# EDGAR Filing Document

**Accession Number:** 0001898391
**File Stem:** 0001898391-25-000271
**Filing Date:** 2025-9
**Character Count:** 950688
**Document Hash:** a8f3a5ed3d665d61d09c158edcf9a8a7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001898391-25-000271.hdr.sgml**: 20250922

**ACCESSION NUMBER**: 0001898391-25-000271

**CONFORMED SUBMISSION TYPE**: N-CSRS

**PUBLIC DOCUMENT COUNT**: 83

**CONFORMED PERIOD OF REPORT**: 20250731

**FILED AS OF DATE**: 20250922

**DATE AS OF CHANGE**: 20250922

**EFFECTIVENESS DATE**: 20250922

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Greenwood Street Trust
- **CENTRAL INDEX KEY:** 0001898391

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** N-CSRS
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23762
- **FILM NUMBER:** 251329133

**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 Hedged Equity Fund (Series ID: S000077302)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000237599 | Fidelity Hedged Equity Fund                  | FEQHX           |
| C000237630 | Fidelity Advisor Hedged Equity Fund: Class I | FEQJX           |
| C000237631 | Fidelity Advisor Hedged Equity Fund: Class Z | FEQZX           |
| C000237632 | Fidelity Advisor Hedged Equity Fund: Class C | FEQDX           |
| C000237633 | Fidelity Advisor Hedged Equity Fund: Class M | FEQNX           |
| C000237634 | Fidelity Advisor Hedged Equity Fund: Class A | FEQAX           |

### Fidelity SAI Convertible Arbitrage Fund (Series ID: S000081303)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000243999 | Fidelity SAI Convertible Arbitrage Fund | FSAWX           |

### Fidelity Hedged Equity ETF (Series ID: S000084303)

| Class ID   | Class Name                 | Ticker Symbol   |
|:---|:---|:---|
| C000248604 | Fidelity Hedged Equity ETF | FHEQ            |

### Fidelity Dynamic Buffered Equity ETF (Series ID: S000084304)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000248605 | Fidelity Dynamic Buffered Equity ETF | FBUF            |

### Fidelity Yield Enhanced Equity ETF (Series ID: S000084305)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000248606 | Fidelity Yield Enhanced Equity ETF | FYEE            |

### Fidelity Equity Market Neutral Fund (Series ID: S000084938)

| Class ID   | Class Name                                           | Ticker Symbol   |
|:---|:---|:---|
| C000249700 | Fidelity Advisor Equity Market Neutral Fund: Class Z | FEMWX           |
| C000249701 | Fidelity Advisor Equity Market Neutral Fund: Class I | FEMUX           |
| C000249702 | Fidelity Equity Market Neutral Fund                  | FEMNX           |
| C000249703 | Fidelity Advisor Equity Market Neutral Fund: Class M | FEMOX           |
| C000249704 | Fidelity Advisor Equity Market Neutral Fund: Class A | FEMLX           |
| C000249705 | Fidelity Advisor Equity Market Neutral Fund: Class C | FEMQX           |

### Fidelity SAI Managed Futures Fund (Series ID: S000091042)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000258437 | Fidelity SAI Managed Futures Fund | FMFLX           |

### Fidelity SAI Merger Arbitrage Fund (Series ID: S000091043)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000258438 | Fidelity SAI Merger Arbitrage Fund | FMADX           |

### Fidelity Managed Futures ETF (Series ID: S000092140)

| Class ID   | Class Name                   | Ticker Symbol   |
|:---|:---|:---|
| C000260067 | Fidelity Managed Futures ETF | FFUT            |

?xml version='1.0' encoding='ASCII'? Prospectus - Investment Objective

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 <u>811-23762</u>

<u>Fidelity Greenwood Street Trust</u>

(Exact name of registrant as specified in charter)

<u>245 Summer St., Boston, MA 02210</u>

(Address of principal executive offices) &nbsp;&nbsp;&nbsp;&nbsp; (Zip code)

Nicole Macarchuk, Secretary

245 Summer St.

<u>Boston, Massachusetts 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code:

<u>617-563-7000</u>

---

| | |
|:---|:---|
| &nbsp;&nbsp;Date of fiscal year end: | &nbsp;&nbsp;January 31 |
| &nbsp;&nbsp;Date of reporting period: | &nbsp;&nbsp;July 31, 2025 |

---

Item 1.

<u>Reports to Stockholders</u>

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® SAI Convertible Arbitrage Fund<br> **Fidelity® SAI Convertible Arbitrage Fund : FSAWX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® SAI Convertible Arbitrage Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® SAI Convertible Arbitrage Fund  | $74  | 1.45% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $626804697<br>|
| Number of Holdings | 52<br>|
| Portfolio Turnover | 298%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 14.5 |
| Swaps | 309.2 |

---

---

| | |
|:---|:---|
| Swaps | 73.0 |
| U.S. Treasury Obligations | 9.5 |
| Corporate Bonds | 8.3 |
| Common Stocks | 4.2 |
| Futures Contracts | 3.4 |
| Domestic Equity Funds | 0.9 |
| Fixed-Income Funds | 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img7521_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 73.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| U.S. Treasury Obligations - 9.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Corporate Bonds - 8.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 4.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Futures Contracts - 3.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Fixed-Income Funds - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.3 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 40.5<br>|
| NVIDIA Corp | 4.6<br>|
| Granite Construction Inc | 4.0<br>|
| Broadcom Inc | 3.5<br>|
| MACOM Technology Solutions Holdings Inc | 3.2<br>|
| Apple Inc | 2.7<br>|
| Airbnb Inc | 2.2<br>|
| iShares Core S&P 500 ETF | 2.1<br>|
| Microsoft Corp | 2.1<br>|
| Vanguard Total Bond Market ETF | 1.9<br>|
|  | 66.8 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img7521_20250731_1.jpg)<br>| ![](img111682_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914486.101 7521-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Risk Parity Fund<br> **Fidelity® Risk Parity Fund : FAPSX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Risk Parity Fund  | $31  | 0.60% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $11119528<br>|
| Number of Holdings | 48<br>|
| Portfolio Turnover | 52%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 9.6 |
| Swaps | 58.8 |

---

---

| | |
|:---|:---|
| Swaps | 34.8 |
| Fixed-Income Funds | 27.1 |
| Domestic Equity Funds | 19.5 |
| International Equity Funds | 8.2 |
| Futures Contracts | 5.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6513_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 34.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 27.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Futures Contracts - 5.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 27.1<br>|
| Fidelity Commodity Strategy Fund | 12.2<br>|
| iShares US Treasury Bond ETF | 8.6<br>|
| Fidelity International Index Fund | 8.3<br>|
| Fidelity Small Cap Value Index Fund | 7.9<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.3<br>|
| Fidelity Emerging Markets Index Fund | 5.4<br>|
| Fidelity Small Cap Index Fund | 5.3<br>|
| Fidelity Total Market Index Fund | 3.7<br>|
| Fidelity Real Estate Index Fund | 3.5<br>|
|  | 89.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6513_20250731_1.jpg)<br>| ![](img111684_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914452.101 6513-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Risk Parity Fund<br> **Fidelity Advisor® Risk Parity Fund Class Z : FAPZX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class Z  | $28  | 0.55% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $11119528<br>|
| Number of Holdings | 48<br>|
| Portfolio Turnover | 52%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 9.6 |
| Swaps | 58.8 |

---

---

| | |
|:---|:---|
| Swaps | 34.8 |
| Fixed-Income Funds | 27.1 |
| Domestic Equity Funds | 19.5 |
| International Equity Funds | 8.2 |
| Futures Contracts | 5.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6513_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 34.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 27.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Futures Contracts - 5.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 27.1<br>|
| Fidelity Commodity Strategy Fund | 12.2<br>|
| iShares US Treasury Bond ETF | 8.6<br>|
| Fidelity International Index Fund | 8.3<br>|
| Fidelity Small Cap Value Index Fund | 7.9<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.3<br>|
| Fidelity Emerging Markets Index Fund | 5.4<br>|
| Fidelity Small Cap Index Fund | 5.3<br>|
| Fidelity Total Market Index Fund | 3.7<br>|
| Fidelity Real Estate Index Fund | 3.5<br>|
|  | 89.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6513_20250731_1.jpg)<br>| ![](img111685_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914457.101 6518-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Risk Parity Fund<br> **Fidelity Advisor® Risk Parity Fund Class M : FAPWX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $56  | 1.10% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $11119528<br>|
| Number of Holdings | 48<br>|
| Portfolio Turnover | 52%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 9.6 |
| Swaps | 58.8 |

---

---

| | |
|:---|:---|
| Swaps | 34.8 |
| Fixed-Income Funds | 27.1 |
| Domestic Equity Funds | 19.5 |
| International Equity Funds | 8.2 |
| Futures Contracts | 5.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6513_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 34.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 27.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Futures Contracts - 5.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 27.1<br>|
| Fidelity Commodity Strategy Fund | 12.2<br>|
| iShares US Treasury Bond ETF | 8.6<br>|
| Fidelity International Index Fund | 8.3<br>|
| Fidelity Small Cap Value Index Fund | 7.9<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.3<br>|
| Fidelity Emerging Markets Index Fund | 5.4<br>|
| Fidelity Small Cap Index Fund | 5.3<br>|
| Fidelity Total Market Index Fund | 3.7<br>|
| Fidelity Real Estate Index Fund | 3.5<br>|
|  | 89.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6513_20250731_1.jpg)<br>| ![](img111686_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914455.101 6516-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Risk Parity Fund<br> **Fidelity Advisor® Risk Parity Fund Class I : FAPYX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $31  | 0.60% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $11119528<br>|
| Number of Holdings | 48<br>|
| Portfolio Turnover | 52%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 9.6 |
| Swaps | 58.8 |

---

---

| | |
|:---|:---|
| Swaps | 34.8 |
| Fixed-Income Funds | 27.1 |
| Domestic Equity Funds | 19.5 |
| International Equity Funds | 8.2 |
| Futures Contracts | 5.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6513_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 34.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 27.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Futures Contracts - 5.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 27.1<br>|
| Fidelity Commodity Strategy Fund | 12.2<br>|
| iShares US Treasury Bond ETF | 8.6<br>|
| Fidelity International Index Fund | 8.3<br>|
| Fidelity Small Cap Value Index Fund | 7.9<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.3<br>|
| Fidelity Emerging Markets Index Fund | 5.4<br>|
| Fidelity Small Cap Index Fund | 5.3<br>|
| Fidelity Total Market Index Fund | 3.7<br>|
| Fidelity Real Estate Index Fund | 3.5<br>|
|  | 89.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6513_20250731_1.jpg)<br>| ![](img111687_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914456.101 6517-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Risk Parity Fund<br> **Fidelity Advisor® Risk Parity Fund Class C : FAPVX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $82  | 1.60% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $11119528<br>|
| Number of Holdings | 48<br>|
| Portfolio Turnover | 52%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 9.6 |
| Swaps | 58.8 |

---

---

| | |
|:---|:---|
| Swaps | 34.8 |
| Fixed-Income Funds | 27.1 |
| Domestic Equity Funds | 19.5 |
| International Equity Funds | 8.2 |
| Futures Contracts | 5.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6513_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 34.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 27.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Futures Contracts - 5.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 27.1<br>|
| Fidelity Commodity Strategy Fund | 12.2<br>|
| iShares US Treasury Bond ETF | 8.6<br>|
| Fidelity International Index Fund | 8.3<br>|
| Fidelity Small Cap Value Index Fund | 7.9<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.3<br>|
| Fidelity Emerging Markets Index Fund | 5.4<br>|
| Fidelity Small Cap Index Fund | 5.3<br>|
| Fidelity Total Market Index Fund | 3.7<br>|
| Fidelity Real Estate Index Fund | 3.5<br>|
|  | 89.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6513_20250731_1.jpg)<br>| ![](img111688_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914454.101 6515-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Risk Parity Fund<br> **Fidelity Advisor® Risk Parity Fund Class A : FAPUX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $43  | 0.85% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $11119528<br>|
| Number of Holdings | 48<br>|
| Portfolio Turnover | 52%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 9.6 |
| Swaps | 58.8 |

---

---

| | |
|:---|:---|
| Swaps | 34.8 |
| Fixed-Income Funds | 27.1 |
| Domestic Equity Funds | 19.5 |
| International Equity Funds | 8.2 |
| Futures Contracts | 5.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6513_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 34.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 27.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 8.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Futures Contracts - 5.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 27.1<br>|
| Fidelity Commodity Strategy Fund | 12.2<br>|
| iShares US Treasury Bond ETF | 8.6<br>|
| Fidelity International Index Fund | 8.3<br>|
| Fidelity Small Cap Value Index Fund | 7.9<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.3<br>|
| Fidelity Emerging Markets Index Fund | 5.4<br>|
| Fidelity Small Cap Index Fund | 5.3<br>|
| Fidelity Total Market Index Fund | 3.7<br>|
| Fidelity Real Estate Index Fund | 3.5<br>|
|  | 89.3 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6513_20250731_1.jpg)<br>| ![](img111689_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914453.101 6514-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Hedged Equity Fund<br> **Fidelity® Hedged Equity Fund : FEQHX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Hedged Equity Fund  | $28  | 0.55% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $438254947<br>|
| Number of Holdings | 423<br>|
| Portfolio Turnover | 124%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 0.8 |

---

---

| | |
|:---|:---|
| Common Stocks | 93.8 |
| Domestic Equity Funds | 4.3 |
| Options | 0.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6875_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 93.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 4.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 1.1 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.7<br>|
| Microsoft Corp | 7.3<br>|
| Apple Inc | 5.5<br>|
| iShares Core S&P 500 ETF | 4.3<br>|
| Amazon.com Inc | 4.0<br>|
| Alphabet Inc Class A | 3.8<br>|
| Meta Platforms Inc Class A | 3.0<br>|
| Broadcom Inc | 2.5<br>|
| Berkshire Hathaway Inc Class B | 1.9<br>|
| JPMorgan Chase & Co | 1.8<br>|
|  | 41.8 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6875_20250731_1.jpg)<br>| ![](img111710_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914472.101 6875-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Hedged Equity Fund<br> **Fidelity Advisor® Hedged Equity Fund Class Z : FEQZX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class Z  | $26  | 0.51% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $438254947<br>|
| Number of Holdings | 423<br>|
| Portfolio Turnover | 124%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 0.8 |

---

---

| | |
|:---|:---|
| Common Stocks | 93.8 |
| Domestic Equity Funds | 4.3 |
| Options | 0.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6875_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 93.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 4.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 1.1 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.7<br>|
| Microsoft Corp | 7.3<br>|
| Apple Inc | 5.5<br>|
| iShares Core S&P 500 ETF | 4.3<br>|
| Amazon.com Inc | 4.0<br>|
| Alphabet Inc Class A | 3.8<br>|
| Meta Platforms Inc Class A | 3.0<br>|
| Broadcom Inc | 2.5<br>|
| Berkshire Hathaway Inc Class B | 1.9<br>|
| JPMorgan Chase & Co | 1.8<br>|
|  | 41.8 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6875_20250731_1.jpg)<br>| ![](img111711_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914477.101 6880-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Hedged Equity Fund<br> **Fidelity Advisor® Hedged Equity Fund Class M : FEQNX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $54  | 1.05% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $438254947<br>|
| Number of Holdings | 423<br>|
| Portfolio Turnover | 124%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 0.8 |

---

---

| | |
|:---|:---|
| Common Stocks | 93.8 |
| Domestic Equity Funds | 4.3 |
| Options | 0.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6875_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 93.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 4.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 1.1 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.7<br>|
| Microsoft Corp | 7.3<br>|
| Apple Inc | 5.5<br>|
| iShares Core S&P 500 ETF | 4.3<br>|
| Amazon.com Inc | 4.0<br>|
| Alphabet Inc Class A | 3.8<br>|
| Meta Platforms Inc Class A | 3.0<br>|
| Broadcom Inc | 2.5<br>|
| Berkshire Hathaway Inc Class B | 1.9<br>|
| JPMorgan Chase & Co | 1.8<br>|
|  | 41.8 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6875_20250731_1.jpg)<br>| ![](img111712_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914475.101 6878-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Hedged Equity Fund<br> **Fidelity Advisor® Hedged Equity Fund Class I : FEQJX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $28  | 0.55% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $438254947<br>|
| Number of Holdings | 423<br>|
| Portfolio Turnover | 124%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 0.8 |

---

---

| | |
|:---|:---|
| Common Stocks | 93.8 |
| Domestic Equity Funds | 4.3 |
| Options | 0.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6875_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 93.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 4.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 1.1 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.7<br>|
| Microsoft Corp | 7.3<br>|
| Apple Inc | 5.5<br>|
| iShares Core S&P 500 ETF | 4.3<br>|
| Amazon.com Inc | 4.0<br>|
| Alphabet Inc Class A | 3.8<br>|
| Meta Platforms Inc Class A | 3.0<br>|
| Broadcom Inc | 2.5<br>|
| Berkshire Hathaway Inc Class B | 1.9<br>|
| JPMorgan Chase & Co | 1.8<br>|
|  | 41.8 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6875_20250731_1.jpg)<br>| ![](img111713_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914476.101 6879-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Hedged Equity Fund<br> **Fidelity Advisor® Hedged Equity Fund Class C : FEQDX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $79  | 1.55% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $438254947<br>|
| Number of Holdings | 423<br>|
| Portfolio Turnover | 124%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 0.8 |

---

---

| | |
|:---|:---|
| Common Stocks | 93.8 |
| Domestic Equity Funds | 4.3 |
| Options | 0.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6875_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 93.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 4.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 1.1 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.7<br>|
| Microsoft Corp | 7.3<br>|
| Apple Inc | 5.5<br>|
| iShares Core S&P 500 ETF | 4.3<br>|
| Amazon.com Inc | 4.0<br>|
| Alphabet Inc Class A | 3.8<br>|
| Meta Platforms Inc Class A | 3.0<br>|
| Broadcom Inc | 2.5<br>|
| Berkshire Hathaway Inc Class B | 1.9<br>|
| JPMorgan Chase & Co | 1.8<br>|
|  | 41.8 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6875_20250731_1.jpg)<br>| ![](img111714_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914474.101 6877-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Hedged Equity Fund<br> **Fidelity Advisor® Hedged Equity Fund Class A : FEQAX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $41  | 0.80% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $438254947<br>|
| Number of Holdings | 423<br>|
| Portfolio Turnover | 124%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 0.8 |

---

---

| | |
|:---|:---|
| Common Stocks | 93.8 |
| Domestic Equity Funds | 4.3 |
| Options | 0.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img6875_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 93.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 4.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 1.1 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.7<br>|
| Microsoft Corp | 7.3<br>|
| Apple Inc | 5.5<br>|
| iShares Core S&P 500 ETF | 4.3<br>|
| Amazon.com Inc | 4.0<br>|
| Alphabet Inc Class A | 3.8<br>|
| Meta Platforms Inc Class A | 3.0<br>|
| Broadcom Inc | 2.5<br>|
| Berkshire Hathaway Inc Class B | 1.9<br>|
| JPMorgan Chase & Co | 1.8<br>|
|  | 41.8 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img6875_20250731_1.jpg)<br>| ![](img111715_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9914473.101 6876-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity® Equity Market Neutral Fund : FEMNX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Equity Market Neutral Fund  | $55  | 1.10% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $14464451<br>|
| Number of Holdings | 136<br>|
| Portfolio Turnover | 56%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 115.5 |
| Forward Foreign Currency Contracts | 46.3 |

---

---

| | |
|:---|:---|
| Swaps | 44.1 |
| Common Stocks | 32.5 |
| Forward Foreign Currency Contracts | 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img7601_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 44.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 32.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) - 5.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 13.6<br>|
| Microsoft Corp | 2.3<br>|
| Meta Platforms Inc Class A | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.1<br>|
| Centrica PLC | 2.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Royal Bank of Canada | 1.9<br>|
| Boston Scientific Corp | 1.9<br>|
|  | 32.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img7601_20250731_1.jpg)<br>| ![](img111719_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916840.101 7601-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity Advisor® Equity Market Neutral Fund Class A : FEMLX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $68  | 1.35% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $14464451<br>|
| Number of Holdings | 136<br>|
| Portfolio Turnover | 56%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 115.5 |
| Forward Foreign Currency Contracts | 46.3 |

---

---

| | |
|:---|:---|
| Swaps | 44.1 |
| Common Stocks | 32.5 |
| Forward Foreign Currency Contracts | 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img7601_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 44.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 32.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) - 5.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 13.6<br>|
| Microsoft Corp | 2.3<br>|
| Meta Platforms Inc Class A | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.1<br>|
| Centrica PLC | 2.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Royal Bank of Canada | 1.9<br>|
| Boston Scientific Corp | 1.9<br>|
|  | 32.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img7601_20250731_1.jpg)<br>| ![](img111720_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916842.101 7619-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity Advisor® Equity Market Neutral Fund Class M : FEMOX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $81  | 1.60% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $14464451<br>|
| Number of Holdings | 136<br>|
| Portfolio Turnover | 56%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 115.5 |
| Forward Foreign Currency Contracts | 46.3 |

---

---

| | |
|:---|:---|
| Swaps | 44.1 |
| Common Stocks | 32.5 |
| Forward Foreign Currency Contracts | 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img7601_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 44.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 32.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) - 5.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 13.6<br>|
| Microsoft Corp | 2.3<br>|
| Meta Platforms Inc Class A | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.1<br>|
| Centrica PLC | 2.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Royal Bank of Canada | 1.9<br>|
| Boston Scientific Corp | 1.9<br>|
|  | 32.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img7601_20250731_1.jpg)<br>| ![](img111721_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916844.101 7620-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity Advisor® Equity Market Neutral Fund Class C : FEMQX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $106  | 2.10% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $14464451<br>|
| Number of Holdings | 136<br>|
| Portfolio Turnover | 56%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 115.5 |
| Forward Foreign Currency Contracts | 46.3 |

---

---

| | |
|:---|:---|
| Swaps | 44.1 |
| Common Stocks | 32.5 |
| Forward Foreign Currency Contracts | 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img7601_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 44.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 32.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) - 5.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 13.6<br>|
| Microsoft Corp | 2.3<br>|
| Meta Platforms Inc Class A | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.1<br>|
| Centrica PLC | 2.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Royal Bank of Canada | 1.9<br>|
| Boston Scientific Corp | 1.9<br>|
|  | 32.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img7601_20250731_1.jpg)<br>| ![](img111722_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916846.101 7621-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity Advisor® Equity Market Neutral Fund Class I : FEMUX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $56  | 1.10% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $14464451<br>|
| Number of Holdings | 136<br>|
| Portfolio Turnover | 56%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 115.5 |
| Forward Foreign Currency Contracts | 46.3 |

---

---

| | |
|:---|:---|
| Swaps | 44.1 |
| Common Stocks | 32.5 |
| Forward Foreign Currency Contracts | 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img7601_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 44.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 32.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) - 5.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 13.6<br>|
| Microsoft Corp | 2.3<br>|
| Meta Platforms Inc Class A | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.1<br>|
| Centrica PLC | 2.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Royal Bank of Canada | 1.9<br>|
| Boston Scientific Corp | 1.9<br>|
|  | 32.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img7601_20250731_1.jpg)<br>| ![](img111723_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916848.101 7622-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity Advisor® Equity Market Neutral Fund Class Z : FEMWX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class Z  | $53  | 1.05% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $14464451<br>|
| Number of Holdings | 136<br>|
| Portfolio Turnover | 56%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 115.5 |
| Forward Foreign Currency Contracts | 46.3 |

---

---

| | |
|:---|:---|
| Swaps | 44.1 |
| Common Stocks | 32.5 |
| Forward Foreign Currency Contracts | 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 5.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img7601_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 44.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 32.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 17.7 |
| Short-Term Investments and Net Other Assets (Liabilities) - 5.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 13.6<br>|
| Microsoft Corp | 2.3<br>|
| Meta Platforms Inc Class A | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.1<br>|
| Centrica PLC | 2.1<br>|
| JPMorgan Chase & Co | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Royal Bank of Canada | 1.9<br>|
| Boston Scientific Corp | 1.9<br>|
|  | 32.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img7601_20250731_1.jpg)<br>| ![](img111724_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916850.101 7623-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Yield Enhanced Equity ETF<br> **Fidelity® Yield Enhanced Equity ETF : FYEE** <br> **Principal U.S. Listing Exchange :** **Cboe BZX Exchange, Inc.**<br>|

---

This semi-annual shareholder report contains information about Fidelity® Yield Enhanced Equity ETF for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Yield Enhanced Equity ETF  | $14  | 0.28% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $15345702<br>|
| Number of Holdings | 163<br>|
| Portfolio Turnover | 109%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 0.8 |
| Options | 0.4 |

---

---

| | |
|:---|:---|
| Common Stocks | 97.8 |
| Futures Contracts | 0.8 |
| Options | 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img7590_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 97.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Futures Contracts - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 1.0 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 8.5<br>|
| Microsoft Corp | 7.0<br>|
| Apple Inc | 6.2<br>|
| Amazon.com Inc | 4.6<br>|
| Meta Platforms Inc Class A | 3.4<br>|
| Broadcom Inc | 3.1<br>|
| Alphabet Inc Class C | 2.3<br>|
| Berkshire Hathaway Inc Class B | 2.2<br>|
| Alphabet Inc Class A | 2.0<br>|
| JPMorgan Chase & Co | 1.9<br>|
|  | 41.2 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img7590_20250731_1.jpg)<br>| ![](img111725_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916943.101 7590-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Dynamic Buffered Equity ETF<br> **Fidelity® Dynamic Buffered Equity ETF : FBUF** <br> **Principal U.S. Listing Exchange :** **Cboe BZX Exchange, Inc.**<br>|

---

This semi-annual shareholder report contains information about Fidelity® Dynamic Buffered Equity ETF for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Dynamic Buffered Equity ETF  | $24  | 0.48% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $11374080<br>|
| Number of Holdings | 159<br>|
| Portfolio Turnover | 107%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 0.8 |
| Options | 0.7 |

---

---

| | |
|:---|:---|
| Common Stocks | 97.6 |
| Futures Contracts | 0.8 |
| Options | 0.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.9 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img7589_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 97.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Futures Contracts - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.9 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 8.5<br>|
| Microsoft Corp | 7.0<br>|
| Apple Inc | 6.2<br>|
| Amazon.com Inc | 4.5<br>|
| Meta Platforms Inc Class A | 3.4<br>|
| Broadcom Inc | 3.1<br>|
| Alphabet Inc Class C | 2.3<br>|
| Berkshire Hathaway Inc Class B | 2.2<br>|
| Alphabet Inc Class A | 2.0<br>|
| JPMorgan Chase & Co | 1.9<br>|
|  | 41.1 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img7589_20250731_1.jpg)<br>| ![](img111726_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916941.101 7589-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Hedged Equity ETF<br> **Fidelity® Hedged Equity ETF : FHEQ** <br> **Principal U.S. Listing Exchange :** **Cboe BZX Exchange, Inc.**<br>|

---

This semi-annual shareholder report contains information about Fidelity® Hedged Equity ETF for the period February 1, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Hedged Equity ETF  | $24  | 0.48% |

---

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $449203939<br>|
| Number of Holdings | 175<br>|
| Portfolio Turnover | 105%<br>|

---

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 0.9 |

---

Common Stocks 98.7 <br> Options 0.9 <br> Short-Term Investments and Net Other Assets (Liabilities) 0.4

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img7588_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 98.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Options - 0.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 8.5<br>|
| Microsoft Corp | 6.8<br>|
| Apple Inc | 6.2<br>|
| Amazon.com Inc | 4.4<br>|
| Meta Platforms Inc Class A | 3.5<br>|
| Broadcom Inc | 3.0<br>|
| Alphabet Inc Class C | 2.1<br>|
| Berkshire Hathaway Inc Class B | 2.1<br>|
| JPMorgan Chase & Co | 2.1<br>|
| Alphabet Inc Class A | 2.0<br>|
|  | 40.7 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img7588_20250731_1.jpg)<br>| ![](img111727_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916939.101 7588-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® Managed Futures ETF<br> **Fidelity® Managed Futures ETF : FFUT** <br> **Principal U.S. Listing Exchange :** **NASDAQ/NMS Global Market**<br>|

---

This semi-annual shareholder report contains information about Fidelity® Managed Futures ETF for the period June 3, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Managed Futures ETF A | $13  | 0.80% |

---

A Expenses for the full reporting period would be higher.

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $118813647<br>|
| Number of Holdings | 398<br>|
| Portfolio TurnoverA | 0%<br>|

---

A Amount not annualized

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 522.5 |
| Swaps | 204.8 |
| Forward Foreign Currency Contracts | 167.8 |

---

---

| | |
|:---|:---|
| Futures Contracts | 52.4 |
| Swaps | 20.7 |
| Forward Foreign Currency Contracts | 16.9 |
| Domestic Equity Funds | 0.4 |
| Short-Term Investments and Net Other Assets (Liabilities) | 9.6 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img9044_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Futures Contracts - 52.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Swaps - 20.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 16.9 |
| Domestic Equity Funds - 0.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 9.6 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 85.4<br>|
| iShares Core S&P 500 ETF | 5.1<br>|
|  | 90.5 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img9044_20250731_1.jpg)<br>| ![](img111729_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9919367.100 9044-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® SAI Merger Arbitrage Fund<br> **Fidelity® SAI Merger Arbitrage Fund : FMADX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® SAI Merger Arbitrage Fund for the period June 17, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® SAI Merger Arbitrage Fund A | $14  | 1.10% |

---

A Expenses for the full reporting period would be higher.

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $83650677<br>|
| Number of Holdings | 29<br>|
| Portfolio TurnoverA | 2%<br>|

---

A Amount not annualized

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 40.7 |

---

---

| | |
|:---|:---|
| Common Stocks | 42.8 |
| Swaps | 28.9 |
| Domestic Equity Funds | 7.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 21.3 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img9007_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 42.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Swaps - 28.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 7.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 21.3 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 17.2<br>|
| NVIDIA Corp | 13.2<br>|
| WNS Holdings Ltd | 6.7<br>|
| Frontier Communications Parent Inc | 6.6<br>|
| Vanguard 500 Index Fund, ETF Shares | 4.8<br>|
| iShares Core S&P 500 ETF | 4.8<br>|
| Kellanova | 4.8<br>|
| GMS Inc | 4.6<br>|
| Dun & Bradstreet Holdings Inc | 4.4<br>|
| Amedisys Inc | 2.9<br>|
|  | 70.0 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img9007_20250731_1.jpg)<br>| ![](img111730_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9918583.100 9007-TSRS-0925 <br>|

---

---

| |
|:---|
| **SEMI-ANNUAL SHAREHOLDER REPORT \|** AS OF JULY 31, 2025 |
| Fidelity® SAI Managed Futures Fund<br> **Fidelity® SAI Managed Futures Fund : FMFLX** <br>|

---

This semi-annual shareholder report contains information about Fidelity® SAI Managed Futures Fund for the period June 17, 2025 to July 31, 2025. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last six months?**

(based on hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® SAI Managed Futures Fund A | $13  | 1.05% |

---

A Expenses for the full reporting period would be higher.

