 705,033 | |
2,041,323 | |||
Household Products - 1.5% | |||
Colgate-Palmolive Co. | 11,910 | 908,257 | |
Procter & Gamble Co. | 14,616 | 2,284,481 | |
3,192,738 | |||
TOTAL CONSUMER STAPLES | 13,494,678 | ||
ENERGY - 4.1% | |||
Energy Equipment & Services - 0.5% | |||
Halliburton Co. | 11,156 | 435,976 | |
Schlumberger Ltd. | 10,030 | 585,150 | |
1,021,126 | |||
Oil, Gas & Consumable Fuels - 3.6% | |||
Cheniere Energy, Inc. | 698 | 112,978 | |
Chesapeake Energy Corp. | 656 | 55,327 | |
Chevron Corp. | 13,214 | 2,162,603 | |
Chord Energy Corp. | 257 | 40,308 | |
CNX Resources Corp. (a) | 2,386 | 48,674 | |
Diamondback Energy, Inc. | 3,622 | 533,593 | |
Exxon Mobil Corp. | 27,140 | 2,910,494 | |
Kinder Morgan, Inc. | 31,815 | 563,444 | |
Marathon Oil Corp. | 19,291 | 506,775 | |
Matador Resources Co. | 766 | 42,613 | |
Murphy Oil Corp. | 1,747 | 75,593 | |
Occidental Petroleum Corp. | 6,345 | 400,560 | |
Ovintiv, Inc. | 2,264 | 104,348 | |
PDC Energy, Inc. | 558 | 42,347 | |
Range Resources Corp. | 1,736 | 54,562 | |
Southwestern Energy Co. (a) | 6,750 | 43,740 | |
7,697,959 | |||
TOTAL ENERGY | 8,719,085 | ||
FINANCIALS - 12.4% | |||
Banks - 3.0% | |||
Bank of America Corp. | 57,848 | 1,851,136 | |
Bank OZK | 1,114 | 48,715 | |
Columbia Banking Systems, Inc. | 2,562 | 57,261 | |
Commerce Bancshares, Inc. | 1,090 | 57,966 | |
Cullen/Frost Bankers, Inc. | 546 | 59,285 | |
First Citizens Bancshares, Inc. | 33 | 47,233 | |
First Horizon National Corp. | 4,342 | 59,181 | |
JPMorgan Chase & Co. | 19,363 | 3,058,579 | |
New York Community Bancorp, Inc. | 4,580 | 63,525 | |
Pinnacle Financial Partners, Inc. | 1,256 | 95,330 | |
Prosperity Bancshares, Inc. | 1,083 | 68,576 | |
Synovus Financial Corp. | 1,391 | 47,155 | |
U.S. Bancorp | 18,269 | 724,914 | |
Webster Financial Corp. | 1,383 | 65,444 | |
Wintrust Financial Corp. | 886 | 74,743 | |
6,379,043 | |||
Capital Markets - 1.7% | |||
Affiliated Managers Group, Inc. | 289 | 40,067 | |
Ameriprise Financial, Inc. | 1,439 | 501,420 | |
Ares Management Corp. | 972 | 96,442 | |
Blackstone, Inc. | 1,189 | 124,595 | |
Carlyle Group LP | 3,088 | 110,087 | |
Charles Schwab Corp. | 9,889 | 653,663 | |
Evercore, Inc. Class A | 707 | 95,487 | |
Franklin Resources, Inc. | 6,975 | 203,949 | |
Houlihan Lokey | 403 | 40,240 | |
Interactive Brokers Group, Inc. | 994 | 86,806 | |
Jefferies Financial Group, Inc. | 3,311 | 121,812 | |
KKR & Co. LP | 1,965 | 116,682 | |
Lazard Ltd. Class A | 1,256 | 44,086 | |
LPL Financial | 284 | 65,138 | |
Morgan Stanley | 11,986 | 1,097,438 | |
SEI Investments Co. | 1,589 | 100,091 | |
Stifel Financial Corp. | 1,199 | 76,184 | |
Tradeweb Markets, Inc. Class A | 1,032 | 84,407 | |
3,658,594 | |||
Consumer Finance - 0.5% | |||
Ally Financial, Inc. | 3,330 | 101,698 | |
American Express Co. | 4,773 | 806,064 | |
SLM Corp. | 2,590 | 41,906 | |
949,668 | |||
Financial Services - 4.9% | |||
Apollo Global Management, Inc. | 1,333 | 108,919 | |
Berkshire Hathaway, Inc. Class B (a) | 11,163 | 3,928,929 | |
Block, Inc. Class A (a) | 1,183 | 95,267 | |
Equitable Holdings, Inc. | 3,764 | 107,989 | |
Fidelity National Information Services, Inc. | 6,145 | 371,035 | |
FleetCor Technologies, Inc. (a) | 1,162 | 289,233 | |
MasterCard, Inc. Class A | 5,636 | 2,222,162 | |
PayPal Holdings, Inc. (a) | 8,076 | 612,322 | |
The Western Union Co. | 4,584 | 55,833 | |
Visa, Inc. Class A | 11,025 | 2,620,973 | |
Voya Financial, Inc. | 1,310 | 97,281 | |
10,509,943 | |||
Insurance - 2.1% | |||
AFLAC, Inc. | 9,050 | 654,677 | |
American Financial Group, Inc. | 1,031 | 125,380 | |
Arch Capital Group Ltd. (a) | 4,865 | 377,962 | |
Arthur J. Gallagher & Co. | 3,454 | 741,919 | |
Axis Capital Holdings Ltd. | 874 | 48,175 | |
Fidelity National Financial, Inc. | 3,681 | 144,185 | |
Loews Corp. | 6,170 | 386,551 | |
Markel Group, Inc. (a) | 119 | 172,515 | |
Old Republic International Corp. | 3,084 | 85,026 | |
Prudential Financial, Inc. | 8,729 | 842,261 | |
Reinsurance Group of America, Inc. | 320 | 44,912 | |
RenaissanceRe Holdings Ltd. | 240 | 44,822 | |
Selective Insurance Group, Inc. | 478 | 49,325 | |
Unum Group | 1,093 | 53,131 | |
W.R. Berkley Corp. | 6,966 | 429,733 | |
Willis Towers Watson PLC | 1,694 | 357,993 | |
4,558,567 | |||
Mortgage Real Estate Investment Trusts - 0.2% | |||
AGNC Investment Corp. | 6,008 | 61,222 | |
Annaly Capital Management, Inc. | 4,222 | 84,820 | |
Rithm Capital Corp. | 8,570 | 86,386 | |
Starwood Property Trust, Inc. (b) | 9,809 | 203,439 | |
435,867 | |||
TOTAL FINANCIALS | 26,491,682 | ||
HEALTH CARE - 12.5% | |||
Biotechnology - 2.0% | |||
AbbVie, Inc. | 11,488 | 1,718,375 | |
Alnylam Pharmaceuticals, Inc. (a) | 303 | 59,206 | |
BioMarin Pharmaceutical, Inc. (a) | 549 | 48,274 | |
Gilead Sciences, Inc. | 10,207 | 777,161 | |
Horizon Therapeutics PLC (a) | 517 | 51,840 | |
Moderna, Inc. (a) | 2,060 | 242,380 | |
Neurocrine Biosciences, Inc. (a) | 555 | 56,549 | |
Regeneron Pharmaceuticals, Inc. (a) | 773 | 573,496 | |
Seagen, Inc. (a) | 273 | 52,356 | |
Vertex Pharmaceuticals, Inc. (a) | 2,028 | 714,546 | |
4,294,183 | |||
Health Care Equipment & Supplies - 2.5% | |||
Abbott Laboratories | 13,124 | 1,461,095 | |
Align Technology, Inc. (a) | 643 | 242,983 | |
Boston Scientific Corp. (a) | 18,063 | 936,567 | |
DexCom, Inc. (a) | 3,227 | 401,955 | |
Envista Holdings Corp. (a) | 1,325 | 45,593 | |
GE Healthcare Holding LLC | 4,428 | 345,384 | |
Globus Medical, Inc. (a) | 1,175 | 70,817 | |
ICU Medical, Inc. (a) | 287 | 51,138 | |
Inspire Medical Systems, Inc. (a) | 123 | 35,401 | |
Intuitive Surgical, Inc. (a) | 2,580 | 836,952 | |
Masimo Corp. (a) | 293 | 35,834 | |
Penumbra, Inc. (a) | 167 | 50,661 | |
ResMed, Inc. | 2,118 | 470,937 | |
The Cooper Companies, Inc. | 989 | 386,956 | |
5,372,273 | |||
Health Care Providers & Services - 2.9% | |||
Acadia Healthcare Co., Inc. (a) | 821 | 64,884 | |
Centene Corp. (a) | 5,930 | 403,774 | |
Chemed Corp. | 144 | 75,037 | |
CVS Health Corp. | 11,488 | 858,039 | |
DaVita HealthCare Partners, Inc. (a) | 1,374 | 140,134 | |
Encompass Health Corp. | 792 | 52,296 | |
HCA Holdings, Inc. | 2,053 | 560,079 | |
Humana, Inc. | 1,285 | 587,027 | |
Tenet Healthcare Corp. (a) | 587 | 43,867 | |
UnitedHealth Group, Inc. | 6,185 | 3,131,898 | |
Universal Health Services, Inc. Class B | 926 | 128,677 | |
6,045,712 | |||
Health Care Technology - 0.1% | |||
Teladoc Health, Inc. (a)(b) | 1,630 | 48,525 | |
Veeva Systems, Inc. Class A (a) | 473 | 96,596 | |
145,121 | |||
Life Sciences Tools & Services - 1.3% | |||
Avantor, Inc. (a) | 3,114 | 64,055 | |
Bruker Corp. | 536 | 36,834 | |
Danaher Corp. | 4,566 | 1,164,604 | |
ICON PLC (a) | 163 | 40,980 | |
QIAGEN NV (a) | 1,561 | 73,086 | |
Thermo Fisher Scientific, Inc. | 2,570 | 1,410,056 | |
2,789,615 | |||
Pharmaceuticals - 3.7% | |||
Elanco Animal Health, Inc. (a) | 4,165 | 50,272 | |
Eli Lilly & Co. | 4,769 | 2,167,749 | |
Jazz Pharmaceuticals PLC (a) | 403 | 52,559 | |
Johnson & Johnson | 16,345 | 2,738,278 | |
Merck & Co., Inc. | 14,902 | 1,589,298 | |
Pfizer, Inc. | 34,488 | 1,243,637 | |
Royalty Pharma PLC | 1,586 | 49,769 | |
7,891,562 | |||
TOTAL HEALTH CARE | 26,538,466 | ||
INDUSTRIALS - 7.9% | |||
Aerospace & Defense - 1.6% | |||
BWX Technologies, Inc. | 776 | 53,544 | |
HEICO Corp. | 843 | 148,351 | |
Howmet Aerospace, Inc. | 9,010 | 460,771 | |
Lockheed Martin Corp. | 2,103 | 938,716 | |
Raytheon Technologies Corp. | 10,658 | 937,158 | |
The Boeing Co. (a) | 3,604 | 860,815 | |
Woodward, Inc. | 435 | 52,365 | |
3,451,720 | |||
Air Freight & Logistics - 0.6% | |||
GXO Logistics, Inc. (a) | 712 | 47,754 | |
United Parcel Service, Inc. Class B | 6,420 | 1,201,375 | |
1,249,129 | |||
Building Products - 0.5% | |||
Advanced Drain Systems, Inc. | 347 | 42,331 | |
Allegion PLC | 2,706 | 316,223 | |
Builders FirstSource, Inc. (a) | 338 | 48,817 | |
Carlisle Companies, Inc. | 551 | 152,737 | |
Fortune Brands Home & Security, Inc. | 1,533 | 108,950 | |
Lennox International, Inc. | 412 | 151,385 | |
Owens Corning | 849 | 118,852 | |
Trex Co., Inc. (a) | 929 | 64,231 | |
1,003,526 | |||
Commercial Services & Supplies - 0.8% | |||
Cintas Corp. | 1,672 | 839,411 | |
Clean Harbors, Inc. (a) | 300 | 49,878 | |
Driven Brands Holdings, Inc. (a) | 1,652 | 42,737 | |
RB Global, Inc. | 852 | 54,937 | |
Republic Services, Inc. | 4,556 | 688,457 | |
Tetra Tech, Inc. | 298 | 50,425 | |
1,725,845 | |||
Construction & Engineering - 0.0% | |||
AECOM | 1,158 | 100,746 | |
Willscot Mobile Mini Holdings (a) | 937 | 44,929 | |
145,675 | |||
Electrical Equipment - 0.4% | |||
AMETEK, Inc. | 3,060 | 485,316 | |
Hubbell, Inc. Class B | 302 | 94,224 | |
nVent Electric PLC | 1,151 | 60,865 | |
Regal Rexnord Corp. | 517 | 80,745 | |
Sensata Technologies, Inc. PLC | 1,801 | 76,092 | |
797,242 | |||
Ground Transportation - 0.8% | |||
J.B. Hunt Transport Services, Inc. | 1,653 | 337,113 | |
Knight-Swift Transportation Holdings, Inc. Class A | 1,384 | 84,078 | |
Landstar System, Inc. | 456 | 92,837 | |
Saia, Inc. (a) | 116 | 49,084 | |
Uber Technologies, Inc. (a) | 2,210 | 109,307 | |
Union Pacific Corp. | 4,215 | 977,964 | |
XPO, Inc. (a) | 955 | 66,124 | |
1,716,507 | |||
Industrial Conglomerates - 0.6% | |||
Honeywell International, Inc. | 6,347 | 1,232,143 | |
Machinery - 1.8% | |||
AGCO Corp. | 330 | 43,923 | |
Caterpillar, Inc. | 3,496 | 927,034 | |
CNH Industrial NV | 2,749 | 39,476 | |
Donaldson Co., Inc. | 626 | 39,332 | |
Dover Corp. | 4,801 | 700,802 | |
Graco, Inc. | 2,005 | 159,057 | |
IDEX Corp. | 1,655 | 373,716 | |
