# EDGAR Filing Document

**Accession Number:** 0001898391
**File Stem:** 0001898391-23-000027
**Filing Date:** 2023-3
**Character Count:** 44334
**Document Hash:** d62cb24fe333295ca8e7be49d86726a1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001898391-23-000027.hdr.sgml**: 20230331

**ACCESSION NUMBER**: 0001898391-23-000027

**CONFORMED SUBMISSION TYPE**: 497K

**PUBLIC DOCUMENT COUNT**: 3

**FILED AS OF DATE**: 20230331

**DATE AS OF CHANGE**: 20230331

**EFFECTIVENESS DATE**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Greenwood Street Trust
- **CENTRAL INDEX KEY:** 0001898391
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** 497K
- **SEC ACT:** 1933 Act
- **SEC FILE NUMBER:** 333-261594
- **FILM NUMBER:** 23785011

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

## Series and Classes Contracts Data

### Fidelity Risk Parity Fund (Series ID: S000075414)

| Class ID   | Class Name                                 | Ticker Symbol   |
|:---|:---|:---|
| C000234491 | Fidelity Advisor Risk Parity Fund: Class M | FAPWX           |
| C000234492 | Fidelity Advisor Risk Parity Fund: Class C | FAPVX           |
| C000234493 | Fidelity Advisor Risk Parity Fund: Class I | FAPYX           |
| C000234494 | Fidelity Advisor Risk Parity Fund: Class Z | FAPZX           |
| C000234495 | Fidelity Risk Parity Fund                  | FAPSX           |
| C000234496 | Fidelity Advisor Risk Parity Fund: Class A | FAPUX           |

**Fidelity® Risk Parity Fund**

**<u>Class</u>** <u>/Ticker</u>

**Fidelity Advisor® Risk Parity Fund**

**A** /FAPUX **M** /FAPWX **C** /FAPVX **I** /FAPYX **Z** /FAPZX

**Summary Prospectus**

**April 1, 2023**

Before you invest, you may want to review the fund's prospectus, which contains more information about the fund and its risks. You can find the fund's prospectus, reports to shareholders, and other information about the fund (including the fund's SAI) online at institutional.fidelity.com/fafunddocuments. You can also get this information at no cost by calling 1-866-997-1254 or by sending an e-mail request to funddocuments@fmr.com. The fund's [prospectus](https://www.sec.gov/ix?doc=/Archives/edgar/data/0001898391/000189839123000021/filing5926.htm#PRO_Hdr) and [SAI](https://www.sec.gov/ix?doc=/Archives/edgar/data/0001898391/000189839123000021/filing5926.htm#SAI_Hdr) dated April 1, 2023 are incorporated herein by reference.

![](img88820_1.jpg)

245 Summer Street, Boston, MA 02210

**Fund Summary**

Fund **/Class:**

Fidelity® Risk Parity Fund **/Fidelity Advisor® Risk Parity Fund A, M, C, I, Z** 

**Investment Objective**

Fidelity® Risk Parity Fund seeks total return.

**Fee Table**

The following table describes the fees and expenses that may be incurred when you buy and hold shares of the fund. **In addition to the fees and expenses described below, your broker may also require you to pay brokerage commissions on purchases and sales of certain share classes of the fund.**

You may qualify for sales charge discounts if you and your family invest, or agree to invest in the future, at least $50,000 in the fund or certain other Fidelity® funds. More information about these and other discounts is available from your investment professional and in the "Fund Distribution" section beginning on page 51 of the prospectus. Different intermediaries may provide additional waivers or reductions of the sales charge. Please see "Sales Charge Waiver Policies Applied by Certain Intermediaries" in the "Appendix" section of the prospectus.

**Shareholder fees**

**(fees paid directly from your investment)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class A**  | **Class M**  | **Class C**  | **Class I**  | **Class Z**  |
| Maximum sales charge (load) on purchases (as a % of offering price)  | 5.75 %  | 3.50 %  |  |  |  |
| Maximum contingent deferred sales charge (as a % of the lesser of original purchase price or redemption <br> proceeds)  | None <sup>A</sup> <br>| None <sup>A</sup> <br>| 1.00 % <sup>B</sup> <br>|  |  |

---

<sup>A</sup> Class A and Class M purchases of $1 million or more will not be subject to a front-end sales charge. Such Class A and Class M purchases may be subject, upon redemption, to a contingent deferred sales charge (CDSC) of 1.00% and 0.25%, respectively.

<sup>B</sup> On Class C shares redeemed less than one year after purchase.