**Key Fund Statistics**

(as of July 31, 2025)

---

| | |
|:---|:---|
| **KEY FACTS**  |  |
| Fund Size | $63835319<br>|
| Number of Holdings | 331<br>|
| Portfolio TurnoverA | 0%<br>|

---

A Amount not annualized

**What did the Fund invest in?** (as of July 31, 2025)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 519.4 |
| Swaps | 153.1 |
| Forward Foreign Currency Contracts | 138.8 |

---

---

| | |
|:---|:---|
| Futures Contracts | 57.0 |
| Swaps | 16.8 |
| Forward Foreign Currency Contracts | 15.2 |
| Domestic Equity Funds | 0.5 |
| Short-Term Investments and Net Other Assets (Liabilities) | 10.5 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's Total Exposure)** |
| ![](img9036_20250731_AA.jpg) <br>|

---

---

| |
|:---|
| Futures Contracts - 57.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Swaps - 16.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 15.2 |
| Domestic Equity Funds - 0.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 10.5 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 84.6<br>|
| iShares Core S&P 500 ETF | 4.9<br>|
|  | 89.5 |

---

---

| | | |
|:---|:---|:---|
| 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. | 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.© 2025 FMR LLC. All rights reserved. |
| ![](img9036_20250731_1.jpg)<br>| ![](img111731_2.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9918618.100 9036-TSRS-0925 <br>|

---

Item 2.

<u>Code of Ethics</u>

Not applicable.

Item 3.

<u>Audit Committee Financial Expert</u>

Not applicable.

Item 4.

<u>Principal Accountant Fees and Services</u>

Not applicable.

Item 5.

<u>Audit Committee of Listed Registrants</u>

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable

Item 7.

<u>Financial Statements and Financial Highlights for Open-End Management Investment Companies</u>

**Fidelity® Risk Parity Fund**

**Semi-Annual Report**

**July 31, 2025**

Includes Fidelity and Fidelity Advisor share classes

![](img111958_1.jpg)

![](img111958_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7Consolidated_RPF-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Risk Parity Fund](#Sub_Sec_Fund_6513_RPF-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Consolidated Financial Statements](#Sub_Sec_NotestoFinancialStatements6513_RPF-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_RPF-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_RPF-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_RPF-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_RPF-SANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.

The funds or securities referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any related funds.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® Risk Parity Fund**

**Consolidated Schedule of Investments July 31, 2025 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 32.8%** | &nbsp;&nbsp;**Domestic Equity Funds - 32.8%** | &nbsp;&nbsp;**Domestic Equity Funds - 32.8%** |
|  | Shares | Value ($)<br>|
| Fidelity Commodity Strategy Fund (b) | 14019 | 1340198 |
| Fidelity Real Estate Index Fund (b) | 23532 | 384754 |
| Fidelity Small Cap Index Fund (b) | 21366 | 591412 |
| Fidelity Small Cap Value Index Fund (b) | 34890 | 880967 |
| Fidelity Total Market Index Fund (b) | 2407 | 419330 |
| iShares Gold Trust ETF  | 427 | 26478 |
| <br> **TOTAL DOMESTIC EQUITY FUNDS**<br> (Cost $3,367,587) |  | **3643139** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 45.6%** | &nbsp;&nbsp;**Fixed-Income Funds - 45.6%** | &nbsp;&nbsp;**Fixed-Income Funds - 45.6%** |
|  | Shares | Value ($)<br>|
| Fidelity Inflation-Protected Bond Index Fund (b) | 326740 | 3009278 |
| Fidelity International Bond Index Fund (b) | 13133 | 122792 |
| Fidelity Long-Term Treasury Bond Index Fund (b) | 17173 | 157477 |
| iShares J.P. Morgan EM Local Currency Bond ETF  | 20322 | 810035 |
| iShares JP Morgan USD Emerging Markets Bond ETF  | 153 | 14209 |
| iShares US Treasury Bond ETF  | 41700 | 951594 |
| <br> **TOTAL FIXED-INCOME FUNDS**<br> (Cost $4,963,842) |  | **5065385** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**International Equity Funds - 13.7%** | &nbsp;&nbsp;**International Equity Funds - 13.7%** | &nbsp;&nbsp;**International Equity Funds - 13.7%** |
|  | Shares | Value ($)<br>|
| Fidelity Emerging Markets Index Fund (b) | 49069 | 602077 |
| Fidelity International Index Fund (b) | 16527 | 924663 |
| <br> **TOTAL INTERNATIONAL EQUITY FUNDS**<br> (Cost $1,281,720) |  | **1526740** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 0.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.5%** |
|  | Yield (%) (c) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 10/9/2025 (d)<br>(Cost $59,511)<br>| 4.30 | 60000 | **59511** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 7.6%** | &nbsp;&nbsp;**Money Market Funds - 7.6%** | &nbsp;&nbsp;**Money Market Funds - 7.6%** | &nbsp;&nbsp;**Money Market Funds - 7.6%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (e)<br>(Cost $845,590)<br>| 4.33 | 845421 | **845590** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.2%**<br> (Cost $10,518,250)<br>| <br>**11140365** |
| **NET OTHER ASSETS (LIABILITIES) - (0.2)%**  | **(20837)** |
| **NET ASSETS - 100.0%** | **11119528** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Equity Contracts |  |  |  |  |  |
| ICE MSCI EAFE Index Contracts (United States) | 3 | Sep 2025 | 392010 | (7540) | (7540) |
| ICE MSCI Emerging Markets Index Contracts (United States) | 11 | Sep 2025 | 681065 | 13252 | 13252 |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **5712** |
| The notional amount of futures purchased as a percentage of Net Assets is 9.6% | The notional amount of futures purchased as a percentage of Net Assets is 9.6% | The notional amount of futures purchased as a percentage of Net Assets is 9.6% | The notional amount of futures purchased as a percentage of Net Assets is 9.6% | The notional amount of futures purchased as a percentage of Net Assets is 9.6% | The notional amount of futures purchased as a percentage of Net Assets is 9.6% |

---

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Pay/<br> Receive<br> Reference | Reference<br> Payment<br> Frequency | Financing<br> Rate | Financing<br> Frequency | Counterparty | Maturity<br> Date | Units | Notional<br> Amount | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| iShares JP Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.s. Sofr Index minus 90 basis points | Monthly | BNP Paribas SA | Nov 2025 | 5594 | 516997 | 1071 | 0 | 1071 |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.s. Sofr Index minus 95 basis points | Monthly | BNP Paribas SA | Nov 2025 | 2096 | 168036 | (29) | 0 | (29) |
| Invesco Senior Loan ETF | Receives | Monthly | U.s. Sofr Index minus 5 basis points | Monthly | BNP Paribas SA | Nov 2025 | 6683 | 139875 | (498) | 0 | (498) |
| iShares TIPS Bond ETF | Receives | Monthly | U.s. Sofr Index plus 35 basis points | Monthly | BNP Paribas SA | Nov 2025 | 1688 | 185005 | (599) | 0 | (599) |
| iShares 20+ Year Treasury Bond ETF | Receives | Monthly | U.s. Sofr Index plus 25 basis points | Monthly | BNP Paribas SA | Nov 2025 | 948 | 83557 | (1465) | 0 | (1465) |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.s. Sofr Index minus 90 basis points | Monthly | BNP Paribas SA | Sep 2025 | 401 | 32148 | (7) | 0 | (7) |
| Invesco Senior Loan ETF | Receives | Monthly | U.s. Sofr Index plus 20 basis points | Monthly | BNP Paribas SA | Sep 2025 | 2904 | 60781 | (229) | 0 | (229) |
| iShares TIPS Bond ETF | Receives | Monthly | U.s. Sofr Index plus 40 basis points | Monthly | BNP Paribas SA | Sep 2025 | 771 | 84502 | (277) | 0 | (277) |
| Invesco Senior Loan ETF | Receives | Monthly | U.s. Sofr Index minus 15 basis points | Monthly | BNP Paribas SA | Oct 2025 | 3615 | 75662 | (263) | 0 | (263) |
| iShares JP Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.s. Sofr Index minus 55 basis points | Monthly | BNP Paribas SA | Oct 2025 | 484 | 44731 | 80 | 0 | 80 |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.s. Sofr Index minus 80 basis points | Monthly | BNP Paribas SA | Oct 2025 | 723 | 57963 | (17) | 0 | (17) |
| iShares 20+ Year Treasury Bond ETF | Receives | Monthly | U.s. Sofr Index plus 33 basis points | Monthly | BNP Paribas SA | Aug 2025 | 863 | 76065 | (1339) | 0 | (1339) |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.s. Sofr Index minus 90 basis points | Monthly | Morgan Stanley Capital Services LLC | Aug 2025 | 2765 | 221670 | (47) | 0 | (47) |
| iShares TIPS Bond ETF | Receives | Monthly | U.s. Sofr Index plus 40 basis points | Monthly | Bank of America NA | Aug 2025 | 1702 | 186539 | (611) | 0 | (611) |
| iShares JP Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.s. Sofr Index minus 117 basis points | Monthly | BNP Paribas SA | Aug 2025 | 421 | 38909 | 89 | 0 | 89 |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.s. Sofr Index minus 80 basis points | Monthly | Morgan Stanley Capital Services LLC | Aug 2025 | 539 | 43212 | (13) | 0 | (13) |
| Invesco Senior Loan ETF | Receives | Monthly | U.s. Sofr Index minus 80 basis points | Monthly | Morgan Stanley Capital Services LLC | Aug 2025 | 5130 | 107371 | (316) | 0 | (316) |
| iShares JP Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.s. Sofr Index minus 70 basis points | Monthly | BNP Paribas SA | Aug 2025 | 467 | 43160 | 82 | 0 | 82 |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.s. Sofr Index minus 55 basis points | Monthly | Morgan Stanley Capital Services LLC | Aug 2025 | 984 | 78887 | (40) | 0 | (40) |
| Invesco Senior Loan ETF | Receives | Monthly | U.s. Sofr Index minus 10 basis points | Monthly | Goldman Sachs International | Dec 2025 | 11596 | 242704 | (856) | 0 | (856) |
| iShares TIPS Bond ETF | Receives | Monthly | U.s. Sofr Index plus 40 basis points | Monthly | Goldman Sachs International | Jun 2026 | 4235 | 464156 | (1522) | 0 | (1522) |
| SPDR Gold Shares (Hong Kong) | Receives | Monthly | U.s. Sofr Index plus 20 basis points | Monthly | Morgan Stanley Capital Services LLC | Dec 2025 | 342 | 105182 | (1973) | 0 | (1973) |
| iShares JP Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.s. Sofr Index minus 25 basis points | Monthly | Goldman Sachs International | Jan 2026 | 341 | 31522 | 43 | 0 | 43 |
| iShares 20+ Year Treasury Bond ETF | Receives | Monthly | U.s. Sofr Index plus 30 basis points | Monthly | Bank of America NA | Oct 2025 | 960 | 84633 | (1506) | 0 | (1506) |
| iShares TIPS Bond ETF | Receives | Monthly | U.s. Sofr Index plus 30 basis points | Monthly | Bank of America NA | Oct 2025 | 1445 | 158400 | (519) | 0 | (519) |
| SPDR Gold Shares | Receives | Monthly | U.s. Sofr Index plus 30 basis points | Monthly | Goldman Sachs International | Jan 2026 | 3000 | 922709 | (17275) | 0 | (17275) |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.s. Sofr Index minus 35 basis points | Monthly | Morgan Stanley Capital Services LLC | Jan 2026 | 13612 | 1091539 | (913) | 0 | (913) |
| Invesco Senior Loan ETF | Receives | Monthly | U.s. Sofr Index minus 10 basis points | Monthly | Goldman Sachs International | Jan 2026 | 52592 | 1101981 | (4992) | 0 | (4992) |
| Invesco Senior Loan ETF | Receives | Monthly | U.s. Sofr Index minus 10 basis points | Monthly | Goldman Sachs International | Feb 2026 | 1872 | 39217 | (73) | 0 | (73) |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.s. Sofr Index minus 40 basis points | Monthly | Morgan Stanley Capital Services LLC | Feb 2026 | 386 | 31081 | (81) | 0 | (81) |
| **TOTAL RETURN SWAPS** |  |  |  |  |  |  |  |  | **(34095)** | **0** | **(34095)** |

---

Notional Amounts are stated in United States dollars unless otherwise noted.

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Affiliated Fund

(c) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(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 $59,511.

(e) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 690581 | 1254913 | 1099904 | 18019 | - | - | 845590 | 845421 | 0.0% |
| Total | 690581 | 1254913 | 1099904 | 18019 | - | - | 845590 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Affiliated Underlying Funds**

Fiscal year to date information regarding the Fund's investments in affiliated underlying funds is presented below. Exchanges between classes of the same affiliated underlying funds may occur. If an underlying fund changes its name, the name presented below is the name in effect at period end.

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Commodity Strategy Fund | 847761 | 554952 | 59955 | - | 227 | (2787) | 1340198 | 14019 |
| Fidelity Emerging Markets Index Fund | 289903 | 354354 | 103399 | - | 1429 | 59790 | 602077 | 49069 |
| Fidelity Inflation-Protected Bond Index Fund | 2547233 | 1113664 | 715146 | 33346 | (976) | 64503 | 3009278 | 326740 |
| Fidelity International Bond Index Fund | 102532 | 180079 | 159367 | 578 | (1598) | 1146 | 122792 | 13133 |
| Fidelity International Index Fund | 534207 | 418547 | 107850 | - | (213) | 79972 | 924663 | 16527 |
| Fidelity Long-Term Treasury Bond Index Fund | 166603 | 94147 | 103447 | 2233 | (5221) | 5395 | 157477 | 17173 |
| Fidelity Real Estate Index Fund | 270323 | 134906 | 20532 | 1818 | (174) | 231 | 384754 | 23532 |
| Fidelity Small Cap Index Fund | 413044 | 228026 | 51189 | - | (2028) | 3559 | 591412 | 21366 |
| Fidelity Small Cap Value Index Fund | 610975 | 345408 | 68145 | - | (2857) | (4414) | 880967 | 34890 |
| Fidelity Total Market Index Fund | 659054 | 196601 | 438668 | 423 | 41622 | (39279) | 419330 | 2407 |
|  | 6441635 | 3620684 | 1827698 | 38398 | 30211 | 168116 | 8432948 |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of July 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Consolidated Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Domestic Equity Funds** | 3643139 | 3643139 | - | - |
|  **Fixed-Income Funds** | 5065385 | 5065385 | - | - |
|  **International Equity Funds** | 1526740 | 1526740 | - | - |
|  **U.S. Treasury Obligations** | 59511 | - | 59511 | - |
|  **Money Market Funds** | 845590 | 845590 | - | - |
| **Total Investments in Securities:** | 11140365 | 11080854 | 59511 | - |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 13252 | 13252 | - | - |
| Swaps | 1365 | - | 1365 | - |
| Total Assets | 14617 | 13252 | 1365 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (7540) | (7540) | - | - |
| Swaps | (35460) | - | (35460) | - |
| Total Liabilities | (43000) | (7540) | (35460) | - |
| **Total Derivative Instruments:** | (28383) | 5712 | (34095) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Commodity Risk** |  |  |
| Swaps (a)  | 0 | (19248) |
| **Total Commodity Risk**  | 0 | (19248) |
| **Credit Risk** |  |  |
| Swaps (a)  | 1365 | (8374) |
| **Total Credit Risk**  | 1365 | (8374) |
| **Equity Risk** |  |  |
| Futures Contracts (b)  | 13252 | (7540) |
| **Total Equity Risk**  | 13252 | (7540) |
| **Interest Rate Risk** |  |  |
| Swaps (a)  | 0 | (7838) |
| **Total Interest Rate Risk**  | 0 | (7838) |
| **Total Value of Derivatives** | 14617 | (43000) |

---

(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

**Consolidated Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Assets and Liabilities** | **Consolidated Statement of Assets and Liabilities** | **Consolidated Statement of Assets and Liabilities** |
| <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $1,808,083) | $1861827 |  |
| Fidelity Central Funds (cost $845,590) | 845590 |  |
| Other affiliated issuers (cost $7,864,577) | 8432948 |  |
| Total Investment in Securities (cost $10,518,250) |  | $11140365 |
| Cash |  | 24862 |
| Receivable for fund shares sold |  | 25075 |
| Dividends receivable |  | 505 |
| Distributions receivable from Fidelity Central Funds |  | 3203 |
| Bi-lateral OTC swaps, at value |  | 1365 |
| Receivable from investment adviser for expense reductions |  | 229 |
| **Total assets** |  | 11195604 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $24253 |  |
| Payable for fund shares redeemed | 621 |  |
| Bi-lateral OTC swaps, at value | 35460 |  |
| Accrued management fee | 5486 |  |
| Distribution and service plan fees payable | 1941 |  |
| Payable for daily variation margin on futures contracts | 8315 |  |
| **Total liabilities** |  | 76076 |
| **Net Assets**  |  | $11119528 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $10638995 |
| Total accumulated earnings (loss) |  | 480533 |
| **Net Assets** |  | $11119528 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($1,325,532 ÷ 128,243 shares)(a) |  | $10.34 |
| Maximum offering price per share (100/94.25 of $10.34) |  | $10.97 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($1,601,167 ÷ 155,093 shares)(a) |  | $10.32 |
| Maximum offering price per share (100/96.50 of $10.32) |  | $10.69 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($1,173,090 ÷ 113,623 shares)(a) |  | $10.32 |
| **Fidelity Risk Parity Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($4,462,214 ÷ 434,230 shares) |  | $10.28 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,351,647 ÷ 130,786 shares) |  | $10.33 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,205,878 ÷ 116,609 shares) |  | $10.34 |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* |

---

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Operations** | **Consolidated Statement of Operations** | **Consolidated Statement of Operations** |
| **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends (including $38,398 earned from affiliated issuers) |  | $51397 |
| Interest  |  | 1152 |
| Income from Fidelity Central Funds  |  | 18019 |
| **Total income** |  | 70568 |
| **Expenses** |  |  |
| Management fee | $28584 |  |
| Distribution and service plan fees | 10811 |  |
| Independent trustees' fees and expenses | 1967 |  |
| Total expenses before reductions | 41362 |  |
| Expense reductions | (2462) |  |
| Total expenses after reductions |  | 38900 |
| **Net Investment income (loss)** |  | 31668 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 5155 |  |
| Affiliated issuers | 30211 |  |
| Futures contracts | 96017 |  |
| Swaps | 270040 |  |
| Total net realized gain (loss) |  | 401423 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers | 45461 |  |
| Affiliated issuers  | 168116 |  |
| Futures contracts | 14897 |  |
| Swaps | (82119) |  |
| Total change in net unrealized appreciation (depreciation) |  | 146355 |
| **Net gain (loss)** |  | 547778 |
| **Net increase (decrease) in net assets resulting from operations** |  | $579446 |

---

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Changes in Net Assets** | **Consolidated Statement of Changes in Net Assets** | **Consolidated Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)** | **Year ended**<br> **January 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $31668 | $193295 |
| &nbsp;&nbsp;Net realized gain (loss) | 401423<br>| 254442<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 146355 | 382391<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 579446<br>| 830128<br>|
| Distributions to shareholders | (158058)<br>| (366124)<br>|
| Share transactions - net increase (decrease) | 2347683<br>| 296319<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 2769071<br>| 760323<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 8350457 | 7590134<br>|
| &nbsp;&nbsp;End of period | $11119528 | $8350457 |

---

**Consolidated Financial Highlights** 

**Fidelity Advisor® Risk Parity Fund Class A**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.93 | $9.35 | $9.64 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .03  | .24  | .25  | .86  |
| Net realized and unrealized gain (loss)  | .57  | .79  | (.22)  | (.60)  |
| Total from investment operations  | .60  | 1.03  | .03  | .26  |
| Distributions from net investment income  | (.19)  | (.45)  | (.32)  | (.62)  |
| Total distributions  | (.19)  | (.45)  | (.32)  | (.62)  |
| Net asset value, end of period  | $10.34 | $9.93 | $9.35 | $9.64 |
| **Total Return** D,E,F | 6.09% <br>| 11.17%  | .50%  | 2.90%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | .89% I | .89%  | .95%  | 2.40% I |
| Expenses net of fee waivers, if any  | .85% I<br>| .85%  | .85%  | .85% I |
| Expenses net of all reductions, if any  | .84% I | .83%  | .84%  | .84% I |
| Net investment income (loss)  | .62% I | 2.41%  | 2.74%  | 15.39% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1326 | $1134 | $1015 | $1009 |
| Portfolio turnover rate J | 52% I<br>| 82%  | 84%  | 163% I |

---

A*For the period July 7, 2022 (commencement of operations) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Total returns do not include the effect of the sales charges.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity Advisor® Risk Parity Fund Class M**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.93 | $9.35 | $9.64 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .02  | .21  | .23  | .84  |
| Net realized and unrealized gain (loss)  | .55  | .80  | (.23)  | (.60)  |
| Total from investment operations  | .57  | 1.01  | - D  | .24  |
| Distributions from net investment income  | (.18)  | (.43)  | (.29)  | (.60)  |
| Total distributions  | (.18)  | (.43)  | (.29)  | (.60)  |
| Net asset value, end of period  | $10.32 | $9.93 | $9.35 | $9.64 |
| **Total Return** E,F,G | 5.86% <br>| 11.01%  | .15%  | 2.77%  |
| **Ratios to Average Net Assets** C,H,I |  |  |  |  |
| Expenses before reductions  | 1.14% J | 1.14%  | 1.20%  | 2.65% J |
| Expenses net of fee waivers, if any  | 1.10% J<br>| 1.10%  | 1.10%  | 1.10% J |
| Expenses net of all reductions, if any  | 1.09% J | 1.08%  | 1.09%  | 1.09% J |
| Net investment income (loss)  | .38% J | 2.16%  | 2.49%  | 15.09% J |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1601 | $1128 | $1013 | $1008 |
| Portfolio turnover rate K | 52% J<br>| 82%  | 84%  | 163% J |

---

A*For the period July 7, 2022 (commencement of operations) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Amount represents less than $.005 per share.*

E*Total returns for periods of less than one year are not annualized.*

F*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

G*Total returns do not include the effect of the sales charges.*

H*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

I*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

J*Annualized.*

K*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity Advisor® Risk Parity Fund Class C**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.95 | $9.37 | $9.64 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | (.01)  | .16  | .18  | .82  |
| Net realized and unrealized gain (loss)  | .56  | .79  | (.22)  | (.60)  |
| Total from investment operations  | .55  | .95  | (.04)  | .22  |
| Distributions from net investment income  | (.18)  | (.37)  | (.23)  | (.58)  |
| Total distributions  | (.18)  | (.37)  | (.23)  | (.58)  |
| Net asset value, end of period  | $10.32 | $9.95 | $9.37 | $9.64 |
| **Total Return** D,E,F | 5.61% <br>| 10.34%  | (.30)%  | 2.52%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | 1.64% I | 1.64%  | 1.70%  | 3.15% I |
| Expenses net of fee waivers, if any  | 1.60% I<br>| 1.60%  | 1.60%  | 1.60% I |
| Expenses net of all reductions, if any  | 1.59% I | 1.58%  | 1.59%  | 1.59% I |
| Net investment income (loss)  | (.13)% I | 1.66%  | 1.99%  | 14.60% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1173 | $1111 | $1002 | $1008 |
| Portfolio turnover rate J | 52% I<br>| 82%  | 84%  | 163% I |

---

A*For the period July 7, 2022 (commencement of operations) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Total returns do not include the effect of the contingent deferred sales charge.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity® Risk Parity Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.87 | $9.29 | $9.60 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .04  | .26  | .27  | .27  |
| Net realized and unrealized gain (loss)  | .56  | .79  | (.22)  | (.04)  |
| Total from investment operations  | .60  | 1.05  | .05  | .23  |
| Distributions from net investment income  | (.19)  | (.47)  | (.36)  | (.63)  |
| Total distributions  | (.19)  | (.47)  | (.36)  | (.63)  |
| Net asset value, end of period  | $10.28 | $9.87 | $9.29 | $9.60 |
| **Total Return** D,E | 6.15% <br>| 11.54%  | .70%  | 2.63%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .64% H | .64%  | .70%  | 1.26% H |
| Expenses net of fee waivers, if any  | .60% H<br>| .60%  | .60%  | .60% H |
| Expenses net of all reductions, if any  | .59% H | .58%  | .59%  | .58% H |
| Net investment income (loss)  | .88% H | 2.66%  | 2.98%  | 7.06% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $4462 | $2593 | $2403 | $2036 |
| Portfolio turnover rate I | 52% H<br>| 82%  | 84%  | 163% H |

---

A*For the period September 1, 2022 (commencement of sale of shares) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity Advisor® Risk Parity Fund Class I**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.92 | $9.34 | $9.64 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .04  | .26  | .27  | .88  |
| Net realized and unrealized gain (loss)  | .56  | .79  | (.21)  | (.61)  |
| Total from investment operations  | .60  | 1.05  | .06  | .27  |
| Distributions from net investment income  | (.19)  | (.47)  | (.36)  | (.63)  |
| Total distributions  | (.19)  | (.47)  | (.36)  | (.63)  |
| Net asset value, end of period  | $10.33 | $9.92 | $9.34 | $9.64 |
| **Total Return** D,E | 6.12% <br>| 11.45%  | .76%  | 3.02%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .64% H | .64%  | .70%  | 2.18% H |
| Expenses net of fee waivers, if any  | .60% H<br>| .60%  | .60%  | .60% H |
| Expenses net of all reductions, if any  | .59% H | .58%  | .59%  | .59% H |
| Net investment income (loss)  | .87% H | 2.66%  | 2.99%  | 15.81% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1352 | $1250 | $1139 | $1141 |
| Portfolio turnover rate I | 52% H<br>| 82%  | 84%  | 163% H |

---

A*For the period July 7, 2022 (commencement of operations) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity Advisor® Risk Parity Fund Class Z**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.93 | $9.34 | $9.65 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .05  | .27  | .28  | .97  |
| Net realized and unrealized gain (loss)  | .55  | .80  | (.23)  | (.69)  |
| Total from investment operations  | .60  | 1.07  | .05  | .28  |
| Distributions from net investment income  | (.19)  | (.48)  | (.36)  | (.63)  |
| Total distributions  | (.19)  | (.48)  | (.36)  | (.63)  |
| Net asset value, end of period  | $10.34 | $9.93 | $9.34 | $9.65 |
| **Total Return** D,E | 6.13% <br>| 11.63%  | .70%  | 3.13%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .59% H | .59%  | .65%  | 2.23% H |
| Expenses net of fee waivers, if any  | .55% H<br>| .55%  | .55%  | .55% H |
| Expenses net of all reductions, if any  | .54% H | .53%  | .54%  | .54% H |
| Net investment income (loss)  | .92% H | 2.71%  | 3.04%  | 17.34% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1206 | $1136 | $1018 | $1011 |
| Portfolio turnover rate I | 52% H<br>| 82%  | 84%  | 163% H |

---

A*For the period July 7, 2022 (commencement of operations) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Notes to Consolidated Financial Statements** **(Unaudited)**

For the period ended July 31, 2025

**1. Organization.**

Fidelity Risk Parity Fund (the Fund) is a fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund offers Class A, Class M, Class C, Fidelity Risk Parity Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

**2. Consolidated Subsidiary.**

The Funds included in the table below hold certain commodity-related investments through a wholly owned subsidiary (the "Subsidiary"). As of period end, the investments in the Subsidiaries, were as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Subsidiary Name** | **Net Assets of Subsidiary ($)** | **% of Fund's Total Assets** |
| **Fidelity Risk Parity Fund** | Fidelity Risk Parity Cayman Ltd. | 347672 | 3.1 |

---

The financial statements have been consolidated to include the Subsidiary accounts where applicable. Accordingly, all inter-company transactions and balances have been eliminated.

**3. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Consolidated Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**4. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the consolidated financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the consolidated financial statements and consolidated financial highlights. Subsequent events, if any, through the date that the consolidated financial statements were issued have been evaluated in the preparation of the consolidated financial statements. The Fund's Consolidated Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in commodities are valued at their last traded price at 4:00 p.m. Eastern time each business day and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2025 is included at the end of the Fund's Consolidated Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying consolidated financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

The Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Internal Revenue Code. Therefore, the Fund is required to increase its taxable income by its share of the Subsidiary's income. Net investment losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the consolidated financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts, swaps, controlled foreign corporations, capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $728965 |
| **Gross unrealized depreciation** | <u>(206902)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$522063</u> |
| **Tax cost** | <u>$10589919</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(385102) |
| Long-term | <u>(61229)</u> |
| **Total capital loss carryforward** | <u>$(446331)</u> |

---

**New Accounting Pronouncement.** In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the consolidated financial statements.

**5. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.<br>|
| 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.<br>|
| 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.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Consolidated Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Consolidated Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Consolidated Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Risk Parity Fund** |  |  |
| **Commodity Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>166800</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(57899)</u> |
| **Total Commodity Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>166800</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(57899)</u> |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>98134</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(16560)</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>98134</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(16560)</u> |
| **Equity Risk** |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>96017</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>14897</u> |
| **Total Equity Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>96017</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>14897</u> |
| **Interest Rate Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>5106</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>(7660)</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>5106</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>(7660)</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>366057</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(67222)</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Consolidated Schedule of Investments.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Consolidated Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Consolidated Statement of Operations.

Any open futures contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Risk Parity Fund** | 1035419 |

---

Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Consolidated Schedule of Investments.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Consolidated Statement of Operations.

Any open swaps at period end are included in the Consolidated Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Risk Parity Fund** | 5411266 |

---

**Total Return Swaps.** Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty at the specified payment frequency. A fund enters into total return swaps to manage its market exposure.

**6. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Risk Parity Fund** | 4746024 | 2274762 |

---

**7. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which each class of the Fund pays a monthly management fee. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees, distribution and service plan fees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses. During the period, the management fee for each class of the Fund was as follows:

---

| | |
|:---|:---|
|  | **Annual % of Class-Level Average Net Assets** |
| **Class A** | .60% |
| **Class M** | .60% |
| **Class C** | .60% |
| **Fidelity Risk Parity Fund** | .60% |
| **Class I** | .60% |
| **Class Z** | .55% |

---

The investment adviser also provides investment management services to the Subsidiary. The Subsidiary does not pay the investment adviser a fee for these services. The Subsidiary pays certain other expenses, such as custody fees.