ITT, Inc. | 949 | 94,520 | |
Lincoln Electric Holdings, Inc. | 712 | 142,906 | |
Middleby Corp. (a) | 885 | 134,387 | |
Oshkosh Corp. | 485 | 44,654 | |
PACCAR, Inc. | 6,716 | 578,449 | |
Timken Co. | 706 | 65,559 | |
Toro Co. | 392 | 39,847 | |
Westinghouse Air Brake Tech Co. | 3,342 | 395,826 | |
3,779,488 | |||
Passenger Airlines - 0.2% | |||
American Airlines Group, Inc. (a) | 19,492 | 326,491 | |
JetBlue Airways Corp. (a) | 13,132 | 102,036 | |
428,527 | |||
Professional Services - 0.4% | |||
Booz Allen Hamilton Holding Corp. Class A | 1,137 | 137,668 | |
CACI International, Inc. Class A (a) | 235 | 82,353 | |
Clarivate Analytics PLC (a)(b) | 4,180 | 39,752 | |
Genpact Ltd. | 1,472 | 53,124 | |
KBR, Inc. | 1,453 | 89,345 | |
Paylocity Holding Corp. (a) | 266 | 60,342 | |
Science Applications International Corp. | 712 | 86,394 | |
SS&C Technologies Holdings, Inc. | 3,248 | 189,196 | |
TransUnion Holding Co., Inc. | 1,174 | 93,556 | |
831,730 | |||
Trading Companies & Distributors - 0.2% | |||
Air Lease Corp. Class A | 938 | 39,715 | |
Ferguson PLC | 830 | 134,145 | |
MSC Industrial Direct Co., Inc. Class A | 405 | 40,873 | |
SiteOne Landscape Supply, Inc. (a) | 231 | 39,270 | |
Watsco, Inc. | 254 | 96,060 | |
WESCO International, Inc. | 334 | 58,640 | |
408,703 | |||
TOTAL INDUSTRIALS | 16,770,235 | ||
INFORMATION TECHNOLOGY - 28.0% | |||
Communications Equipment - 0.8% | |||
Ciena Corp. (a) | 1,103 | 46,547 | |
Cisco Systems, Inc. | 28,881 | 1,502,967 | |
Ubiquiti, Inc. (b) | 224 | 39,794 | |
1,589,308 | |||
Electronic Equipment, Instruments & Components - 0.5% | |||
Amphenol Corp. Class A | 10,226 | 903,058 | |
Arrow Electronics, Inc. (a) | 681 | 97,070 | |
Jabil, Inc. | 681 | 75,366 | |
TD SYNNEX Corp. | 746 | 73,638 | |
1,149,132 | |||
IT Services - 1.5% | |||
Accenture PLC Class A | 4,200 | 1,328,670 | |
Amdocs Ltd. | 1,024 | 95,887 | |
Cloudflare, Inc. (a) | 904 | 62,168 | |
Cognizant Technology Solutions Corp. Class A | 6,819 | 450,259 | |
GoDaddy, Inc. (a) | 1,253 | 96,594 | |
IBM Corp. | 6,976 | 1,005,800 | |
MongoDB, Inc. Class A (a) | 112 | 47,421 | |
Okta, Inc. (a) | 879 | 67,560 | |
Snowflake, Inc. (a) | 255 | 45,316 | |
Twilio, Inc. Class A (a) | 875 | 57,776 | |
3,257,451 | |||
Semiconductors & Semiconductor Equipment - 7.7% | |||
Advanced Micro Devices, Inc. (a) | 10,356 | 1,184,726 | |
Broadcom, Inc. | 2,611 | 2,346,375 | |
Enphase Energy, Inc. (a) | 1,062 | 161,243 | |
Entegris, Inc. | 1,387 | 152,168 | |
GlobalFoundries, Inc. (a) | 614 | 39,106 | |
Intel Corp. | 26,742 | 956,561 | |
Lam Research Corp. | 1,672 | 1,201,315 | |
Lattice Semiconductor Corp. (a) | 724 | 65,841 | |
Micron Technology, Inc. | 8,657 | 618,023 | |
MKS Instruments, Inc. | 804 | 87,773 | |
NVIDIA Corp. | 13,960 | 6,523,368 | |
Qualcomm, Inc. | 7,517 | 993,522 | |
Skyworks Solutions, Inc. | 3,012 | 344,482 | |
Synaptics, Inc. (a) | 462 | 41,723 | |
Teradyne, Inc. | 3,049 | 344,354 | |
Texas Instruments, Inc. | 7,015 | 1,262,700 | |
Universal Display Corp. | 392 | 57,185 | |
Wolfspeed, Inc. (a)(b) | 480 | 31,632 | |
16,412,097 | |||
Software - 10.0% | |||
Adobe, Inc. (a) | 2,803 | 1,530,915 | |
Atlassian Corp. PLC (a) | 284 | 51,671 | |
Bentley Systems, Inc. Class B | 756 | 40,733 | |
Black Knight, Inc. (a) | 877 | 61,671 | |
Crowdstrike Holdings, Inc. (a) | 537 | 86,811 | |
Datadog, Inc. Class A (a) | 473 | 55,209 | |
DocuSign, Inc. (a) | 1,055 | 56,780 | |
Dolby Laboratories, Inc. Class A | 1,169 | 103,585 | |
Dropbox, Inc. Class A (a) | 3,946 | 106,345 | |
Dynatrace, Inc. (a) | 1,079 | 59,011 | |
Elastic NV (a) | 815 | 54,157 | |
Five9, Inc. (a) | 494 | 43,349 | |
Guidewire Software, Inc. (a) | 590 | 50,044 | |
HubSpot, Inc. (a) | 101 | 58,636 | |
Intuit, Inc. | 1,891 | 967,625 | |
Manhattan Associates, Inc. (a) | 286 | 54,517 | |
Microsoft Corp. | 41,519 | 13,947,062 | |
NCR Corp. (a) | 1,582 | 42,524 | |
Oracle Corp. | 10,339 | 1,212,041 | |
Palantir Technologies, Inc. (a) | 3,050 | 60,512 | |
Palo Alto Networks, Inc. (a) | 2,389 | 597,154 | |
Qualys, Inc. (a) | 393 | 54,548 | |
RingCentral, Inc. (a) | 1,169 | 48,350 | |
Salesforce, Inc. (a) | 6,094 | 1,371,211 | |
Splunk, Inc. (a) | 766 | 82,981 | |
Unity Software, Inc. (a) | 888 | 40,706 | |
VMware, Inc. Class A (a) | 849 | 133,828 | |
Workday, Inc. Class A (a) | 789 | 187,096 | |
Zoom Video Communications, Inc. Class A (a) | 986 | 72,323 | |
Zscaler, Inc. (a) | 397 | 63,671 | |
21,295,066 | |||
Technology Hardware, Storage & Peripherals - 7.5% | |||
Apple, Inc. | 81,467 | 16,004,184 | |
TOTAL INFORMATION TECHNOLOGY | 59,707,238 | ||
MATERIALS - 2.2% | |||
Chemicals - 1.6% | |||
Ashland, Inc. | 672 | 61,394 | |
Axalta Coating Systems Ltd. (a) | 4,541 | 145,312 | |
Celanese Corp. Class A | 2,779 | 348,459 | |
Dow, Inc. | 11,749 | 663,466 | |
Eastman Chemical Co. | 3,092 | 264,613 | |
Element Solutions, Inc. | 2,184 | 45,777 | |
Huntsman Corp. | 2,630 | 78,295 | |
Linde PLC | 3,860 | 1,507,986 | |
Olin Corp. | 1,145 | 66,044 | |
RPM International, Inc. | 1,760 | 181,826 | |
Westlake Corp. | 417 | 57,338 | |
3,420,510 | |||
Construction Materials - 0.1% | |||
Eagle Materials, Inc. | 354 | 65,267 | |
Knife River Holding Co. | 1,329 | 57,772 | |
123,039 | |||
Containers & Packaging - 0.2% | |||
Aptargroup, Inc. | 672 | 81,621 | |
Berry Global Group, Inc. | 1,362 | 89,306 | |
Crown Holdings, Inc. | 1,310 | 121,516 | |
Graphic Packaging Holding Co. | 3,156 | 76,375 | |
Silgan Holdings, Inc. | 984 | 43,148 | |
Sonoco Products Co. (b) | 1,120 | 65,677 | |
477,643 | |||
Metals & Mining - 0.3% | |||
Alcoa Corp. | 1,472 | 53,272 | |
Cleveland-Cliffs, Inc. (a) | 2,603 | 45,943 | |
Newmont Corp. | 9,453 | 405,723 | |
Reliance Steel & Aluminum Co. | 217 | 63,551 | |
Royal Gold, Inc. | 278 | 33,399 | |
Southern Copper Corp. | 565 | 49,404 | |
United States Steel Corp. | 1,721 | 43,886 | |
695,178 | |||
TOTAL MATERIALS | 4,716,370 | ||
REAL ESTATE - 2.3% | |||
Equity Real Estate Investment Trusts (REITs) - 2.3% | |||
Agree Realty Corp. | 954 | 61,800 | |
American Homes 4 Rent Class A | 4,829 | 180,991 | |
American Tower Corp. | 4,121 | 784,268 | |
Americold Realty Trust | 1,509 | 48,922 | |
Apartment Income (REIT) Corp. | 1,272 | 43,935 | |
Brixmor Property Group, Inc. | 3,361 | 76,429 | |
CubeSmart | 1,582 | 68,596 | |
EastGroup Properties, Inc. | 428 | 75,833 | |
Equity Lifestyle Properties, Inc. | 2,432 | 173,110 | |
Extra Space Storage, Inc. | 511 | 71,320 | |
First Industrial Realty Trust, Inc. | 1,363 | 70,467 | |
Gaming & Leisure Properties | 2,874 | 136,400 | |
Healthcare Trust of America, Inc. | 2,946 | 57,535 | |
Healthpeak Properties, Inc. | 19,501 | 425,707 | |
Kilroy Realty Corp. | 1,290 | 46,053 | |
Kite Realty Group Trust | 2,216 | 50,702 | |
Lamar Advertising Co. Class A | 971 | 95,838 | |
Medical Properties Trust, Inc. (b) | 4,505 | 45,455 | |
Mid-America Apartment Communities, Inc. | 4,522 | 676,763 | |
NNN (REIT), Inc. | 1,538 | 65,642 | |
Omega Healthcare Investors, Inc. | 2,114 | 67,437 | |
Prologis (REIT), Inc. | 8,338 | 1,040,166 | |
Rexford Industrial Realty, Inc. | 1,536 | 84,618 | |
Spirit Realty Capital, Inc. | 1,207 | 48,678 | |
Stag Industrial, Inc. | 1,582 | 57,427 | |
Sun Communities, Inc. | 1,178 | 153,493 | |
Vornado Realty Trust | 2,448 | 55,031 | |
WP Carey, Inc. | 2,274 | 153,563 | |
4,916,179 | |||
Real Estate Management & Development - 0.0% | |||
Jones Lang LaSalle, Inc. (a) | 82 | 13,657 | |
TOTAL REAL ESTATE | 4,929,836 | ||
UTILITIES - 2.6% | |||
Electric Utilities - 1.3% | |||
Exelon Corp. | 17,637 | 738,285 | |
NextEra Energy, Inc. | 16,269 | 1,192,518 | |
OGE Energy Corp. | 1,712 | 61,889 | |
Xcel Energy, Inc. | 12,169 | 763,361 | |
2,756,053 | |||
Multi-Utilities - 1.2% | |||
Ameren Corp. | 8,636 | 739,846 | |
Black Hills Corp. | 880 | 53,090 | |
CMS Energy Corp. | 11,209 | 684,534 | |
DTE Energy Co. | 6,478 | 740,435 | |
NiSource, Inc. | 13,547 | 377,148 | |
2,595,053 | |||
Water Utilities - 0.1% | |||
Essential Utilities, Inc. | 2,736 | 115,705 | |
TOTAL UTILITIES | 5,466,811 | ||
TOTAL COMMON STOCKS (Cost $190,352,687) | 206,829,424 | ||
Money Market Funds - 0.9% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.32% (c) | 1,187,845 | 1,188,082 | |
Fidelity Securities Lending Cash Central Fund 5.32% (c)(d) | 762,324 | 762,400 | |
TOTAL MONEY MARKET FUNDS (Cost $1,950,482) | 1,950,482 | ||
Equity Funds - 1.3% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 1.3% | |||
iShares S&P 500 Index ETF (Cost $2,517,515) | 5,810 | 2,673,646 | |
Purchased Options - 1.1% | ||||||
Counterparty | Number of Contracts | Notional Amount($) | Exercise Price ($) | Expiration Date | Value ($) | |
Put Options | ||||||
S&P 500 Index | Chicago Board Options Exchange | 58 | 26,615,968 | 2,650 | 05/17/24 | 74,240 |
S&P 500 Index | Chicago Board Options Exchange | 148 | 67,916,608 | 3,050 | 05/17/24 | 311,540 |
S&P 500 Index | Chicago Board Options Exchange | 46 | 21,109,216 | 3,940 | 08/18/23 | 4,830 |
S&P 500 Index | Chicago Board Options Exchange | 47 | 21,568,112 | 4,150 | 09/15/23 | 40,185 |
S&P 500 Index | Chicago Board Options Exchange | 120 | 55,067,520 | 4,220 | 09/15/23 | 130,200 |
S&P 500 Index | Chicago Board Options Exchange | 155 | 71,128,880 | 3,000 | 06/21/24 | 356,500 |
S&P 500 Index | Chicago Board Options Exchange | 43 | 19,732,528 | 2,900 | 06/21/24 | 87,290 |
S&P 500 Index | Chicago Board Options Exchange | 106 | 48,642,976 | 4,250 | 08/18/23 | 25,175 |
S&P 500 Index | Chicago Board Options Exchange | 187 | 85,813,552 | 4,350 | 10/20/23 | 700,315 |