**Annual Operating Expenses**

**(expenses that you pay each year as a % of the value of your investment)**

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class A**  | **Class M**  | **Class C**  | **Class I**  | **Class Z**  |
| Management fee  | 0.60 %  | 0.60 %  | 0.60 %  | 0.60 %  | 0.55 %  |
| Distribution and/or Service (12b-1) fees  | 0.25 %  | 0.50 %  | 1.00 %  |  |  |
| Other expenses  | 1.55 %  | 1.55 %  | 1.55 %  | 1.58 %  | 1.68 %  |
| Acquired fund fees and expenses  | 0.17 %  | 0.17 %  | 0.17 %  | 0.17 %  | 0.17 %  |
| **Total annual operating expenses** <sup>A</sup>  | 2.57 %  | 2.82 %  | 3.32 %  | 2.35 %  | 2.40 %  |
| Fee waiver and/or expense reimbursement <sup>B</sup>  | 1.55 %  | 1.55 %  | 1.55 %  | 1.58 %  | 1.68 %  |
| **Total annual operating expenses after fee waiver and/or expense reimbursement** <sup>A</sup>  | 1.02 %  | 1.27 %  | 1.77 %  | 0.77 %  | 0.72 %  |

---

<sup>A</sup> Differs from the ratios of expenses to average net assets in the Financial Highlights section of the prospectus because of acquired fund fees and expenses. As a result, the total annual operating expenses after fee waiver and/or expense reimbursement in the fee table exceed the contractual expense limitation of the class.

<sup>B</sup> Fidelity Diversifying Solutions LLC (FDS) has contractually agreed to reimburse Class A, Class M, Class C, Class I, and Class Z of the fund to the extent that total operating expenses (excluding interest, certain taxes, proxy and shareholder meeting expenses, extraordinary expenses, and acquired fund fees and expenses (including fees and expenses associated with a wholly owned subsidiary), if any, as well as non-operating expenses such as brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable), as a percentage of their respective average net assets, exceed 0.85%, 1.10%, 1.60%, 0.60%, and 0.55% (the Expense Caps). If at any time during the current fiscal year expenses for Class A, Class M, Class C, Class I, or Class Z of the fund fall below the Expense Caps, FDS reserves the right to recoup through the end of the fiscal year any expenses that were reimbursed during the current fiscal year up to, but not in excess of, the Expense Caps. These arrangements will remain in effect through May 31, 2024 . FDS may not terminate these arrangements before the expiration date without the approval of the Board of Trustees and may extend them in its discretion after that date.

This **example** helps compare the cost of investing in the fund with the cost of investing in other funds.

Let's say, hypothetically, that the annual return for shares of the fund is 5% and that the fees and the annual operating expenses for shares of the fund are exactly as described in the fee table. This example illustrates the effect of fees and expenses, but is not meant to suggest actual or expected fees and expenses or returns, all of which may vary. For every $10,000 you invested, here's how much you would pay in total expenses if you sell all of your shares at the end of each time period indicated and if you hold your shares:

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Class A**  | **Class A**  | **Class M**  | **Class M**  | **Class C**  | **Class C**  | **Class I**  | **Class I**  | **Class Z**  | **Class Z**  |
|  | Sell All <br> Shares  | Hold <br> Shares  | Sell All <br> Shares  | Hold <br> Shares  | Sell All <br> Shares  | Hold <br> Shares  | Sell All <br> Shares  | Hold <br> Shares  | Sell All <br> Shares  | Hold <br> Shares  |
| 1 year  | $673  | $673  | $475  | $475  | $280  | $180  | $79  | $79  | $74  | $74  |
| 3 years  | $1140  | $1140  | $1002  | $1002  | $826  | $826  | $528  | $528  | $530  | $530  |
| 5 years  | $1684  | $1684  | $1607  | $1607  | $1550  | $1550  | $1060  | $1060  | $1074  | $1074  |
| 10 years  | $3164  | $3164  | $3240  | $3240  | $3297  | $3297  | $2521  | $2521  | $2561  | $2561  |

---

**Portfolio Turnover**

The fund pays transaction costs, such as commissions, when it buys and sells securities (or "turns over" its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when fund shares are held in a taxable account. These costs, which are not reflected in annual operating expenses or in the example, affect the fund's performance. For the period from July 7, 2022 to January 31, 2023, the fund's portfolio turnover rate was 163 % (annualized) of the average value of its portfolio.