**Distribution and Service Plan Fees.** In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee** | **Service Fee** | **Total Fees ($)** | **Retained by FDC ($)** |
| **Class A**  | - % | .25% | 1532 | 1442 |
| **Class M** | .25% | .25% | 3594 | 2852 |
| **Class C** | .75% | .25% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>5685</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>5655</u> |
|  |  |  | <u>10811</u> | <u>9949</u> |

---

**Sales Load.** FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.

For the period, sales charge amounts retained by FDC were as follows:

---

| | |
|:---|:---|
|  | **Retained by FDC ($)** |
| **Class A** | 368 |
| **Class M** | <u>8</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>376</u> |

---

**Brokerage Commissions.** A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Consolidated Statement of Operations. The commissions paid to these affiliated firms were as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Risk Parity Fund** | 11 |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**8. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are borne by the investment adviser.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

**9. Expense Reductions.**

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through May 31, 2026. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

---

| | | |
|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** |
| **Class A** | .85% | 246 |
| **Class M** | 1.10% | 273 |
| **Class C** | 1.60% | 230 |
| **Fidelity Risk Parity Fund** | .60% | 685 |
| **Class I** | .60% | 260 |
| **Class Z** | .55% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>234</u> |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>1928</u> |

---

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $534.

**10. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Six months ended** <br> **July 31, 2025** | **Year ended**<br> **January 31, 2025** |
| **Fidelity Risk Parity Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $21235 | $48922 |
| Class M | 20792 | 52423 |
| Class C | 20086 | 40415 |
| Fidelity Risk Parity Fund | 50641 | 114985 |
| Class I | 23680 | 57105 |
| Class Z | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>21624</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>52274</u> |
| Total  | <u>$158058</u> | <u>$366124</u> |

---

**11. Share Transactions.**

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares** | **Shares** | **Dollars** | **Dollars** |
|  | **Six months ended** <br> **July 31, 2025**  | **Year ended**<br> **January 31, 2025** | **Six months ended** <br> **July 31, 2025**  | **Year ended**<br> **January 31, 2025** |
| **Fidelity Risk Parity Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 11973 | 491 | $117757 | $4850 |
| Reinvestment of distributions | 2154 | 5093 | 21235 | 48921 |
| Shares redeemed | <u>(10)</u> | <u>(39)</u> | <u>(100)</u> | <u>(396)</u> |
| Net increase (decrease) | <u>14117</u> | <u>5545</u> | <u>$138892</u> | <u>$53375</u> |
| **Class M** |  |  |  |  |
| Shares sold | 39400 | 17293 | $390406 | $176928 |
| Reinvestment of distributions | 2109 | 5454 | 20792 | 52423 |
| Shares redeemed | <u>-</u> | <u>(17502)</u> | <u>-</u> | <u>(173321)</u> |
| Net increase (decrease) | <u>41509</u> | <u>5245</u> | <u>$411198</u> | <u>$56030</u> |
| **Class C** |  |  |  |  |
| Shares sold | 806 | 508 | $8000 | $4791 |
| Reinvestment of distributions | 2033 | 4198 | 20086 | 40415 |
| Shares redeemed | <u>(806)</u> | <u>(137)</u> | <u>(8230)</u> | <u>(1338)</u> |
| Net increase (decrease) | <u>2033</u> | <u>4569</u> | <u>$19856</u> | <u>$43868</u> |
| **Fidelity Risk Parity Fund** |  |  |  |  |
| Shares sold | 249313 | 73878 | $2487264 | $733505 |
| Reinvestment of distributions | 1758 | 3225 | 17206 | 30792 |
| Shares redeemed | <u>(79674)</u> | <u>(72962)</u> | <u>(795400)</u> | <u>(711130)</u> |
| Net increase (decrease) | <u>171397</u> | <u>4141</u> | <u>$1709070</u> | <u>$53167</u> |
| **Class I** |  |  |  |  |
| Shares sold | 11567 | - | $115006 | $- |
| Reinvestment of distributions | 2404 | 5951 | 23680 | 57105 |
| Shares redeemed | <u>(9146)</u> | <u>(2000)</u> | <u>(91643)</u> | <u>(19500)</u> |
| Net increase (decrease) | <u>4825</u> | <u>3951</u> | <u>$47043</u> | <u>$37605</u> |
| **Class Z** |  |  |  |  |
| Shares sold | - | - | $4 | $- |
| Reinvestment of distributions | 2195 | 5447 | 21624 | 52274 |
| Shares redeemed | <u>-</u> | <u>-</u> | <u>(4)</u> | <u>-</u> |
| Net increase (decrease) | <u>2195</u> | <u>5447</u> | <u>$21624</u> | <u>$52274</u> |

---

**12. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:

---

| | |
|:---|:---|
| **Fund** | **Affiliated %**  |
| Fidelity Risk Parity Fund | 54% |

---

**13. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the consolidated financial statements for each Fund as part of Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img111958_4.jpg)<br>

1.9906093.103 RPF-SANN-0925

**Fidelity® Hedged Equity Fund**

**Semi-Annual Report**

**July 31, 2025**

Includes Fidelity and Fidelity Advisor share classes

![](img111959_1.jpg)

![](img111959_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_FHE-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Hedged Equity Fund](#Sub_Sec_Fund_6875_FHE-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements6875_FHE-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_FHE-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_FHE-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_FHE-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_FHE-SANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® Hedged Equity Fund**

**Schedule of Investments July 31, 2025 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 93.8%** | &nbsp;&nbsp;**Common Stocks - 93.8%** | &nbsp;&nbsp;**Common Stocks - 93.8%** |
|  | Shares | Value ($)<br>|
| BELGIUM - 0.0%  |  |  |
| Communication Services - 0.0% |  |  |
| Diversified Telecommunication Services - 0.0% |  |  |
| Liberty Global Ltd Class A (a) | 14171 | 141993 |
| BERMUDA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Insurance - 0.0% |  |  |
| RenaissanceRe Holdings Ltd  | 525 | 127964 |
| BRAZIL - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| NU Holdings Ltd/Cayman Islands Class A (a) | 6579 | 80395 |
| Capital Markets - 0.0% |  |  |
| XP Inc Class A  | 3615 | 58346 |
| TOTAL BRAZIL |  | 138741 |
| CANADA - 0.1%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Hotels, Restaurants & Leisure - 0.0% |  |  |
| Restaurant Brands International Inc (United States)  | 2185 | 148274 |
| Financials - 0.1% |  |  |
| Capital Markets - 0.1% |  |  |
| Brookfield Asset Management Ltd Class A (United States)  | 5409 | 333573 |
| Industrials - 0.0% |  |  |
| Commercial Services & Supplies - 0.0% |  |  |
| RB Global Inc (United States)  | 1273 | 137815 |
| TOTAL CANADA |  | 619662 |
| KOREA (SOUTH) - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Broadline Retail - 0.0% |  |  |
| Coupang Inc Class A (a) | 5845 | 172018 |
| MEXICO - 0.0%  |  |  |
| Materials - 0.0% |  |  |
| Metals & Mining - 0.0% |  |  |
| Southern Copper Corp  | 1473 | 138698 |
| SWEDEN - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Automobile Components - 0.0% |  |  |
| Autoliv Inc  | 805 | 89797 |
| SWITZERLAND - 0.5%  |  |  |
| Information Technology - 0.5% |  |  |
| Electronic Equipment, Instruments & Components - 0.5% |  |  |
| TE Connectivity PLC  | 8228 | 1692911 |
| UNITED KINGDOM - 0.1%  |  |  |
| Consumer Discretionary - 0.1% |  |  |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| Flutter Entertainment PLC (a) | 783 | 236670 |
| UNITED STATES - 93.1%  |  |  |
| Communication Services - 9.2% |  |  |
| Diversified Telecommunication Services - 0.6% |  |  |
| Frontier Communications Parent Inc (a) | 4554 | 167314 |
| Iridium Communications Inc  | 2602 | 63645 |
| Verizon Communications Inc  | 60028 | 2566797 |
|  |  | 2797756 |
| Entertainment - 1.6% |  |  |
| Liberty Media Corp-Liberty Formula One Class A (a) | 884 | 79666 |
| Netflix Inc (a) | 3667 | 4251520 |
| ROBLOX Corp Class A (a) | 1684 | 232038 |
| Spotify Technology SA (a) | 292 | 182950 |
| Walt Disney Co/The  | 17737 | 2112654 |
| Warner Music Group Corp Class A  | 2584 | 75608 |
|  |  | 6934436 |
| Interactive Media & Services - 6.8% |  |  |
| Alphabet Inc Class A  | 83378 | 16000238 |
| Meta Platforms Inc Class A  | 17274 | 13360403 |
| Pinterest Inc Class A (a) | 3843 | 148340 |
|  |  | 29508981 |
| Media - 0.2% |  |  |
| Fox Corp Class A  | 12765 | 711776 |
| Trade Desk Inc (The) Class A (a) | 1723 | 149832 |
|  |  | 861608 |
| TOTAL COMMUNICATION SERVICES |  | 40102781 |
| Consumer Discretionary - 9.6% |  |  |
| Automobile Components - 0.0% |  |  |
| Gentex Corp  | 2324 | 61400 |
| Lear Corp  | 905 | 85332 |
|  |  | 146732 |
| Automobiles - 1.7% |  |  |
| Ford Motor Co  | 67094 | 742731 |
| Harley-Davidson Inc  | 1786 | 43453 |
| Tesla Inc (a) | 21718 | 6695008 |
|  |  | 7481192 |
| Broadline Retail - 4.0% |  |  |
| Amazon.com Inc (a) | 74487 | 17438152 |
| Etsy Inc (a) | 1730 | 100807 |
| Macy's Inc  | 3686 | 46554 |
| Ollie's Bargain Outlet Holdings Inc (a) | 602 | 82251 |
|  |  | 17667764 |
| Diversified Consumer Services - 0.1% |  |  |
| H&R Block Inc  | 2691 | 146229 |
| Service Corp International/US  | 2273 | 173453 |
|  |  | 319682 |
| Hotels, Restaurants & Leisure - 1.8% |  |  |
| Airbnb Inc Class A (a) | 5986 | 792606 |
| Aramark  | 4601 | 195819 |
| Boyd Gaming Corp  | 2324 | 197308 |
| Choice Hotels International Inc (b) | 770 | 98337 |
| Churchill Downs Inc  | 894 | 95694 |
| DoorDash Inc Class A (a) | 4417 | 1105354 |
| DraftKings Inc Class A (a) | 2624 | 118185 |
| Hilton Worldwide Holdings Inc  | 6156 | 1650300 |
| Hyatt Hotels Corp Class A (b) | 1322 | 186362 |
| Light & Wonder Inc Class A (a) | 1060 | 102099 |
| McDonald's Corp  | 8744 | 2623812 |
| Planet Fitness Inc Class A (a) | 759 | 82875 |
| Texas Roadhouse Inc  | 1315 | 243446 |
| Travel + Leisure Co  | 1663 | 98533 |
| Vail Resorts Inc  | 405 | 60855 |
| Viking Holdings Ltd (a) | 1450 | 85144 |
| Wendy's Co/The  | 3781 | 37243 |
| Wyndham Hotels & Resorts Inc  | 2095 | 180170 |
|  |  | 7954142 |
| Household Durables - 0.2% |  |  |
| KB Home  | 1359 | 75098 |
| Somnigroup International Inc  | 2771 | 200565 |
| Taylor Morrison Home Corp (a) | 2620 | 155314 |
| Toll Brothers Inc  | 2594 | 307026 |
| Whirlpool Corp  | 684 | 56799 |
|  |  | 794802 |
| Specialty Retail - 1.5% |  |  |
| AutoNation Inc (a) | 666 | 128298 |
| Bath & Body Works Inc  | 2938 | 85084 |
| Burlington Stores Inc (a) | 758 | 206904 |
| Carvana Co Class A (a) | 288 | 112369 |
| Chewy Inc Class A (a) | 2810 | 103127 |
| Dick's Sporting Goods Inc  | 882 | 186552 |
| Floor & Decor Holdings Inc Class A (a) | 1217 | 93271 |
| Home Depot Inc/The  | 10848 | 3986749 |
| Lithia Motors Inc Class A  | 420 | 120960 |
| Murphy USA Inc  | 400 | 144992 |
| Ross Stores Inc  | 8645 | 1180388 |
| Valvoline Inc (a)(b) | 1735 | 61159 |
|  |  | 6409853 |
| Textiles, Apparel & Luxury Goods - 0.3% |  |  |
| NIKE Inc Class B  | 15292 | 1142160 |
| Skechers USA Inc Class A (a) | 1296 | 81972 |
| VF Corp (b) | 6446 | 75547 |
|  |  | 1299679 |
| TOTAL CONSUMER DISCRETIONARY |  | 42073846 |
| Consumer Staples - 5.1% |  |  |
| Beverages - 0.6% |  |  |
| Coca-Cola Co/The  | 39731 | 2697338 |
| Coca-Cola Consolidated Inc  | 700 | 78224 |
|  |  | 2775562 |
| Consumer Staples Distribution & Retail - 1.8% |  |  |
| Albertsons Cos Inc Class A  | 4429 | 85125 |
| BJ's Wholesale Club Holdings Inc (a) | 1458 | 154402 |
| Casey's General Stores Inc  | 324 | 168522 |
| Costco Wholesale Corp  | 3947 | 3708760 |
| Performance Food Group Co (a) | 550 | 55220 |
| US Foods Holding Corp (a) | 2468 | 205658 |
| Walmart Inc  | 37370 | 3661513 |
|  |  | 8039200 |
| Food Products - 0.6% |  |  |
| Conagra Brands Inc  | 25598 | 467419 |
| Flowers Foods Inc  | 2274 | 36043 |
| Hershey Co/The  | 4050 | 753827 |
| Hormel Foods Corp  | 10827 | 304130 |
| Ingredion Inc  | 1158 | 152323 |
| Kellanova  | 10906 | 870626 |
| Post Holdings Inc (a) | 1553 | 164323 |
|  |  | 2748691 |
| Household Products - 1.2% |  |  |
| Colgate-Palmolive Co  | 19185 | 1608662 |
| Procter & Gamble Co/The  | 22999 | 3460660 |
|  |  | 5069322 |
| Tobacco - 0.9% |  |  |
| Altria Group Inc  | 26668 | 1651816 |
| Philip Morris International Inc  | 12876 | 2112308 |
|  |  | 3764124 |
| TOTAL CONSUMER STAPLES |  | 22396899 |
| Energy - 2.7% |  |  |
| Energy Equipment & Services - 0.2% |  |  |
| Schlumberger NV  | 34903 | 1179721 |
| Oil, Gas & Consumable Fuels - 2.5% |  |  |
| Antero Midstream Corp  | 9240 | 169554 |
| Antero Resources Corp (a) | 2847 | 99446 |
| Cheniere Energy Inc  | 1672 | 394391 |
| Chord Energy Corp  | 1693 | 186789 |
| CNX Resources Corp (a)(b) | 3106 | 94143 |
| Diamondback Energy Inc  | 6143 | 913218 |
| DT Midstream Inc  | 1917 | 196933 |
| Expand Energy Corp  | 4653 | 487541 |
| Exxon Mobil Corp  | 43358 | 4840487 |
| HF Sinclair Corp  | 2605 | 114464 |
| Kinder Morgan Inc  | 39038 | 1095406 |
| Matador Resources Co (b) | 1248 | 62250 |
| Murphy Oil Corp  | 3204 | 79491 |
| Occidental Petroleum Corp  | 27621 | 1213667 |
| Ovintiv Inc  | 9644 | 397140 |
| Permian Resources Corp Class A  | 13417 | 189985 |
| Range Resources Corp  | 4487 | 164763 |
| Viper Energy Inc Class A  | 2219 | 83568 |
|  |  | 10783236 |
| TOTAL ENERGY |  | 11962957 |
| Financials - 13.0% |  |  |
| Banks - 3.4% |  |  |
| Bank of America Corp  | 76280 | 3605756 |
| Comerica Inc  | 1817 | 122775 |
| East West Bancorp Inc  | 850 | 85213 |
| First Citizens BancShares Inc/NC Class A  | 86 | 171549 |
| JPMorgan Chase & Co  | 25541 | 7566266 |
| Wells Fargo & Co  | 37437 | 3018545 |
| Wintrust Financial Corp  | 890 | 113902 |
|  |  | 14684006 |
| Capital Markets - 2.8% |  |  |
| Affiliated Managers Group Inc  | 755 | 158452 |
| Ameriprise Financial Inc  | 2766 | 1433314 |
| Ares Management Corp Class A  | 1969 | 365309 |
| Blackstone Inc  | 10555 | 1825593 |
| Blue Owl Capital Inc Class A  | 4059 | 78541 |
| Carlyle Group Inc/The  | 3373 | 204606 |
| Charles Schwab Corp/The  | 19560 | 1911599 |
| Coinbase Global Inc Class A (a) | 1772 | 669391 |
| Evercore Inc Class A  | 764 | 230071 |
| Franklin Resources Inc  | 19257 | 462168 |
| Houlihan Lokey Inc Class A  | 831 | 158438 |
| Interactive Brokers Group Inc Class A  | 3255 | 213398 |
| Invesco Ltd  | 26993 | 567123 |
| Janus Henderson Group PLC  | 2090 | 90496 |
| Jefferies Financial Group Inc  | 3301 | 190336 |
| Lazard Inc  | 1460 | 75890 |
| LPL Financial Holdings Inc  | 535 | 211716 |
| Morningstar Inc  | 504 | 139336 |
| Nasdaq Inc  | 16190 | 1557802 |
| Northern Trust Corp  | 5503 | 715390 |
| Robinhood Markets Inc Class A (a) | 1597 | 164571 |
| SEI Investments Co  | 3884 | 342258 |
| Stifel Financial Corp  | 1705 | 194575 |
| Tradeweb Markets Inc Class A  | 1531 | 212120 |
| Virtu Financial Inc Class A  | 2924 | 129065 |
|  |  | 12301558 |
| Consumer Finance - 0.1% |  |  |
| Ally Financial Inc  | 4796 | 181529 |
| OneMain Holdings Inc  | 1175 | 67902 |
| SLM Corp  | 3606 | 114671 |
| SoFi Technologies Inc Class A (a) | 3860 | 87159 |
|  |  | 451261 |
| Financial Services - 4.5% |  |  |
| Affirm Holdings Inc Class A (a) | 666 | 45661 |
| Berkshire Hathaway Inc Class B (a) | 16610 | 7837927 |
| Block Inc Class A (a) | 1639 | 126629 |
| Corebridge Financial Inc  | 2598 | 92385 |
| Equitable Holdings Inc  | 5746 | 295057 |
| Mastercard Inc Class A  | 8429 | 4774776 |
| MGIC Investment Corp  | 3708 | 96037 |
| Rocket Cos Inc Class A  | 3424 | 50572 |
| Shift4 Payments Inc Class A (a)(b) | 1003 | 103309 |
| Toast Inc Class A (a) | 2345 | 114530 |
| Visa Inc Class A  | 16611 | 5738602 |
| Voya Financial Inc  | 1149 | 80430 |
| WEX Inc (a) | 293 | 49716 |
|  |  | 19405631 |
| Insurance - 2.0% |  |  |
| AFLAC Inc  | 12944 | 1286116 |
| American Financial Group Inc/OH  | 1408 | 175859 |
| Arthur J Gallagher & Co  | 4834 | 1388567 |
| Axis Capital Holdings Ltd  | 874 | 82016 |
| Brown & Brown Inc  | 8727 | 797386 |
| Fidelity National Financial Inc/US  | 2621 | 147903 |
| Loews Corp  | 12094 | 1094991 |
| Markel Group Inc (a) | 202 | 405675 |
| Old Republic International Corp  | 4383 | 158533 |
| Prudential Financial Inc  | 13358 | 1383622 |
| Reinsurance Group of America Inc  | 825 | 158771 |
| RLI Corp  | 873 | 57608 |
| Ryan Specialty Holdings Inc Class A  | 1061 | 64922 |
| Unum Group  | 1576 | 113173 |
| W R Berkley Corp  | 10463 | 719959 |
| Willis Towers Watson PLC  | 2718 | 858372 |
|  |  | 8893473 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.2% |  |  |
| AGNC Investment Corp  | 12492 | 117799 |
| Annaly Capital Management Inc  | 15923 | 323715 |
| Rithm Capital Corp  | 14652 | 176264 |
| Starwood Property Trust Inc  | 16381 | 318774 |
|  |  | 936552 |
| TOTAL FINANCIALS |  | 56672481 |
| Health Care - 8.2% |  |  |
| Biotechnology - 1.4% |  |  |
| AbbVie Inc  | 17583 | 3323539 |
| Alnylam Pharmaceuticals Inc (a) | 424 | 166310 |
| BioMarin Pharmaceutical Inc (a) | 3025 | 174996 |
| Cytokinetics Inc (a) | 1691 | 63649 |
| Exelixis Inc (a) | 2285 | 82763 |
| Gilead Sciences Inc  | 14564 | 1635392 |
| Halozyme Therapeutics Inc (a) | 1465 | 87856 |
| Ionis Pharmaceuticals Inc (a) | 1162 | 49942 |
| Natera Inc (a) | 449 | 60013 |
| Neurocrine Biosciences Inc (a) | 1295 | 166058 |
| Roivant Sciences Ltd (a) | 15425 | 175228 |
| United Therapeutics Corp (a) | 478 | 131307 |
|  |  | 6117053 |
| Health Care Equipment & Supplies - 1.5% |  |  |
| DENTSPLY SIRONA Inc  | 2325 | 33270 |
| GE HealthCare Technologies Inc  | 7174 | 511650 |
| Globus Medical Inc Class A (a) | 2948 | 155153 |
| Hologic Inc (a) | 9122 | 609532 |
| Intuitive Surgical Inc (a) | 4295 | 2066282 |
| Medtronic PLC  | 23436 | 2114865 |
| Penumbra Inc (a) | 438 | 110494 |
| Teleflex Inc  | 1046 | 124997 |
| Zimmer Biomet Holdings Inc  | 8684 | 795889 |
|  |  | 6522132 |
| Health Care Providers & Services - 1.5% |  |  |
| Chemed Corp  | 316 | 130287 |
| CVS Health Corp  | 13572 | 842821 |
| Encompass Health Corp  | 1417 | 156026 |
| Ensign Group Inc/The  | 796 | 119400 |
| HCA Healthcare Inc  | 3653 | 1293125 |
| Humana Inc  | 1688 | 421781 |
| McKesson Corp  | 1802 | 1249759 |
| Tenet Healthcare Corp (a) | 303 | 48868 |
| UnitedHealth Group Inc  | 8632 | 2154202 |
|  |  | 6416269 |
| Health Care Technology - 0.1% |  |  |
| Veeva Systems Inc Class A (a) | 1040 | 295568 |
| Life Sciences Tools & Services - 0.8% |  |  |
| Avantor Inc (a) | 4054 | 54486 |
| Bio-Rad Laboratories Inc Class A (a)(b) | 258 | 62423 |
| Bruker Corp  | 1532 | 58875 |
| Danaher Corp  | 8620 | 1699519 |
| Illumina Inc (a) | 1115 | 114522 |
| IQVIA Holdings Inc (a) | 4626 | 859788 |
| Medpace Holdings Inc (a) | 397 | 169598 |
| QIAGEN NV (b) | 3091 | 152510 |
| Waters Corp (a) | 1264 | 364993 |
|  |  | 3536714 |
| Pharmaceuticals - 2.9% |  |  |
| Elanco Animal Health Inc (a) | 5867 | 80261 |
| Eli Lilly & Co  | 6518 | 4823776 |
| Jazz Pharmaceuticals PLC (a) | 1178 | 135034 |
| Johnson & Johnson  | 26070 | 4294772 |
| Merck & Co Inc  | 29949 | 2339616 |
| Royalty Pharma PLC Class A  | 5098 | 187606 |
| Zoetis Inc Class A  | 6836 | 996620 |
|  |  | 12857685 |
| TOTAL HEALTH CARE |  | 35745421 |
| Industrials - 7.5% |  |  |
| Aerospace & Defense - 1.8% |  |  |
| ATI Inc (a) | 1287 | 99022 |
| Boeing Co (a) | 7251 | 1608562 |
| BWX Technologies Inc  | 1490 | 226376 |
| Curtiss-Wright Corp  | 972 | 476494 |
| GE Aerospace  | 10979 | 2976187 |
| HEICO Corp  | 1292 | 422226 |
| Lockheed Martin Corp  | 4030 | 1696549 |
| Spirit AeroSystems Holdings Inc Class A (a) | 2033 | 80100 |
| StandardAero Inc  | 2540 | 72517 |
| Woodward Inc  | 850 | 218518 |
|  |  | 7876551 |
| Air Freight & Logistics - 0.3% |  |  |
| United Parcel Service Inc Class B  | 15430 | 1329449 |
| Building Products - 0.6% |  |  |
| Advanced Drainage Systems Inc  | 451 | 51752 |
| Allegion plc  | 4242 | 703833 |
| Armstrong World Industries Inc  | 638 | 120052 |
| Carlisle Cos Inc  | 509 | 180547 |
| Fortune Brands Innovations Inc  | 2409 | 131387 |
| Lennox International Inc  | 1133 | 689997 |
| Masco Corp  | 8958 | 610309 |
| Owens Corning  | 1403 | 195620 |
|  |  | 2683497 |
| Commercial Services & Supplies - 0.8% |  |  |
| Cintas Corp  | 7473 | 1663117 |
| Clean Harbors Inc (a) | 730 | 172141 |
| Republic Services Inc  | 6562 | 1513525 |
| Tetra Tech Inc  | 2916 | 107134 |
|  |  | 3455917 |
| Construction & Engineering - 0.0% |  |  |
| AECOM  | 829 | 93461 |
| Comfort Systems USA Inc  | 129 | 90726 |
| EMCOR Group Inc  | 385 | 241584 |
|  |  | 425771 |
| Electrical Equipment - 0.4% |  |  |
| Acuity Inc  | 405 | 126097 |
| AMETEK Inc  | 6154 | 1137567 |
| nVent Electric PLC  | 2276 | 178484 |
| Vertiv Holdings Co Class A  | 1484 | 216070 |
|  |  | 1658218 |
| Ground Transportation - 0.7% |  |  |
| JB Hunt Transport Services Inc  | 3782 | 544797 |
| Knight-Swift Transportation Holdings Inc  | 3823 | 162478 |
| Landstar System Inc  | 1204 | 160577 |
| Ryder System Inc  | 579 | 102894 |
| Saia Inc (a) | 324 | 97926 |
| Uber Technologies Inc (a) | 20240 | 1776060 |
| XPO Inc (a) | 508 | 61107 |
|  |  | 2905839 |
| Industrial Conglomerates - 0.5% |  |  |
| Honeywell International Inc  | 9772 | 2172804 |
| Machinery - 1.5% |  |  |
| AGCO Corp  | 1495 | 176365 |
| Allison Transmission Holdings Inc  | 549 | 49448 |
| Caterpillar Inc  | 6389 | 2798511 |
| CNH Industrial NV Class A  | 26227 | 339902 |
| Crane Co  | 556 | 108848 |
| Donaldson Co Inc  | 814 | 58584 |
| Dover Corp  | 6794 | 1230665 |
| Flowserve Corp  | 1357 | 76046 |
| Graco Inc (b) | 3377 | 283600 |
| IDEX Corp (b) | 4088 | 668429 |
| ITT Inc  | 997 | 169450 |
| Lincoln Electric Holdings Inc  | 598 | 145613 |
| Middleby Corp/The (a) | 1217 | 176708 |
| Oshkosh Corp  | 631 | 79840 |
| RBC Bearings Inc (a) | 328 | 127048 |
| Timken Co/The  | 919 | 69927 |
| Toro Co/The  | 1098 | 81527 |
| Watts Water Technologies Inc Class A (b) | 444 | 116470 |
|  |  | 6756981 |
| Passenger Airlines - 0.1% |  |  |
| Alaska Air Group Inc (a) | 5247 | 277881 |
| American Airlines Group Inc (a)(b) | 27445 | 315343 |
|  |  | 593224 |
| Professional Services - 0.6% |  |  |
| Booz Allen Hamilton Holding Corp Class A  | 1080 | 115916 |
| Broadridge Financial Solutions Inc  | 4725 | 1169485 |
| CACI International Inc (a) | 417 | 192058 |
| ExlService Holdings Inc (a) | 1879 | 81605 |
| Genpact Ltd  | 1915 | 84356 |
| KBR Inc  | 1346 | 62911 |
| Parsons Corp (a) | 885 | 65667 |
| Paylocity Holding Corp (a) | 429 | 79314 |
| Robert Half Inc  | 2136 | 78840 |
| Science Applications International Corp  | 1061 | 118280 |
| SS&C Technologies Holdings Inc  | 3030 | 259004 |
| TransUnion  | 1556 | 148116 |
|  |  | 2455552 |
| Trading Companies & Distributors - 0.2% |  |  |
| Air Lease Corp Class A  | 1775 | 98335 |
| Ferguson Enterprises Inc  | 1457 | 325392 |
| Watsco Inc  | 363 | 163669 |
| Wesco International Inc  | 481 | 99548 |
|  |  | 686944 |
| TOTAL INDUSTRIALS |  | 33000747 |
| Information Technology - 32.0% |  |  |
| Communications Equipment - 1.1% |  |  |
| Arista Networks Inc  | 11995 | 1478024 |
| Cisco Systems Inc  | 48416 | 3296161 |
|  |  | 4774185 |
| Electronic Equipment, Instruments & Components - 0.6% |  |  |
| Amphenol Corp Class A  | 18828 | 2005370 |
| Arrow Electronics Inc (a) | 1298 | 150568 |
| Coherent Corp (a) | 909 | 97808 |
| Flex Ltd (a) | 2328 | 116097 |
| TD SYNNEX Corp  | 966 | 139481 |
|  |  | 2509324 |
| IT Services - 0.7% |  |  |
| Amdocs Ltd  | 2383 | 203413 |
| Cloudflare Inc Class A (a) | 964 | 200204 |
| IBM Corporation  | 9100 | 2303665 |
| Okta Inc Class A (a) | 894 | 87433 |
| Snowflake Inc (a) | 874 | 195339 |
| Twilio Inc Class A (a) | 355 | 45795 |
|  |  | 3035849 |
| Semiconductors & Semiconductor Equipment - 12.7% |  |  |
| Advanced Micro Devices Inc (a) | 14892 | 2625609 |
| Amkor Technology Inc  | 5412 | 122095 |
| Broadcom Inc  | 36742 | 10791125 |
| Enphase Energy Inc (a) | 1922 | 62196 |
| Entegris Inc  | 3735 | 293048 |
| GlobalFoundries Inc (a) | 4238 | 158459 |
| Intel Corp  | 42066 | 832907 |
| Lam Research Corp  | 21753 | 2063055 |
| MACOM Technology Solutions Holdings Inc (a) | 401 | 54992 |
| Marvell Technology Inc  | 2289 | 183967 |
| Micron Technology Inc  | 10609 | 1157866 |
| MKS Inc  | 1800 | 171324 |
| NVIDIA Corp  | 188546 | 33536677 |
| Onto Innovation Inc (a) | 869 | 82338 |
| Qorvo Inc (a) | 686 | 57350 |
| QUALCOMM Inc  | 12346 | 1811899 |
| Texas Instruments Inc  | 9041 | 1636963 |
|  |  | 55641870 |
| Software - 11.4% |  |  |
| Adobe Inc (a) | 4570 | 1634643 |
| AppLovin Corp Class A (a) | 296 | 115647 |
| Atlassian Corp Class A (a) | 523 | 100301 |
| Bentley Systems Inc Class B  | 985 | 57110 |
| Crowdstrike Holdings Inc Class A (a) | 2387 | 1085059 |
| Docusign Inc (a) | 1246 | 94247 |
| Dropbox Inc Class A (a) | 6901 | 187500 |
| Dynatrace Inc (a) | 1404 | 73864 |
| Guidewire Software Inc (a) | 696 | 157449 |
| HubSpot Inc (a) | 324 | 168367 |
| Intuit Inc  | 2791 | 2191298 |
| Manhattan Associates Inc (a) | 394 | 86546 |
| Microsoft Corp  | 58772 | 31354863 |
| Oracle Corp  | 13707 | 3478425 |
| Palantir Technologies Inc Class A (a) | 17152 | 2716019 |
| Palo Alto Networks Inc (a) | 6912 | 1199923 |
| Salesforce Inc  | 10496 | 2711432 |
| Servicenow Inc (a) | 2150 | 2027708 |
| Zoom Communications Inc Class A (a) | 2121 | 157060 |
| Zscaler Inc (a) | 771 | 220167 |
|  |  | 49817628 |
| Technology Hardware, Storage & Peripherals - 5.5% |  |  |
| Apple Inc  | 116766 | 24237119 |
| TOTAL INFORMATION TECHNOLOGY |  | 140015975 |
| Materials - 1.5% |  |  |
| Chemicals - 0.9% |  |  |
| Axalta Coating Systems Ltd (a) | 5255 | 148822 |
| Celanese Corp (b) | 1341 | 70040 |
| Dow Inc  | 19279 | 449008 |
| Element Solutions Inc  | 2844 | 67118 |
| Linde PLC  | 6152 | 2831520 |
| RPM International Inc  | 3078 | 361388 |
|  |  | 3927896 |
| Construction Materials - 0.1% |  |  |
| CRH PLC  | 4241 | 404804 |
| Eagle Materials Inc  | 412 | 92407 |
| James Hardie Industries PLC ADR (a) | 1948 | 50531 |
|  |  | 547742 |
| Containers & Packaging - 0.2% |  |  |
| AptarGroup Inc  | 1412 | 221882 |
| Crown Holdings Inc  | 2687 | 266980 |
| Graphic Packaging Holding CO  | 4457 | 99659 |
| Sealed Air Corp  | 1084 | 31728 |
| Silgan Holdings Inc  | 1281 | 59605 |
| Sonoco Products Co  | 1458 | 65712 |
|  |  | 745566 |
| Metals & Mining - 0.3% |  |  |
| Alcoa Corp  | 1933 | 57931 |
| Carpenter Technology Corp  | 338 | 84294 |
| Newmont Corp  | 15715 | 975902 |
| Reliance Inc  | 716 | 207733 |
| Royal Gold Inc  | 823 | 124619 |
|  |  | 1450479 |
| TOTAL MATERIALS |  | 6671683 |
| Real Estate - 1.8% |  |  |
| Diversified REITs - 0.1% |  |  |
| WP Carey Inc  | 4766 | 305787 |
| Health Care REITs - 0.2% |  |  |
| Healthcare Realty Trust Inc  | 5173 | 79457 |
| Healthpeak Properties Inc  | 31400 | 531916 |
| Omega Healthcare Investors Inc  | 4185 | 162797 |
|  |  | 774170 |
| Industrial REITs - 0.1% |  |  |
| Americold Realty Trust Inc  | 5430 | 87314 |
| EastGroup Properties Inc  | 953 | 155569 |
| First Industrial Realty Trust Inc  | 1775 | 86478 |
| Lineage Inc (b) | 1149 | 49579 |
| Rexford Industrial Realty Inc  | 2046 | 74740 |
| STAG Industrial Inc Class A  | 2321 | 79680 |
|  |  | 533360 |
| Office REITs - 0.0% |  |  |
| Kilroy Realty Corp  | 2354 | 86768 |
| Vornado Realty Trust  | 1995 | 76648 |
|  |  | 163416 |
| Real Estate Management & Development - 0.0% |  |  |
| Jones Lang LaSalle Inc (a) | 469 | 126798 |
| Residential REITs - 0.3% |  |  |
| American Homes 4 Rent Class A  | 5696 | 197594 |
| Equity LifeStyle Properties Inc  | 4436 | 265805 |
| Mid-America Apartment Communities Inc  | 4218 | 600770 |
| Sun Communities Inc  | 1955 | 242479 |
|  |  | 1306648 |
| Retail REITs - 0.3% |  |  |
| Agree Realty Corp (b) | 3562 | 255395 |
| Brixmor Property Group Inc  | 7570 | 197804 |
| Federal Realty Investment Trust  | 4869 | 448727 |
| Kite Realty Group Trust  | 2825 | 62094 |
| NNN REIT Inc  | 4096 | 169001 |
|  |  | 1133021 |
| Specialized REITs - 0.8% |  |  |
| American Tower Corp  | 7159 | 1491864 |
| CubeSmart  | 3549 | 138092 |
| Equinix Inc  | 1782 | 1399173 |
| Gaming and Leisure Properties Inc  | 8349 | 380547 |
| Lamar Advertising Co Class A  | 1611 | 196945 |
|  |  | 3606621 |
| TOTAL REAL ESTATE |  | 7949821 |
| Utilities - 2.5% |  |  |
| Electric Utilities - 1.3% |  |  |
| Alliant Energy Corp  | 16257 | 1056868 |
| Constellation Energy Corp  | 2782 | 967691 |
| NextEra Energy Inc  | 22532 | 1601125 |
| OGE Energy Corp  | 4334 | 196850 |
| Pinnacle West Capital Corp  | 7109 | 644218 |
| Xcel Energy Inc  | 14710 | 1080302 |
|  |  | 5547054 |
| Gas Utilities - 0.0% |  |  |
| National Fuel Gas Co  | 1060 | 91997 |
| Multi-Utilities - 1.2% |  |  |
| Ameren Corp  | 11610 | 1174118 |
| CMS Energy Corp  | 19431 | 1434008 |
| DTE Energy Co  | 9604 | 1329290 |
| NiSource Inc  | 29335 | 1245271 |
|  |  | 5182687 |
| Water Utilities - 0.0% |  |  |
| Essential Utilities Inc  | 3180 | 117024 |
| TOTAL UTILITIES |  | 10938762 |
| TOTAL UNITED STATES |  | 407531373 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $305,416,001) |  | <br> **410889827** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 4.3%** | &nbsp;&nbsp;**Domestic Equity Funds - 4.3%** | &nbsp;&nbsp;**Domestic Equity Funds - 4.3%** |
|  | Shares | Value ($)<br>|
| iShares Core S&P 500 ETF <br>(Cost $17,957,388)<br>| 29811 | **18927004** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (c) | 4.33 | 2248198 | 2248648 |
| Fidelity Securities Lending Cash Central Fund (c)(d) | 4.33 | 1639560 | 1639724 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $3,888,372) |  |  | **3888372** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 0.8%** | **Purchased Options - 0.8%** | **Purchased Options - 0.8%** | **Purchased Options - 0.8%** | **Purchased Options - 0.8%** | **Purchased Options - 0.8%** | **Purchased Options - 0.8%** |
|  | Counterparty | Number<br> of Contracts | Notional Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Put Options |  |  |  |  |  |  |
| S&P 500 Index | Chicago Board Options Exchange | 193 | 120393593 | 5610 | 08/15/25 | 57418 |
| S&P 500 Index | Chicago Board Options Exchange | 200 | 124760200 | 5930 | 10/17/25 | 1278000 |
| S&P 500 Index | Chicago Board Options Exchange | 195 | 121641195 | 5750 | 09/19/25 | 491400 |
| S&P 500 Index | Chicago Board Options Exchange | 245 | 152831245 | 3900 | 05/15/26 | 681100 |
| S&P 500 Index | Chicago Board Options Exchange | 152 | 94817752 | 4100 | 07/17/26 | 608760 |
| S&P 500 Index | Chicago Board Options Exchange | 227 | 141602827 | 3950 | 06/18/26 | 734345 |
|  |  |  |  |  |  | **3851023** |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $7,943,884) |  |  |  |  |  | **3851023** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.8%**<br> (Cost $335,205,645)<br>| <br>**437556226** |
| **NET OTHER ASSETS (LIABILITIES) - 0.2%**  | **698721** |
| **NET ASSETS - 100.0%** | **438254947** |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(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.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 4792215 | 179943118 | 182486685 | 64126 | - | - | 2248648 | 2248198 | 0.0% |
| Fidelity Securities Lending Cash Central Fund | 313325 | 9678572 | 8352173 | 1232 | - | - | 1639724 | 1639560 | 0.0% |
| Total | 5105540 | 189621690 | 190838858 | 65358 | - | - | 3888372 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of July 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 40244774 | 40244774 | - | - |
| Consumer Discretionary | 42720605 | 42720605 | - | - |
| Consumer Staples | 22396899 | 22396899 | - | - |
| Energy | 11962957 | 11962957 | - | - |
| Financials | 57272759 | 57272759 | - | - |
| Health Care | 35745421 | 35745421 | - | - |
| Industrials | 33138562 | 33138562 | - | - |
| Information Technology | 141708886 | 141708886 | - | - |
| Materials | 6810381 | 6810381 | - | - |
| Real Estate | 7949821 | 7949821 | - | - |
| Utilities | 10938762 | 10938762 | - | - |
|  **Domestic Equity Funds** | 18927004 | 18927004 | - | - |
|  **Money Market Funds** | 3888372 | 3888372 | - | - |
|  **Purchased Options** | 3851023 | 3851023 | - | - |
| **Total Investments in Securities:** | 437556226 | 437556226 | - | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Purchased Options (a)  | 3851023 | 0 |
| **Total Equity Risk**  | 3851023 | 0 |
| **Total Value of Derivatives** | 3851023 | 0 |