S&P 500 Index | Chicago Board Options Exchange | 177 | 81,224,592 | 3,100 | 07/19/24 | 508,875 |
2,239,150 | ||||||
TOTAL PURCHASED OPTIONS (Cost 4,139,133) | 2,239,150 |
TOTAL INVESTMENT IN SECURITIES - 100.3% (Cost $198,959,817) | 213,692,702 |
NET OTHER ASSETS (LIABILITIES) - (0.3)% | (534,207) |
NET ASSETS - 100.0% | 213,158,495 |
ETF | - | EXCHANGE-TRADED FUND |
(a) | Non-income producing |
(b) | Security or a portion of the security is on loan at period end. |
(c) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(d) | Investment made with cash collateral received from securities on loan. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.32% | 575,547 | 144,598,553 | 143,986,018 | 33,178 | - | - | 1,188,082 | 0.0% |
Fidelity Securities Lending Cash Central Fund 5.32% | - | 7,457,321 | 6,694,921 | 2,193 | - | - | 762,400 | 0.0% |
Total | 575,547 | 152,055,874 | 150,680,939 | 35,371 | - | - | 1,950,482 | |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equities: | ||||
Communication Services | 17,722,237 | 17,722,237 | - | - |
Consumer Discretionary | 22,272,786 | 22,272,786 | - | - |
Consumer Staples | 13,494,678 | 13,494,678 | - | - |
Energy | 8,719,085 | 8,719,085 | - | - |
Financials | 26,491,682 | 26,491,682 | - | - |
Health Care | 26,538,466 | 26,538,466 | - | - |
Industrials | 16,770,235 | 16,770,235 | - | - |
Information Technology | 59,707,238 | 59,707,238 | - | - |
Materials | 4,716,370 | 4,716,370 | - | - |
Real Estate | 4,929,836 | 4,929,836 | - | - |
Utilities | 5,466,811 | 5,466,811 | - | - |
Money Market Funds | 1,950,482 | 1,950,482 | - | - |
Equity Funds | 2,673,646 | 2,673,646 | - | - |
Purchased Options | 2,239,150 | 2,239,150 | - | - |
Total Investments in Securities: | 213,692,702 | 213,692,702 | - | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Equity Risk | ||
Purchased Options (a) | 2,239,150 | 0 |
Total Equity Risk | 2,239,150 | 0 |
Total Value of Derivatives | 2,239,150 | 0 |
Statement of Assets and Liabilities | ||||
July 31, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value (including securities loaned of $746,362) - See accompanying schedule: | ||||
Unaffiliated issuers (cost $197,009,335) | $ | 211,742,220 | ||
Fidelity Central Funds (cost $1,950,482) | 1,950,482 | |||
Total Investment in Securities (cost $198,959,817) | $ | 213,692,702 | ||
Cash | 33,905 | |||
Receivable for fund shares sold | 204,147 | |||
Dividends receivable | 150,164 | |||
Distributions receivable from Fidelity Central Funds | 6,886 | |||
Receivable from investment adviser for expense reductions | 14,118 | |||
Total assets | 214,101,922 | |||
Liabilities | ||||
Payable for fund shares redeemed | $ | 78,740 | ||
Accrued management fee | 94,881 | |||
Distribution and service plan fees payable | 990 | |||
Other affiliated payables | 6,416 | |||
Collateral on securities loaned | 762,400 | |||
Total Liabilities | 943,427 | |||
Net Assets | $ | 213,158,495 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 201,251,936 | ||
Total accumulated earnings (loss) | 11,906,559 | |||
Net Assets | $ | 213,158,495 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($1,321,324 ÷ 122,872 shares)(a) | $ | 10.75 | ||
Maximum offering price per share (100/94.25 of $10.75) | $ | 11.41 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($579,995 ÷ 53,992 shares)(a) | $ | 10.74 | ||
Maximum offering price per share (100/96.50 of $10.74) | $ | 11.13 | ||
Class C : | ||||
Net Asset Value and offering price per share ($572,339 ÷ 53,424 shares)(a) | $ | 10.71 | ||
Fidelity Hedged Equity Fund : | ||||
Net Asset Value, offering price and redemption price per share ($209,176,007 ÷ 19,423,045 shares) | $ | 10.77 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($593,029 ÷ 55,068 shares) | $ | 10.77 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($915,801 ÷ 85,000 shares) | $ | 10.77 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Statement of Operations | ||||
Six months ended July 31, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends | $ | 612,603 | ||
Income from Fidelity Central Funds (including $2,193 from security lending) | 35,371 | |||
Total Income | 647,974 | |||
Expenses | ||||
Management fee | $ | 222,245 | ||
Distribution and service plan fees | 5,626 | |||
Independent trustees' fees and expenses | 45,737 | |||
Total expenses before reductions | 273,608 | |||
Expense reductions | (51,008) | |||
Total expenses after reductions | 222,600 | |||
Net Investment income (loss) | 425,374 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (2,412,237) | |||
Total net realized gain (loss) | (2,412,237) | |||
Change in net unrealized appreciation (depreciation) on investment securities | 12,578,729 | |||
Net gain (loss) | 10,166,492 | |||
Net increase (decrease) in net assets resulting from operations | $ | 10,591,866 |
Statement of Changes in Net Assets | ||||
Six months ended July 31, 2023 (Unaudited) | For the period September 1, 2022 (commencement of operations) through January 31, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 425,374 | $ | 183,275 |
Net realized gain (loss) | (2,412,237) | (831,002) | ||
Change in net unrealized appreciation (depreciation) | 12,578,729 | 2,154,156 | ||
Net increase (decrease) in net assets resulting from operations | 10,591,866 | 1,506,429 | ||
Distributions to shareholders | (29,880) | (161,856) | ||
Share transactions - net increase (decrease) | 152,349,410 | 48,902,526 | ||
Total increase (decrease) in net assets | 162,911,396 | 50,247,099 | ||
Net Assets | ||||
Beginning of period | 50,247,099 | - | ||
End of period | $ | 213,158,495 | $ | 50,247,099 |
Fidelity Advisor® Hedged Equity Fund Class A |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.91 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .04 | .04 | ||
Net realized and unrealized gain (loss) | .80 | (.10) | ||
Total from investment operations | .84 | (.06) | ||
Distributions from net investment income | - D | (.03) | ||
Total distributions | - D | (.03) | ||
Net asset value, end of period | $ | 10.75 | $ | 9.91 |
Total Return E,F,G | 8.51% | (.59)% | ||
Ratios to Average Net Assets C,H,I | ||||
Expenses before reductions | .94% J | 1.34% J | ||
Expenses net of fee waivers, if any | .80% J | .80% J | ||
Expenses net of all reductions | .80% J | .79% J | ||
Net investment income (loss) | .82% J | .90% J | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,321 | $ | 1,317 |
Portfolio turnover rate K | 37% J | 21% L |
Fidelity Advisor® Hedged Equity Fund Class M |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.91 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .03 | .03 | ||
Net realized and unrealized gain (loss) | .80 | (.10) | ||
Total from investment operations | .83 | (.07) | ||
Distributions from net investment income | - D | (.02) | ||
Total distributions | - D | (.02) | ||
Net asset value, end of period | $ | 10.74 | $ | 9.91 |
Total Return E,F,G | 8.40% | (.71)% | ||
Ratios to Average Net Assets C,H,I | ||||
Expenses before reductions | 1.19% J | 1.54% J | ||
Expenses net of fee waivers, if any | 1.05% J | 1.05% J | ||
Expenses net of all reductions | 1.05% J | 1.04% J | ||
Net investment income (loss) | .57% J | .65% J | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 580 | $ | 509 |
Portfolio turnover rate K | 37% J | 21% L |
Fidelity Advisor® Hedged Equity Fund Class C |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.90 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | - D | .01 | ||
Net realized and unrealized gain (loss) | .81 | (.11) | ||
Total from investment operations | .81 | (.10) | ||
Distributions from net investment income | - | - D | ||
Net asset value, end of period | $ | 10.71 | $ | 9.90 |
Total Return E,F,G | 8.18% | (.97)% | ||
Ratios to Average Net Assets C,H,I | ||||
Expenses before reductions | 1.69% J | 2.04% J | ||
Expenses net of fee waivers, if any | 1.55% J | 1.55% J | ||
Expenses net of all reductions | 1.55% J | 1.54% J | ||
Net investment income (loss) | .07% J | .15% J | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 572 | $ | 526 |
Portfolio turnover rate K | 37% J | 21% L |
Fidelity® Hedged Equity Fund |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.91 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .05 | .05 | ||
Net realized and unrealized gain (loss) | .82 | (.10) | ||
Total from investment operations | .87 | (.05) | ||
Distributions from net investment income | (.01) | (.04) | ||
Total distributions | (.01) | (.04) | ||
Net asset value, end of period | $ | 10.77 | $ | 9.91 |
Total Return D,E | 8.75% | (.54)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .67% H | 1.12% H | ||
Expenses net of fee waivers, if any | .54% H,I | .55% H | ||
Expenses net of all reductions | .54% H | .54% H | ||
Net investment income (loss) | 1.08% H | 1.15% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 209,176 | $ | 46,678 |
Portfolio turnover rate J | 37% H | 21% K |
Fidelity Advisor® Hedged Equity Fund Class I |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.91 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .05 | .05 | ||
Net realized and unrealized gain (loss) | .82 | (.10) | ||
Total from investment operations | .87 | (.05) | ||
Distributions from net investment income | (.01) | (.04) | ||
Total distributions | (.01) | (.04) | ||
Net asset value, end of period | $ | 10.77 | $ | 9.91 |
Total Return D,E | 8.75% | (.54)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .69% H | 1.04% H | ||