**Principal Investment Strategies**

* Using quantitative analysis to balance the fund's risk across four risk factors: growth (risk of reduced earnings expectations and increased default risk), inflation (risk of rising consumer inflation), real rates (risk of rising real interest rates), and liquidity (risk of reduced liquidity).

* Constructing a factor portfolio for each risk factor using a broad set of asset classes whose primary risk is the associated risk factor.

* Combining the factor portfolios, seeking to maximize the worst-case risk diversification across a set of market regimes.

* Allocating the fund's assets across affiliated and unaffiliated mutual funds and Exchange Traded Funds (ETFs) (collectively, underlying funds) and derivatives that provide exposure to a broad range of asset classes including equities (including domestic, international, and emerging markets equities), debt (including investment-grade debt, high yield debt, emerging markets debt, U.S. government securities, leveraged loans and international bonds), commodities and real estate.

* Investing in underlying funds, derivatives, cash and cash equivalents.

* Engaging in transactions that have a leveraging effect on the fund, including long and short investments in derivatives - such as forward contracts, futures, options and swaps - and forward-settling securities, to: create and adjust the fund's investment exposure; enhance total return; hedge against fluctuations in securities prices, interest rates, or currency exchange rates; change the effective duration of the fund's portfolio; manage certain investment risk; manage volatility; and/or substitute for the purchase or sale of securities or currencies.

* Investing up to 25% of assets in a wholly-owned subsidiary organized under the laws of the Cayman Islands that invests in commodity-linked total return swaps based on the value of commodities or commodities indexes and in other commodity-linked derivative instruments, commodity- related ETFs and commodity-related exchange-traded notes (ETNs).

**Principal Investment Risks**

* *Asset Allocation Risk.*

The fund is subject to risks resulting from the Adviser's asset allocation decisions. The selection of underlying funds and the allocation of the fund's assets among various asset classes could cause the fund to lose value or its results to lag relevant benchmarks or other funds with similar objectives. In addition, the fund's active asset allocation strategy may cause the fund to have a risk profile different than that portrayed above from time to time and may increase losses.

* *Investing in Other Funds.*

Regulatory restrictions may limit the amount that one fund can invest in another, which means that the fund's manager may not be able to invest as much as it wants to in some other funds. The fund bears all risks of investment strategies employed by the underlying funds, including the risk that the underlying funds will not meet their investment objectives. Underlying funds that are passively managed attempt to track the performance of an unmanaged index of securities and as such their performance could be lower than actively managed funds, which may shift their portfolio assets to take advantage of market opportunities or lessen the impact of a market decline. In addition, errors in the construction of the index tracked by an underlying passively managed fund may have an adverse impact on the performance of such underlying fund.

* *Investing in ETFs and ETNs.*

ETFs and ETNs may trade in the secondary market at prices below the value of their underlying portfolios and may not be liquid. ETFs that track an index are subject to tracking error and may be unable to sell poorly performing assets that are included in their index or other benchmark. ETNs are subject to the risks associated with debt securities, including counterparty risk of the issuer.

* *Stock Market Volatility.*

Stock markets are volatile and can decline significantly in response to adverse issuer, political, regulatory, market, or economic developments. Different parts of the market, including different market sectors, and different types of securities can react differently to these developments.

* *Interest Rate Changes.*

Interest rate increases can cause the price of a debt security to decrease.

* *Correlation Risk.*

The fund's investment strategy seeks to balance risk across multiple asset classes and, within each asset class, across different countries and investments. To the extent the asset classes or the selected countries and investments become correlated in a way not anticipated by the Adviser, the fund's risk allocation process may result in magnified risks and loss instead of reducing the risk of loss.

* *Foreign and Emerging Markets Risk.*

Foreign markets, particularly emerging markets, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market.

The extent of economic development; political stability; market depth, infrastructure, and capitalization; and regulatory oversight can be less than in more developed markets. Emerging markets typically have less established legal, accounting and financial reporting systems than those in more developed markets, which may reduce the scope or quality of financial information available to investors.

Emerging markets can be subject to greater social, economic, regulatory, and political uncertainties and can be extremely volatile.

Foreign exchange rates also can be extremely volatile.

* *Geographic Exposure to Europe.*

Because the fund invests a meaningful portion of its assets in Europe, the fund's performance is expected to be closely tied to social, political, and economic conditions within Europe and to be more volatile than the performance of more geographically diversified funds.