---

(a)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $1,585,973) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $331,317,273) | $433667854 |  |
| Fidelity Central Funds (cost $3,888,372) | 3888372 |  |
| Total Investment in Securities (cost $335,205,645) |  | $437556226 |
| Receivable for fund shares sold |  | 3745695 |
| Dividends receivable |  | 204007 |
| Distributions receivable from Fidelity Central Funds |  | 15855 |
| Receivable from investment adviser for expense reductions |  | 9314 |
| **Total assets** |  | 441531097 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $1269824 |  |
| Payable for fund shares redeemed | 170581 |  |
| Accrued management fee | 191418 |  |
| Distribution and service plan fees payable | 4603 |  |
| Collateral on securities loaned | 1639724 |  |
| **Total liabilities** |  | 3276150 |
| **Net Assets**  |  | $438254947 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $347476520 |
| Total accumulated earnings (loss) |  | 90778427 |
| **Net Assets** |  | $438254947 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($5,370,573 ÷ 381,074 shares)(a) |  | $14.09 |
| Maximum offering price per share (100/94.25 of $14.09) |  | $14.95 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($1,463,428 ÷ 103,922 shares)(a) |  | $14.08 |
| Maximum offering price per share (100/96.50 of $14.08) |  | $14.59 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($3,731,082 ÷ 267,641 shares)(a) |  | $13.94 |
| **Fidelity Hedged Equity Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($258,484,521 ÷ 18,292,723 shares) |  | $14.13 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($151,309,376 ÷ 10,739,301 shares) |  | $14.09 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($17,895,967 ÷ 1,268,400 shares) |  | $14.11 |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $2408409 |
| Income from Fidelity Central Funds (including $1,232 from security lending)  |  | 65358 |
| **Total income** |  | 2473767 |
| **Expenses** |  |  |
| Management fee | $1012350 |  |
| Distribution and service plan fees | 19880 |  |
| Independent trustees' fees and expenses | 74899 |  |
| Interest | 10126 |  |
| Total expenses before reductions | 1117255 |  |
| Expense reductions | (74896) |  |
| Total expenses after reductions |  | 1042359 |
| **Net Investment income (loss)** |  | 1431408 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (1365152) |  |
| Foreign currency transactions | (7) |  |
| Total net realized gain (loss) |  | (1365159) |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | 26676767 |
| **Net gain (loss)** |  | 25311608 |
| **Net increase (decrease) in net assets resulting from operations** |  | $26743016 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)** | **Year ended**<br> **January 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $1431408 | $2104056 |
| &nbsp;&nbsp;Net realized gain (loss) | (1365159)<br>| (6797591)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 26676767 | 49700232<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 26743016<br>| 45006697<br>|
| Distributions to shareholders | -<br>| (2098818)<br>|
| Share transactions - net increase (decrease) | 67164384<br>| 77453591<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 93907400<br>| 120361470<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 344347547 | 223986077<br>|
| &nbsp;&nbsp;End of period | $438254947 | $344347547 |

---

**Financial Highlights** 

**Fidelity Advisor® Hedged Equity Fund Class A**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.35 | $11.24 | $9.91 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .04  | .07  | .08  | .04  |
| Net realized and unrealized gain (loss)  | .70  | 2.11  | 1.30  | (.10)  |
| Total from investment operations  | .74  | 2.18  | 1.38  | (.06)  |
| Distributions from net investment income  | -  | (.07)  | (.05)  | (.03)  |
| Total distributions  | -  | (.07)  | (.05)  | (.03)  |
| Net asset value, end of period  | $14.09 | $13.35 | $11.24 | $9.91 |
| **Total Return** D,E,F | 5.54% <br>| 19.39%  | 13.95%  | (.59)%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | .84% I | .84%  | .89%  | 1.34% I |
| Expenses net of fee waivers, if any  | .80% I<br>| .80%  | .80%  | .80% I |
| Expenses net of all reductions, if any  | .80% I | .80%  | .80%  | .79% I |
| Net investment income (loss)  | .53% I | .54%  | .81%  | .90% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $5371 | $2393 | $1292 | $1317 |
| Portfolio turnover rate J | 124% I<br>| 56%  | 38%  | 21% K |

---

A*For the period September 1, 2022 (commencement of operations) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Total returns do not include the effect of the sales charges.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

K*Amount not annualized.*

**Fidelity Advisor® Hedged Equity Fund Class M**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.35 | $11.23 | $9.91 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .02  | .04  | .06  | .03  |
| Net realized and unrealized gain (loss)  | .71  | 2.10  | 1.29  | (.10)  |
| Total from investment operations  | .73  | 2.14  | 1.35  | (.07)  |
| Distributions from net investment income  | -  | (.02)  | (.03)  | (.02)  |
| Total distributions  | -  | (.02)  | (.03)  | (.02)  |
| Net asset value, end of period  | $14.08 | $13.35 | $11.23 | $9.91 |
| **Total Return** D,E,F | 5.47% <br>| 19.07%  | 13.64%  | (.71)%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | 1.09% I | 1.09%  | 1.14%  | 1.54% I |
| Expenses net of fee waivers, if any  | 1.05% I<br>| 1.05%  | 1.05%  | 1.05% I |
| Expenses net of all reductions, if any  | 1.05% I | 1.05%  | 1.05%  | 1.04% I |
| Net investment income (loss)  | .28% I | .29%  | .56%  | .65% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1463 | $834 | $645 | $509 |
| Portfolio turnover rate J | 124% I<br>| 56%  | 38%  | 21% K |

---

A*For the period September 1, 2022 (commencement of operations) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Total returns do not include the effect of the sales charges.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

K*Amount not annualized.*

**Fidelity Advisor® Hedged Equity Fund Class C**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.25 | $11.20 | $9.90 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | (.01)  | (.03)  | .01  | .01  |
| Net realized and unrealized gain (loss)  | .70  | 2.10  | 1.29  | (.11)  |
| Total from investment operations  | .69  | 2.07  | 1.30  | (.10)  |
| Distributions from net investment income  | -  | (.02)  | -  | - D |
| Total distributions  | -  | (.02)  | -  | - D |
| Net asset value, end of period  | $13.94 | $13.25 | $11.20 | $9.90 |
| **Total Return** E,F,G | 5.21% <br>| 18.50%  | 13.13%  | (.97)%  |
| **Ratios to Average Net Assets** C,H,I |  |  |  |  |
| Expenses before reductions  | 1.59% J | 1.59%  | 1.64%  | 2.04% J |
| Expenses net of fee waivers, if any  | 1.55% J<br>| 1.55%  | 1.55%  | 1.55% J |
| Expenses net of all reductions, if any  | 1.55% J | 1.54%  | 1.55%  | 1.54% J |
| Net investment income (loss)  | (.22)% J | (.21)%  | .06%  | .15% J |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $3731 | $1931 | $678 | $526 |
| Portfolio turnover rate K | 124% J<br>| 56%  | 38%  | 21% L |

---

A*For the period September 1, 2022 (commencement of operations) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Amount represents less than $.005 per share.*

E*Total returns for periods of less than one year are not annualized.*

F*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

G*Total returns do not include the effect of the contingent deferred sales charge.*

H*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

I*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

J*Annualized.*

K*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

L*Amount not annualized.*

**Fidelity® Hedged Equity Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.36 | $11.23 | $9.91 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .05  | .10  | .11  | .05  |
| Net realized and unrealized gain (loss)  | .72  | 2.11  | 1.30  | (.10)  |
| Total from investment operations  | .77  | 2.21  | 1.41  | (.05)  |
| Distributions from net investment income  | -  | (.08)  | (.09)  | (.04)  |
| Total distributions  | -  | (.08)  | (.09)  | (.04)  |
| Net asset value, end of period  | $14.13 | $13.36 | $11.23 | $9.91 |
| **Total Return** D,E | 5.76% <br>| 19.69%  | 14.22%  | (.54)%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .59% H | .59%  | .61%  | 1.12% H |
| Expenses net of fee waivers, if any  | .55% H<br>| .55%  | .55%  | .55% H |
| Expenses net of all reductions, if any  | .55% H | .55%  | .55%  | .54% H |
| Net investment income (loss)  | .78% H | .79%  | 1.06%  | 1.15% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $258485 | $211131 | $219076 | $46678 |
| Portfolio turnover rate I | 124% H<br>| 56%  | 38%  | 21% J |

---

A*For the period September 1, 2022 (commencement of operations) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

J*Amount not annualized.*

**Fidelity Advisor® Hedged Equity Fund Class I**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.33 | $11.23 | $9.91 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .05  | .10  | .11  | .05  |
| Net realized and unrealized gain (loss)  | .71  | 2.12  | 1.30  | (.10)  |
| Total from investment operations  | .76  | 2.22  | 1.41  | (.05)  |
| Distributions from net investment income  | -  | (.12)  | (.09)  | (.04)  |
| Total distributions  | -  | (.12)  | (.09)  | (.04)  |
| Net asset value, end of period  | $14.09 | $13.33 | $11.23 | $9.91 |
| **Total Return** D,E | 5.70% <br>| 19.77%  | 14.22%  | (.54)%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .59% H | .60%  | .63%  | 1.04% H |
| Expenses net of fee waivers, if any  | .55% H<br>| .55%  | .55%  | .55% H |
| Expenses net of all reductions, if any  | .55% H | .54%  | .55%  | .55% H |
| Net investment income (loss)  | .78% H | .79%  | 1.06%  | 1.15% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $151309 | $69997 | $984 | $497 |
| Portfolio turnover rate I | 124% H<br>| 56%  | 38%  | 21% J |

---

A*For the period September 1, 2022 (commencement of operations) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

J*Amount not annualized.*

**Fidelity Advisor® Hedged Equity Fund Class Z**<br>

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.34 | $11.24 | $9.91 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .05  | .11  | .12  | .05  |
| Net realized and unrealized gain (loss)  | .72  | 2.11  | 1.29  | (.10)  |
| Total from investment operations  | .77  | 2.22  | 1.41  | (.05)  |
| Distributions from net investment income  | -  | (.12)  | (.08)  | (.04)  |
| Total distributions  | -  | (.12)  | (.08)  | (.04)  |
| Net asset value, end of period  | $14.11 | $13.34 | $11.24 | $9.91 |
| **Total Return** D,E | 5.77% <br>| 19.79%  | 14.30%  | (.54)%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .56% H | .53%  | .59%  | 1.01% H |
| Expenses net of fee waivers, if any  | .51% H<br>| .50%  | .50%  | .50% H |
| Expenses net of all reductions, if any  | .51% H | .50%  | .50%  | .50% H |
| Net investment income (loss)  | .82% H | .84%  | 1.11%  | 1.20% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $17896 | $58062 | $1311 | $720 |
| Portfolio turnover rate I | 124% H<br>| 56%  | 38%  | 21% J |

---

A*For the period September 1, 2022 (commencement of operations) through January 31, 2023.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

J*Amount not annualized.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended July 31, 2025

**1. Organization.**

Fidelity Hedged Equity Fund (the Fund) is a fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund offers Class A, Class M, Class C, Fidelity Hedged Equity Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to options, partnerships, passive foreign investment companies (PFIC), capital loss carryforwards, losses deferred due to wash sales and options transactions.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $112836418 |
| **Gross unrealized depreciation** | <u>(16258087)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$96578331</u> |
| **Tax cost** | <u>$340977895</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | $(3498670) |
| Long-term | <u>(7696500)</u> |
| **Total capital loss carryforward** | <u>$(11195170)</u> |

---

**New Accounting Pronouncement.** In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Equity Risk  | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.<br>|

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Options.** Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. Exchange-traded options were used to manage exposure to the market.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | | |
|:---|:---|:---|
|  | **Type** | **Average Notional Amount ($)** |
| **Fidelity Hedged Equity Fund** | Purchased Options | 669523236 |

---

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Hedged Equity Fund** | 344634887 | 222713292 |

---

**6. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which each class of the Fund pays a monthly management fee. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees, distribution and service plan fees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses. During the period, the management fee for each class of the Fund was as follows:

---

| | |
|:---|:---|
|  | **Annual % of Class-Level Average Net Assets** |
| **Class A** | .55% |
| **Class M** | .55% |
| **Class C** | .55% |
| **Fidelity Hedged Equity Fund** | .55% |
| **Class I** | .55% |
| **Class Z** | .50% |

---

**Distribution and Service Plan Fees.** In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee** | **Service Fee** | **Total Fees ($)** | **Retained by FDC ($)** |
| **Class A**  | - % | .25% | 4477 | 1058 |
| **Class M** | .25% | .25% | 2654 | 1650 |
| **Class C** | .75% | .25% | <u>12749</u> | <u>10395</u> |
|  |  |  | <u>19880</u> | <u>13103</u> |

---

**Sales Load.** FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.

For the period, sales charge amounts retained by FDC were as follows:

---

| | |
|:---|:---|
|  | **Retained by FDC ($)** |
| **Class A** | 10084 |
| **Class M** | <u>496</u> |
|  | <u>10580</u> |

---

**Brokerage Commissions.** A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Hedged Equity Fund** | 1191 |

---

**Interfund Lending Program.** Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds at rates that are beneficial to both the borrowing and lending fund. Borrowings under the program are generally for temporary or emergency purposes, including meeting fund shareholder redemptions. The interfund loan rate is determined, as specified in the Exemptive Order, by averaging, (1) the higher of the overnight time deposit rate and the current overnight repurchase agreement rate, and (2) a benchmark rate representing the lowest bank loan rate available to the funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Borrower or Lender** | **Average Loan Balance ($)** | **Weighted Average Interest Rate** | **Interest Expense ($)**  |
| **Fidelity Hedged Equity Fund** | Borrower | 17025500 | 4.56% | 4315 |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Fidelity Hedged Equity Fund** | 152076 | - | - |

---

**7. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are borne by the investment adviser.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

**8. Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral less rebates paid to borrowers, plus any premium income received, or for non-cash collateral, fees received from borrowers as compensation for the securities loaned. Securities lending income is reduced by any lending agent fees associated with the loan. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations as a component of dividends. Affiliated security lending activity, if any, was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Hedged Equity Fund** | 111 | - | - |

---

**9. Bank Borrowings.**

The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity requirements. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. Any open loans, including accrued interest, at period end are presented under the caption "Notes payable" in the Statement of Assets and Liabilities, if applicable. Activity in this program during the period for which loans were outstanding was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Average Loan Balance ($)** | **Weighted Average Interest Rate** | **Interest Expense ($)** |
| **Fidelity Hedged Equity Fund** | 43310000 | 4.83% | 5811 |

---

**10. Expense Reductions.** 

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through May 31, 2026. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

---

| | | |
|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** |
| **Class A** | .80% | 701 |
| **Class M** | 1.05% | 208 |
| **Class C** | 1.55% | 488 |
| **Fidelity Hedged Equity Fund** | .55% | 46834 |
| **Class I** | .55% | 20204 |
| **Class Z** | .50% | <u>5413</u> |
|  |  | <u>73848</u> |

---

Through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, custodian credits reduced the Fund's expenses by $1,048.

**11. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Six months ended** <br> **July 31, 2025** | **Year ended**<br> **January 31, 2025** |
| **Fidelity Hedged Equity Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $- | $10574 |
| Class M | - | 1288 |
| Class C | - | 2676 |
| Fidelity Hedged Equity Fund | - | 1503041 |
| Class I | - | 87037 |
| Class Z | <u>-</u> | <u>494202</u> |
| Total  | <u>$-</u> | <u>$2098818</u> |

---

**12. Share Transactions.**

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares** | **Shares** | **Dollars** | **Dollars** |
|  | **Six months ended** <br> **July 31, 2025**  | **Year ended**<br> **January 31, 2025** | **Six months ended** <br> **July 31, 2025**  | **Year ended**<br> **January 31, 2025** |
| **Fidelity Hedged Equity Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 235916 | 92260 | $3127672 | $1183010 |
| Reinvestment of distributions | - | 796 | - | 10574 |
| Shares redeemed | <u>(34175)</u> | <u>(28729)</u> | <u>(466537)</u> | <u>(347342)</u> |
| Net increase (decrease) | <u>201741</u> | <u>64327</u> | <u>$2661135</u> | <u>$846242</u> |
| **Class M** |  |  |  |  |
| Shares sold | 42307 | 5145 | $558561 | $66329 |
| Reinvestment of distributions | - | 97 | - | 1288 |
| Shares redeemed | <u>(841)</u> | <u>(206)</u> | <u>(10192)</u> | <u>(2701)</u> |
| Net increase (decrease) | <u>41466</u> | <u>5036</u> | <u>$548369</u> | <u>$64916</u> |
| **Class C** |  |  |  |  |
| Shares sold | 134962 | 90564 | $1778222 | $1161130 |
| Reinvestment of distributions | - | 203 | - | 2676 |
| Shares redeemed | <u>(13036)</u> | <u>(5608)</u> | <u>(165534)</u> | <u>(72315)</u> |
| Net increase (decrease) | <u>121926</u> | <u>85159</u> | <u>$1612688</u> | <u>$1091491</u> |
| **Fidelity Hedged Equity Fund** |  |  |  |  |
| Shares sold | 6631217 | 2636035 | $83210795 | $33147611 |
| Reinvestment of distributions | - | 109935 | - | 1455813 |
| Shares redeemed | <u>(4136952)</u> | <u>(6448266)</u> | <u>(54943909)</u> | <u>(82438467)</u> |
| Net increase (decrease) | <u>2494265</u> | <u>(3702296)</u> | <u>$28266886</u> | <u>$(47835043)</u> |
| **Class I** |  |  |  |  |
| Shares sold | 12267971 | 5333559 | $158789949 | $70665074 |
| Reinvestment of distributions | - | 6561 | - | 86998 |
| Shares redeemed | <u>(6780192)</u> | <u>(176214)</u> | <u>(85691568)</u> | <u>(2293762)</u> |
| Net increase (decrease) | <u>5487779</u> | <u>5163906</u> | <u>$73098381</u> | <u>$68458310</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 904485 | 6067949 | $11896219 | $79008322 |
| Reinvestment of distributions | - | 30933 | - | 410740 |
| Shares redeemed | <u>(3988602)</u> | <u>(1862935)</u> | <u>(50919294)</u> | <u>(24591387)</u> |
| Net increase (decrease) | <u>(3084117)</u> | <u>4235947</u> | <u>$(39023075)</u> | <u>$54827675</u> |

---

**13. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

---

| | | |
|:---|:---|:---|
|  | **VIP FundsManager 50% Portfolio** | **VIP FundsManager 60% Portfolio** |
| Fidelity Hedged Equity Fund | 12% | 21% |

---

Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.

---

| | |
|:---|:---|
| **Fund**  | **% of shares held** |
| Fidelity Hedged Equity Fund | 46% |

---

**14. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img111959_4.jpg)<br>

1.9905821.102 FHE-SANN-0925

**Fidelity® SAI Convertible Arbitrage Fund**

**Semi-Annual Report**

**July 31, 2025**

Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.