Expenses net of fee waivers, if any | .55% H | .55% H | ||
Expenses net of all reductions | .55% H | .55% H | ||
Net investment income (loss) | 1.07% H | 1.15% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 593 | $ | 497 |
Portfolio turnover rate I | 37% H | 21% J |
Fidelity Advisor® Hedged Equity Fund Class Z |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.91 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .06 | .05 | ||
Net realized and unrealized gain (loss) | .81 | (.10) | ||
Total from investment operations | .87 | (.05) | ||
Distributions from net investment income | (.01) | (.04) | ||
Total distributions | (.01) | (.04) | ||
Net asset value, end of period | $ | 10.77 | $ | 9.91 |
Total Return D,E | 8.75% | (.54)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .64% H | 1.01% H | ||
Expenses net of fee waivers, if any | .50% H | .50% H | ||
Expenses net of all reductions | .50% H | .50% H | ||
Net investment income (loss) | 1.12% H | 1.20% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 916 | $ | 720 |
Portfolio turnover rate I | 37% H | 21% J |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $18,083,364 |
Gross unrealized depreciation | (3,449,023) |
Net unrealized appreciation (depreciation) | $14,634,341 |
Tax cost | $199,058,361 |
Short-term | $(552,437) |
Long-term | (1,129,547) |
Total capital loss carryforward | $(1,681,984) |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Purchases ($) | Sales ($) | |
Fidelity Hedged Equity Fund | 163,981,484 | 17,414,566 |
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% | $1,654 | $706 |
Class M | .25% | .25% | 1,296 | 1,258 |
Class C | .75% | .25% | 2,676 | 2,592 |
$5,626 | $4,556 |
Retained by FDC | |
Class A | $2,244 |
Class M | 273 |
$2,517 |
Amount | |
Fidelity Hedged Equity Fund | $1,361 |
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity Hedged Equity Fund | 504,245 | 3,038,267 | (7,496) |
Total Security Lending Fees Paid to NFS | Security Lending Income From Securities Loaned to NFS | Value of Securities Loaned to NFS at Period End | |
Fidelity Hedged Equity Fund | $246 | $- | $- |
Expense Limitations | Reimbursement | |
Class A | .80% | $920 |
Class M | 1.05% | 360 |
Class C | 1.55% | 374 |
Fidelity Hedged Equity Fund | .55% | 48,234 |
Class I | .55% | 351 |
Class Z | .50% | 546 |
$50,785 |
Six months ended July 31, 2023 | Year ended January 31, 2023A | |
Fidelity Hedged Equity Fund | ||
Distributions to shareholders | ||
Class A | $402 | $2,528 |
Class M | 103 | 958 |
Class C | - | 150 |
Fidelity Hedged Equity Fund | 28,636 | 154,020 |
Class I | 301 | 1,750 |
Class Z | 438 | 2,450 |
Total | $29,880 | $161,856 |
Shares | Shares | Dollars | Dollars | |
Six months ended July 31, 2023 | Year ended January 31, 2023A | Six months ended July 31, 2023 | Year ended January 31, 2023A | |
Fidelity Hedged Equity Fund | ||||
Class A | ||||
Shares sold | 9,939 | 133,546 | $101,531 | $1,303,675 |
Reinvestment of distributions | 42 | 260 | 402 | 2,528 |
Shares redeemed | (20,058) | (857) | (207,547) | (8,250) |
Net increase (decrease) | (10,077) | 132,949 | $(105,614) | $1,297,953 |
Class M | ||||
Shares sold | 2,654 | 51,229 | $28,133 | $511,835 |
Reinvestment of distributions | 11 | 98 | 103 | 958 |
Net increase (decrease) | 2,665 | 51,327 | $28,236 | $512,793 |
Class C | ||||
Shares sold | 281 | 53,128 | $2,818 | $530,661 |
Reinvestment of distributions | - | 15 | - | 150 |
Net increase (decrease) | 281 | 53,143 | $2,818 | $530,811 |
Fidelity Hedged Equity Fund | ||||
Shares sold | 14,898,928 | 4,777,239 | $154,117,145 | $45,999,665 |
Reinvestment of distributions | 2,891 | 15,347 | 27,577 | 149,478 |
Shares redeemed | (188,117) | (83,243) | (1,896,750) | (808,623) |
Net increase (decrease) | 14,713,702 | 4,709,343 | $152,247,972 | $45,340,520 |
Class I | ||||
Shares sold | 4,856 | 50,000 | $52,001 | $500,000 |
Reinvestment of distributions | 32 | 180 | 301 | 1,750 |
Net increase (decrease) | 4,888 | 50,180 | $52,302 | $501,750 |
Class Z | ||||
Shares sold | 13,240 | 72,944 | $132,563 | $721,934 |
Reinvestment of distributions | 46 | 252 | 438 | 2,450 |
Shares redeemed | (891) | (591) | (9,305) | (5,685) |
Net increase (decrease) | 12,395 | 72,605 | $123,696 | $718,699 |
VIP FundsManager 50% Portfolio | VIP FundsManager 60% Portfolio | VIP FundsManager 70% Portfolio | |
Fidelity Hedged Equity Fund | 27% | 38% | 12% |
Fund | % of shares held |
Fidelity Hedged Equity Fund | 88% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 | |||||||
Fidelity® Hedged Equity Fund | ||||||||||
Class A | .80% | |||||||||
Actual | $ 1,000 | $ 1,085.10 | $ 4.14 | |||||||
Hypothetical-B | $ 1,000 | $ 1,020.83 | $ 4.01 | |||||||
Class M | 1.05% | |||||||||
Actual | $ 1,000 | $ 1,084.00 | $ 5.43 | |||||||
Hypothetical-B | $ 1,000 | $ 1,019.59 | $ 5.26 | |||||||
Class C | 1.55% | |||||||||
Actual | $ 1,000 | $ 1,081.80 | $ 8.00 | |||||||
Hypothetical-B | $ 1,000 | $ 1,017.11 | $ 7.75 | |||||||
Fidelity® Hedged Equity Fund | .54% | |||||||||
Actual | $ 1,000 | $ 1,087.50 | $ 2.79 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.12 | $ 2.71 | |||||||
Class I | .55% | |||||||||
Actual | $ 1,000 | $ 1,087.50 | $ 2.85 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.07 | $ 2.76 | |||||||
Class Z | .50% | |||||||||
Actual | $ 1,000 | $ 1,087.50 | $ 2.59 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.32 | $ 2.51 | |||||||
Contents
Top Holdings (% of Fund's net assets) | ||
Fidelity Emerging Markets Index Fund | 10.9 | |
Fidelity International Index Fund | 10.6 | |
Fidelity Commodity Strategy Fund | 9.5 | |
Fidelity Small Cap Value Index Fund | 7.3 | |
Fidelity Long-Term Treasury Bond Index Fund | 7.3 | |
iShares J.P. Morgan EM Local Currency Bond ETF | 6.0 | |
Fidelity Inflation-Protected Bond Index Fund | 4.9 | |
Fidelity Small Cap Index Fund | 4.8 | |
iShares J.P. Morgan USD Emerging Markets Bond ETF | 3.7 | |
iShares U.S. Treasury Bond ETF | 3.2 | |
68.2 | ||
Asset Allocation (% of Fund's net assets) |
Equity Funds - 48.6% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 27.1% | |||
Fidelity Commodity Strategy Fund (a) | 6,952 | 698,933 | |
Fidelity Real Estate Index Fund (a) | 14,276 | 217,996 | |
Fidelity Small Cap Index Fund (a) | 14,312 | 355,355 | |
Fidelity Small Cap Value Index Fund (a) | 22,793 | 539,275 | |
Fidelity Total Market Index Fund (a) | 773 | 98,489 | |
SPDR Gold Shares (b) | 451 | 82,240 | |
TOTAL DOMESTIC EQUITY FUNDS | 1,992,288 | ||
International Equity Funds - 21.5% | |||
Fidelity Emerging Markets Index Fund (a) | 76,185 | 802,227 | |
Fidelity International Index Fund (a) | 16,399 | 777,822 | |
TOTAL INTERNATIONAL EQUITY FUNDS | 1,580,049 | ||
TOTAL EQUITY FUNDS (Cost $3,414,345) | 3,572,337 | ||
Fixed-Income Funds - 28.3% | |||
Shares | Value ($) | ||
Fixed-Income Funds - 25.4% | |||
Fidelity Inflation-Protected Bond Index Fund (a) | 38,999 | 359,185 | |
Fidelity Long-Term Treasury Bond Index Fund (a) | 52,752 | 536,491 | |
iShares iBoxx $ High Yield Corporate Bond ETF | 225 | 16,988 | |
iShares J.P. Morgan EM Local Currency Bond ETF | 11,802 | 443,401 | |
iShares JPMorgan USD Emerging Markets Bond ETF | 3,141 | 275,403 | |
iShares U.S. Treasury Bond ETF | 10,484 | 238,826 | |
TOTAL FIXED-INCOME FUNDS | 1,870,294 | ||
Global Fixed-Income Funds - 2.9% | |||
Fidelity International Bond Index Fund (a) | 23,785 | 213,832 | |
TOTAL FIXED-INCOME FUNDS (Cost $2,105,765) | 2,084,126 | ||
U.S. Treasury Obligations - 1.3% | |||
Principal Amount (c) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.34% to 5.35% 10/26/23 (d)(e) (Cost $98,741) | 100,000 | 98,743 | |
Cash Equivalents - 21.5% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.32% (f) (Cost $1,577,001) | 1,576,686 | 1,577,001 | |
TOTAL INVESTMENT IN SECURITIES - 99.7% (Cost $7,195,852) | 7,332,207 |
NET OTHER ASSETS (LIABILITIES) - 0.3% | 20,570 |
NET ASSETS - 100.0% | 7,352,777 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Equity Index Contracts | |||||
ICE MSCI EAFE Index Contracts (United States) | 1 | Sep 2023 | 110,290 | 3,570 | 3,570 |
ICE MSCI Emerging Markets Index Contracts (United States) | 3 | Sep 2023 | 158,145 | 6,886 | 6,886 |
TOTAL FUTURES CONTRACTS | 10,456 | ||||
The notional amount of futures purchased as a percentage of Net Assets is 3.7% |
Total Return Swaps | ||||||||||||
Underlying Reference | Pay/ Receive Reference | Reference Payment Frequency | Financing Rate | Financing Frequency | Counterparty | Maturity Date | Units | Notional Amount | Value ($) | Upfront Premium Received/ (Paid) ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Invesco Senior Loan ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 50 basis points | Monthly | BNP Paribas S.A. | Jan 2024 | 2,336 | 49,242 | (337) | 0 | (337) | |
Invesco Senior Loan ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 125 basis points | Monthly | BNP Paribas S.A. | Oct 2023 | 46,553 | 981,337 | (6,663) | 0 | (6,663) | |
iShares US Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 10 basis points | Monthly | BNP Paribas S.A. | Nov 2023 | 14,753 | 336,516 | (1,804) | 0 | (1,804) | |
Invesco Senior Loan ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 125 basis points | Monthly | BNP Paribas S.A. | Nov 2023 | 3,732 | 78,671 | (534) | 0 | (534) | |
iShares TIPS Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 15 basis points | Monthly | BNP Paribas S.A. | Nov 2023 | 2,573 | 275,285 | (687) | 0 | (687) | |
iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 45 basis points | Monthly | BNP Paribas S.A. | Nov 2023 | 455 | 33,920 | 310 | 0 | 310 | |
iShares TIPS Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 30 basis points | Monthly | BNP Paribas S.A. | Jan 2024 | 12,891 | 1,379,459 | (2,978) | 0 | (2,978) | |
iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 150 basis points | Monthly | Goldman Sachs Intl. | Oct 2023 | 8,707 | 649,107 | 6,403 | 0 | 6,403 | |
iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | 3-month US auction rate T-Bill minus 120 basis points | Monthly | Goldman Sachs Intl. | Oct 2023 | 1,286 | 95,871 | 931 | 0 | 931 | |
SPDR Gold Shares | Receives | Monthly | Overnight Fin. Rate (SOFR) Index plus 20 basis points | Monthly | Goldman Sachs Intl. | Jan 2024 | 1 | 541,656 | 9,781 | 0 | 9,781 | |
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 | 568 | 49,052 | 559 | 0 | 559 | |
TOTAL RETURN SWAPS | 4,981 | 0 | 4,981 |
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 $23,698. |
(e) | Security or a portion of the security has been segregated as collateral for open bi-lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $74,353. |
(f) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.32% | 1,336,627 | 2,244,613 | 2,004,239 | 40,529 | - | - | 1,577,001 | 0.0% |
Total | 1,336,627 | 2,244,613 | 2,004,239 | 40,529 | - | - | 1,577,001 | |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Commodity Strategy Fund | 1,314,000 | 35,976 | 605,206 | - | (324,571) | 278,734 | 698,933 |
Fidelity Emerging Markets Index Fund | 172,064 | 638,177 | 58,184 | - | (1,702) | 51,872 | 802,227 |
Fidelity Inflation-Protected Bond Index Fund | 442,321 | 89,817 | 171,300 | 182 | (8,155) | 6,502 | 359,185 |
Fidelity International Bond Index Fund | - | 258,636 | 44,905 | 2,058 | (202) | 303 | 213,832 |
Fidelity International Index Fund | 833,192 | 130,581 | 230,787 | - | 502 | 44,334 | 777,822 |
Fidelity Long-Term Treasury Bond Index Fund | 636,668 | 210,551 | 264,870 | 7,411 | (22,791) | (23,067) | 536,491 |
Fidelity Real Estate Index Fund | 237,762 | 16,440 | 25,600 | 1,257 | 758 | (11,364) | 217,996 |
Fidelity Small Cap Index Fund | 370,660 | 41,852 | 74,099 | 1,258 | 1,517 | 15,425 | 355,355 |
Fidelity Small Cap Value Index Fund | 555,772 | 82,800 | 109,469 | - | 402 | 9,770 | 539,275 |
Fidelity Total Market Index Fund | 176,997 | 191,367 | 283,016 | 227 | 10,771 | 2,370 | 98,489 |
4,739,436 | 1,696,197 | 1,867,436 | 12,393 | (343,471) | 374,879 | 4,599,605 |
Fund | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain /loss ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Risk Parity Cayman Ltd. | 253,557 | 22,000 | 57,432 | - | 4,179 | (3,096) | 219,208 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
Equity Funds | 3,572,337 | 3,572,337 | - | - |
Fixed-Income Funds | 2,084,126 | 2,084,126 | - | - |
Other Short-Term Investments | 98,743 | - | 98,743 | - |
Money Market Funds | 1,577,001 | 1,577,001 | - | - |
Total Investments in Securities: | 7,332,207 | 7,233,464 | 98,743 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 10,456 | 10,456 | - | - |
Swaps | 17,984 | - | 17,984 | - |
Total Assets | 28,440 | 10,456 | 17,984 | - |
Liabilities | ||||
Swaps | (13,003) | - | (13,003) | - |
Total Liabilities | (13,003) | - | (13,003) | - |
Total Derivative Instruments: | 15,437 | 10,456 | 4,981 | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Commodity Risk | ||
Swaps (b) | 9,781 | 0 |
Total Commodity Risk | 9,781 | 0 |
Credit Risk | ||
Swaps (b) | 8,203 | (7,534) |
Total Credit Risk | 8,203 | (7,534) |
Equity Risk | ||
Futures Contracts (a) | 10,456 | 0 |
Total Equity Risk | 10,456 | 0 |
Interest Rate Risk | ||
Swaps (b) | 0 | (5,469) |
Total Interest Rate Risk | 0 | (5,469) |
Total Value of Derivatives | 28,440 | (13,003) |
Consolidated Statement of Assets and Liabilities | ||||
July 31, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $1,137,320) | $ | 1,155,601 | ||
Fidelity Central Funds (cost $1,577,001) | 1,577,001 | |||
Other affiliated issuers (cost $4,481,531) | 4,599,605 | |||
Total Investment in Securities (cost $7,195,852) | $ | 7,332,207 | ||
Cash | 11,226 | |||
Receivable for investments sold | 2,135 | |||
Receivable for fund shares sold | 1,022 | |||
Distributions receivable from Fidelity Central Funds | 6,049 | |||
Bi-lateral OTC swaps, at value | 17,984 | |||
Receivable from investment adviser for expense reductions | 1,028 | |||
Total assets | 7,371,651 | |||
Liabilities | ||||
Payable for fund shares redeemed | $ | 21 | ||
Bi-lateral OTC swaps, at value | 13,003 | |||
Accrued management fee | 3,583 | |||
Distribution and service plan fees payable | 1,450 | |||
Payable for daily variation margin on futures contracts | 95 | |||
Other affiliated payables | 722 | |||
Total Liabilities | 18,874 | |||
Net Assets | $ | 7,352,777 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 7,735,745 | ||
Total accumulated earnings (loss) | (382,968) | |||
Net Assets | $ | 7,352,777 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($1,013,044 ÷ 107,864 shares)(a) | $ | 9.39 | ||
Maximum offering price per share (100/94.25 of $9.39) | $ | 9.96 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($1,011,729 ÷ 107,724 shares)(a) | $ | 9.39 | ||
Maximum offering price per share (100/96.50 of $9.39) | $ | 9.73 | ||
Class C : | ||||
Net Asset Value and offering price per share ($1,007,733 ÷ 107,286 shares)(a) | $ | 9.39 | ||
Fidelity Risk Parity Fund : | ||||
Net Asset Value, offering price and redemption price per share ($2,168,369 ÷ 232,019 shares) | $ | 9.35 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($1,136,544 ÷ 121,043 shares) | $ | 9.39 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($1,015,358 ÷ 108,060 shares) | $ | 9.40 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Consolidated Statement of Operations | ||||
Six months ended July 31, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends (including $12,393 earned from affiliated issuers) | $ | 20,576 | ||
Interest | 8,413 | |||
Income from Fidelity Central Funds | 40,529 | |||
Total Income | 69,518 | |||
Expenses | ||||
Management fee | $ | 20,980 | ||
Distribution and service plan fees | 8,565 | |||
Custodian fees and expenses | 3,932 | |||
Independent trustees' fees and expenses | 6,139 | |||
Total expenses before reductions | 39,616 | |||
Expense reductions | (10,641) | |||
Total expenses after reductions | 28,975 | |||
Net Investment income (loss) | 40,543 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 1,754 | |||
Affiliated issuers | (343,471) | |||
Futures contracts | (4,217) | |||
Swaps | 46,812 | |||
Total net realized gain (loss) | (299,122) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Investments | 10,499 | |||
Affiliated issuers | 374,879 | |||
Futures contracts | 326 | |||
Swaps | (100,995) | |||
Total change in net unrealized appreciation (depreciation) | 284,709 | |||
Net gain (loss) | (14,413) | |||
Net increase (decrease) in net assets resulting from operations | $ | 26,130 |
Consolidated Statement of Changes in Net Assets | ||||
Six months ended July 31, 2023 (Unaudited) | For the period July 7, 2022 (commencement of operations) through January 31, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 40,543 | $ | 467,283 |
Net realized gain (loss) | (299,122) | (171,038) | ||
Change in net unrealized appreciation (depreciation) | 284,709 | (132,917) | ||
Net increase (decrease) in net assets resulting from operations | 26,130 | 163,328 | ||
Distributions to shareholders | (201,742) | (370,684) | ||
Share transactions - net increase (decrease) | 316,150 | 7,419,595 | ||
Total increase (decrease) in net assets | 140,538 | 7,212,239 | ||
Net Assets | ||||
Beginning of period | 7,212,239 | - | ||
End of period | $ | 7,352,777 | $ | 7,212,239 |
Fidelity Advisor® Risk Parity Fund Class A |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .05 | .86 | ||
Net realized and unrealized gain (loss) | (.03) | (.60) | ||
Total from investment operations | .02 | .26 | ||
Distributions from net investment income | (.27) | (.62) | ||
Total distributions | (.27) | (.62) | ||
Net asset value, end of period | $ | 9.39 | $ | 9.64 |
Total Return D,E,F | .35% | 2.90% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | 1.14% I | 2.40% I | ||
Expenses net of fee waivers, if any | .85% I | .85% I | ||
Expenses net of all reductions | .84% I | .84% I | ||
Net investment income (loss) | 1.13% I | 15.39% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,013 | $ | 1,009 |
Portfolio turnover rate J | 96% I | 163% I |
Fidelity Advisor® Risk Parity Fund Class M |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .04 | .84 | ||
Net realized and unrealized gain (loss) | (.03) | (.60) | ||
Total from investment operations | .01 | .24 | ||
Distributions from net investment income | (.26) | (.60) | ||
Total distributions | (.26) | (.60) | ||
Net asset value, end of period | $ | 9.39 | $ | 9.64 |
Total Return D,E,F | .21% | 2.77% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | 1.39% I | 2.65% I | ||
Expenses net of fee waivers, if any | 1.10% I | 1.10% I | ||
Expenses net of all reductions | 1.08% I | 1.09% I | ||
Net investment income (loss) | .88% I | 15.09% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,012 | $ | 1,008 |
Portfolio turnover rate J | 96% I | 163% I |
Fidelity Advisor® Risk Parity Fund Class C |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .02 | .82 | ||
Net realized and unrealized gain (loss) | (.04) | (.60) | ||
Total from investment operations | (.02) | .22 | ||