* *Currency Exposure.*

Because the fund is normally exposed to foreign currencies, it could experience losses based solely on the weakness of foreign currencies versus the U.S. dollar and changes in the exchange rates between foreign currencies and the U.S. dollar. Currency risk may be particularly high to the extent that a fund invests in foreign currencies or engages in foreign currency transactions that are economically tied to emerging markets countries. These emerging markets currency transactions may present market, credit, currency, liquidity, legal, political and other risks different from, or greater than, the risks of investing in developed foreign currencies or engaging in foreign currency transactions that are economically tied to developed foreign countries.

* *Subsidiary Risk.*

Investment in Fidelity Risk Parity Cayman Ltd., an unregistered subsidiary, is not subject to the investor protections of the Investment Company Act of 1940 (1940 Act) and is subject to the risks associated with investing in derivatives and commodity-linked investing in general. Changes in tax and other laws could negatively affect investments in the subsidiary.

* *Prepayment.*

The ability of an issuer of a debt security to repay principal prior to a security's maturity can cause greater price volatility if interest rates change.

* *Issuer-Specific Changes.*

The value of an individual security or particular type of security can be more volatile than, and can perform differently from, the market as a whole.

Changes in the financial condition of an issuer or counterparty (e.g., broker-dealer or other borrower in a securities lending transaction) can increase the risk of default by an issuer or counterparty, which can affect a security's or instrument's value or result in delays in recovering securities and/or capital from a counterparty.

* *Leverage Risk.*

Leverage can increase market exposure, magnify investment risks, and cause losses to be realized more quickly. The fund's use of futures, forwards, options, swaps, and other derivative instruments may result in losses. The value of these derivative instruments may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments and may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of underlying instruments may produce disproportionate losses to the fund. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Moreover, a relatively small price movement in a derivative contract may result in substantial losses to the fund, exceeding the amount of the margin paid. The use of derivatives can increase the fund's risk exposure to underlying assets and their attendant risks, while also exposing the fund to the risk of mispricing or other improper valuation and the risk that changes in the value of a derivative may not correlate as anticipated with the underlying asset, rate, index or overall securities markets, thereby reducing their effectiveness.

* *Quantitative Investing.*

Securities selected using quantitative analysis can perform differently from the market as a whole as a result of the factors used in the analysis, the weight placed on each factor, and changes in the factors' historical trends.

* *Commodity-Linked Investing.*

The value of commodities and commodity-linked investments may be affected by the performance of the overall commodities markets as well as weather, political, tax, and other regulatory and market developments. Commodity-linked investments may be more volatile and less liquid than the underlying commodity, instruments, or measures.

* *Commodity Futures.*

Investments in commodity futures contracts are also subject to the risk of the failure of any of the exchanges on which the fund's positions trade or of its clearinghouses or counterparties. In addition, certain commodity exchanges limit fluctuations in certain futures contract prices during a single day by regulations referred to as "daily price fluctuation limits" or "daily limits." Under such daily limits, during a single trading day no trades may be executed at prices beyond the daily limit. If triggered, these limits could prevent the fund from liquidating unfavorable positions and subject the fund to losses or prevent it from entering into desired trades during the particular trading day.

* *High Portfolio Turnover.*

High portfolio turnover (more than 100%) may result in increased transaction costs and potentially higher capital gains or losses. The effects of higher than normal portfolio turnover may adversely affect the fund's performance.

*An investment in the fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency* . *You could lose money by investing in the fund.*

**Performance**

Performance history will be available for the fund after the fund has been in operation for one calendar year.

**Investment Adviser**

Fidelity Diversifying Solutions LLC (FDS) (the Adviser) is the fund's manager. Other investment advisers serve as sub-advisers for the fund.

**Portfolio Manager(s)**

Avishek Hazrachoudhury (Co-Portfolio Manager) has managed the fund since 2022.

Christopher Kelliher (Co-Portfolio Manager) has managed the fund since 2023.

**Purchase and Sale of Shares**

You may buy or sell shares through a retirement account or through an investment professional.

You may buy or sell shares in various ways:

**Internet**

**institutional.fidelity.com**

**Phone**

**To reach a Fidelity representative 1-877-208-0098**

**Mail**

---

| | |
|:---|:---|
| <br> **Fidelity Investments** <br> **P.O. Box 770002** <br> **Cincinnati, OH 45277-0081**  | ***Overnight Express:*** <br> **Fidelity Investments** <br> **100 Crosby Parkway** <br> **Covington, KY 41015**  |

---

Class I and Class Z eligibility requirements are listed in the "Additional Information about the Purchase and Sale of Shares" section of the prospectus.