![](img111961_1.jpg)

![](img111961_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_SCA-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® SAI Convertible Arbitrage Fund](#Sub_Sec_Fund_7521_SCA-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements7521_SCA-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SCA-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SCA-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SCA-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SCA-SANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® SAI Convertible Arbitrage Fund**

**Schedule of Investments July 31, 2025 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 17.7%** | &nbsp;&nbsp;**Common Stocks - 17.7%** | &nbsp;&nbsp;**Common Stocks - 17.7%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 17.7%  |  |  |
| Consumer Staples - 0.9% |  |  |
| Consumer Staples Distribution & Retail - 0.9% |  |  |
| Costco Wholesale Corp  | 6000 | 5637840 |
| Financials - 0.9% |  |  |
| Capital Markets - 0.9% |  |  |
| Morgan Stanley  | 41700 | 5940582 |
| Health Care - 1.0% |  |  |
| Biotechnology - 1.0% |  |  |
| AbbVie Inc  | 32000 | 6048640 |
| Information Technology - 14.9% |  |  |
| Semiconductors & Semiconductor Equipment - 8.1% |  |  |
| Broadcom Inc  | 75000 | 22027500 |
| NVIDIA Corp  | 160000 | 28459200 |
|  |  | 50486700 |
| Software - 4.1% |  |  |
| Intuit Inc  | 7700 | 6045501 |
| Microsoft Corp  | 24000 | 12804000 |
| Oracle Corp  | 25900 | 6572643 |
|  |  | 25422144 |
| Technology Hardware, Storage & Peripherals - 2.7% |  |  |
| Apple Inc  | 84000 | 17435880 |
| TOTAL INFORMATION TECHNOLOGY |  | 93344724 |
| TOTAL UNITED STATES |  | 110971786 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $91,712,938) |  | <br> **110971786** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Corporate Bonds - 35.1%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 35.1%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 35.1%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| UNITED STATES - 35.1%  |  |  |
| Communication Services - 1.2% |  |  |
| Interactive Media & Services - 0.9% |  |  |
| fuboTV Inc 3.25% 2/15/2026  | 5670000 | 5565105 |
| Media - 0.3% |  |  |
| Cable One Inc 0% 3/15/2026 (b) | 2000000 | 1909000 |
| TOTAL COMMUNICATION SERVICES |  | 7474105 |
| Consumer Discretionary - 9.1% |  |  |
| Hotels, Restaurants & Leisure - 8.3% |  |  |
| Airbnb Inc 0% 3/15/2026 (b) | 14000000 | 13538000 |
| Cheesecake Factory Inc/The 2% 3/15/2030 (c) | 9861000 | 10858376 |
| Cracker Barrel Old Country Store Inc 1.75% 9/15/2030 (c) | 10000000 | 10788727 |
| Expedia Group Inc 0% 2/15/2026 (b) | 7500000 | 7399332 |
| Marriott Vacations Worldwide Corp 0% 1/15/2026 (b) | 10000000 | 9688000 |
|  |  | 52272435 |
| Leisure Products - 0.8% |  |  |
| Peloton Interactive Inc 0% 2/15/2026 (d) | 5000000 | 4818987 |
| TOTAL CONSUMER DISCRETIONARY |  | 57091422 |
| Energy - 0.4% |  |  |
| Oil, Gas & Consumable Fuels - 0.4% |  |  |
| Northern Oil & Gas Inc 3.625% 4/15/2029 (c) | 2500000 | 2591250 |
| Financials - 0.1% |  |  |
| Capital Markets - 0.1% |  |  |
| Galaxy Digital Holdings LP 3% 12/15/2026 (c) | 500000 | 593444 |
| Health Care - 3.7% |  |  |
| Health Care Equipment & Supplies - 2.1% |  |  |
| Enovis Corp 3.875% 10/15/2028  | 2000000 | 1902000 |
| Lantheus Holdings Inc 2.625% 12/15/2027  | 9500000 | 11179709 |
|  |  | 13081709 |
| Pharmaceuticals - 1.6% |  |  |
| Pacira BioSciences Inc 0.75% 8/1/2025  | 10000000 | 9949999 |
| TOTAL HEALTH CARE |  | 23031708 |
| Industrials - 7.6% |  |  |
| Aerospace & Defense - 0.8% |  |  |
| Axon Enterprise Inc 0.5% 12/15/2027  | 1500000 | 4955419 |
| Commercial Services & Supplies - 0.5% |  |  |
| Tetra Tech Inc 2.25% 8/15/2028  | 3000000 | 3407700 |
| Construction & Engineering - 4.0% |  |  |
| Granite Construction Inc 3.25% 6/15/2030  | 6000000 | 8235000 |
| Granite Construction Inc 3.75% 5/15/2028  | 8000000 | 16772000 |
|  |  | 25007000 |
| Electrical Equipment - 1.0% |  |  |
| Eos Energy Enterprises Inc 6.75% 6/15/2030 (c) | 5150000 | 6579125 |
| Professional Services - 1.3% |  |  |
| Fiverr International Ltd 0% 11/1/2025 (b) | 8000000 | 7864000 |
| TOTAL INDUSTRIALS |  | 47813244 |
| Information Technology - 10.6% |  |  |
| Electronic Equipment, Instruments & Components - 0.7% |  |  |
| Advanced Energy Industries Inc 2.5% 9/15/2028  | 3500000 | 4295276 |
| IT Services - 1.4% |  |  |
| Okta Inc 0.125% 9/1/2025  | 2940000 | 2925300 |
| Snowflake Inc 0% 10/1/2027 (c)(d) | 3820000 | 5787300 |
|  |  | 8712600 |
| Semiconductors & Semiconductor Equipment - 3.2% |  |  |
| MACOM Technology Solutions Holdings Inc 0.25% 3/15/2026  | 12100000 | 20194900 |
| Software - 5.3% |  |  |
| BlackLine Inc 1% 6/1/2029  | 5000000 | 5172500 |
| Box Inc 1.5% 9/15/2029 (c) | 3000000 | 3001500 |
| Core Scientific Inc 3% 9/1/2029 (c) | 6880000 | 10030340 |
| RingCentral Inc 0% 3/15/2026 (d) | 3000000 | 2887500 |
| Uber Technologies Inc 0% 5/15/2028 (b)(c) | 6500000 | 7230778 |
| Unity Software Inc 0% 11/15/2026 (b) | 5172000 | 4835820 |
|  |  | 33158438 |
| TOTAL INFORMATION TECHNOLOGY |  | 66361214 |
| Utilities - 2.4% |  |  |
| Electric Utilities - 0.7% |  |  |
| Southern Co/The 3.25% 6/15/2028 (c) | 4950000 | 4992075 |
| Independent Power and Renewable Electricity Producers - 1.7% |  |  |
| XPLR Infrastructure LP 0% 11/15/2025 (c)(d) | 2000000 | 1957600 |
| XPLR Infrastructure LP 2.5% 6/15/2026 (c) | 8750000 | 8389500 |
|  |  | 10347100 |
| TOTAL UTILITIES |  | 15339175 |
| TOTAL UNITED STATES |  | 220295562 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $204,648,555) |  | <br> **220295562** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 3.8%** | &nbsp;&nbsp;**Domestic Equity Funds - 3.8%** | &nbsp;&nbsp;**Domestic Equity Funds - 3.8%** |
|  | Shares | Value ($)<br>|
| Financial Select Sector SPDR ETF  | 208300 | 10908671 |
| iShares Core S&P 500 ETF  | 20700 | 13142430 |
| <br> **TOTAL DOMESTIC EQUITY FUNDS**<br> (Cost $21,767,856) |  | **24051101** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 1.9%** | &nbsp;&nbsp;**Fixed-Income Funds - 1.9%** | &nbsp;&nbsp;**Fixed-Income Funds - 1.9%** |
|  | Shares | Value ($)<br>|
| Vanguard Total Bond Market ETF <br>(Cost $11,785,600)<br>| 160000 | **11712000** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 40.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 40.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 40.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 40.5%** |
|  | Yield (%) (e) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 10/9/2025 (f) | 4.30 | 85000000 | 84307177 |
| US Treasury Bills 0% 11/4/2025 (f) | 4.29 | 85000000 | 84053683 |
| US Treasury Bills 0% 8/14/2025 (f)(g) | 4.32 | 85000000 | 84868589 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $253,227,809) |  |  | **253229449** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.6%** | &nbsp;&nbsp;**Money Market Funds - 1.6%** | &nbsp;&nbsp;**Money Market Funds - 1.6%** | &nbsp;&nbsp;**Money Market Funds - 1.6%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (h)<br>(Cost $10,020,745)<br>| 4.33 | 10018741 | **10020745** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.6%**<br> (Cost $593,163,503)<br>| <br>**630280643** |
| **NET OTHER ASSETS (LIABILITIES) - (0.6)%**  | **(3475946)** |
| **NET ASSETS - 100.0%** | **626804697** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Sold |  |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |  |
| CBOT 2 Year US Treasury Note Contracts (United States) | 287 | Sep 2025 | 59413484 | 24170 | 24170 |
| CBOT 5 Year US Treasury Note Contracts (United States) | 291 | Sep 2025 | 31484836 | (216476) | (216476) |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **(192306)** |
| The notional amount of futures sold as a percentage of Net Assets is 14.5% | The notional amount of futures sold as a percentage of Net Assets is 14.5% | The notional amount of futures sold as a percentage of Net Assets is 14.5% | The notional amount of futures sold as a percentage of Net Assets is 14.5% | The notional amount of futures sold as a percentage of Net Assets is 14.5% | The notional amount of futures sold as a percentage of Net Assets is 14.5% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short equity positions and fixed income positions and pays or receives the U.S. SOFR Index of 4.36% plus or minus a specified spread ranging from (4)% to 0.55% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | Bank of Montreal | Sep 2025 | 1194069661 | (1247505) | (760631) | (2008136) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Convertible Corporate Bonds** |  |  |  |  |  |  |
| UNITED STATES -(480.4)%  |  |  |  |  |  |  |
| **Communication Services - 179.0%**  |  |  |  |  |  |  |
| **Entertainment - 184.2%**  |  |  |  |  |  |  |
| Spotify USA Inc 0% 3/15/2026  |  |  |  | 225000 | 28428750 | (3249225) |
| IMAX Corp 0.5% 4/1/2026  |  |  |  | 45000 | 4799769 | (251159) |
| Liberty Media Corp-Liberty Formula One 2.25% 8/15/2027  |  |  |  | 161500 | 20960681 | (261509) |
| Live Nation Entertainment Inc 3.125% 1/15/2029  |  |  |  | 50000 | 7518444 | 63510 |
| Liberty Media Corp 2.375% 9/30/2053 (1)  |  |  |  | 125000 | 18850564 | (2005) |
|  |  |  |  |  | 80558208 | (3700388) |
| **Media - (0.5)%**  |  |  |  |  |  |  |
| Cable One Inc 0% 3/15/2026  |  |  |  | 30000 | 2863500 | 10890 |
| **Interactive Media & Services - (4.7)%**  |  |  |  |  |  |  |
| Snap Inc 0.5% 5/1/2030  |  |  |  | 100000 | 8767500 | 93583 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | 92189208 | (3595915) |
| **Utilities - (25.8)%**  |  |  |  |  |  |  |
| **Multi-Utilities - (20.8)%**  |  |  |  |  |  |  |
| WEC Energy Group Inc 4.375% 6/1/2029  |  |  |  | 125000 | 14926938 | 418204 |
| **Electric Utilities - (5.0)%**  |  |  |  |  |  |  |
| Southern Co/The 3.875% 12/15/2025  |  |  |  | 45000 | 5114031 | 100751 |
| TOTAL UTILITIES |  |  |  |  | 20040969 | 518955 |
| **Health Care - 6.9%**  |  |  |  |  |  |  |
| **Biotechnology - 26.1%**  |  |  |  |  |  |  |
| Halozyme Therapeutics Inc 1% 8/15/2028  |  |  |  | 60000 | 7419918 | 226442 |
| Mirum Pharmaceuticals Inc 4% 5/1/2029  |  |  |  | 20000 | 3607000 | (48447) |
| Exact Sciences Corp 2% 3/1/2030 (1)  |  |  |  | 135000 | 13079250 | (703710) |
|  |  |  |  |  | 24106168 | (525715) |
| **Health Care Equipment & Supplies - 1.5%**  |  |  |  |  |  |  |
| Dexcom Inc 0.25% 11/15/2025  |  |  |  | 75000 | 7391348 | 20675 |
| Haemonetics Corp 2.5% 6/1/2029  |  |  |  | 120000 | 11996000 | (49540) |
|  |  |  |  |  | 19387348 | (28865) |
| **Life Sciences Tools & Services - 0.1%**  |  |  |  |  |  |  |
| Mesa Laboratories Inc 1.375% 8/15/2025  |  |  |  | 10000 | 998740 | (2637) |
| **Health Care Providers & Services - (42.3)%**  |  |  |  |  |  |  |
| Hims & Hers Health Inc 0% 5/15/2030 (1)  |  |  |  | 50000 | 6175000 | 850150 |
| **Pharmaceuticals - 21.5%**  |  |  |  |  |  |  |
| BofA Finance LLC 0.6% 5/25/2027  |  |  |  | 235000 | 22820850 | (438510) |
| Jazz Investments I Ltd 2% 6/15/2026  |  |  |  | 17500 | 1796472 | 6148 |
|  |  |  |  |  | 24617322 | (432362) |
| TOTAL HEALTH CARE |  |  |  |  | 75284578 | (139429) |
| **Energy - (10.2)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (10.2)%**  |  |  |  |  |  |  |
| Centrus Energy Corp 2.25% 11/1/2030 (1)  |  |  |  | 32500 | 7784156 | 145202 |
| Green Plains Inc 2.25% 3/15/2027  |  |  |  | 50000 | 4344869 | (55344) |
| Peabody Energy Corp 3.25% 3/1/2028  |  |  |  | 25000 | 2853354 | 115960 |
|  |  |  |  |  | 14982379 | 205818 |
| TOTAL ENERGY |  |  |  |  | 14982379 | 205818 |
| **Consumer Staples - (28.4)%**  |  |  |  |  |  |  |
| **Consumer Staples Distribution & Retail - (35.5)%**  |  |  |  |  |  |  |
| Chefs' Warehouse Inc/The 2.375% 12/15/2028  |  |  |  | 110000 | 17974382 | 712200 |
| **Food Products - 7.1%**  |  |  |  |  |  |  |
| Freshpet Inc 3% 4/1/2028  |  |  |  | 140000 | 17591000 | (143220) |
| TOTAL CONSUMER STAPLES |  |  |  |  | 35565382 | 568980 |
| **Real Estate - (8.9)%**  |  |  |  |  |  |  |
| **Health Care REITs - (8.9)%**  |  |  |  |  |  |  |
| Ventas Realty LP 3.75% 6/1/2026  |  |  |  | 65000 | 8124025 | 178930 |
| TOTAL REAL ESTATE |  |  |  |  | 8124025 | 178930 |
| **Materials - (73.8)%**  |  |  |  |  |  |  |
| **Metals & Mining - (73.8)%**  |  |  |  |  |  |  |
| Century Aluminum Co 2.75% 5/1/2028  |  |  |  | 37500 | 4961911 | 208639 |
| MP Materials Corp 3% 3/1/2030 (1)  |  |  |  | 81000 | 23830200 | 1272244 |
|  |  |  |  |  | 28792111 | 1480883 |
| TOTAL MATERIALS |  |  |  |  | 28792111 | 1480883 |
| **Financials - 13.5%**  |  |  |  |  |  |  |
| **Capital Markets - 13.5%**  |  |  |  |  |  |  |
| Coinbase Global Inc 0.25% 4/1/2030  |  |  |  | 100000 | 13778718 | (271274) |
| TOTAL FINANCIALS |  |  |  |  | 13778718 | (271274) |
| **Industrials - (116.5)%**  |  |  |  |  |  |  |
| **Electrical Equipment - (117.1)%**  |  |  |  |  |  |  |
| Bloom Energy Corp 3% 6/1/2028  |  |  |  | 42500 | 8946250 | 2351398 |
| **Commercial Services & Supplies - 0.7%**  |  |  |  |  |  |  |
| Tetra Tech Inc 2.25% 8/15/2028  |  |  |  | 78000 | 8940945 | (14840) |
| **Construction & Engineering - (47.1)%**  |  |  |  |  |  |  |
| Fluor Corp 1.125% 8/15/2029  |  |  |  | 140000 | 19728625 | 946756 |
| **Ground Transportation - 47.0%**  |  |  |  |  |  |  |
| Lyft Inc 0.625% 3/1/2029  |  |  |  | 200000 | 20472083 | (199554) |
| Uber Technologies Inc 0.875% 12/1/2028  |  |  |  | 150000 | 20489375 | (745581) |
|  |  |  |  |  | 40961458 | (945135) |
| TOTAL INDUSTRIALS |  |  |  |  | 78577278 | 2338179 |
| **Consumer Discretionary - (63.5)%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - (40.8)%**  |  |  |  |  |  |  |
| Cracker Barrel Old Country Store Inc 1.75% 9/15/2030 (1)  |  |  |  | 105000 | 11352663 | (283796) |
| Airbnb Inc 0% 3/15/2026  |  |  |  | 75000 | 7252500 | 75 |
| Marriott Vacations Worldwide Corp 3.25% 12/15/2027  |  |  |  | 125000 | 11820660 | (29073) |
| Carnival Corp 5.75% 12/1/2027  |  |  |  | 157500 | 36517687 | 834527 |
| DoorDash Inc 0% 5/15/2030 (1)  |  |  |  | 100000 | 10855000 | 258600 |
| DraftKings Holdings Inc 0% 3/15/2028  |  |  |  | 182500 | 16545077 | 35944 |
|  |  |  |  |  | 94343587 | 816277 |
| **Specialty Retail - (30.3)%**  |  |  |  |  |  |  |
| Burlington Stores Inc 1.25% 12/15/2027  |  |  |  | 95000 | 13638174 | 607818 |
| **Broadline Retail - (1.9)%**  |  |  |  |  |  |  |
| Etsy Inc 0.125% 9/1/2027  |  |  |  | 55000 | 4955615 | 37411 |
| **Automobiles - 9.5%**  |  |  |  |  |  |  |
| Ford Motor Co 0% 3/15/2026  |  |  |  | 200000 | 19880000 | (190555) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 132817376 | 1270951 |
| **Information Technology - (352.7)%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - 36.7%**  |  |  |  |  |  |  |
| Microchip Technology Inc 0.75% 6/1/2030  |  |  |  | 90000 | 8831734 | (146357) |
| ON Semiconductor Corp 0% 5/1/2027  |  |  |  | 95000 | 11658022 | (358433) |
| Veeco Instruments Inc 2.875% 6/1/2029  |  |  |  | 10830 | 1165624 | (3110) |
| Penguin Solutions Inc 2% 8/15/2030 (1)  |  |  |  | 82500 | 9126086 | (228993) |
|  |  |  |  |  | 30781466 | (736893) |
| **Electronic Equipment, Instruments & Components - 19.5%**  |  |  |  |  |  |  |
| Itron Inc 1.375% 7/15/2030  |  |  |  | 60000 | 6893742 | (391145) |
| **Software - 14.7%**  |  |  |  |  |  |  |
| Progress Software Corp 1% 4/15/2026  |  |  |  | 55000 | 5598694 | (26858) |
| Vertex Inc 0.75% 5/1/2029  |  |  |  | 47200 | 5428000 | (210005) |
| Box Inc 1.5% 9/15/2029 (1)  |  |  |  | 95000 | 9558583 | (58897) |
|  |  |  |  |  | 20585277 | (295760) |
| **Communications Equipment - (77.5)%**  |  |  |  |  |  |  |
| Lumentum Holdings Inc 1.5% 12/15/2029  |  |  |  | 105000 | 18027625 | 1557098 |
| **Technology Hardware, Storage & Peripherals - (306.5)%**  |  |  |  |  |  |  |
| Seagate HDD Cayman 3.5% 6/1/2028  |  |  |  | 200000 | 39061667 | 1605367 |
| Western Digital Corp 3% 11/15/2028  |  |  |  | 190000 | 40837333 | 4549830 |
|  |  |  |  |  | 79899000 | 6155197 |
| **IT Services - (39.6)%**  |  |  |  |  |  |  |
| Okta Inc 0.375% 6/15/2026  |  |  |  | 27000 | 2591673 | 4390 |
| Akamai Technologies Inc 1.125% 2/15/2029  |  |  |  | 200000 | 18844594 | (51181) |
| Akamai Technologies Inc 0.375% 9/1/2027  |  |  |  | 100000 | 9586013 | (55450) |
| Snowflake Inc 0% 10/1/2027 (1)  |  |  |  | 161800 | 24512700 | 897990 |
|  |  |  |  |  | 55534980 | 795749 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 211722090 | 7084246 |
| TOTAL UNITED STATES |  |  |  |  | 711874114 | 9640324 |
| INDIA -0.0%  |  |  |  |  |  |  |
| **Consumer Discretionary - 0.0%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 0.0%**  |  |  |  |  |  |  |
| MakeMyTrip Ltd 0% 2/15/2028  |  |  |  | 20000 | 4867000 | 820 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 4867000 | 820 |
| TOTAL INDIA |  |  |  |  | 4867000 | 820 |
| DENMARK -3.0%  |  |  |  |  |  |  |
| **Health Care - 3.0%**  |  |  |  |  |  |  |
| **Biotechnology - 3.0%**  |  |  |  |  |  |  |
| Ascendis Pharma A/S 2.25% 4/1/2028  |  |  |  | 75000 | 9487500 | (59869) |
| TOTAL HEALTH CARE |  |  |  |  | 9487500 | (59869) |
| TOTAL DENMARK |  |  |  |  | 9487500 | (59869) |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS** |  |  |  |  | **726228614** | <br> **9581275** |
| **TOTAL LONG** |  |  |  |  | **726228614** | **9581275** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -539.3%  |  |  |  |  |  |  |
| **Communication Services - (159.3)%**  |  |  |  |  |  |  |
| **Entertainment - (158.7)%**  |  |  |  |  |  |  |
| IMAX Corp (2)  |  |  |  | (67000) | (1727930) | 139360 |
| Live Nation Entertainment Inc (2)  |  |  |  | (140800) | (20796160) | (229504) |
| Spotify Technology SA (2)  |  |  |  | (38200) | (23933828) | 3205744 |
| Liberty Media Corp-Liberty Formula One Class C (2)  |  |  |  | (132559) | (13302296) | 72907 |
|  |  |  |  |  | (59760214) | 3188507 |
| **Interactive Media & Services - (0.6)%**  |  |  |  |  |  |  |
| Snap Inc Class A (2)  |  |  |  | (224900) | (2120807) | 11245 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (61881021) | 3199752 |
| **Utilities - 23.6%**  |  |  |  |  |  |  |
| **Multi-Utilities - 18.8%**  |  |  |  |  |  |  |
| WEC Energy Group Inc  |  |  |  | (88000) | (9599040) | (377520) |
| **Electric Utilities - 4.8%**  |  |  |  |  |  |  |
| Southern Co/The  |  |  |  | (47800) | (4516144) | (96078) |
| TOTAL UTILITIES |  |  |  |  | (14115184) | (473598) |
| **Health Care - 8.2%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - (1.5)%**  |  |  |  |  |  |  |
| Haemonetics Corp (2)  |  |  |  | (50400) | (3731616) | 29232 |
| **Biotechnology - (21.6)%**  |  |  |  |  |  |  |
| Mirum Pharmaceuticals Inc (2)  |  |  |  | (56800) | (2935424) | 17040 |
| Exact Sciences Corp (2)  |  |  |  | (107000) | (5023650) | 646280 |
| Halozyme Therapeutics Inc (2)  |  |  |  | (68000) | (4077960) | (229160) |
|  |  |  |  |  | (12037034) | 434160 |
| **Health Care Providers & Services - 42.0%**  |  |  |  |  |  |  |
| Hims & Hers Health Inc Class A (2)  |  |  |  | (54500) | (3606810) | (843159) |
| **Pharmaceuticals - (10.7)%**  |  |  |  |  |  |  |
| Merck & Co Inc  |  |  |  | (65000) | (5077800) | 221000 |
| Jazz Pharmaceuticals PLC (2)  |  |  |  | (3000) | (343890) | (6990) |
|  |  |  |  |  | (5421690) | 214010 |
| TOTAL HEALTH CARE |  |  |  |  | (24797150) | (165757) |
| **Energy - 5.9%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - 5.9%**  |  |  |  |  |  |  |
| Peabody Energy Corp  |  |  |  | (75000) | (1211250) | (95250) |
| Green Plains Inc (2)  |  |  |  | (55000) | (454850) | (20900) |
| Centrus Energy Corp Class A (2)  |  |  |  | (30400) | (6548160) | (4256) |
|  |  |  |  |  | (8214260) | (120406) |
| TOTAL ENERGY |  |  |  |  | (8214260) | (120406) |
| **Consumer Staples - 42.7%**  |  |  |  |  |  |  |
| **Consumer Staples Distribution & Retail - 45.4%**  |  |  |  |  |  |  |
| Chefs' Warehouse Inc/The (2)  |  |  |  | (202400) | (13876544) | (910800) |
| **Food Products - (2.7)%**  |  |  |  |  |  |  |
| Freshpet Inc (2)  |  |  |  | (136600) | (9332512) | 53274 |
| TOTAL CONSUMER STAPLES |  |  |  |  | (23209056) | (857526) |
| **Real Estate - 9.9%**  |  |  |  |  |  |  |
| **Health Care REITs - 9.9%**  |  |  |  |  |  |  |
| Ventas Inc  |  |  |  | (99900) | (6711282) | (198801) |
| TOTAL REAL ESTATE |  |  |  |  | (6711282) | (198801) |
| **Materials - 62.2%**  |  |  |  |  |  |  |
| **Metals & Mining - 62.2%**  |  |  |  |  |  |  |
| MP Materials Corp (2)  |  |  |  | (346800) | (21328200) | (1097700) |
| Century Aluminum Co (2)  |  |  |  | (130000) | (2753400) | (150800) |
|  |  |  |  |  | (24081600) | (1248500) |
| TOTAL MATERIALS |  |  |  |  | (24081600) | (1248500) |
| **Financials - (12.1)%**  |  |  |  |  |  |  |
| **Capital Markets - (12.1)%**  |  |  |  |  |  |  |
| Coinbase Global Inc Class A (2)  |  |  |  | (23700) | (8952912) | 243162 |
| TOTAL FINANCIALS |  |  |  |  | (8952912) | 243162 |
| **Industrials - 139.1%**  |  |  |  |  |  |  |
| **Electrical Equipment - 133.0%**  |  |  |  |  |  |  |
| Eos Energy Enterprises Inc (2)  |  |  |  | (808000) | (4605600) | (428240) |
| Bloom Energy Corp Class A (2)  |  |  |  | (209700) | (7840683) | (2242589) |
|  |  |  |  |  | (12446283) | (2670829) |
| **Commercial Services & Supplies - 0.7%**  |  |  |  |  |  |  |
| Tetra Tech Inc  |  |  |  | (181000) | (6649940) | (14480) |
| **Construction & Engineering - 45.1%**  |  |  |  |  |  |  |
| Fluor Corp (2)  |  |  |  | (237200) | (13465844) | (906104) |
| **Ground Transportation - (39.7)%**  |  |  |  |  |  |  |
| Lyft Inc Class A (2)  |  |  |  | (582700) | (8192762) | 114638 |
| Uber Technologies Inc (2)  |  |  |  | (152900) | (13416975) | 681934 |
|  |  |  |  |  | (21609737) | 796572 |
| TOTAL INDUSTRIALS |  |  |  |  | (54171804) | (2794841) |
| **Consumer Discretionary - 50.3%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 18.3%**  |  |  |  |  |  |  |
| Cheesecake Factory Inc/The  |  |  |  | (32000) | (2045120) | 86720 |
| Cracker Barrel Old Country Store Inc  |  |  |  | (220000) | (13640000) | 579864 |
| Marriott Vacations Worldwide Corp  |  |  |  | (8000) | (595760) | 47440 |
| Carnival Corp (2)  |  |  |  | (1120000) | (33342400) | (709611) |
| DoorDash Inc Class A (2)  |  |  |  | (21500) | (5380375) | (289820) |
| DraftKings Inc Class A (2)  |  |  |  | (67300) | (3031192) | (83452) |
|  |  |  |  |  | (58034847) | (368859) |
| **Broadline Retail - 0.4%**  |  |  |  |  |  |  |
| Etsy Inc (2)  |  |  |  | (3000) | (174810) | (7740) |
| **Specialty Retail - 38.8%**  |  |  |  |  |  |  |
| Burlington Stores Inc (2)  |  |  |  | (37000) | (10099520) | (779220) |
| **Automobiles - (7.2)%**  |  |  |  |  |  |  |
| Ford Motor Co  |  |  |  | (432900) | (4792203) | 144883 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (73101380) | (1010936) |
| **Information Technology - 368.8%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - (31.5)%**  |  |  |  |  |  |  |
| Microchip Technology Inc  |  |  |  | (22000) | (1486980) | 96800 |
| ON Semiconductor Corp (2)  |  |  |  | (95000) | (5354200) | 244150 |
| Veeco Instruments Inc (2)  |  |  |  | (26700) | (554826) | (801) |
| Penguin Solutions Inc (2)  |  |  |  | (212100) | (4999197) | 269367 |
| MACOM Technology Solutions Holdings Inc (2)  |  |  |  | (132000) | (18102480) | 21120 |
|  |  |  |  |  | (30497683) | 630636 |
| **Electronic Equipment, Instruments & Components - (17.7)%**  |  |  |  |  |  |  |
| Itron Inc (2)  |  |  |  | (32000) | (3985280) | 354880 |
| **Software - (10.3)%**  |  |  |  |  |  |  |
| Progress Software Corp  |  |  |  | (60000) | (2884800) | (25200) |
| Vertex Inc Class A (2)  |  |  |  | (101000) | (3350170) | 178770 |
| Box Inc Class A (2)  |  |  |  | (124600) | (3999660) | 53578 |
|  |  |  |  |  | (10234630) | 207148 |
| **Communications Equipment - 68.6%**  |  |  |  |  |  |  |
| Lumentum Holdings Inc (2)  |  |  |  | (115300) | (12692224) | (1376682) |
| **Technology Hardware, Storage & Peripherals - 305.5%**  |  |  |  |  |  |  |
| Western Digital Corp  |  |  |  | (485500) | (38203995) | (4488667) |
| Seagate Technology Holdings PLC  |  |  |  | (206800) | (32469668) | (1646128) |
|  |  |  |  |  | (70673663) | (6134795) |
| **IT Services - 54.2%**  |  |  |  |  |  |  |
| Okta Inc Class A (2)  |  |  |  | (3000) | (293400) | (20100) |
| Snowflake Inc (2)  |  |  |  | (104300) | (23311050) | (1117053) |
| Akamai Technologies Inc (2)  |  |  |  | (96800) | (7386808) | 47432 |
|  |  |  |  |  | (30991258) | (1089721) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (159074738) | (7408534) |
| TOTAL UNITED STATES |  |  |  |  | (458310387) | (10835985) |
| INDIA -1.4%  |  |  |  |  |  |  |
| **Consumer Discretionary - 1.4%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 1.4%**  |  |  |  |  |  |  |
| MakeMyTrip Ltd (2)  |  |  |  | (49000) | (4585910) | (28420) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (4585910) | (28420) |
| TOTAL INDIA |  |  |  |  | (4585910) | (28420) |
| DENMARK -(1.8)%  |  |  |  |  |  |  |
| **Health Care - (1.8)%**  |  |  |  |  |  |  |
| **Biotechnology - (1.8)%**  |  |  |  |  |  |  |
| Ascendis Pharma A/S ADR (2)  |  |  |  | (28500) | (4944750) | 35625 |
| TOTAL HEALTH CARE |  |  |  |  | (4944750) | 35625 |
| TOTAL DENMARK |  |  |  |  | (4944750) | 35625 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(467841047)** | <br> **(10828780)** |
| **TOTAL SHORT** |  |  |  |  | **(467841047)** | **(10828780)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **258387567** | **(1247505)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short equity positions and fixed income positions and pays or receives the U.S. SOFR Index of 4.33% plus or minus a specified spread ranging from (2)% to 0.75% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | BNP Paribas SA | Oct 2025 | 744104664 | (4233785) | 245007 | (3988778) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Convertible Corporate Bonds** |  |  |  |  |  |  |
| UNITED STATES -(45.9)%  |  |  |  |  |  |  |
| **Communication Services - 2.0%**  |  |  |  |  |  |  |
| **Entertainment - 1.7%**  |  |  |  |  |  |  |
| Sphere Entertainment Co 3.5% 12/1/2028  |  |  |  | 6000000 | 8600000 | (68781) |
| **Interactive Media & Services - 0.3%**  |  |  |  |  |  |  |
| Ziff Davis Inc 1.75% 11/1/2026  |  |  |  | 5000000 | 4778125 | (12356) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | 13378125 | (81137) |
| **Utilities - 7.6%**  |  |  |  |  |  |  |
| **Electric Utilities - 7.6%**  |  |  |  |  |  |  |
| NextEra Energy Capital Holdings Inc 3% 3/1/2027  |  |  |  | 7500000 | 8647500 | (304674) |
| TOTAL UTILITIES |  |  |  |  | 8647500 | (304674) |
| **Health Care - 4.8%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - 20.4%**  |  |  |  |  |  |  |
| Merit Medical Systems Inc 3% 2/1/2029 (1)  |  |  |  | 10960000 | 12894440 | (984122) |
| TransMedics Group Inc 1.5% 6/1/2028  |  |  |  | 7500000 | 11118750 | 172309 |
|  |  |  |  |  | 24013190 | (811813) |
| **Biotechnology - (17.3)%**  |  |  |  |  |  |  |
| Mirum Pharmaceuticals Inc 4% 5/1/2029  |  |  |  | 4800000 | 8656800 | (116292) |
| Alnylam Pharmaceuticals Inc 1% 9/15/2027  |  |  |  | 4000000 | 5896311 | 806588 |
|  |  |  |  |  | 14553111 | 690296 |
| **Life Sciences Tools & Services - 2.0%**  |  |  |  |  |  |  |
| Repligen Corp 1% 12/15/2028  |  |  |  | 11500000 | 11158194 | (79978) |
| **Pharmaceuticals - (0.3)%**  |  |  |  |  |  |  |
| Jazz Investments I Ltd 2% 6/15/2026  |  |  |  | 3500000 | 3592944 | 12311 |
| TOTAL HEALTH CARE |  |  |  |  | 53317439 | (189184) |
| **Consumer Staples - 7.6%**  |  |  |  |  |  |  |
| **Personal Care Products - 6.1%**  |  |  |  |  |  |  |
| Oddity Finance LLC 0% 6/15/2030 (1)  |  |  |  | 17250000 | 18166406 | (243468) |
| **Food Products - 1.5%**  |  |  |  |  |  |  |
| Freshpet Inc 3% 4/1/2028  |  |  |  | 6000000 | 7539000 | (61405) |
| TOTAL CONSUMER STAPLES |  |  |  |  | 25705406 | (304873) |
| **Energy - 5.2%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - 5.2%**  |  |  |  |  |  |  |
| World Kinect Corp 3.25% 7/1/2028  |  |  |  | 5000000 | 5657542 | (208053) |
| TOTAL ENERGY |  |  |  |  | 5657542 | (208053) |
| **Financials - (9.6)%**  |  |  |  |  |  |  |
| **Capital Markets - (9.6)%**  |  |  |  |  |  |  |
| Galaxy Digital Holdings LP 2.5% 12/1/2029 (1)  |  |  |  | 8750000 | 12608304 | 107921 |
| Galaxy Digital Holdings LP 3% 12/15/2026 (1)  |  |  |  | 2500000 | 2976801 | 276828 |
|  |  |  |  |  | 15585105 | 384749 |
| TOTAL FINANCIALS |  |  |  |  | 15585105 | 384749 |
| **Industrials - (38.3)%**  |  |  |  |  |  |  |
| **Aerospace & Defense - (8.9)%**  |  |  |  |  |  |  |
| Axon Enterprise Inc 0.5% 12/15/2027  |  |  |  | 9500000 | 31390392 | 355041 |
| **Electrical Equipment - (41.6)%**  |  |  |  |  |  |  |
| Bloom Energy Corp 3% 6/1/2028  |  |  |  | 3000000 | 6315000 | 1659799 |
| **Ground Transportation - 3.1%**  |  |  |  |  |  |  |
| Uber Technologies Inc 0.875% 12/1/2028  |  |  |  | 2500000 | 3414896 | (124262) |
| **Construction & Engineering - (1.8)%**  |  |  |  |  |  |  |
| Granite Construction Inc 3.25% 6/15/2030  |  |  |  | 4500000 | 6194938 | 70704 |
| **Machinery - 10.9%**  |  |  |  |  |  |  |
| Greenbrier Cos Inc/The 2.875% 4/15/2028  |  |  |  | 8250000 | 8843714 | (436471) |
| TOTAL INDUSTRIALS |  |  |  |  | 56158940 | 1524811 |
| **Consumer Discretionary - 18.9%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - (0.4)%**  |  |  |  |  |  |  |
| Expedia Group Inc 0% 2/15/2026  |  |  |  | 2500000 | 2466444 | 14369 |
| **Specialty Retail - (1.4)%**  |  |  |  |  |  |  |
| Guess? Inc 3.75% 4/15/2028  |  |  |  | 10000000 | 9705417 | 54370 |
| **Diversified Consumer Services - 21.0%**  |  |  |  |  |  |  |
| Stride Inc 1.125% 9/1/2027  |  |  |  | 8500000 | 21124094 | (838755) |
| **Automobiles - (0.3)%**  |  |  |  |  |  |  |
| Rivian Automotive Inc 3.625% 10/15/2030  |  |  |  | 7750000 | 6774845 | 12021 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 40070800 | (757995) |
| **Information Technology - (44.1)%**  |  |  |  |  |  |  |
| **Electronic Equipment, Instruments & Components - (2.6)%**  |  |  |  |  |  |  |
| Advanced Energy Industries Inc 2.5% 9/15/2028  |  |  |  | 7000000 | 8656663 | (57819) |
| OSI Systems Inc 2.25% 8/1/2029 (1)  |  |  |  | 6800000 | 9071445 | 259698 |
| Vishay Intertechnology Inc 2.25% 9/15/2030  |  |  |  | 10000000 | 9180000 | (98096) |
|  |  |  |  |  | 26908108 | 103783 |
| **Software - (32.9)%**  |  |  |  |  |  |  |
| InterDigital Inc 3.5% 6/1/2027  |  |  |  | 2000000 | 6727667 | 838143 |
| Nutanix Inc 0.25% 10/1/2027  |  |  |  | 13250000 | 18435167 | 164528 |
| Box Inc 1.5% 9/15/2029 (1)  |  |  |  | 4500000 | 4527750 | (8049) |
| BlackLine Inc 1% 6/1/2029  |  |  |  | 3750000 | 3885625 | (38614) |
| Core Scientific Inc 3% 9/1/2029 (1)  |  |  |  | 5070000 | 7454919 | (116413) |
| Tyler Technologies Inc 0.25% 3/15/2026  |  |  |  | 11617000 | 14050116 | 511866 |
| Workiva Inc 1.125% 8/15/2026  |  |  |  | 1000000 | 1046688 | (36327) |
|  |  |  |  |  | 56127932 | 1315134 |
| **Technology Hardware, Storage & Peripherals - (10.0)%**  |  |  |  |  |  |  |
| Xerox Holdings Corp 3.75% 3/15/2030  |  |  |  | 6000000 | 2959000 | (537719) |
| Western Digital Corp 3% 11/15/2028  |  |  |  | 3500000 | 7522667 | 937167 |
|  |  |  |  |  | 10481667 | 399448 |
| **IT Services - 1.4%**  |  |  |  |  |  |  |
| Akamai Technologies Inc 0.375% 9/1/2027  |  |  |  | 10000000 | 9586013 | (55414) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 103103720 | 1762951 |
| TOTAL UNITED STATES |  |  |  |  | 321624577 | 1826595 |
| ISRAEL -0.1%  |  |  |  |  |  |  |
| **Information Technology - 0.1%**  |  |  |  |  |  |  |
| **Software - 0.1%**  |  |  |  |  |  |  |
| Nice Ltd 0% 9/15/2025  |  |  |  | 4000000 | 3960000 | (3917) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 3960000 | (3917) |
| TOTAL ISRAEL |  |  |  |  | 3960000 | (3917) |
| INDIA -1.5%  |  |  |  |  |  |  |
| **Consumer Discretionary - 1.5%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 1.5%**  |  |  |  |  |  |  |
| MakeMyTrip Ltd 0% 7/1/2030 (1)  |  |  |  | 10500000 | 10793381 | (60612) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 10793381 | (60612) |
| TOTAL INDIA |  |  |  |  | 10793381 | (60612) |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS** |  |  |  |  | **336377958** | <br> **1762066** |
| **TOTAL LONG** |  |  |  |  | **336377958** | **1762066** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
| **Domestic Equity Funds** |  |  |  |  |  |  |
|  iShares Core S&P 500 ETF |  |  |  | (20700) | (13142430) | (205137) |
|  Financial Select Sector SPDR ETF |  |  |  | (208300) | (10908671) | (149976) |
| <br> **TOTAL DOMESTIC EQUITY FUNDS** |  |  |  |  | **(24051101)** | **(355113)** |
| **Fixed-Income Funds** |  |  |  |  |  |  |
| Vanguard Total Bond Market ETF  |  |  |  | (160000) | (11712000) | (100800) |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -144.9%  |  |  |  |  |  |  |
| **Communication Services - 0.8%**  |  |  |  |  |  |  |
| **Entertainment - 0.8%**  |  |  |  |  |  |  |
| Sphere Entertainment Co Class A (2)  |  |  |  | (135000) | (5811750) | (32400) |
| **Interactive Media & Services - 0.0%**  |  |  |  |  |  |  |
| Ziff Davis Inc (2)  |  |  |  | (5000) | (155600) | (800) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (5967350) | (33200) |
| **Utilities - (6.2)%**  |  |  |  |  |  |  |
| **Electric Utilities - (6.2)%**  |  |  |  |  |  |  |
| NextEra Energy Inc  |  |  |  | (68000) | (4832080) | 247520 |
| TOTAL UTILITIES |  |  |  |  | (4832080) | 247520 |
| **Health Care - (16.3)%**  |  |  |  |  |  |  |
| **Biotechnology - 21.1%**  |  |  |  |  |  |  |
| AbbVie Inc  |  |  |  | (32000) | (6048640) | (84160) |
| Mirum Pharmaceuticals Inc (2)  |  |  |  | (123200) | (6366976) | 36960 |
| Alnylam Pharmaceuticals Inc (2)  |  |  |  | (10200) | (4000848) | (794591) |
|  |  |  |  |  | (16416464) | (841791) |
| **Health Care Equipment & Supplies - (36.9)%**  |  |  |  |  |  |  |
| Merit Medical Systems Inc (2)  |  |  |  | (98000) | (8316280) | 856520 |
| TransMedics Group Inc (2)  |  |  |  | (64000) | (7614080) | (193771) |
| Lantheus Holdings Inc (2)  |  |  |  | (75000) | (5339250) | 755250 |
| Enovis Corp (2)  |  |  |  | (14000) | (375200) | 57400 |
|  |  |  |  |  | (21644810) | 1475399 |
| **Life Sciences Tools & Services - (0.9)%**  |  |  |  |  |  |  |
| Repligen Corp (2)  |  |  |  | (34000) | (3980380) | 35020 |
| **Pharmaceuticals - 0.4%**  |  |  |  |  |  |  |
| Jazz Pharmaceuticals PLC (2)  |  |  |  | (7000) | (802410) | (16310) |
| TOTAL HEALTH CARE |  |  |  |  | (42844064) | 652318 |
| **Consumer Staples - (4.8)%**  |  |  |  |  |  |  |
| **Consumer Staples Distribution & Retail - (4.2)%**  |  |  |  |  |  |  |
| Costco Wholesale Corp  |  |  |  | (6000) | (5637840) | 168240 |
| **Food Products - (0.6)%**  |  |  |  |  |  |  |
| Freshpet Inc (2)  |  |  |  | (58000) | (3962560) | 22620 |
| TOTAL CONSUMER STAPLES |  |  |  |  | (9600400) | 190860 |
| **Energy - (3.2)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (3.2)%**  |  |  |  |  |  |  |
| Northern Oil & Gas Inc  |  |  |  | (39200) | (1103872) | (7840) |
| World Kinect Corp  |  |  |  | (102000) | (2781540) | 136680 |
|  |  |  |  |  | (3885412) | 128840 |
| TOTAL ENERGY |  |  |  |  | (3885412) | 128840 |
| **Financials - 5.5%**  |  |  |  |  |  |  |
| **Capital Markets - 5.5%**  |  |  |  |  |  |  |
| Morgan Stanley  |  |  |  | (41700) | (5940582) | (36279) |
| Galaxy Digital Inc Class A  |  |  |  | (321000) | (9121215) | (184165) |
|  |  |  |  |  | (15061797) | (220444) |
| TOTAL FINANCIALS |  |  |  |  | (15061797) | (220444) |
| **Industrials - 49.6%**  |  |  |  |  |  |  |
| **Aerospace & Defense - 11.0%**  |  |  |  |  |  |  |
| Axon Enterprise Inc (2)  |  |  |  | (45800) | (34601442) | (440596) |
| **Electrical Equipment - 41.0%**  |  |  |  |  |  |  |
| Bloom Energy Corp Class A (2)  |  |  |  | (135300) | (5058867) | (1634424) |
| **Construction & Engineering - 13.2%**  |  |  |  |  |  |  |
| Granite Construction Inc  |  |  |  | (259000) | (24467730) | (528360) |
| **Ground Transportation - (4.6)%**  |  |  |  |  |  |  |
| Uber Technologies Inc (2)  |  |  |  | (40800) | (3580200) | 181968 |
| **Machinery - (11.0)%**  |  |  |  |  |  |  |
| Greenbrier Cos Inc/The  |  |  |  | (82000) | (3731000) | 440340 |
| TOTAL INDUSTRIALS |  |  |  |  | (71439239) | (1981072) |
| **Consumer Discretionary - (21.2)%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 0.1%**  |  |  |  |  |  |  |
| Cheesecake Factory Inc/The  |  |  |  | (62900) | (4019939) | (23909) |
| Expedia Group Inc Class A  |  |  |  | (5900) | (1063298) | 18004 |
|  |  |  |  |  | (5083237) | (5905) |
| **Specialty Retail - 2.1%**  |  |  |  |  |  |  |
| Guess? Inc  |  |  |  | (135000) | (1755000) | (82350) |
| **Diversified Consumer Services - (25.1)%**  |  |  |  |  |  |  |
| Stride Inc (2)  |  |  |  | (160000) | (20516800) | 1001600 |
| **Automobiles - 1.7%**  |  |  |  |  |  |  |
| Rivian Automotive Inc Class A (2)  |  |  |  | (280000) | (3603600) | (67200) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (30958637) | 846145 |
| **Information Technology - 140.7%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - 52.8%**  |  |  |  |  |  |  |
| NVIDIA Corp  |  |  |  | (160000) | (28459200) | (1147200) |
| Broadcom Inc  |  |  |  | (75000) | (22027500) | (957000) |
|  |  |  |  |  | (50486700) | (2104200) |
| **Electronic Equipment, Instruments & Components - 5.7%**  |  |  |  |  |  |  |
| Advanced Energy Industries Inc  |  |  |  | (50000) | (6946000) | 9250 |
| Vishay Intertechnology Inc  |  |  |  | (165100) | (2705989) | 99060 |
| OSI Systems Inc (2)  |  |  |  | (26100) | (5768361) | (336429) |
|  |  |  |  |  | (15420350) | (228119) |
| **Software - 69.7%**  |  |  |  |  |  |  |
| InterDigital Inc  |  |  |  | (25500) | (6584100) | (813705) |
| Intuit Inc  |  |  |  | (7700) | (6045501) | (301686) |
| Microsoft Corp  |  |  |  | (24000) | (12804000) | (664320) |
| Oracle Corp  |  |  |  | (25900) | (6572643) | (487179) |
| Workiva Inc Class A (2)  |  |  |  | (6000) | (382980) | 22080 |
| Aurora Innovation Inc Class A (2)  |  |  |  | (458800) | (2665628) | (9176) |
| Tyler Technologies Inc (2)  |  |  |  | (18500) | (10814360) | (574980) |
| BlackLine Inc (2)  |  |  |  | (88000) | (4732640) | 34320 |
| Nutanix Inc Class A (2)  |  |  |  | (187000) | (14056790) | (172040) |
| Core Scientific Inc (2)  |  |  |  | (860000) | (11644400) | 189200 |
| Box Inc Class A (2)  |  |  |  | (104100) | (3341610) | (3123) |
|  |  |  |  |  | (79644652) | (2780609) |
| **Technology Hardware, Storage & Peripherals - 12.9%**  |  |  |  |  |  |  |
| Apple Inc  |  |  |  | (84000) | (17435880) | 129360 |
| Western Digital Corp  |  |  |  | (64000) | (5036160) | (714240) |
| Xerox Holdings Corp  |  |  |  | (156400) | (633420) | 128248 |
| Seagate Technology Holdings PLC  |  |  |  | (7000) | (1099070) | (55720) |
|  |  |  |  |  | (24204530) | (512352) |
| **IT Services - (0.4)%**  |  |  |  |  |  |  |
| Akamai Technologies Inc (2)  |  |  |  | (35000) | (2670850) | 17150 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (172427082) | (5608130) |
| TOTAL UNITED STATES |  |  |  |  | (357016061) | (5777163) |
| ISRAEL -(6.7)%  |  |  |  |  |  |  |
| **Consumer Staples - (6.9)%**  |  |  |  |  |  |  |
| **Personal Care Products - (6.9)%**  |  |  |  |  |  |  |
| Oddity Tech Ltd Class A (2)  |  |  |  | (137500) | (9634625) | 276939 |
| TOTAL CONSUMER STAPLES |  |  |  |  | (9634625) | 276939 |
| **Information Technology - 0.2%**  |  |  |  |  |  |  |
| **Software - 0.2%**  |  |  |  |  |  |  |
| Nice Ltd ADR (2)  |  |  |  | (1900) | (296495) | (8626) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (296495) | (8626) |
| TOTAL ISRAEL |  |  |  |  | (9931120) | 268313 |
| INDIA -0.8%  |  |  |  |  |  |  |
| **Consumer Discretionary - 0.8%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 0.8%**  |  |  |  |  |  |  |
| MakeMyTrip Ltd (2)  |  |  |  | (53600) | (5016424) | (31088) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (5016424) | (31088) |
| TOTAL INDIA |  |  |  |  | (5016424) | (31088) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(371963605)** | <br> **(5539938)** |
| **TOTAL SHORT** |  |  |  |  | **(407726706)** | **(5995851)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(71348748)** | **(4233785)** |