Distributions from net investment income | (.23) | (.58) | ||
Total distributions | (.23) | (.58) | ||
Net asset value, end of period | $ | 9.39 | $ | 9.64 |
Total Return D,E,F | (.09)% | 2.52% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | 1.89% I | 3.15% I | ||
Expenses net of fee waivers, if any | 1.60% I | 1.60% I | ||
Expenses net of all reductions | 1.58% I | 1.59% I | ||
Net investment income (loss) | .38% I | 14.60% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,008 | $ | 1,008 |
Portfolio turnover rate J | 96% I | 163% I |
Fidelity® Risk Parity Fund |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.60 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .06 | .27 | ||
Net realized and unrealized gain (loss) | (.03) | (.04) | ||
Total from investment operations | .03 | .23 | ||
Distributions from net investment income | (.28) | (.63) | ||
Total distributions | (.28) | (.63) | ||
Net asset value, end of period | $ | 9.35 | $ | 9.60 |
Total Return D,E | .51% | 2.63% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .89% H | 1.26% H | ||
Expenses net of fee waivers, if any | .60% H | .60% H | ||
Expenses net of all reductions | .58% H | .58% H | ||
Net investment income (loss) | 1.38% H | 7.06% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 2,168 | $ | 2,036 |
Portfolio turnover rate I | 96% H | 163% H |
Fidelity Advisor® Risk Parity Fund Class I |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .06 | .88 | ||
Net realized and unrealized gain (loss) | (.03) | (.61) | ||
Total from investment operations | .03 | .27 | ||
Distributions from net investment income | (.28) | (.63) | ||
Total distributions | (.28) | (.63) | ||
Net asset value, end of period | $ | 9.39 | $ | 9.64 |
Total Return D,E | .50% | 3.02% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .89% H | 2.18% H | ||
Expenses net of fee waivers, if any | .60% H | .60% H | ||
Expenses net of all reductions | .59% H | .59% H | ||
Net investment income (loss) | 1.38% H | 15.81% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,137 | $ | 1,141 |
Portfolio turnover rate I | 96% H | 163% H |
Fidelity Advisor® Risk Parity Fund Class Z |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.65 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .07 | .97 | ||
Net realized and unrealized gain (loss) | (.04) | (.69) | ||
Total from investment operations | .03 | .28 | ||
Distributions from net investment income | (.28) | (.63) | ||
Total distributions | (.28) | (.63) | ||
Net asset value, end of period | $ | 9.40 | $ | 9.65 |
Total Return D,E | .50% | 3.13% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .84% H | 2.23% H | ||
Expenses net of fee waivers, if any | .55% H | .55% H | ||
Expenses net of all reductions | .53% H | .54% H | ||
Net investment income (loss) | 1.43% H | 17.34% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,015 | $ | 1,011 |
Portfolio turnover rate I | 96% H | 163% H |
Subsidiary Name | Net Assets of Subsidiary | % of Fund's Net Assets | |
Fidelity Risk Parity Fund | Fidelity Risk Parity Cayman Ltd. | 219,208 | 3.0 |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $ 335,506 |
Gross unrealized depreciation | (234,778) |
Net unrealized appreciation (depreciation) | $100,728 |
Tax cost | $7,246,916 |
Short-term | $(13,473) |
Long-term | (2,336) |
Total capital loss carryforward | $(15,809) |
Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices. |
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund. |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss)($) | Change in Net Unrealized Appreciation (Depreciation)($) |
Fidelity Risk Parity Fund | ||
Commodity Risk | ||
Swaps | 8,780 | (13,608) |
Total Commodity Risk | 8,780 | (13,608) |
Credit Risk | ||
Swaps | 66,322 | (54,295) |
Total Credit Risk | 66,322 | (54,295) |
Equity Risk | ||
Futures Contracts | (12,854) | 6,062 |
Total Equity Risk | (12,854) | 6,062 |
Interest Rate Risk | ||
Futures Contracts | 8,637 | (5,736) |
Swaps | (28,290) | (33,092) |
Total Interest Rate Risk | (19,653) | (38,828) |
Totals | 42,595 | (100,669) |
Purchases ($) | Sales ($) | |
Fidelity Risk Parity Fund | 2,722,884 | 2,528,523 |
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% | $1,226 | $1,225 |
Class M | .25% | .25% | 2,450 | 2,446 |
Class C | .75% | .25% | 4,889 | 4,888 |
$8,565 | $8,559 |
Retained by FDC | |
Class A | $6 |
Class M | 7 |
$13 |
Amount | |
Fidelity Risk Parity Fund | $ 24 |
Expense Limitations | Reimbursement | |
Class A | .85% | $854 |
Class M | 1.10% | 855 |
Class C | 1.60% | 855 |
Fidelity Risk Parity Fund | .60% | 1,806 |
Class I | .60% | 964 |
Class Z | .55% | 855 |
$6,189 |
Six months ended July 31, 2023 | Year ended January 31, 2023A | |
Fidelity Risk Parity Fund | ||
Distributions to shareholders | ||
Class A | $28,143 | $60,367 |
Class M | 26,778 | 59,224 |
Class C | 23,943 | 56,987 |
Fidelity Risk Parity Fund | 59,977 | 63,034 |
Class I | 33,366 | 69,528 |
Class Z | 29,535 | 61,544 |
Total | $201,742 | $370,684 |
Shares | Shares | Dollars | Dollars | |
Six months ended July 31, 2023 | Year ended January 31, 2023A | Six months ended July 31, 2023 | Year ended January 31, 2023A | |
Fidelity Risk Parity Fund | ||||
Class A | ||||
Shares sold | 92 | 98,825 | $842 | $988,808 |
Reinvestment of distributions | 3,166 | 6,606 | 28,143 | 60,367 |
Shares redeemed | - | (825) | - | (8,067) |
Net increase (decrease) | 3,258 | 104,606 | $28,985 | $1,041,108 |
Class M | ||||
Shares sold | 151 | 98,083 | $1,381 | $980,805 |
Reinvestment of distributions | 3,009 | 6,481 | 26,778 | 59,224 |
Net increase (decrease) | 3,160 | 104,564 | $28,159 | $1,040,029 |
Class C | ||||
Shares sold | 65 | 98,298 | $600 | $982,961 |
Reinvestment of distributions | 2,687 | 6,236 | 23,943 | 56,987 |
Net increase (decrease) | 2,752 | 104,534 | $24,543 | $1,039,948 |
Fidelity Risk Parity Fund | ||||
Shares sold | 36,789 | 219,651 | $335,194 | $2,116,923 |
Reinvestment of distributions | 1,403 | 2,577 | 12,388 | 23,447 |
Shares redeemed | (18,249) | (10,152) | (166,359) | (93,338) |
Net increase (decrease) | 19,943 | 212,076 | $181,223 | $2,047,032 |
Class I | ||||
Shares sold | - | 110,712 | $ - | $1,115,000 |
Reinvestment of distributions | 3,757 | 7,608 | 33,366 | 69,528 |
Shares redeemed | (1,034) | - | (9,661) | - |
Net increase (decrease) | 2,723 | 118,320 | $23,705 | $1,184,528 |
Class Z | ||||
Shares sold | - | 117,657 | $ - | $1,188,529 |
Reinvestment of distributions | 3,326 | 6,734 | 29,535 | 61,544 |
Shares redeemed | - | (19,657) | - | (183,123) |
Net increase (decrease) | 3,326 | 104,734 | $29,535 | $1,066,950 |
Fund | Affiliated % |
Fidelity Risk Parity Fund | 70% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 | |||||||
Fidelity® Risk Parity Fund | ||||||||||
Class A | .85% | |||||||||
Actual | $ 1,000 | $ 1,003.50 | $ 4.22 | |||||||
Hypothetical-B | $ 1,000 | $ 1,020.58 | $ 4.26 | |||||||
Class M | 1.10% | |||||||||
Actual | $ 1,000 | $ 1,002.10 | $ 5.46 | |||||||
Hypothetical-B | $ 1,000 | $ 1,019.34 | $ 5.51 | |||||||
Class C | 1.60% | |||||||||
Actual | $ 1,000 | $ 999.10 | $ 7.93 | |||||||
Hypothetical-B | $ 1,000 | $ 1,016.86 | $ 8.00 | |||||||
Fidelity® Risk Parity Fund | .60% | |||||||||
Actual | $ 1,000 | $ 1,005.10 | $ 2.98 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.82 | $ 3.01 | |||||||
Class I | .60% | |||||||||
Actual | $ 1,000 | $ 1,005.00 | $ 2.98 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.82 | $ 3.01 | |||||||
Class Z | .55% | |||||||||
Actual | $ 1,000 | $ 1,005.00 | $ 2.73 | |||||||
Hypothetical-B | $ 1,000 | $ 1,022.07 | $ 2.76 | |||||||
Contents
Top Holdings (% of Fund's net assets) | ||
iShares 7-10 Year Treasury Bond ETF | 11.5 | |
Vanguard Consumer Staples ETF | 3.1 | |
Vanguard Health Care ETF | 3.0 | |
iShares Russell 2000 Index ETF | 2.8 | |
iPath Dow Jones-UBS Commodity Index Total Return ETN (issued by Barclays Bank PLC, maturity date 6/12/36) | 2.2 | |
iShares MSCI Brazil Index ETF | 1.4 | |
SPDR Gold Shares | 0.9 | |
24.9 | ||
Asset Allocation (% of Fund's net assets) |
Futures and Swaps - 78.9% |
Forward foreign currency contracts - (13.5)% |
U.S. Treasury Obligations - 4.5% | |||
Principal Amount (a) | Value ($) | ||
U.S. Treasury Bills, yield at date of purchase 5.14% to 5.35% 9/14/23 to 10/26/23 (b)(c) (Cost $513,704) | 520,000 | 513,708 | |
Fixed-Income Funds - 11.5% | |||
Shares | Value ($) | ||
iShares 7-10 Year Treasury Bond ETF (Cost $1,396,375) | 13,647 | 1,306,564 | |
Other - 2.2% | |||
Shares | Value ($) | ||
Exchange-Traded Notes-Commodities - 2.2% | |||
iPath Dow Jones-UBS Commodity Index Total Return ETN (issued by Barclays Bank PLC, maturity date 6/12/36) (d) (Cost $251,302) | 7,700 | 252,483 | |
Money Market Funds - 70.0% | |||
Shares | Value ($) | ||
Fidelity Cash Central Fund 5.32% (e) (Cost $7,943,116) | 7,941,528 | 7,943,116 | |
Equity Funds - 11.2% | |||
Shares | Value ($) | ||
Domestic Equity Funds - 7.0% | |||
SPDR Gold Shares (d) | 562 | 102,481 | |
Vanguard Consumer Staples ETF | 1,752 | 348,298 | |
Vanguard Health Care ETF | 1,348 | 333,414 | |
TOTAL DOMESTIC EQUITY FUNDS | 784,193 | ||
International Equity Funds - 1.4% | |||
iShares MSCI Brazil Index ETF | 4,727 | 160,103 | |
Small Blend Funds - 2.8% | |||
iShares Russell 2000 Index ETF | 1,598 | 317,539 | |
TOTAL EQUITY FUNDS (Cost $1,184,940) | 1,261,835 | ||
TOTAL INVESTMENT IN SECURITIES - 99.4% (Cost $11,289,437) | 11,277,706 |
NET OTHER ASSETS (LIABILITIES) - 0.6% | 66,496 |