The price to buy one share of Class A or Class M is its offering price, if you pay a front-end sales charge, or its net asset value per share (NAV), if you qualify for a front-end sales charge waiver.

The price to buy one share of Class C, Class I, or Class Z is its NAV.

Shares will be bought at the offering price or NAV, as applicable, next calculated after an order is received in proper form.

The price to sell one share of Class A, Class M, or Class C is its NAV, minus any applicable contingent deferred sales charge (CDSC).

The price to sell one share of Class I or Class Z is its NAV.

Shares will be sold at the NAV next calculated after an order is received in proper form, minus any applicable CDSC.

The fund is open for business each day the New York Stock Exchange (NYSE) is open.

There is no purchase minimum for fund shares.

**Tax Information**

Distributions you receive from the fund are subject to federal income tax and generally will be taxed as ordinary income or capital gains, and may also be subject to state or local taxes, unless you are investing through a tax-advantaged retirement account (in which case you may be taxed later, upon withdrawal of your investment from such account).

**Payments to Broker-Dealers and Other Financial Intermediaries**

The fund, the Adviser, Fidelity Distributors Company LLC (FDC), and/or their affiliates may pay intermediaries, which may include banks, broker-dealers, retirement plan sponsors, administrators, or service-providers (who may be affiliated with the Adviser or FDC), for the sale of fund shares and related services. These payments may create a conflict of interest by influencing your intermediary and your investment professional to recommend the fund over another investment. Ask your investment professional or visit your intermediary's web site for more information.

Current regulations allow Fidelity to send a single copy of shareholder documents for Fidelity® funds, such as prospectuses, annual and semi-annual reports, and proxy materials, to certain mutual fund customers whom we believe are members of the same family who share the same address. For certain types of accounts, we will not send multiple copies of these documents to you and members of your family who share the same address. Instead, we will send only a single copy of these documents. This will continue for as long as you are a shareholder, unless you notify us otherwise. If at any time you choose to receive individual copies of any documents, please call 1-877-208-0098. We will begin sending individual copies to you within 30 days of receiving your call.

Fidelity Distributors Company LLC (FDC) is a member of the Securities Investor Protection Corporation (SIPC). You may obtain information about SIPC, including the SIPC brochure, by visiting www.sipc.org or calling SIPC at 202-371-8300.

Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2023 FMR LLC. All rights reserved.

1.9904698.101 ARPF-SUM-0423

**Fidelity® Risk Parity Fund**

**<u>Class</u>** <u>/Ticker</u>

**Fidelity® Risk Parity Fund** /FAPSX

In this summary prospectus, the term "shares" (as it relates to the fund) means the class of shares offered through this summary prospectus.

**Summary Prospectus**

**April 1, 2023**

Before you invest, you may want to review the fund's prospectus, which contains more information about the fund and its risks. You can find the fund's prospectus, reports to shareholders, and other information about the fund (including the fund's SAI) online at www.fidelity.com/funddocuments. You can also get this information at no cost by calling 1-800-FIDELITY or by sending an e-mail request to fidfunddocuments@fidelity.com. The fund's [prospectus](https://www.sec.gov/ix?doc=/Archives/edgar/data/0001898391/000189839123000021/filing5926.htm#PRO_Hdr) and [SAI](https://www.sec.gov/ix?doc=/Archives/edgar/data/0001898391/000189839123000021/filing5926.htm#SAI_Hdr) dated April 1, 2023 are incorporated herein by reference.

![](img88826_1.jpg)

245 Summer Street, Boston, MA 02210

**Fund Summary**

Fund **/Class:**

Fidelity® Risk Parity Fund **/Fidelity® Risk Parity Fund** 

**Investment Objective**

Fidelity® Risk Parity Fund seeks total return.

**Fee Table**

The following table describes the fees and expenses that may be incurred when you buy and hold shares of the fund. **In addition to the fees and expenses described below, your broker may also require you to pay brokerage commissions on purchases and sales of certain share classes of the fund.**

**Shareholder fees**

---

| | |
|:---|:---|
| **(fees paid directly from your investment)**  | **None**  |

---

**Annual Operating Expenses**

**(expenses that you pay each year as a % of the value of your investment)**

---

| | |
|:---|:---|
| Management fee  | 0.60 %  |
| Distribution and/or Service (12b-1) fees  |  |
| Other expenses  | 0.66 %  |
| Acquired fund fees and expenses  | 0.17 %  |
| **Total annual operating expenses** <sup>A</sup>  | 1.43 %  |
| Fee waiver and/or expense reimbursement <sup>B</sup>  | 0.66 %  |
| **Total annual operating expenses after fee waiver and/or expense reimbursement** <sup>A</sup>  | 0.77 %  |

---

<sup>A</sup> Differs from the ratios of expenses to average net assets in the Financial Highlights section of the prospectus because of acquired fund fees and expenses. As a result, the total annual operating expenses after fee waiver and/or expense reimbursement in the fee table exceed the contractual expense limitation of the class.