---

(1) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(2) Non-income producing.

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $72,800,015 or 11.6% of net assets.

(d) Principal Only Strips represent the right to receive the monthly principal payments.

(e) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(f) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $146,943,510.

(g) 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 $798,763.

(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 1939811 | 318908641 | 310827707 | 511939 | - | - | 10020745 | 10018741 | 0.0% |
| Total | 1939811 | 318908641 | 310827707 | 511939 | - | - | 10020745 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of July 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Consumer Staples | 5637840 | 5637840 | - | - |
| Financials | 5940582 | 5940582 | - | - |
| Health Care | 6048640 | 6048640 | - | - |
| Information Technology | 93344724 | 93344724 | - | - |
|  **Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 7474105 | - | 7474105 | - |
| Consumer Discretionary | 57091422 | - | 57091422 | - |
| Energy | 2591250 | - | 2591250 | - |
| Financials | 593444 | - | 593444 | - |
| Health Care | 23031708 | - | 23031708 | - |
| Industrials | 47813244 | - | 47813244 | - |
| Information Technology | 66361214 | - | 66361214 | - |
| Utilities | 15339175 | - | 15339175 | - |
|  **Domestic Equity Funds** | 24051101 | 24051101 | - | - |
|  **Fixed-Income Funds** | 11712000 | 11712000 | - | - |
|  **U.S. Treasury Obligations** | 253229449 | - | 253229449 | - |
|  **Money Market Funds** | 10020745 | 10020745 | - | - |
| **Total Investments in Securities:** | 630280643 | 156755632 | 473525011 | - |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 24170 | 24170 | - | - |
| Total Assets | 24170 | 24170 | - | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (216476) | (216476) | - | - |
| Swaps | (5996914) | - | (5996914) | - |
| Total Liabilities | (6213390) | (216476) | (5996914) | - |
| **Total Derivative Instruments:** | (6189220) | (192306) | (5996914) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Swaps (a)  | 0 | (5996914) |
| **Total Equity Risk**  | 0 | (5996914) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 24170 | (216476) |
| **Total Interest Rate Risk**  | 24170 | (216476) |
| **Total Value of Derivatives** | 24170 | (6213390) |

---

(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

(b)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $583,142,758) | $620259898 |  |
| Fidelity Central Funds (cost $10,020,745) | 10020745 |  |
| Total Investment in Securities (cost $593,163,503) |  | $630280643 |
| Receivable for investments sold |  | 6957570 |
| Receivable for fund shares sold |  | 175222 |
| Dividends receivable |  | 94181 |
| Interest receivable |  | 675126 |
| Distributions receivable from Fidelity Central Funds |  | 201135 |
| Receivable for daily variation margin on futures contracts |  | 8937 |
| Prepaid expenses |  | 8463 |
| Receivable from investment adviser for expense reductions |  | 28082 |
| **Total assets** |  | 638429359 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $4826036 |  |
| Bi-lateral OTC swaps, at value | 5996914 |  |
| Accrued management fee | 721727 |  |
| Other payables and accrued expenses | 79985 |  |
| **Total liabilities** |  | 11624662 |
| **Net Assets**  |  | $626804697 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $598973253 |
| Total accumulated earnings (loss) |  | 27831444 |
| **Net Assets** |  | $626804697 |
| **Net Asset Value**, offering price and redemption price per share ($626,804,697 ÷ 56,649,087 shares) |  | $11.06 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $625278 |
| Interest  |  | 6082897 |
| Income from Fidelity Central Funds  |  | 511939 |
| **Total income** |  | 7220114 |
| **Expenses** |  |  |
| Management fee | $3306436 |  |
| Custodian fees and expenses | 7773 |  |
| Independent trustees' fees and expenses | 95495 |  |
| Registration fees | 34782 |  |
| Audit fees | 62015 |  |
| Legal | 20441 |  |
| Interest | 9846 |  |
| Miscellaneous | 17111 |  |
| Total expenses before reductions | 3553899 |  |
| Expense reductions | (114069) |  |
| Total expenses after reductions |  | 3439830 |
| **Net Investment income (loss)** |  | 3780284 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 13909290 |  |
| Futures contracts | (89665) |  |
| Swaps | 224120 |  |
| Written options | 15146 |  |
| Total net realized gain (loss) |  | 14058891 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 19340782 |  |
| Futures contracts | (278700) |  |
| Swaps | (9023967) |  |
| Total change in net unrealized appreciation (depreciation) |  | 10038115 |
| **Net gain (loss)** |  | 24097006 |
| **Net increase (decrease) in net assets resulting from operations** |  | $27877290 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)** | **Year ended**<br> **January 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $3780284 | $5920678 |
| &nbsp;&nbsp;Net realized gain (loss) | 14058891<br>| 149298<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 10038115 | 19136773<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 27877290<br>| 25206749<br>|
| Distributions to shareholders | (7416732)<br>| (19659575)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 171288717 | 250000000 |
| Reinvestment of distributions | 7416732<br>| 19659575<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (33) | - |
| **Net increase (decrease) in net assets resulting from share transactions** | 178705416<br>| 269659575<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 199165974<br>| 275206749<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 427638723 | 152431974<br>|
| &nbsp;&nbsp;End of period | $626804697 | $427638723 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 15642392 | 23401233 |
| Issued in reinvestment of distributions | 698374<br>| 1876440<br>|
| &nbsp;&nbsp;Redeemed | (3) | - |
| &nbsp;&nbsp;Net increase (decrease) | 16340763 | 25277673 |

---

**Financial Highlights** 

**Fidelity® SAI Convertible Arbitrage Fund** <br>

---

| | | | |
|:---|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025**  | **2024** A  |
| **Selected Per-Share Data**  |  |  |  |
| Net asset value, beginning of period  | $10.61 | $10.14 | $10.00 |
| Income from Investment Operations  |  |  |  |
| Net investment income (loss) B,C | .09  | .25  | .13  |
| Net realized and unrealized gain (loss)  | .54  | .84  | .05  |
| Total from investment operations  | .63  | 1.09  | .18  |
| Distributions from net investment income  | (.18)  | (.62)  | (.04)  |
| Distributions from net realized gain  | -  | -  | (.01)  |
| Total distributions  | (.18)  | (.62)  | (.04) D |
| Net asset value, end of period  | $11.06 | $10.61 | $10.14 |
| **Total Return** E,F | 6.05% <br>| 10.92%  | 1.81%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |
| Expenses before reductions  | 1.50% I | 1.54%  | 1.61% I,J |
| Expenses net of fee waivers, if any  | 1.45% I<br>| 1.45%  | 1.45% I |
| Expenses net of all reductions, if any  | 1.45% I | 1.45%  | 1.45% I |
| Net investment income (loss)  | 1.59% I | 2.38%  | 3.39% I |
| **Supplemental Data** |  |  |  |
| Net assets, end of period (000 omitted) | $626805 | $427639 | $152432 |
| Portfolio turnover rate K | 298% I<br>| 345%  | 71% L |

---

A*For the period September 12, 2023 (commencement of operations) through January 31, 2024.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total distributions per share do not sum due to rounding.*

E*Total returns for periods of less than one year are not annualized.*

F*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Audit fees are not annualized.*

K*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

L*Amount not annualized.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended July 31, 2025

**1. Organization.**

Fidelity SAI Convertible Arbitrage Fund (the Fund) is a non-diversified fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. Shares are offered exclusively to certain clients of Fidelity Management & Research Company LLC (FMR) or its affiliates. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. Corporate bonds and U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to swaps and certain mark to market elections.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $42522944 |
| **Gross unrealized depreciation** | <u>(9680095)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$32842849</u> |
| **Tax cost** | <u>$591248574</u> |

---

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncement.** In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, swaps and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Equity Risk  | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity SAI Convertible Arbitrage Fund** |  |  |
| **Equity Risk** |  |  |
| Written Options | 15146 | - |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>224120</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(9023967)</u> |
| **Total Equity Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>239266</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(9023967)</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(89665)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(278700)</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(89665)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(278700)</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>149601</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(9302667)</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Convertible Arbitrage Fund** | 89905454 |

---

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**Options.** Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date.

Exchange-traded written covered call options were used to manage exposure to the market. When a fund writes a covered call option, a fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.

Upon entering into a written options contract, a fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.

Any open options at period end are presented in the Schedule of Investments under the caption "Written Options", and are representative of volume of activity during the period.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Convertible Arbitrage Fund** | 1464177673 |

---

**Total Return Swaps.** Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty at the specified payment frequency.

The Fund enters into total return basket swap contracts to obtain exposure to a portfolio of long and/or short positions in order to create and adjust the fund's investment exposure, to enhance total return, to hedge risks, to manage certain investment risk, and to manage volatility. The Fund has the ability to trade in and out of the long and short positions within the swap and receives the economic benefits and risks equivalent to direct investments in these positions.

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity SAI Convertible Arbitrage Fund** | 429696057 | 405120874 |

---

**6. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of 1.40% of the Fund's average net assets.

**Interfund Lending Program.** Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing the Fund to borrow from, or lend money to, other participating affiliated funds at rates that are beneficial to both the borrowing and lending fund. Borrowings under the program are generally for temporary or emergency purposes, including meeting fund shareholder redemptions. The interfund loan rate is determined, as specified in the Exemptive Order, by averaging, (1) the higher of the overnight time deposit rate and the current overnight repurchase agreement rate, and (2) a benchmark rate representing the lowest bank loan rate available to the funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Borrower or Lender** | **Average Loan Balance ($)** | **Weighted Average Interest Rate** | **Interest Expense ($)**  |
| **Fidelity SAI Convertible Arbitrage Fund** | Borrower | 15581000 | 4.55% | 9846 |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Fidelity SAI Convertible Arbitrage Fund** | - | 863590 | 44590 |

---

**7. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity SAI Convertible Arbitrage Fund** | 122 |

---

**8. Expense Reductions.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded 1.45% of average net assets. This reimbursement will remain in place through May 31, 2026. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $114,069.

**9. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

---

| | | |
|:---|:---|:---|
|  | **Strategic Advisers Alternatives Fund** | **Strategic Advisers Fidelity Alternatives Fund** |
| **Fidelity SAI Convertible Arbitrage Fund** | 72% | 28% |

---

Mutual funds managed by the investment adviser or its affiliates, in aggregate, were the owners of record of more than 20% of the total outstanding shares.