NET ASSETS - 100.0% | 11,344,202 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount ($) | Value ($) | Unrealized Appreciation/ (Depreciation) ($) | |
Purchased | |||||
Treasury Contracts | |||||
CBOT 2-Year U.S. Treasury Note Contracts (United States) | 36 | Sep 2023 | 7,309,125 | (101,589) | (101,589) |
CBOT 5-Year U.S. Treasury Note Contracts (United States) | 86 | Sep 2023 | 9,186,547 | (156,380) | (156,380) |
TOTAL PURCHASED | (257,969) | ||||
Sold | |||||
Bond Index Contracts | |||||
Eurex Euro-BTP Contracts (Germany) | 4 | Sep 2023 | 510,168 | (1,375) | (1,375) |
Equity Index Contracts | |||||
CME Micro E-mini S&P 500 Index Contracts (United States) | 23 | Sep 2023 | 530,668 | (22,728) | (22,728) |
SGX JGB Mini 10yr Contracts (Singapore) | 6 | Sep 2023 | 619,422 | 4,815 | 4,815 |
TOTAL EQUITY INDEX CONTRACTS | (17,913) | ||||
Treasury Contracts | |||||
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | 5 | Sep 2023 | 661,094 | 12,051 | 12,051 |
TOTAL SOLD | (7,237) | ||||
TOTAL FUTURES CONTRACTS | (265,206) | ||||
The notional amount of futures purchased as a percentage of Net Assets is 145.4% | |||||
The notional amount of futures sold as a percentage of Net Assets is 20.5% |
Forward Foreign Currency Contracts | ||||||
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation/ (Depreciation) ($) | ||
BRL | 496,660 | USD | 100,335 | Bank of America, N.A. | 9/15/23 | 3,867 |
BRL | 729,000 | USD | 149,969 | Bank of America, N.A. | 9/15/23 | 2,979 |
BRL | 1,236,000 | USD | 249,864 | State Street Bank and Trust Co | 9/15/23 | 9,456 |
GBP | 77,500 | USD | 99,955 | BNP Paribas S.A. | 9/15/23 | (475) |
GBP | 155,000 | USD | 200,073 | Bank of America, N.A. | 9/15/23 | (1,114) |
GBP | 78,367 | USD | 100,326 | Royal Bank of Canada | 9/15/23 | 266 |
GBP | 115,400 | USD | 150,006 | State Street Bank and Trust Co | 9/15/23 | (1,877) |
JPY | 66,000,000 | USD | 479,652 | Bank of America, N.A. | 9/15/23 | (12,355) |
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS | 747 | |||||
Unrealized Appreciation | 16,568 | |||||
Unrealized Depreciation | (15,821) |
Credit Default Swaps | ||||||||||
Underlying Reference | Maturity Date | Clearinghouse / Counterparty(1) | Fixed Payment Received/ (Paid) | Payment Frequency | Notional Amount(2) | Value ($) | Upfront Premium Received/ (Paid) ($)(3) | Unrealized Appreciation/ (Depreciation) ($) | ||
Buy Protection | ||||||||||
5-Year CDX N.A. HY Series 40 | Jun 2028 | ICE | (5%) | Quarterly | 5,300,000 | (171,343) | 0 | (171,343) | ||
Republic of Italy | Jun 2028 | Goldman Sachs USA | (1%) | Quarterly | 100,000 | (731) | 562 | (169) | ||
TOTAL CREDIT DEFAULT SWAPS | (172,074) | 562 | (171,512) |
BRL | - | Brazilian real |
GBP | - | British pound sterling |
JPY | - | Japanese yen |
USD | - | U.S. dollar |
ETF | - | EXCHANGE-TRADED FUND |
ETN | - | EXCHANGE-TRADED NOTE |
(a) | Amount is stated in United States dollars unless otherwise noted. |
(b) | Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $207,483. |
(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 $306,225. |
(d) | Non-income producing |
(e) | Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
Affiliate | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain (loss) ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) | % ownership, end of period |
Fidelity Cash Central Fund 5.32% | 4,281,993 | 5,786,861 | 2,125,738 | 150,300 | - | - | 7,943,116 | 0.0% |
Total | 4,281,993 | 5,786,861 | 2,125,738 | 150,300 | - | - | 7,943,116 | |
Fund | Value, beginning of period ($) | Purchases ($) | Sales Proceeds ($) | Dividend Income ($) | Realized Gain /loss ($) | Change in Unrealized appreciation (depreciation) ($) | Value, end of period ($) |
Fidelity Global Macro Opportunities Cayman Ltd. | 57 | 361,200 | - | - | - | (4,535) | 356,722 |
Valuation Inputs at Reporting Date: | ||||
Description | Total ($) | Level 1 ($) | Level 2 ($) | Level 3 ($) |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | 513,708 | - | 513,708 | - |
Fixed-Income Funds | 1,306,564 | 1,306,564 | - | - |
Other | 252,483 | 252,483 | - | - |
Money Market Funds | 7,943,116 | 7,943,116 | - | - |
Equity Funds | 1,261,835 | 1,261,835 | - | - |
Total Investments in Securities: | 11,277,706 | 10,763,998 | 513,708 | - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | 16,866 | 16,866 | - | - |
Forward Foreign Currency Contracts | 16,568 | - | 16,568 | - |
Total Assets | 33,434 | 16,866 | 16,568 | - |
Liabilities | ||||
Futures Contracts | (282,072) | (282,072) | - | - |
Forward Foreign Currency Contracts | (15,821) | - | (15,821) | - |
Swaps | (172,074) | - | (172,074) | - |
Total Liabilities | (469,967) | (282,072) | (187,895) | - |
Total Derivative Instruments: | (436,533) | (265,206) | (171,327) | - |
Primary Risk Exposure / Derivative Type | Value | |
Asset ($) | Liability ($) | |
Credit Risk | ||
Swaps (a)(d) | 0 | (172,074) |
Total Credit Risk | 0 | (172,074) |
Equity Risk | ||
Futures Contracts (b) | 4,815 | (22,728) |
Total Equity Risk | 4,815 | (22,728) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts (c) | 16,568 | (15,821) |
Total Foreign Exchange Risk | 16,568 | (15,821) |
Interest Rate Risk | ||
Futures Contracts (b) | 12,051 | (259,344) |
Total Interest Rate Risk | 12,051 | (259,344) |
Total Value of Derivatives | 33,434 | (469,967) |
Statement of Assets and Liabilities | ||||
July 31, 2023 (Unaudited) | ||||
Assets | ||||
Investment in securities, at value - See accompanying schedule: | ||||
Unaffiliated issuers (cost $3,346,321) | $ | 3,334,590 | ||
Fidelity Central Funds (cost $7,943,116) | 7,943,116 | |||
Total Investment in Securities (cost $11,289,437) | $ | 11,277,706 | ||
Unrealized appreciation on forward foreign currency contracts | 16,568 | |||
Receivable for fund shares sold | 37,420 | |||
Distributions receivable from Fidelity Central Funds | 33,751 | |||
Receivable for daily variation margin on futures contracts | 6,260 | |||
Receivable from investment adviser for expense reductions | 1,382 | |||
Other receivables | 26 | |||
Total assets | 11,373,113 | |||
Liabilities | ||||
Unrealized depreciation on forward foreign currency contracts | $ | 15,821 | ||
Payable for fund shares redeemed | 11 | |||
Bi-lateral OTC swaps, at value | 731 | |||
Accrued management fee | 7,125 | |||
Distribution and service plan fees payable | 1,301 | |||
Payable for daily variation margin on centrally cleared OTC swaps | 3,005 | |||
Other affiliated payables | 917 | |||
Total Liabilities | 28,911 | |||
Net Assets | $ | 11,344,202 | ||
Net Assets consist of: | ||||
Paid in capital | $ | 12,011,121 | ||
Total accumulated earnings (loss) | (666,919) | |||
Net Assets | $ | 11,344,202 | ||
Net Asset Value and Maximum Offering Price | ||||
Class A : | ||||
Net Asset Value and redemption price per share ($961,307 ÷ 107,078 shares)(a) | $ | 8.98 | ||
Maximum offering price per share (100/94.25 of $8.98) | $ | 9.53 | ||
Class M : | ||||
Net Asset Value and redemption price per share ($881,452 ÷ 98,448 shares)(a) | $ | 8.95 | ||
Maximum offering price per share (100/96.50 of $8.95) | $ | 9.27 | ||
Class C : | ||||
Net Asset Value and offering price per share ($873,915 ÷ 98,131 shares)(a) | $ | 8.91 | ||
Fidelity Macro Opportunities Fund : | ||||
Net Asset Value, offering price and redemption price per share ($6,036,787 ÷ 656,541 shares) | $ | 9.19 | ||
Class I : | ||||
Net Asset Value, offering price and redemption price per share ($1,708,286 ÷ 189,888 shares) | $ | 9.00 | ||
Class Z : | ||||
Net Asset Value, offering price and redemption price per share ($882,455 ÷ 98,000 shares) | $ | 9.00 | ||
(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. |
Statement of Operations | ||||
Six months ended July 31, 2023 (Unaudited) | ||||
Investment Income | ||||
Dividends | $ | 28,469 | ||
Interest | 12,918 | |||
Income from Fidelity Central Funds | 150,300 | |||
Total Income | 191,687 | |||
Expenses | ||||
Management fee | $ | 35,563 | ||
Distribution and service plan fees | 8,012 | |||
Custodian fees and expenses | 3,819 | |||
Independent trustees' fees and expenses | 7,135 | |||
Total expenses before reductions | 54,529 | |||
Expense reductions | (11,272) | |||
Total expenses after reductions | 43,257 | |||
Net Investment income (loss) | 148,430 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | 1,974 | |||
Forward foreign currency contracts | (23,246) | |||
Foreign currency transactions | 104 | |||
Futures contracts | (48,642) | |||
Swaps | (163,180) | |||
Total net realized gain (loss) | (232,990) | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investment Securities: | ||||
Unaffiliated issuers | (11,561) | |||
Forward foreign currency contracts | (6,144) | |||
Assets and liabilities in foreign currencies | (10) | |||
Futures contracts | (298,812) | |||
Swaps | 22,525 | |||
Total change in net unrealized appreciation (depreciation) | (294,002) | |||
Net gain (loss) | (526,992) | |||
Net increase (decrease) in net assets resulting from operations | $ | (378,562) |
Consolidated Statement of Changes in Net Assets | ||||
Six months ended July 31, 2023 (Unaudited) | For the period July 7, 2022 (commencement of operations) through January 31, 2023 | |||
Increase (Decrease) in Net Assets | ||||
Operations | ||||
Net investment income (loss) | $ | 148,430 | $ | 63,360 |
Net realized gain (loss) | (232,990) | (279,601) | ||
Change in net unrealized appreciation (depreciation) | (294,002) | (153,710) | ||
Net increase (decrease) in net assets resulting from operations | (378,562) | (369,951) | ||