<sup>B</sup> Fidelity Diversifying Solutions LLC (FDS) has contractually agreed to reimburse the class of shares of the fund to the extent that total operating expenses (excluding interest, certain taxes, proxy and shareholder meeting expenses, extraordinary expenses, and acquired fund fees and expenses (including fees and expenses associated with a wholly owned subsidiary), if any, as well as non-operating expenses such as brokerage commissions and fees and expenses associated with the fund's securities lending program, if applicable), as a percentage of its average net assets, exceed 0.60% (the Expense Cap). If at any time during the current fiscal year expenses for the class of shares of the fund fall below the Expense Cap, FDS reserves the right to recoup through the end of the fiscal year any expenses that were reimbursed during the current fiscal year up to, but not in excess of, the Expense Cap. This arrangement will remain in effect through May 31, 2024 . FDS may not terminate this arrangement before the expiration date without the approval of the Board of Trustees and may extend it in its discretion after that date.

This **example** helps compare the cost of investing in the fund with the cost of investing in other funds.

Let's say, hypothetically, that the annual return for shares of the fund is 5% and that the fees and the annual operating expenses for shares of the fund are exactly as described in the fee table. This example illustrates the effect of fees and expenses, but is not meant to suggest actual or expected fees and expenses or returns, all of which may vary. For every $10,000 you invested, here's how much you would pay in total expenses if you sell all of your shares at the end of each time period indicated:

---

| | |
|:---|:---|
| 1 year  | $79  |
| 3 years  | $365  |
| 5 years  | $697  |
| 10 years  | $1636  |

---

**Portfolio Turnover**

The fund pays transaction costs, such as commissions, when it buys and sells securities (or "turns over" its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when fund shares are held in a taxable account. These costs, which are not reflected in annual operating expenses or in the example, affect the fund's performance. For the period from July 7, 2022 to January 31, 2023, the fund's portfolio turnover rate was 163 % (annualized) of the average value of its portfolio.

**Principal Investment Strategies**

* Using quantitative analysis to balance the fund's risk across four risk factors: growth (risk of reduced earnings expectations and increased default risk), inflation (risk of rising consumer inflation), real rates (risk of rising real interest rates), and liquidity (risk of reduced liquidity).

* Constructing a factor portfolio for each risk factor using a broad set of asset classes whose primary risk is the associated risk factor.

* Combining the factor portfolios, seeking to maximize the worst-case risk diversification across a set of market regimes.

* Allocating the fund's assets across affiliated and unaffiliated mutual funds and Exchange Traded Funds (ETFs) (collectively, underlying funds) and derivatives that provide exposure to a broad range of asset classes including equities (including domestic, international, and emerging markets equities), debt (including investment-grade debt, high yield debt, emerging markets debt, U.S. government securities, leveraged loans and international bonds), commodities and real estate.

* Investing in underlying funds, derivatives, cash and cash equivalents.

* Engaging in transactions that have a leveraging effect on the fund, including long and short investments in derivatives - such as forward contracts, futures, options and swaps - and forward-settling securities, to: create and adjust the fund's investment exposure; enhance total return; hedge against fluctuations in securities prices, interest rates, or currency exchange rates; change the effective duration of the fund's portfolio; manage certain investment risk; manage volatility; and/or substitute for the purchase or sale of securities or currencies.

* Investing up to 25% of assets in a wholly-owned subsidiary organized under the laws of the Cayman Islands that invests in commodity-linked total return swaps based on the value of commodities or commodities indexes and in other commodity-linked derivative instruments, commodity- related ETFs and commodity-related exchange-traded notes (ETNs).

**Principal Investment Risks**

* *Asset Allocation Risk.*

The fund is subject to risks resulting from the Adviser's asset allocation decisions. The selection of underlying funds and the allocation of the fund's assets among various asset classes could cause the fund to lose value or its results to lag relevant benchmarks or other funds with similar objectives. In addition, the fund's active asset allocation strategy may cause the fund to have a risk profile different than that portrayed above from time to time and may increase losses.