---

| | |
|:---|:---|
| **Fund**  | **% of shares held** |
| **Fidelity SAI Convertible Arbitrage Fund** | 100% |

---

**10. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img111961_4.jpg)<br>

1.9909698.101 SCA-SANN-0925

**Fidelity® Dynamic Buffered Equity ETF**

**Fidelity® Hedged Equity ETF**

**Fidelity® Yield Enhanced Equity ETF**

**Semi-Annual Report**

**July 31, 2025**

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**Contents**

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| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_HBE-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Dynamic Buffered Equity ETF](#Sub_Sec_Fund_7589_HBE-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Hedged Equity ETF](#Sub_Sec_Fund_7588_HBE-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Yield Enhanced Equity ETF](#Sub_Sec_Fund_7590_HBE-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements7589_HBE-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_HBE-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_HBE-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_HBE-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_HBE-SANN)** |

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To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-FIDELITY to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Funds nor Fidelity Distributors Corporation is a bank.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® Dynamic Buffered Equity ETF**

**Schedule of Investments July 31, 2025 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 98.8%** | &nbsp;&nbsp;**Common Stocks - 98.8%** | &nbsp;&nbsp;**Common Stocks - 98.8%** |
|  | Shares | Value ($)<br>|
| UNITED KINGDOM - 0.2%  |  |  |
| Energy - 0.2% |  |  |
| Energy Equipment & Services - 0.2% |  |  |
| TechnipFMC PLC  | 695 | 25277 |
| UNITED STATES - 98.6%  |  |  |
| Communication Services - 11.8% |  |  |
| Diversified Telecommunication Services - 0.8% |  |  |
| AT&T Inc  | 2195 | 60165 |
| Verizon Communications Inc  | 832 | 35576 |
|  |  | 95741 |
| Entertainment - 2.9% |  |  |
| Electronic Arts Inc  | 216 | 32938 |
| Netflix Inc (a) | 136 | 157679 |
| ROBLOX Corp Class A (a) | 376 | 51809 |
| Walt Disney Co/The  | 766 | 91238 |
|  |  | 333664 |
| Interactive Media & Services - 7.7% |  |  |
| Alphabet Inc Class A  | 1214 | 232967 |
| Alphabet Inc Class C  | 1271 | 245125 |
| Meta Platforms Inc Class A  | 499 | 385946 |
|  |  | 864038 |
| Wireless Telecommunication Services - 0.4% |  |  |
| T-Mobile US Inc  | 186 | 44344 |
| TOTAL COMMUNICATION SERVICES |  | 1337787 |
| Consumer Discretionary - 10.8% |  |  |
| Automobiles - 1.9% |  |  |
| Ford Motor Co  | 4051 | 44845 |
| General Motors Co  | 629 | 33551 |
| Tesla Inc (a) | 434 | 133789 |
|  |  | 212185 |
| Broadline Retail - 4.5% |  |  |
| Amazon.com Inc (a) | 2208 | 516915 |
| Hotels, Restaurants & Leisure - 1.8% |  |  |
| Booking Holdings Inc  | 4 | 22016 |
| DoorDash Inc Class A (a) | 309 | 77327 |
| Expedia Group Inc Class A  | 241 | 43433 |
| Global Business Travel Group I Class A (a) | 5904 | 37963 |
| McDonald's Corp  | 81 | 24306 |
|  |  | 205045 |
| Household Durables - 0.0% |  |  |
| Toll Brothers Inc  | 52 | 6154 |
| Specialty Retail - 2.3% |  |  |
| Abercrombie & Fitch Co Class A (a) | 100 | 9602 |
| Bath & Body Works Inc  | 98 | 2838 |
| Carvana Co Class A (a) | 88 | 34335 |
| Chewy Inc Class A (a) | 36 | 1321 |
| Gap Inc/The  | 622 | 12104 |
| Home Depot Inc/The  | 359 | 131936 |
| Lithia Motors Inc Class A  | 4 | 1152 |
| TJX Cos Inc/The  | 524 | 65254 |
|  |  | 258542 |
| Textiles, Apparel & Luxury Goods - 0.3% |  |  |
| Ralph Lauren Corp Class A  | 56 | 16730 |
| Tapestry Inc  | 163 | 17609 |
|  |  | 34339 |
| TOTAL CONSUMER DISCRETIONARY |  | 1233180 |
| Consumer Staples - 3.6% |  |  |
| Beverages - 0.4% |  |  |
| Coca-Cola Co/The  | 168 | 11405 |
| PepsiCo Inc  | 215 | 29653 |
|  |  | 41058 |
| Consumer Staples Distribution & Retail - 1.2% |  |  |
| Costco Wholesale Corp  | 33 | 31009 |
| Walmart Inc  | 1080 | 105819 |
|  |  | 136828 |
| Food Products - 0.2% |  |  |
| Cal-Maine Foods Inc  | 173 | 19227 |
| Household Products - 0.9% |  |  |
| Procter & Gamble Co/The  | 686 | 103222 |
| Tobacco - 0.9% |  |  |
| Philip Morris International Inc  | 644 | 105648 |
| TOTAL CONSUMER STAPLES |  | 405983 |
| Energy - 2.8% |  |  |
| Oil, Gas & Consumable Fuels - 2.8% |  |  |
| Cheniere Energy Inc  | 238 | 56139 |
| Chevron Corp  | 28 | 4246 |
| ConocoPhillips  | 191 | 18210 |
| EOG Resources Inc  | 596 | 71532 |
| Exxon Mobil Corp  | 385 | 42981 |
| Marathon Petroleum Corp  | 295 | 50206 |
| Williams Cos Inc/The  | 1228 | 73619 |
|  |  | 316933 |
| Financials - 14.3% |  |  |
| Banks - 3.4% |  |  |
| Bank of America Corp (b) | 1694 | 80075 |
| JPMorgan Chase & Co (b) | 701 | 207664 |
| US Bancorp  | 603 | 27111 |
| Wells Fargo & Co (b) | 839 | 67649 |
|  |  | 382499 |
| Capital Markets - 3.4% |  |  |
| Bank of New York Mellon Corp/The  | 238 | 24144 |
| Charles Schwab Corp/The (b) | 987 | 96460 |
| CME Group Inc Class A (b) | 141 | 39237 |
| Goldman Sachs Group Inc/The  | 88 | 63676 |
| Morgan Stanley (b) | 495 | 70518 |
| S&P Global Inc  | 76 | 41884 |
| SEI Investments Co  | 221 | 19474 |
| T Rowe Price Group Inc  | 259 | 26276 |
|  |  | 381669 |
| Consumer Finance - 0.5% |  |  |
| Synchrony Financial (b) | 919 | 64027 |
| Financial Services - 5.2% |  |  |
| Berkshire Hathaway Inc Class B (a)(b) | 502 | 236885 |
| Fiserv Inc (a) | 427 | 59327 |
| Mastercard Inc Class A (b) | 270 | 152947 |
| PayPal Holdings Inc (a)(b) | 859 | 59065 |
| Visa Inc Class A (b) | 237 | 81876 |
|  |  | 590100 |
| Insurance - 1.8% |  |  |
| Allstate Corp/The  | 83 | 16870 |
| Cincinnati Financial Corp (b) | 420 | 61954 |
| Markel Group Inc (a) | 20 | 40166 |
| Progressive Corp/The (b) | 348 | 84230 |
|  |  | 203220 |
| TOTAL FINANCIALS |  | 1621515 |
| Health Care - 8.7% |  |  |
| Biotechnology - 2.5% |  |  |
| AbbVie Inc (b) | 668 | 126265 |
| Biogen Inc (a) | 208 | 26624 |
| Exelixis Inc (a) | 672 | 24340 |
| Gilead Sciences Inc (b) | 775 | 87025 |
| Incyte Corp (a) | 292 | 21868 |
|  |  | 286122 |
| Health Care Equipment & Supplies - 0.8% |  |  |
| Boston Scientific Corp (a)(b) | 858 | 90021 |
| Health Care Providers & Services - 1.4% |  |  |
| Cardinal Health Inc  | 201 | 31199 |
| Elevance Health Inc  | 35 | 9908 |
| Humana Inc (b) | 270 | 67465 |
| Tenet Healthcare Corp (a) | 61 | 9838 |
| UnitedHealth Group Inc (b) | 148 | 36935 |
|  |  | 155345 |
| Health Care Technology - 0.5% |  |  |
| Veeva Systems Inc Class A (a)(b) | 187 | 53145 |
| Life Sciences Tools & Services - 0.0% |  |  |
| Illumina Inc (a) | 63 | 6471 |
| Pharmaceuticals - 3.5% |  |  |
| Bristol-Myers Squibb Co (b) | 1363 | 59032 |
| Eli Lilly & Co (b) | 120 | 88808 |
| Johnson & Johnson (b) | 559 | 92090 |
| Merck & Co Inc (b) | 1220 | 95306 |
| Pfizer Inc (b) | 2714 | 63209 |
|  |  | 398445 |
| TOTAL HEALTH CARE |  | 989549 |
| Industrials - 9.6% |  |  |
| Aerospace & Defense - 2.4% |  |  |
| Axon Enterprise Inc (a) | 53 | 40041 |
| Curtiss-Wright Corp  | 34 | 16667 |
| GE Aerospace  | 438 | 118733 |
| General Dynamics Corp  | 162 | 50481 |
| HEICO Corp  | 50 | 16340 |
| Lockheed Martin Corp  | 67 | 28206 |
|  |  | 270468 |
| Air Freight & Logistics - 0.3% |  |  |
| FedEx Corp  | 158 | 35311 |
| Building Products - 1.4% |  |  |
| Allegion plc  | 233 | 38659 |
| Johnson Controls International plc  | 356 | 37380 |
| Trane Technologies PLC  | 178 | 77979 |
|  |  | 154018 |
| Commercial Services & Supplies - 0.7% |  |  |
| Cintas Corp  | 333 | 74109 |
| Construction & Engineering - 0.3% |  |  |
| Comfort Systems USA Inc  | 31 | 21803 |
| Valmont Industries Inc  | 31 | 11282 |
|  |  | 33085 |
| Electrical Equipment - 0.1% |  |  |
| Sensata Technologies Holding PLC  | 796 | 24485 |
| Ground Transportation - 2.4% |  |  |
| CSX Corp  | 2060 | 73212 |
| Lyft Inc Class A (a) | 3707 | 52120 |
| Norfolk Southern Corp  | 7 | 1946 |
| Uber Technologies Inc (a) | 980 | 85996 |
| Union Pacific Corp  | 263 | 58378 |
|  |  | 271652 |
| Industrial Conglomerates - 0.7% |  |  |
| Honeywell International Inc  | 356 | 79157 |
| Passenger Airlines - 0.1% |  |  |
| SkyWest Inc (a) | 166 | 19249 |
| Professional Services - 0.9% |  |  |
| Automatic Data Processing Inc  | 107 | 33117 |
| Dun & Bradstreet Holdings Inc  | 1313 | 11948 |
| Leidos Holdings Inc  | 356 | 56835 |
|  |  | 101900 |
| Trading Companies & Distributors - 0.3% |  |  |
| Rush Enterprises Inc Class A  | 276 | 14943 |
| WW Grainger Inc  | 14 | 14553 |
|  |  | 29496 |
| TOTAL INDUSTRIALS |  | 1092930 |
| Information Technology - 32.9% |  |  |
| Communications Equipment - 1.2% |  |  |
| Cisco Systems Inc  | 1189 | 80947 |
| Motorola Solutions Inc  | 115 | 50483 |
|  |  | 131430 |
| Electronic Equipment, Instruments & Components - 0.3% |  |  |
| Itron Inc (a) | 309 | 38483 |
| IT Services - 0.3% |  |  |
| Gartner Inc (a) | 106 | 35897 |
| Semiconductors & Semiconductor Equipment - 13.6% |  |  |
| Advanced Micro Devices Inc (a) | 100 | 17631 |
| Analog Devices Inc  | 85 | 19094 |
| Applied Materials Inc  | 481 | 86609 |
| Broadcom Inc  | 1187 | 348622 |
| Cirrus Logic Inc (a) | 128 | 12890 |
| Credo Technology Group Holding Ltd (a) | 120 | 13386 |
| NVIDIA Corp (b) | 5429 | 965656 |
| QUALCOMM Inc  | 588 | 86295 |
|  |  | 1550183 |
| Software - 10.8% |  |  |
| ACI Worldwide Inc (a) | 1026 | 43667 |
| Adobe Inc (a)(b) | 241 | 86203 |
| Alarm.com Holdings Inc (a) | 749 | 40918 |
| Cadence Design Systems Inc (a) | 125 | 45571 |
| Fortinet Inc (a) | 142 | 14186 |
| HubSpot Inc (a) | 27 | 14031 |
| Microsoft Corp (b) | 1484 | 791715 |
| Oracle Corp  | 91 | 23093 |
| Palantir Technologies Inc Class A (a) | 47 | 7442 |
| Salesforce Inc (b) | 416 | 107465 |
| Teradata Corp (a) | 395 | 8267 |
| Zoom Communications Inc Class A (a) | 561 | 41542 |
|  |  | 1224100 |
| Technology Hardware, Storage & Peripherals - 6.7% |  |  |
| Apple Inc (b) | 3395 | 704701 |
| Western Digital Corp  | 692 | 54453 |
|  |  | 759154 |
| TOTAL INFORMATION TECHNOLOGY |  | 3739247 |
| Materials - 2.3% |  |  |
| Chemicals - 1.5% |  |  |
| Balchem Corp  | 97 | 14789 |
| Corteva Inc  | 547 | 39455 |
| Ecolab Inc  | 272 | 71199 |
| Linde PLC  | 102 | 46947 |
|  |  | 172390 |
| Construction Materials - 0.4% |  |  |
| CRH PLC  | 439 | 41903 |
| Metals & Mining - 0.4% |  |  |
| Commercial Metals Co  | 940 | 48748 |
| TOTAL MATERIALS |  | 263041 |
| Real Estate - 0.7% |  |  |
| Health Care REITs - 0.1% |  |  |
| CareTrust REIT Inc  | 624 | 19843 |
| Specialized REITs - 0.6% |  |  |
| American Tower Corp  | 249 | 51889 |
| Digital Realty Trust Inc  | 75 | 13233 |
|  |  | 65122 |
| TOTAL REAL ESTATE |  | 84965 |
| Utilities - 1.1% |  |  |
| Electric Utilities - 1.0% |  |  |
| NextEra Energy Inc  | 822 | 58411 |
| NRG Energy Inc  | 260 | 43472 |
|  |  | 101883 |
| Gas Utilities - 0.0% |  |  |
| MDU Resources Group Inc  | 169 | 2915 |
| Multi-Utilities - 0.1% |  |  |
| Sempra  | 207 | 16908 |
| TOTAL UTILITIES |  | 121706 |
| TOTAL UNITED STATES |  | 11206836 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $9,363,788) |  | <br> **11232113** |

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| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.0%** | &nbsp;&nbsp;**Money Market Funds - 1.0%** | &nbsp;&nbsp;**Money Market Funds - 1.0%** | &nbsp;&nbsp;**Money Market Funds - 1.0%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (c)<br>(Cost $111,809)<br>| 4.33 | 111786 | **111809** |

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 0.3%** | **Purchased Options - 0.3%** | **Purchased Options - 0.3%** | **Purchased Options - 0.3%** | **Purchased Options - 0.3%** | **Purchased Options - 0.3%** | **Purchased Options - 0.3%** |
|  | Counterparty | Number<br> of Contracts | Notional Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Put Options |  |  |  |  |  |  |
| Mini SPX Index | Chicago Board Options Exchange | 41 | 2557584 | 561 | 08/15/25 | 1311 |
| Mini SPX Index | Chicago Board Options Exchange | 40 | 2495204 | 594 | 10/17/25 | 26300 |
| Mini SPX Index | Chicago Board Options Exchange | 37 | 2308064 | 575 | 09/19/25 | 9509 |
|  |  |  |  |  |  | **37120** |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $107,982) |  |  |  |  |  | **37120** |

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| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.1%**<br> (Cost $9,583,579)<br>| <br>**11381042** |
| **NET OTHER ASSETS (LIABILITIES) - (0.1)%**  | **(6962)** |
| **NET ASSETS - 100.0%** | **11374080** |

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Equity Contracts |  |  |  |  |  |
| CME E-Mini S&P 500 Index Contracts (United States) | 3 | Sep 2025 | 95614 | (357) | (357) |
| The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% |

---

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** |
|  | Counterparty | Number<br> of Contracts | Notional<br> Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Call Options |  |  |  |  |  |  |
| Mini SPX Index | Chicago Board Options Exchange | 44 | 2744724 | 635.00 | 08/01/25 | (8008) |
| Mini SPX Index | Chicago Board Options Exchange | 43 | 2682344 | 640.00 | 08/08/25 | (9009) |
| Mini SPX Index | Chicago Board Options Exchange | 43 | 2682344 | 640.00 | 08/15/25 | (16104) |
| Mini SPX Index | Chicago Board Options Exchange | 43 | 2682344 | 650.00 | 08/22/25 | (7568) |
|  |  |  |  |  |  | (40689) |
| **TOTAL WRITTEN OPTIONS** |  |  |  |  |  | **(40689)** |

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**Legend**

(a) Non-income producing.

(b) Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $2,279,308.

(c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 73486 | 838333 | 800010 | 1358 | - | - | 111809 | 111786 | 0.0% |
| Total | 73486 | 838333 | 800010 | 1358 | - | - | 111809 |  |  |

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Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of July 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

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| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 1337787 | 1337787 | - | - |
| Consumer Discretionary | 1233180 | 1233180 | - | - |
| Consumer Staples | 405983 | 405983 | - | - |
| Energy | 342210 | 342210 | - | - |
| Financials | 1621515 | 1621515 | - | - |
| Health Care | 989549 | 989549 | - | - |
| Industrials | 1092930 | 1092930 | - | - |
| Information Technology | 3739247 | 3739247 | - | - |
| Materials | 263041 | 263041 | - | - |
| Real Estate | 84965 | 84965 | - | - |
| Utilities | 121706 | 121706 | - | - |
|  **Money Market Funds** | 111809 | 111809 | - | - |
|  **Purchased Options** | 37120 | 37120 | - | - |
| **Total Investments in Securities:** | 11381042 | 11381042 | - | - |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (357) | (357) | - | - |
| Written Options | (40689) | (40689) | - | - |
| Total Liabilities | (41046) | (41046) | - | - |
| **Total Derivative Instruments:** | (41046) | (41046) | - | - |

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**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

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| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 0 | (357) |
| Purchased Options (b)  | 37120 | 0 |
| Written Options (c)  | 0 | (40689) |
| **Total Equity Risk**  | 37120 | (41046) |
| **Total Value of Derivatives** | 37120 | (41046) |

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(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

(b)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.

(c)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

**Fidelity® Dynamic Buffered Equity ETF**

**Financial Statements (Unaudited)**

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| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $9,471,770) | $11269233 |  |
| Fidelity Central Funds (cost $111,809) | 111809 |  |
| Total Investment in Securities (cost $9,583,579) |  | $11381042 |
| Segregated cash with brokers for derivative instruments |  | 8525 |
| Cash |  | 22279 |
| Dividends receivable |  | 7217 |
| Distributions receivable from Fidelity Central Funds |  | 208 |
| Receivable from investment adviser for expense reductions |  | 276 |
| **Total assets** |  | 11419547 |
| **Liabilities** |  |  |
| Accrued management fee | $4448 |  |
| Payable for daily variation margin on futures contracts | 330 |  |
| Written options, at value (premium received $70,258) | 40689 |  |
| **Total liabilities** |  | 45467 |
| **Net Assets**  |  | $11374080 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $10228220 |
| Total accumulated earnings (loss) |  | 1145860 |
| **Net Assets** |  | $11374080 |
| **Net Asset Value**, offering price and redemption price per share ($11,374,080 ÷ 400,000 shares) |  | $28.44 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $65762 |
| Income from Fidelity Central Funds  |  | 1358 |
| **Total income** |  | 67120 |
| **Expenses** |  |  |
| Management fee | $25060 |  |
| Independent trustees' fees and expenses | 2242 |  |
| Total expenses before reductions | 27302 |  |
| Expense reductions | (2527) |  |
| Total expenses after reductions |  | 24775 |
| **Net Investment income (loss)** |  | 42345 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 79210 |  |
| Redemptions in-kind | (260423) |  |
| Futures contracts | (2841) |  |
| Written options | (301806) |  |
| Total net realized gain (loss) |  | (485860) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 738210 |  |
| Futures contracts | (357) |  |
| Written options | 33225 |  |
| Total change in net unrealized appreciation (depreciation) |  | 771078 |
| **Net gain (loss)** |  | 285218 |
| **Net increase (decrease) in net assets resulting from operations** |  | $327563 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)** | **For the period April 9, 2024 (commencement of operations) through January 31, 2025**  |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $42345 | $51065 |
| &nbsp;&nbsp;Net realized gain (loss) | (485860)<br>| (210141)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 771078 | 1055597<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 327563<br>| 896521<br>|
| Distributions to shareholders | (42750)<br>| (45950)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 6700764 | 9561790 |
| &nbsp;&nbsp;Cost of shares redeemed | (5327349) | (696509) |
| **Net increase (decrease) in net assets resulting from share transactions** | 1373415<br>| 8865281<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 1658228<br>| 9715852<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 9715852 | -<br>|
| &nbsp;&nbsp;End of period | $11374080 | $9715852 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 250000 | 375000 |
| &nbsp;&nbsp;Redeemed | (200000) | (25000) |
| &nbsp;&nbsp;Net increase (decrease) | 50000 | 350000 |

---

**Financial Highlights** 

**Fidelity® Dynamic Buffered Equity ETF** <br>

---

| | | |
|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $27.76 | $24.99 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .11  | .17  |
| Net realized and unrealized gain (loss)  | .68  | 2.75  |
| Total from investment operations  | .79  | 2.92  |
| Distributions from net investment income  | (.11)  | (.15)  |
| Total distributions  | (.11)  | (.15)  |
| Net asset value, end of period  | $28.44 | $27.76 |
| **Total Return** D,E,F | 2.86% <br>| 11.69%  |
| **Ratios to Average Net Assets** C,G,H |  |  |
| Expenses before reductions  | .52% I | .52% I |
| Expenses net of fee waivers, if any  | .48% I<br>| .48% I |
| Expenses net of all reductions, if any  | .47% I | .48% I |
| Net investment income (loss)  | .81% I | .81% I |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $11374 | $9716 |
| Portfolio turnover rate J | 107% I,K<br>| 98% I,K |

---

A*For the period April 9, 2024 (commencement of operations) through January 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Based on net asset value.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

K*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Fidelity® Hedged Equity ETF**

**Schedule of Investments July 31, 2025 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 98.7%** | &nbsp;&nbsp;**Common Stocks - 98.7%** | &nbsp;&nbsp;**Common Stocks - 98.7%** |
|  | Shares | Value ($)<br>|
| UNITED KINGDOM - 0.3%  |  |  |
| Energy - 0.3% |  |  |
| Energy Equipment & Services - 0.3% |  |  |
| TechnipFMC PLC  | 31968 | 1162676 |
| UNITED STATES - 98.4%  |  |  |
| Communication Services - 11.7% |  |  |
| Diversified Telecommunication Services - 0.9% |  |  |
| AT&T Inc  | 100070 | 2742919 |
| Verizon Communications Inc  | 29256 | 1250986 |
|  |  | 3993905 |
| Entertainment - 2.8% |  |  |
| Electronic Arts Inc  | 11311 | 1724814 |
| Netflix Inc (a) | 5345 | 6196993 |
| ROBLOX Corp Class A (a) | 9500 | 1309005 |
| Walt Disney Co/The  | 29269 | 3486231 |
|  |  | 12717043 |
| Interactive Media & Services - 7.6% |  |  |
| Alphabet Inc Class A  | 47977 | 9206786 |
| Alphabet Inc Class C  | 48531 | 9359689 |
| Meta Platforms Inc Class A  | 20413 | 15788231 |
|  |  | 34354706 |
| Wireless Telecommunication Services - 0.4% |  |  |
| T-Mobile US Inc  | 7135 | 1701055 |
| TOTAL COMMUNICATION SERVICES |  | 52766709 |
| Consumer Discretionary - 10.7% |  |  |
| Automobiles - 1.8% |  |  |
| Ford Motor Co  | 124856 | 1382156 |
| General Motors Co  | 26005 | 1387107 |
| Tesla Inc (a) | 17096 | 5270184 |
|  |  | 8039447 |
| Broadline Retail - 4.4% |  |  |
| Amazon.com Inc (a) | 84839 | 19861658 |
| Hotels, Restaurants & Leisure - 1.7% |  |  |
| Airbnb Inc Class A (a) | 8354 | 1106153 |
| DoorDash Inc Class A (a) | 10765 | 2693942 |
| Expedia Group Inc Class A  | 8829 | 1591162 |
| Global Business Travel Group I Class A (a) | 105273 | 676905 |
| Life Time Group Holdings Inc (a) | 12008 | 344870 |
| McDonald's Corp  | 4731 | 1419631 |
|  |  | 7832663 |
| Household Durables - 0.1% |  |  |
| Garmin Ltd  | 1724 | 377142 |
| Specialty Retail - 2.5% |  |  |
| Abercrombie & Fitch Co Class A (a) | 3313 | 318114 |
| Bath & Body Works Inc  | 4459 | 129133 |
| Carvana Co Class A (a) | 4196 | 1637153 |
| Chewy Inc Class A (a) | 6080 | 223136 |
| Gap Inc/The  | 34925 | 679641 |
| Home Depot Inc/The  | 14208 | 5221582 |
| Lithia Motors Inc Class A  | 1393 | 401184 |
| TJX Cos Inc/The  | 20027 | 2493962 |
|  |  | 11103905 |
| Textiles, Apparel & Luxury Goods - 0.2% |  |  |
| Ralph Lauren Corp Class A  | 2 | 598 |
| Tapestry Inc  | 7103 | 767337 |
|  |  | 767935 |
| TOTAL CONSUMER DISCRETIONARY |  | 47982750 |
| Consumer Staples - 3.6% |  |  |
| Beverages - 0.3% |  |  |
| Coca-Cola Co/The  | 18 | 1222 |
| PepsiCo Inc  | 9693 | 1336859 |
|  |  | 1338081 |
| Consumer Staples Distribution & Retail - 1.2% |  |  |
| Costco Wholesale Corp  | 1313 | 1233747 |
| Walmart Inc  | 40237 | 3942422 |
|  |  | 5176169 |
| Food Products - 0.1% |  |  |
| Cal-Maine Foods Inc  | 8084 | 898455 |
| Household Products - 1.1% |  |  |
| Procter & Gamble Co/The  | 31696 | 4769297 |
| Tobacco - 0.9% |  |  |
| Philip Morris International Inc  | 24424 | 4006757 |
| TOTAL CONSUMER STAPLES |  | 16188759 |
| Energy - 2.7% |  |  |
| Oil, Gas & Consumable Fuels - 2.7% |  |  |
| Cheniere Energy Inc  | 9306 | 2195099 |
| Chevron Corp  | 2585 | 391989 |
| ConocoPhillips  | 8 | 763 |
| EOG Resources Inc  | 22979 | 2757940 |
| Exxon Mobil Corp  | 15784 | 1762126 |
| Marathon Petroleum Corp  | 12165 | 2070361 |
| Williams Cos Inc/The  | 48383 | 2900561 |
|  |  | 12078839 |
| Financials - 14.2% |  |  |
| Banks - 3.4% |  |  |
| Associated Banc-Corp  | 3322 | 82185 |
| Bank of America Corp  | 55939 | 2644237 |
| JPMorgan Chase & Co  | 31051 | 9198548 |
| US Bancorp  | 20009 | 899605 |
| Wells Fargo & Co  | 27939 | 2252722 |
|  |  | 15077297 |
| Capital Markets - 3.2% |  |  |
| Bank of New York Mellon Corp/The  | 7671 | 778223 |
| Charles Schwab Corp/The  | 39004 | 3811861 |
| CME Group Inc Class A  | 3841 | 1068873 |
| Goldman Sachs Group Inc/The  | 4849 | 3508688 |
| Morgan Stanley  | 15326 | 2183342 |
| S&P Global Inc  | 2629 | 1448842 |
| SEI Investments Co  | 6065 | 534448 |
| State Street Corp  | 10 | 1117 |
| T Rowe Price Group Inc  | 8229 | 834832 |
|  |  | 14170226 |
| Consumer Finance - 0.5% |  |  |
| Synchrony Financial  | 31981 | 2228116 |
| Financial Services - 5.2% |  |  |
| Berkshire Hathaway Inc Class B (a) | 19558 | 9229030 |
| Fiserv Inc (a) | 16432 | 2283062 |
| Global Payments Inc  | 9127 | 729704 |
| Mastercard Inc Class A  | 10684 | 6052165 |
| PayPal Holdings Inc (a) | 31130 | 2140499 |
| Visa Inc Class A  | 8669 | 2994879 |
|  |  | 23429339 |
| Insurance - 1.9% |  |  |
| Allstate Corp/The  | 4229 | 859544 |
| Cincinnati Financial Corp  | 15969 | 2355587 |
| Markel Group Inc (a) | 528 | 1060377 |
| Progressive Corp/The  | 14003 | 3389287 |
| The Travelers Companies, Inc.  | 3126 | 813510 |
|  |  | 8478305 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.0% |  |  |
| Rithm Capital Corp  | 16954 | 203957 |
| TOTAL FINANCIALS |  | 63587240 |
| Health Care - 8.9% |  |  |
| Biotechnology - 2.4% |  |  |
| AbbVie Inc  | 26002 | 4914898 |
| Biogen Inc (a) | 9326 | 1193728 |
| Exelixis Inc (a) | 31092 | 1126152 |
| Gilead Sciences Inc  | 29899 | 3357359 |
| PTC Therapeutics Inc (a) | 2075 | 108128 |
|  |  | 10700265 |
| Health Care Equipment & Supplies - 0.8% |  |  |
| Boston Scientific Corp (a) | 33459 | 3510518 |
| Health Care Providers & Services - 1.6% |  |  |
| Cardinal Health Inc  | 10945 | 1698883 |
| Centene Corp (a) | 62 | 1616 |
| CVS Health Corp  | 14969 | 929575 |
| Humana Inc  | 10412 | 2601647 |
| Tenet Healthcare Corp (a) | 2737 | 441423 |
| UnitedHealth Group Inc  | 6055 | 1511086 |
|  |  | 7184230 |
| Health Care Technology - 0.5% |  |  |
| Veeva Systems Inc Class A (a) | 7606 | 2161625 |
| Life Sciences Tools & Services - 0.1% |  |  |
| Danaher Corp  | 2114 | 416796 |
| Illumina Inc (a) | 4590 | 471439 |
| QIAGEN NV  | 1 | 49 |
|  |  | 888284 |
| Pharmaceuticals - 3.5% |  |  |
| Bristol-Myers Squibb Co  | 56349 | 2440475 |
| Eli Lilly & Co  | 4491 | 3323654 |
| Johnson & Johnson  | 21871 | 3603029 |
| Merck & Co Inc  | 47743 | 3729684 |
| Pfizer Inc  | 111985 | 2608131 |
|  |  | 15704973 |
| TOTAL HEALTH CARE |  | 40149895 |
| Industrials - 10.4% |  |  |
| Aerospace & Defense - 2.3% |  |  |
| Axon Enterprise Inc (a) | 1872 | 1414277 |
| Curtiss-Wright Corp  | 1246 | 610814 |
| GE Aerospace  | 17257 | 4678028 |
| General Dynamics Corp  | 7670 | 2390049 |
| HEICO Corp  | 2816 | 920269 |
| Lockheed Martin Corp  | 1192 | 501808 |
|  |  | 10515245 |
| Air Freight & Logistics - 0.3% |  |  |
| FedEx Corp  | 6344 | 1417821 |
| Building Products - 1.4% |  |  |
| Allegion plc  | 9576 | 1588850 |
| Johnson Controls International plc  | 15137 | 1589385 |
| Trane Technologies PLC  | 7014 | 3072693 |
|  |  | 6250928 |
| Commercial Services & Supplies - 0.6% |  |  |
| Cintas Corp  | 12974 | 2887364 |
| Construction & Engineering - 0.4% |  |  |
| Comfort Systems USA Inc  | 1296 | 911477 |
| Valmont Industries Inc  | 1947 | 708610 |
|  |  | 1620087 |
| Electrical Equipment - 0.2% |  |  |
| Sensata Technologies Holding PLC  | 35605 | 1095210 |
| Ground Transportation - 2.5% |  |  |
| CSX Corp  | 79455 | 2823831 |
| Lyft Inc Class A (a) | 122850 | 1727271 |
| Norfolk Southern Corp  | 282 | 78395 |
| Uber Technologies Inc (a) | 40957 | 3593977 |
| Union Pacific Corp  | 10799 | 2397054 |
|  |  | 10620528 |
| Industrial Conglomerates - 0.7% |  |  |
| Honeywell International Inc  | 14531 | 3230968 |
| Machinery - 0.5% |  |  |
| Caterpillar Inc  | 5013 | 2195794 |
| ESCO Technologies Inc  | 4 | 775 |
| Franklin Electric Co Inc  | 1173 | 110203 |
| Mueller Water Products Inc Class A1  | 14 | 347 |
| SPX Technologies Inc (a) | 847 | 154484 |
|  |  | 2461603 |
| Passenger Airlines - 0.2% |  |  |
| SkyWest Inc (a) | 5867 | 680337 |
| Professional Services - 1.0% |  |  |
| Automatic Data Processing Inc  | 4961 | 1535430 |
| Dun & Bradstreet Holdings Inc  | 60883 | 554035 |
| Leidos Holdings Inc  | 15148 | 2418378 |
|  |  | 4507843 |
| Trading Companies & Distributors - 0.3% |  |  |
| Rush Enterprises Inc Class A  | 10794 | 584387 |
| WW Grainger Inc  | 733 | 761983 |
|  |  | 1346370 |
| TOTAL INDUSTRIALS |  | 46634304 |
| Information Technology - 32.7% |  |  |
| Communications Equipment - 1.1% |  |  |
| Cisco Systems Inc  | 44520 | 3030922 |
| Motorola Solutions Inc  | 4485 | 1968825 |
|  |  | 4999747 |
| Electronic Equipment, Instruments & Components - 0.4% |  |  |
| Itron Inc (a) | 13373 | 1665473 |
| IT Services - 0.1% |  |  |
| Gartner Inc (a) | 2716 | 919773 |
| Kyndryl Holdings Inc (a) | 36 | 1360 |
|  |  | 921133 |
| Semiconductors & Semiconductor Equipment - 13.6% |  |  |
| Advanced Micro Devices Inc (a) | 4010 | 707003 |
| Applied Materials Inc  | 19039 | 3428162 |
| Broadcom Inc  | 45894 | 13479068 |
| Cirrus Logic Inc (a) | 6489 | 653507 |
| Credo Technology Group Holding Ltd (a) | 4730 | 527632 |
| Micron Technology Inc  | 6234 | 680379 |
| NVIDIA Corp  | 214297 | 38117007 |
| QUALCOMM Inc  | 23139 | 3395880 |
|  |  | 60988638 |
| Software - 10.8% |  |  |
| ACI Worldwide Inc (a) | 29993 | 1276502 |
| Adobe Inc (a) | 9507 | 3400559 |
| Alarm.com Holdings Inc (a) | 31943 | 1745046 |
| AppLovin Corp Class A (a) | 424 | 165657 |
| Cadence Design Systems Inc (a) | 5792 | 2111589 |
| Fortinet Inc (a) | 7733 | 772527 |
| HubSpot Inc (a) | 1654 | 859501 |
| Microsoft Corp  | 57145 | 30486858 |
| Oracle Corp  | 3600 | 913572 |
| Palantir Technologies Inc Class A (a) | 1856 | 293898 |
| Salesforce Inc  | 16396 | 4235579 |
| Teradata Corp (a) | 1815 | 37987 |
| Zoom Communications Inc Class A (a) | 27015 | 2000461 |
|  |  | 48299736 |
| Technology Hardware, Storage & Peripherals - 6.7% |  |  |
| Apple Inc  | 133810 | 27774942 |
| Western Digital Corp  | 29008 | 2282639 |
|  |  | 30057581 |
| TOTAL INFORMATION TECHNOLOGY |  | 146932308 |
| Materials - 2.0% |  |  |
| Chemicals - 1.4% |  |  |
| Axalta Coating Systems Ltd (a) | 570 | 16142 |
| Balchem Corp  | 3994 | 608965 |
| Corteva Inc  | 14375 | 1036869 |
| Ecolab Inc  | 10269 | 2688013 |
| Linde PLC  | 4341 | 1997989 |
|  |  | 6347978 |
| Construction Materials - 0.2% |  |  |
| CRH PLC  | 9299 | 887590 |
| Containers & Packaging - 0.0% |  |  |
| Crown Holdings Inc  | 10 | 993 |
| Metals & Mining - 0.4% |  |  |
| Coeur Mining Inc (a) | 6931 | 60230 |
| Commercial Metals Co  | 33827 | 1754269 |
|  |  | 1814499 |
| TOTAL MATERIALS |  | 9051060 |
| Real Estate - 0.5% |  |  |
| Health Care REITs - 0.1% |  |  |
| CareTrust REIT Inc  | 12549 | 399058 |
| Specialized REITs - 0.4% |  |  |
| American Tower Corp  | 8987 | 1872801 |
| TOTAL REAL ESTATE |  | 2271859 |
| Utilities - 1.0% |  |  |
| Electric Utilities - 1.0% |  |  |
| NextEra Energy Inc  | 38592 | 2742348 |
| NRG Energy Inc  | 9409 | 1573185 |
| OGE Energy Corp  | 2 | 90 |
|  |  | 4315623 |
| Gas Utilities - 0.0% |  |  |
| MDU Resources Group Inc  | 1958 | 33776 |
| TOTAL UTILITIES |  | 4349399 |
| TOTAL UNITED STATES |  | 441993122 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $365,341,185) |  | <br> **443155798** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.4%** | &nbsp;&nbsp;**Money Market Funds - 0.4%** | &nbsp;&nbsp;**Money Market Funds - 0.4%** | &nbsp;&nbsp;**Money Market Funds - 0.4%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (b)<br>(Cost $1,771,030)<br>| 4.33 | 1770676 | **1771030** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 0.9%** | **Purchased Options - 0.9%** | **Purchased Options - 0.9%** | **Purchased Options - 0.9%** | **Purchased Options - 0.9%** | **Purchased Options - 0.9%** | **Purchased Options - 0.9%** |
|  | Counterparty | Number<br> of Contracts | Notional Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Put Options |  |  |  |  |  |  |
| S&P 500 Index | Chicago Board Options Exchange | 201 | 125384001 | 5610 | 08/15/25 | 59798 |
| S&P 500 Index | Chicago Board Options Exchange | 212 | 132245812 | 5930 | 10/17/25 | 1354680 |
| S&P 500 Index | Chicago Board Options Exchange | 199 | 124136399 | 5750 | 09/19/25 | 501480 |
| S&P 500 Index | Chicago Board Options Exchange | 269 | 167802469 | 3900 | 05/15/26 | 747820 |
| S&P 500 Index | Chicago Board Options Exchange | 174 | 108541374 | 4100 | 07/17/26 | 696870 |
| S&P 500 Index | Chicago Board Options Exchange | 252 | 157197852 | 3950 | 06/18/26 | 815220 |
|  |  |  |  |  |  | **4175868** |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $8,624,794) |  |  |  |  |  | **4175868** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.0%**<br> (Cost $375,737,009)<br>| <br>**449102696** |
| **NET OTHER ASSETS (LIABILITIES) - 0.0%**  | **101243** |
| **NET ASSETS - 100.0%** | **449203939** |