Share transactions - net increase (decrease) | 4,607,514 | 7,485,201 | ||
Total increase (decrease) in net assets | 4,228,952 | 7,115,250 | ||
Net Assets | ||||
Beginning of period | 7,115,250 | - | ||
End of period | $ | 11,344,202 | $ | 7,115,250 |
Fidelity Advisor® Macro Opportunities Fund Class A |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.37 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .15 | .11 | ||
Net realized and unrealized gain (loss) | (.54) | (.74) | ||
Total from investment operations | (.39) | (.63) | ||
Net asset value, end of period | $ | 8.98 | $ | 9.37 |
Total Return D,E,F | (4.16)% | (6.30)% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | 1.29% I | 2.51% I | ||
Expenses net of fee waivers, if any | 1.05% I | 1.05% I | ||
Expenses net of all reductions | 1.04% I | 1.05% I | ||
Net investment income (loss) | 3.24% I | 2.04% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 961 | $ | 971 |
Portfolio turnover rate J | -% I | 68% I |
Fidelity Advisor® Macro Opportunities Fund Class M |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.35 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .14 | .10 | ||
Net realized and unrealized gain (loss) | (.54) | (.75) | ||
Total from investment operations | (.40) | (.65) | ||
Net asset value, end of period | $ | 8.95 | $ | 9.35 |
Total Return D,E,F | (4.28)% | (6.50)% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | 1.54% I | 2.78% I | ||
Expenses net of fee waivers, if any | 1.30% I | 1.30% I | ||
Expenses net of all reductions | 1.30% I | 1.30% I | ||
Net investment income (loss) | 2.99% I | 1.79% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 881 | $ | 921 |
Portfolio turnover rate J | -% I | 68% I |
Fidelity Advisor® Macro Opportunities Fund Class C |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.33 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .11 | .07 | ||
Net realized and unrealized gain (loss) | (.53) | (.74) | ||
Total from investment operations | (.42) | (.67) | ||
Net asset value, end of period | $ | 8.91 | $ | 9.33 |
Total Return D,E,F | (4.50)% | (6.70)% | ||
Ratios to Average Net Assets C,G,H | ||||
Expenses before reductions | 2.04% I | 3.28% I | ||
Expenses net of fee waivers, if any | 1.80% I | 1.80% I | ||
Expenses net of all reductions | 1.80% I | 1.80% I | ||
Net investment income (loss) | 2.49% I | 1.28% I | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 874 | $ | 914 |
Portfolio turnover rate J | -% I | 68% I |
Fidelity® Macro Opportunities Fund |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.58 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .16 | .10 | ||
Net realized and unrealized gain (loss) | (.55) | (.52) | ||
Total from investment operations | (.39) | (.42) | ||
Net asset value, end of period | $ | 9.19 | $ | 9.58 |
Total Return D,E | (4.07)% | (4.20)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | 1.04% H | 1.50% H | ||
Expenses net of fee waivers, if any | .80% H | .80% H | ||
Expenses net of all reductions | .79% H | .80% H | ||
Net investment income (loss) | 3.49% H | 2.66% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 6,037 | $ | 1,699 |
Portfolio turnover rate I | -% H | 68% H |
Fidelity Advisor® Macro Opportunities Fund Class I |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.37 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .16 | .12 | ||
Net realized and unrealized gain (loss) | (.53) | (.75) | ||
Total from investment operations | (.37) | (.63) | ||
Net asset value, end of period | $ | 9.00 | $ | 9.37 |
Total Return D,E | (3.95)% | (6.30)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | 1.05% H | 2.35% H | ||
Expenses net of fee waivers, if any | .80% H | .80% H | ||
Expenses net of all reductions | .79% H | .79% H | ||
Net investment income (loss) | 3.49% H | 2.14% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 1,708 | $ | 1,691 |
Portfolio turnover rate I | -% H | 68% H |
Fidelity Advisor® Macro Opportunities Fund Class Z |
Six months ended (Unaudited) July 31, 2023 | Years ended January 31, 2023 A | |||
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ | 9.38 | $ | 10.00 |
Income from Investment Operations | ||||
Net investment income (loss) B,C | .16 | .12 | ||
Net realized and unrealized gain (loss) | (.54) | (.74) | ||
Total from investment operations | (.38) | (.62) | ||
Net asset value, end of period | $ | 9.00 | $ | 9.38 |
Total Return D,E | (4.05)% | (6.20)% | ||
Ratios to Average Net Assets C,F,G | ||||
Expenses before reductions | .99% H | 2.36% H | ||
Expenses net of fee waivers, if any | .75% H | .75% H | ||
Expenses net of all reductions | .74% H | .75% H | ||
Net investment income (loss) | 3.54% H | 2.20% H | ||
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ | 882 | $ | 919 |
Portfolio turnover rate I | -% H | 68% H |
Subsidiary Name | Net Assets of Subsidiary | % of Fund's Net Assets | |
Fidelity Macro Opportunities Fund | Fidelity Macro Opportunities Cayman Ltd. | 356,722 | 3.1 |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense RatioA |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Gross unrealized appreciation | $111,838 |
Gross unrealized depreciation | (559,540) |
Net unrealized appreciation (depreciation) | $(447,702) |
Tax cost | $11,289,437 |
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)($) |
Fidelity Macro Opportunities Fund | ||
Credit Risk | ||
Swaps | (163,180) | 22,525 |
Total Credit Risk | (163,180) | 22,525 |
Equity Risk | ||
Futures Contracts | (24,352) | (8,206) |
Purchased Options | 2,098 | (8,109) |
Total Equity Risk | (22,254) | (16,315) |
Foreign Exchange Risk | ||
Forward Foreign Currency Contracts | (23,246) | (6,144) |
Total Foreign Exchange Risk | (23,246) | (6,144) |
Interest Rate Risk | ||
Futures Contracts | (24,290) | (290,606) |
Total Interest Rate Risk | (24,290) | (290,606) |
Totals | (232,970) | (290,540) |
Purchases ($) | Sales ($) | |
Fidelity Macro Opportunities Fund | 862,086 | - |
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% | $1,219 | $1,135 |
Class M | .25% | .25% | 2,276 | 2,266 |
Class C | .75% | .25% | 4,517 | 4,517 |
$8,012 | $7,918 |
Retained by FDC | |
Class A | $35 |
Class M | 2 |
$37 |
Purchases ($) | Sales ($) | Realized Gain (Loss) ($) | |
Fidelity Macro Opportunities Fund | 149,623 | - | - |
Expense Limitations | Reimbursement | |
Class A | 1.05% | $774 |
Class M | 1.30% | 720 |
Class C | 1.80% | 713 |
Fidelity Macro Opportunities Fund | .80% | 2,886 |
Class I | .80% | 1,379 |
Class Z | .75% | 721 |
$7,193 |
Shares | Shares | Dollars | Dollars | |
Six months ended July 31, 2023 | Year ended January 31, 2023A | Six months ended July 31, 2023 | Year ended January 31, 2023A | |
Fidelity Macro Opportunities Fund | ||||
Class A | ||||
Shares sold | 3,626 | 103,669 | $34,459 | $1,033,368 |
Shares redeemed | (217) | - | (1,955) | - |
Net increase (decrease) | 3,409 | 103,669 | $32,504 | $1,033,368 |
Class M | ||||
Shares sold | 25 | 98,423 | $225 | $983,956 |
Net increase (decrease) | 25 | 98,423 | $225 | $983,956 |
Class C | ||||
Shares sold | 72 | 98,059 | $663 | $980,551 |
Net increase (decrease) | 72 | 98,059 | $663 | $980,551 |
Fidelity Macro Opportunities Fund | ||||
Shares sold | 497,708 | 182,920 | $4,655,644 | $1,760,545 |
Shares redeemed | (18,511) | (5,576) | (172,370) | (53,383) |
Net increase (decrease) | 479,197 | 177,344 | $4,483,274 | $1,707,162 |
Class I | ||||
Shares sold | 10,493 | 180,457 | $100,000 | $1,790,750 |
Shares redeemed | (1,009) | (53) | (9,152) | (500) |
Net increase (decrease) | 9,484 | 180,404 | $90,848 | $1,790,250 |
Class Z | ||||
Shares sold | - | 119,054 | $- | $1,188,529 |
Shares redeemed | - | (21,054) | - | (198,615) |
Net increase (decrease) | - | 98,000 | $- | $989,914 |
Fund | Affiliated % |
Fidelity Macro Opportunities Fund | 40% |
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023). |
Annualized Expense Ratio- A | Beginning Account Value February 1, 2023 | Ending Account Value July 31, 2023 | Expenses Paid During Period- C February 1, 2023 to July 31, 2023 | |||||||
Fidelity® Macro Opportunities Fund | ||||||||||
Class A | 1.05% | |||||||||
Actual | $ 1,000 | $ 958.40 | $ 5.10 | |||||||
Hypothetical-B | $ 1,000 | $ 1,019.59 | $ 5.26 | |||||||
Class M | 1.30% | |||||||||
Actual | $ 1,000 | $ 957.20 | $ 6.31 | |||||||
Hypothetical-B | $ 1,000 | $ 1,018.35 | $ 6.51 | |||||||
Class C | 1.80% | |||||||||
Actual | $ 1,000 | $ 955.00 | $ 8.73 | |||||||
Hypothetical-B | $ 1,000 | $ 1,015.87 | $ 9.00 | |||||||
Fidelity® Macro Opportunities Fund | .80% | |||||||||
Actual | $ 1,000 | $ 959.30 | $ 3.89 | |||||||
Hypothetical-B | $ 1,000 | $ 1,020.83 | $ 4.01 | |||||||
Class I | .80% | |||||||||
Actual | $ 1,000 | $ 960.50 | $ 3.89 | |||||||
Hypothetical-B | $ 1,000 | $ 1,020.83 | $ 4.01 | |||||||
Class Z | .75% | |||||||||
Actual | $ 1,000 | $ 959.50 | $ 3.64 | |||||||
Hypothetical-B | $ 1,000 | $ 1,021.08 | $ 3.76 | |||||||
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
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 Fidelity Greenwood Street 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 Fidelity Greenwood Street Trust’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
(a) | (1) | Not applicable. |
(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: | September 21, 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: | September 21, 2023 |
By: | /s/John J. Burke III |
John J. Burke III | |
Chief Financial Officer | |
Date: | September 21, 2023 |