* *Investing in Other Funds.*

Regulatory restrictions may limit the amount that one fund can invest in another, which means that the fund's manager may not be able to invest as much as it wants to in some other funds. The fund bears all risks of investment strategies employed by the underlying funds, including the risk that the underlying funds will not meet their investment objectives. Underlying funds that are passively managed attempt to track the performance of an unmanaged index of securities and as such their performance could be lower than actively managed funds, which may shift their portfolio assets to take advantage of market opportunities or lessen the impact of a market decline. In addition, errors in the construction of the index tracked by an underlying passively managed fund may have an adverse impact on the performance of such underlying fund.

* *Investing in ETFs and ETNs.*

ETFs and ETNs may trade in the secondary market at prices below the value of their underlying portfolios and may not be liquid. ETFs that track an index are subject to tracking error and may be unable to sell poorly performing assets that are included in their index or other benchmark. ETNs are subject to the risks associated with debt securities, including counterparty risk of the issuer.

* *Stock Market Volatility.*

Stock markets are volatile and can decline significantly in response to adverse issuer, political, regulatory, market, or economic developments. Different parts of the market, including different market sectors, and different types of securities can react differently to these developments.

* *Interest Rate Changes.*

Interest rate increases can cause the price of a debt security to decrease.

* *Correlation Risk.*

The fund's investment strategy seeks to balance risk across multiple asset classes and, within each asset class, across different countries and investments. To the extent the asset classes or the selected countries and investments become correlated in a way not anticipated by the Adviser, the fund's risk allocation process may result in magnified risks and loss instead of reducing the risk of loss.

* *Foreign and Emerging Markets Risk.*

Foreign markets, particularly emerging markets, can be more volatile than the U.S. market due to increased risks of adverse issuer, political, regulatory, market, or economic developments and can perform differently from the U.S. market.

The extent of economic development; political stability; market depth, infrastructure, and capitalization; and regulatory oversight can be less than in more developed markets. Emerging markets typically have less established legal, accounting and financial reporting systems than those in more developed markets, which may reduce the scope or quality of financial information available to investors.

Emerging markets can be subject to greater social, economic, regulatory, and political uncertainties and can be extremely volatile.

Foreign exchange rates also can be extremely volatile.

* *Geographic Exposure to Europe.*

Because the fund invests a meaningful portion of its assets in Europe, the fund's performance is expected to be closely tied to social, political, and economic conditions within Europe and to be more volatile than the performance of more geographically diversified funds.

* *Currency Exposure.*

Because the fund is normally exposed to foreign currencies, it could experience losses based solely on the weakness of foreign currencies versus the U.S. dollar and changes in the exchange rates between foreign currencies and the U.S. dollar. Currency risk may be particularly high to the extent that a fund invests in foreign currencies or engages in foreign currency transactions that are economically tied to emerging markets countries. These emerging markets currency transactions may present market, credit, currency, liquidity, legal, political and other risks different from, or greater than, the risks of investing in developed foreign currencies or engaging in foreign currency transactions that are economically tied to developed foreign countries.

* *Subsidiary Risk.*

Investment in Fidelity Risk Parity Cayman Ltd., an unregistered subsidiary, is not subject to the investor protections of the Investment Company Act of 1940 (1940 Act) and is subject to the risks associated with investing in derivatives and commodity-linked investing in general. Changes in tax and other laws could negatively affect investments in the subsidiary.

* *Prepayment.*

The ability of an issuer of a debt security to repay principal prior to a security's maturity can cause greater price volatility if interest rates change.

* *Issuer-Specific Changes.*

The value of an individual security or particular type of security can be more volatile than, and can perform differently from, the market as a whole.

Changes in the financial condition of an issuer or counterparty (e.g., broker-dealer or other borrower in a securities lending transaction) can increase the risk of default by an issuer or counterparty, which can affect a security's or instrument's value or result in delays in recovering securities and/or capital from a counterparty.

* *Leverage Risk.*

Leverage can increase market exposure, magnify investment risks, and cause losses to be realized more quickly. The fund's use of futures, forwards, options, swaps, and other derivative instruments may result in losses. The value of these derivative instruments may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments and may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of underlying instruments may produce disproportionate losses to the fund. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Moreover, a relatively small price movement in a derivative contract may result in substantial losses to the fund, exceeding the amount of the margin paid. The use of derivatives can increase the fund's risk exposure to underlying assets and their attendant risks, while also exposing the fund to the risk of mispricing or other improper valuation and the risk that changes in the value of a derivative may not correlate as anticipated with the underlying asset, rate, index or overall securities markets, thereby reducing their effectiveness.

* *Quantitative Investing.*

Securities selected using quantitative analysis can perform differently from the market as a whole as a result of the factors used in the analysis, the weight placed on each factor, and changes in the factors' historical trends.

* *Commodity-Linked Investing.*

The value of commodities and commodity-linked investments may be affected by the performance of the overall commodities markets as well as weather, political, tax, and other regulatory and market developments. Commodity-linked investments may be more volatile and less liquid than the underlying commodity, instruments, or measures.

* *Commodity Futures.*

Investments in commodity futures contracts are also subject to the risk of the failure of any of the exchanges on which the fund's positions trade or of its clearinghouses or counterparties. In addition, certain commodity exchanges limit fluctuations in certain futures contract prices during a single day by regulations referred to as "daily price fluctuation limits" or "daily limits." Under such daily limits, during a single trading day no trades may be executed at prices beyond the daily limit. If triggered, these limits could prevent the fund from liquidating unfavorable positions and subject the fund to losses or prevent it from entering into desired trades during the particular trading day.

* *High Portfolio Turnover.*

High portfolio turnover (more than 100%) may result in increased transaction costs and potentially higher capital gains or losses. The effects of higher than normal portfolio turnover may adversely affect the fund's performance.

*An investment in the fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency* . *You could lose money by investing in the fund.*

**Performance**

Performance history will be available for the fund after the fund has been in operation for one calendar year.

**Investment Adviser**

Fidelity Diversifying Solutions LLC (FDS) (the Adviser) is the fund's manager. Other investment advisers serve as sub-advisers for the fund.

**Portfolio Manager(s)**

Avishek Hazrachoudhury (Co-Portfolio Manager) has managed the fund since 2022.

Christopher Kelliher (Co-Portfolio Manager) has managed the fund since 2023.

**Purchase and Sale of Shares**

You may buy or sell shares through a Fidelity® brokerage or mutual fund account, through a retirement account, or through an investment professional.

You may buy or sell shares in various ways:

**Internet**

**www.fidelity.com**

**Phone**

**Fidelity Automated Service Telephone (FAST®) 1-800-544-5555**

**To reach a Fidelity representative 1-800-544-6666**

**Mail**

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| **Additional purchases:** <br> **Fidelity Investments** <br> **P.O. Box 770001** <br> **Cincinnati, OH 45277-0003**  | **Redemptions:** <br> **Fidelity Investments** <br> **P.O. Box 770001** <br> **Cincinnati, OH 45277-0035**  |

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**TDD - Service for the Deaf and Hearing Impaired**

**1-800-544-0118**

The price to buy one share is its net asset value per share (NAV). Shares will be bought at the NAV next calculated after an order is received in proper form.

The price to sell one share is its NAV. Shares will be sold at the NAV next calculated after an order is received in proper form.

The fund is open for business each day the New York Stock Exchange (NYSE) is open.

There is no purchase minimum for fund shares.

**Tax Information**

Distributions you receive from the fund are subject to federal income tax and generally will be taxed as ordinary income or capital gains, and may also be subject to state or local taxes, unless you are investing through a tax-advantaged retirement account (in which case you may be taxed later, upon withdrawal of your investment from such account).

**Payments to Broker-Dealers and Other Financial Intermediaries**

The fund, the Adviser, Fidelity Distributors Company LLC (FDC), and/or their affiliates may pay intermediaries, which may include banks, broker-dealers, retirement plan sponsors, administrators, or service-providers (who may be affiliated with the Adviser or FDC), for the sale of fund shares and related services. These payments may create a conflict of interest by influencing your intermediary and your investment professional to recommend the fund over another investment. Ask your investment professional or visit your intermediary's web site for more information.

Current regulations allow Fidelity to send a single copy of shareholder documents for Fidelity® funds, such as prospectuses, annual and semi-annual reports, and proxy materials, to certain mutual fund customers whom we believe are members of the same family who share the same address. For certain types of accounts, we will not send multiple copies of these documents to you and members of your family who share the same address. Instead, we will send only a single copy of these documents. This will continue for as long as you are a shareholder, unless you notify us otherwise. If at any time you choose to receive individual copies of any documents, please call 1-800-544-8544. We will begin sending individual copies to you within 30 days of receiving your call.

Fidelity Distributors Company LLC (FDC) is a member of the Securities Investor Protection Corporation (SIPC). You may obtain information about SIPC, including the SIPC brochure, by visiting www.sipc.org or calling SIPC at 202-371-8300.

Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2023 FMR LLC. All rights reserved.

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