---

**Legend**

(a) Non-income producing.

(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 3025306 | 36817739 | 38072015 | 75428 | - | - | 1771030 | 1770676 | 0.0% |
| Fidelity Securities Lending Cash Central Fund | - | 3953889 | 3953889 | 32 | - | - | - | - | 0.0% |
| Total | 3025306 | 40771628 | 42025904 | 75460 | - | - | 1771030 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium income received for lending certain types of securities.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of July 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 52766709 | 52766709 | - | - |
| Consumer Discretionary | 47982750 | 47982750 | - | - |
| Consumer Staples | 16188759 | 16188759 | - | - |
| Energy | 13241515 | 13241515 | - | - |
| Financials | 63587240 | 63587240 | - | - |
| Health Care | 40149895 | 40149895 | - | - |
| Industrials | 46634304 | 46634304 | - | - |
| Information Technology | 146932308 | 146932308 | - | - |
| Materials | 9051060 | 9051060 | - | - |
| Real Estate | 2271859 | 2271859 | - | - |
| Utilities | 4349399 | 4349399 | - | - |
|  **Money Market Funds** | 1771030 | 1771030 | - | - |
|  **Purchased Options** | 4175868 | 4175868 | - | - |
| **Total Investments in Securities:** | 449102696 | 449102696 | - | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Purchased Options (a)  | 4175868 | 0 |
| **Total Equity Risk**  | 4175868 | 0 |
| **Total Value of Derivatives** | 4175868 | 0 |

---

(a)Gross value is presented in the Statement of Assets and Liabilities in the Investments in Securities at value line-item.

**Fidelity® Hedged Equity ETF**

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $373,965,979) | $447331666 |  |
| Fidelity Central Funds (cost $1,771,030) | 1771030 |  |
| Total Investment in Securities (cost $375,737,009) |  | $449102696 |
| Dividends receivable |  | 257380 |
| Distributions receivable from Fidelity Central Funds |  | 4848 |
| Receivable from investment adviser for expense reductions |  | 13354 |
| **Total assets** |  | 449378278 |
| **Liabilities** |  |  |
| Accrued management fee | $174339 |  |
| **Total liabilities** |  | 174339 |
| **Net Assets**  |  | $449203939 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $380869755 |
| Total accumulated earnings (loss) |  | 68334184 |
| **Net Assets** |  | $449203939 |
| **Net Asset Value**, offering price and redemption price per share ($449,203,939 ÷ 15,425,000 shares) |  | $29.12 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $2810734 |
| Interest  |  | 2762 |
| Income from Fidelity Central Funds (including $32 from security lending)  |  | 75460 |
| **Total income** |  | 2888956 |
| **Expenses** |  |  |
| Management fee | $1099030 |  |
| Independent trustees' fees and expenses | 96140 |  |
| Total expenses before reductions | 1195170 |  |
| Expense reductions | (93621) |  |
| Total expenses after reductions |  | 1101549 |
| **Net Investment income (loss)** |  | 1787407 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (6461594) |  |
| Redemptions in-kind | 11509549 |  |
| Futures contracts | 84384 |  |
| Total net realized gain (loss) |  | 5132339 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 30030097 |  |
| Futures contracts | 7988 |  |
| Total change in net unrealized appreciation (depreciation) |  | 30038085 |
| **Net gain (loss)** |  | 35170424 |
| **Net increase (decrease) in net assets resulting from operations** |  | $36957831 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)** | **For the period April 9, 2024 (commencement of operations) through January 31, 2025**  |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $1787407 | $2579984 |
| &nbsp;&nbsp;Net realized gain (loss) | 5132339<br>| 982715<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 30038085 | 43327602<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 36957831<br>| 46890301<br>|
| Distributions to shareholders | (1824000)<br>| (2372250)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 213216154 | 555757291 |
| &nbsp;&nbsp;Cost of shares redeemed | (189254713) | (210166675) |
| **Net increase (decrease) in net assets resulting from share transactions** | 23961441<br>| 345590616<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 59095272<br>| 390108667<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 390108667 | -<br>|
| &nbsp;&nbsp;End of period | $449203939 | $390108667 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 8125000 | 21775000 |
| &nbsp;&nbsp;Redeemed | (6700000) | (7775000) |
| &nbsp;&nbsp;Net increase (decrease) | 1425000 | 14000000 |

---

**Financial Highlights** 

**Fidelity® Hedged Equity ETF** <br>

---

| | | |
|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $27.86 | $24.99 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .11  | .17  |
| Net realized and unrealized gain (loss)  | 1.26  | 2.84  |
| Total from investment operations  | 1.37  | 3.01  |
| Distributions from net investment income  | (.11)  | (.14)  |
| Total distributions  | (.11)  | (.14)  |
| Net asset value, end of period  | $29.12 | $27.86 |
| **Total Return** D,E,F | 4.97% <br>| 12.05%  |
| **Ratios to Average Net Assets** C,G,H |  |  |
| Expenses before reductions  | .52% I | .52% I |
| Expenses net of fee waivers, if any  | .48% I<br>| .48% I |
| Expenses net of all reductions, if any  | .48% I | .48% I |
| Net investment income (loss)  | .78% I | .79% I |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $449204 | $390109 |
| Portfolio turnover rate J | 105% I,K<br>| 86% I,K |

---

A*For the period April 9, 2024 (commencement of operations) through January 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Based on net asset value.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

K*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Fidelity® Yield Enhanced Equity ETF**

**Schedule of Investments July 31, 2025 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 98.9%** | &nbsp;&nbsp;**Common Stocks - 98.9%** | &nbsp;&nbsp;**Common Stocks - 98.9%** |
|  | Shares | Value ($)<br>|
| UNITED KINGDOM - 0.2%  |  |  |
| Energy - 0.2% |  |  |
| Energy Equipment & Services - 0.2% |  |  |
| TechnipFMC PLC  | 940 | 34188 |
| UNITED STATES - 98.7%  |  |  |
| Communication Services - 11.8% |  |  |
| Diversified Telecommunication Services - 0.8% |  |  |
| AT&T Inc  | 2925 | 80175 |
| Verizon Communications Inc  | 1115 | 47677 |
|  |  | 127852 |
| Entertainment - 2.9% |  |  |
| Electronic Arts Inc  | 289 | 44069 |
| Netflix Inc (b) | 184 | 213330 |
| ROBLOX Corp Class A (b) | 509 | 70135 |
| Walt Disney Co/The  | 1035 | 123279 |
|  |  | 450813 |
| Interactive Media & Services - 7.7% |  |  |
| Alphabet Inc Class A  | 1639 | 314524 |
| Alphabet Inc Class C  | 1712 | 330176 |
| Meta Platforms Inc Class A  | 675 | 522072 |
|  |  | 1166772 |
| Wireless Telecommunication Services - 0.4% |  |  |
| T-Mobile US Inc  | 253 | 60318 |
| TOTAL COMMUNICATION SERVICES |  | 1805755 |
| Consumer Discretionary - 10.9% |  |  |
| Automobiles - 1.9% |  |  |
| Ford Motor Co  | 5401 | 59789 |
| General Motors Co  | 847 | 45179 |
| Tesla Inc (b) | 590 | 181879 |
|  |  | 286847 |
| Broadline Retail - 4.6% |  |  |
| Amazon.com Inc (b)(c) | 2994 | 700925 |
| Hotels, Restaurants & Leisure - 1.8% |  |  |
| Booking Holdings Inc  | 5 | 27520 |
| DoorDash Inc Class A (b) | 417 | 104354 |
| Expedia Group Inc Class A  | 327 | 58932 |
| Global Business Travel Group I Class A (b) | 7904 | 50823 |
| McDonald's Corp  | 109 | 32708 |
|  |  | 274337 |
| Household Durables - 0.0% |  |  |
| Toll Brothers Inc  | 71 | 8404 |
| Specialty Retail - 2.3% |  |  |
| Abercrombie & Fitch Co Class A (b) | 129 | 12387 |
| Bath & Body Works Inc  | 127 | 3678 |
| Carvana Co Class A (b) | 122 | 47601 |
| Chewy Inc Class A (b) | 48 | 1761 |
| Gap Inc/The  | 841 | 16366 |
| Home Depot Inc/The  | 490 | 180080 |
| Lithia Motors Inc Class A  | 5 | 1439 |
| TJX Cos Inc/The  | 701 | 87296 |
|  |  | 350608 |
| Textiles, Apparel & Luxury Goods - 0.3% |  |  |
| Ralph Lauren Corp Class A  | 75 | 22406 |
| Tapestry Inc  | 219 | 23659 |
|  |  | 46065 |
| TOTAL CONSUMER DISCRETIONARY |  | 1667186 |
| Consumer Staples - 3.6% |  |  |
| Beverages - 0.3% |  |  |
| Coca-Cola Co/The  | 224 | 15207 |
| PepsiCo Inc  | 277 | 38204 |
|  |  | 53411 |
| Consumer Staples Distribution & Retail - 1.3% |  |  |
| Costco Wholesale Corp  | 46 | 43223 |
| Walmart Inc  | 1474 | 144423 |
|  |  | 187646 |
| Food Products - 0.2% |  |  |
| Cal-Maine Foods Inc  | 224 | 24895 |
| Household Products - 0.9% |  |  |
| Procter & Gamble Co/The  | 931 | 140088 |
| Tobacco - 0.9% |  |  |
| Philip Morris International Inc  | 866 | 142067 |
| TOTAL CONSUMER STAPLES |  | 548107 |
| Energy - 2.8% |  |  |
| Oil, Gas & Consumable Fuels - 2.8% |  |  |
| Cheniere Energy Inc  | 325 | 76661 |
| Chevron Corp  | 37 | 5611 |
| ConocoPhillips  | 257 | 24502 |
| EOG Resources Inc  | 795 | 95416 |
| Exxon Mobil Corp  | 519 | 57941 |
| Marathon Petroleum Corp  | 399 | 67906 |
| Williams Cos Inc/The  | 1641 | 98378 |
|  |  | 426415 |
| Financials - 14.3% |  |  |
| Banks - 3.4% |  |  |
| Bank of America Corp (c) | 2321 | 109714 |
| JPMorgan Chase & Co (c) | 952 | 282020 |
| US Bancorp  | 780 | 35069 |
| Wells Fargo & Co (c) | 1135 | 91515 |
|  |  | 518318 |
| Capital Markets - 3.4% |  |  |
| Bank of New York Mellon Corp/The  | 323 | 32768 |
| Charles Schwab Corp/The (c) | 1350 | 131936 |
| CME Group Inc Class A (c) | 191 | 53151 |
| Goldman Sachs Group Inc/The  | 118 | 85384 |
| Morgan Stanley (c) | 670 | 95448 |
| S&P Global Inc  | 101 | 55661 |
| SEI Investments Co  | 296 | 26083 |
| T Rowe Price Group Inc  | 366 | 37131 |
|  |  | 517562 |
| Consumer Finance - 0.5% |  |  |
| Synchrony Financial (c) | 1231 | 85764 |
| Financial Services - 5.2% |  |  |
| Berkshire Hathaway Inc Class B (b)(c) | 680 | 320878 |
| Fiserv Inc (b) | 569 | 79057 |
| Mastercard Inc Class A (c) | 364 | 206195 |
| PayPal Holdings Inc (b)(c) | 1153 | 79280 |
| Visa Inc Class A (c) | 316 | 109169 |
|  |  | 794579 |
| Insurance - 1.8% |  |  |
| Allstate Corp/The (c) | 112 | 22764 |
| Cincinnati Financial Corp  | 565 | 83343 |
| Markel Group Inc (b) | 27 | 54224 |
| Progressive Corp/The (c) | 474 | 114727 |
|  |  | 275058 |
| TOTAL FINANCIALS |  | 2191281 |
| Health Care - 8.7% |  |  |
| Biotechnology - 2.5% |  |  |
| AbbVie Inc (c) | 904 | 170874 |
| Biogen Inc (b) | 282 | 36096 |
| Exelixis Inc (b)(c) | 946 | 34264 |
| Gilead Sciences Inc (c) | 1042 | 117006 |
| Incyte Corp (b) | 395 | 29582 |
|  |  | 387822 |
| Health Care Equipment & Supplies - 0.8% |  |  |
| Boston Scientific Corp (b)(c) | 1155 | 121183 |
| Health Care Providers & Services - 1.4% |  |  |
| Cardinal Health Inc  | 270 | 41909 |
| Centene Corp (b) | 23 | 600 |
| CVS Health Corp  | 9 | 559 |
| Elevance Health Inc  | 43 | 12172 |
| Humana Inc (c) | 369 | 92202 |
| Tenet Healthcare Corp (b) | 74 | 11935 |
| UnitedHealth Group Inc  | 198 | 49413 |
|  |  | 208790 |
| Health Care Technology - 0.5% |  |  |
| Veeva Systems Inc Class A (b)(c) | 258 | 73324 |
| Life Sciences Tools & Services - 0.0% |  |  |
| Danaher Corp  | 1 | 196 |
| Illumina Inc (b) | 82 | 8422 |
|  |  | 8618 |
| Pharmaceuticals - 3.5% |  |  |
| Bristol-Myers Squibb Co (c) | 1823 | 78954 |
| Eli Lilly & Co (c) | 162 | 119891 |
| Johnson & Johnson (c) | 748 | 123226 |
| Merck & Co Inc (c) | 1661 | 129758 |
| Pfizer Inc (c) | 3639 | 84752 |
|  |  | 536581 |
| TOTAL HEALTH CARE |  | 1336318 |
| Industrials - 9.6% |  |  |
| Aerospace & Defense - 2.4% |  |  |
| Axon Enterprise Inc (b) | 72 | 54395 |
| Curtiss-Wright Corp  | 46 | 22550 |
| GE Aerospace  | 593 | 160751 |
| General Dynamics Corp  | 217 | 67619 |
| HEICO Corp  | 67 | 21896 |
| Lockheed Martin Corp  | 88 | 37046 |
|  |  | 364257 |
| Air Freight & Logistics - 0.3% |  |  |
| FedEx Corp  | 213 | 47603 |
| Building Products - 1.4% |  |  |
| Allegion plc  | 324 | 53758 |
| Johnson Controls International plc  | 495 | 51975 |
| Trane Technologies PLC  | 243 | 106454 |
|  |  | 212187 |
| Commercial Services & Supplies - 0.7% |  |  |
| Cintas Corp  | 456 | 101483 |
| Construction & Engineering - 0.3% |  |  |
| Comfort Systems USA Inc  | 40 | 28132 |
| Valmont Industries Inc  | 41 | 14922 |
|  |  | 43054 |
| Electrical Equipment - 0.1% |  |  |
| Sensata Technologies Holding PLC  | 1065 | 32759 |
| Ground Transportation - 2.4% |  |  |
| CSX Corp  | 2775 | 98624 |
| Lyft Inc Class A (b) | 5016 | 70525 |
| Norfolk Southern Corp  | 9 | 2502 |
| Uber Technologies Inc (b) | 1343 | 117848 |
| Union Pacific Corp  | 356 | 79021 |
|  |  | 368520 |
| Industrial Conglomerates - 0.7% |  |  |
| Honeywell International Inc  | 480 | 106728 |
| Machinery - 0.0% |  |  |
| SPX Technologies Inc (b) | 5 | 912 |
| Passenger Airlines - 0.1% |  |  |
| SkyWest Inc (b) | 220 | 25511 |
| Professional Services - 0.9% |  |  |
| Automatic Data Processing Inc  | 141 | 43640 |
| Dun & Bradstreet Holdings Inc  | 1796 | 16343 |
| Leidos Holdings Inc  | 475 | 75834 |
|  |  | 135817 |
| Trading Companies & Distributors - 0.3% |  |  |
| Rush Enterprises Inc Class A  | 376 | 20357 |
| WW Grainger Inc  | 19 | 19751 |
|  |  | 40108 |
| TOTAL INDUSTRIALS |  | 1478939 |
| Information Technology - 33.0% |  |  |
| Communications Equipment - 1.2% |  |  |
| Cisco Systems Inc  | 1593 | 108451 |
| Motorola Solutions Inc  | 159 | 69798 |
|  |  | 178249 |
| Electronic Equipment, Instruments & Components - 0.3% |  |  |
| Itron Inc (b) | 407 | 50688 |
| IT Services - 0.3% |  |  |
| Gartner Inc (b) | 144 | 48766 |
| Kyndryl Holdings Inc (b) | 33 | 1246 |
|  |  | 50012 |
| Semiconductors & Semiconductor Equipment - 13.7% |  |  |
| Advanced Micro Devices Inc (b) | 141 | 24860 |
| Analog Devices Inc  | 116 | 26057 |
| Applied Materials Inc  | 648 | 116679 |
| Broadcom Inc  | 1606 | 471682 |
| Cirrus Logic Inc (b) | 186 | 18732 |
| Credo Technology Group Holding Ltd (b) | 161 | 17960 |
| KLA Corp  | 1 | 879 |
| NVIDIA Corp (c) | 7346 | 1306634 |
| QUALCOMM Inc  | 790 | 115940 |
|  |  | 2099423 |
| Software - 10.8% |  |  |
| ACI Worldwide Inc (b) | 1389 | 59116 |
| Adobe Inc (b) | 326 | 116607 |
| Alarm.com Holdings Inc (b) | 996 | 54411 |
| Cadence Design Systems Inc (b) | 162 | 59060 |
| Fortinet Inc (b) | 195 | 19481 |
| HubSpot Inc (b) | 35 | 18188 |
| Microsoft Corp (c) | 2010 | 1072335 |
| Oracle Corp  | 121 | 30706 |
| Palantir Technologies Inc Class A (b) | 67 | 10609 |
| Salesforce Inc (c) | 566 | 146215 |
| Teradata Corp (b) | 513 | 10737 |
| Zoom Communications Inc Class A (b) | 755 | 55908 |
|  |  | 1653373 |
| Technology Hardware, Storage & Peripherals - 6.7% |  |  |
| Apple Inc (c) | 4593 | 953369 |
| Western Digital Corp  | 915 | 72001 |
|  |  | 1025370 |
| TOTAL INFORMATION TECHNOLOGY |  | 5057115 |
| Materials - 2.3% |  |  |
| Chemicals - 1.5% |  |  |
| Balchem Corp  | 141 | 21498 |
| Corteva Inc  | 740 | 53376 |
| Ecolab Inc  | 372 | 97375 |
| Linde PLC  | 138 | 63516 |
|  |  | 235765 |
| Construction Materials - 0.4% |  |  |
| CRH PLC  | 593 | 56602 |
| Metals & Mining - 0.4% |  |  |
| Commercial Metals Co  | 1268 | 65758 |
| TOTAL MATERIALS |  | 358125 |
| Real Estate - 0.6% |  |  |
| Health Care REITs - 0.1% |  |  |
| CareTrust REIT Inc  | 840 | 26712 |
| Specialized REITs - 0.5% |  |  |
| American Tower Corp  | 333 | 69394 |
| Digital Realty Trust Inc  | 100 | 17644 |
|  |  | 87038 |
| TOTAL REAL ESTATE |  | 113750 |
| Utilities - 1.1% |  |  |
| Electric Utilities - 1.0% |  |  |
| NextEra Energy Inc  | 1114 | 79162 |
| NRG Energy Inc  | 352 | 58854 |
|  |  | 138016 |
| Gas Utilities - 0.0% |  |  |
| MDU Resources Group Inc  | 265 | 4571 |
| Multi-Utilities - 0.1% |  |  |
| Sempra  | 268 | 21890 |
| TOTAL UTILITIES |  | 164477 |
| TOTAL UNITED STATES |  | 15147468 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $13,280,696) |  | <br> **15181656** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** |
|  | Yield (%) (d) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 10/23/2025 (e)<br>(Cost $29,706)<br>| 4.29 | 30000 | **29707** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** | &nbsp;&nbsp;**Money Market Funds - 0.9%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (f)<br>(Cost $134,599)<br>| 4.33 | 134572 | **134599** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.0%**<br> (Cost $13,445,001)<br>| <br>**15345962** |
| **NET OTHER ASSETS (LIABILITIES) - 0.0%**  | **(260)** |
| **NET ASSETS - 100.0%** | **15345702** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Equity Contracts |  |  |  |  |  |
| CME E-Mini S&P 500 Index Contracts (United States) | 4 | Sep 2025 | 127485 | (476) | (476) |
| The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% | The notional amount of futures purchased as a percentage of Net Assets is 0.8% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** |
|  | Counterparty | Number<br> of Contracts | Notional<br> Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Call Options |  |  |  |  |  |  |
| Mini SPX Index | Chicago Board Options Exchange | 56 | 3493286 | 635.00 | 08/01/25 | (10192) |
| Mini SPX Index | Chicago Board Options Exchange | 59 | 3680426 | 640.00 | 08/08/25 | (12361) |
| Mini SPX Index | Chicago Board Options Exchange | 58 | 3618046 | 640.00 | 08/15/25 | (21721) |
| Mini SPX Index | Chicago Board Options Exchange | 58 | 3618046 | 650.00 | 08/22/25 | (10208) |
|  |  |  |  |  |  | (54482) |
| **TOTAL WRITTEN OPTIONS** |  |  |  |  |  | **(54482)** |

---

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Non-income producing.

(c) Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $2,925,314.

(d) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $29,707.

(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 88824 | 879891 | 834116 | 1775 | - | - | 134599 | 134572 | 0.0% |
| Total | 88824 | 879891 | 834116 | 1775 | - | - | 134599 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of July 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 1805755 | 1805755 | - | - |
| Consumer Discretionary | 1667186 | 1667186 | - | - |
| Consumer Staples | 548107 | 548107 | - | - |
| Energy | 460603 | 460603 | - | - |
| Financials | 2191281 | 2191281 | - | - |
| Health Care | 1336318 | 1336318 | - | - |
| Industrials | 1478939 | 1478939 | - | - |
| Information Technology | 5057115 | 5057115 | - | - |
| Materials | 358125 | 358125 | - | - |
| Real Estate | 113750 | 113750 | - | - |
| Utilities | 164477 | 164477 | - | - |
|  **U.S. Treasury Obligations** | 29707 | - | 29707 | - |
|  **Money Market Funds** | 134599 | 134599 | - | - |
| **Total Investments in Securities:** | 15345962 | 15316255 | 29707 | - |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (476) | (476) | - | - |
| Written Options | (54482) | (54482) | - | - |
| Total Liabilities | (54958) | (54958) | - | - |
| **Total Derivative Instruments:** | (54958) | (54958) | - | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 0 | (476) |
| Written Options (b)  | 0 | (54482) |
| **Total Equity Risk**  | 0 | (54958) |
| **Total Value of Derivatives** | 0 | (54958) |

---

(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

(b)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

**Fidelity® Yield Enhanced Equity ETF**

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $13,310,402) | $15211363 |  |
| Fidelity Central Funds (cost $134,599) | 134599 |  |
| Total Investment in Securities (cost $13,445,001) |  | $15345962 |
| Cash |  | 48385 |
| Dividends receivable |  | 9008 |
| Distributions receivable from Fidelity Central Funds |  | 295 |
| Receivable from investment adviser for expense reductions |  | 320 |
| **Total assets** |  | 15403970 |
| **Liabilities** |  |  |
| Accrued management fee | $3346 |  |
| Payable for daily variation margin on futures contracts | 440 |  |
| Written options, at value (premium received $93,911) | 54482 |  |
| **Total liabilities** |  | 58268 |
| **Net Assets**  |  | $15345702 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $14703934 |
| Total accumulated earnings (loss) |  | 641768 |
| **Net Assets** |  | $15345702 |
| **Net Asset Value**, offering price and redemption price per share ($15,345,702 ÷ 575,000 shares) |  | $26.69 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $75036 |
| Interest  |  | 44 |
| Income from Fidelity Central Funds  |  | 1775 |
| **Total income** |  | 76855 |
| **Expenses** |  |  |
| Management fee | $16736 |  |
| Independent trustees' fees and expenses | 2330 |  |
| Total expenses before reductions | 19066 |  |
| Expense reductions | (2500) |  |
| Total expenses after reductions |  | 16566 |
| **Net Investment income (loss)** |  | 60289 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (220491) |  |
| Redemptions in-kind | (245035) |  |
| Futures contracts | 2627 |  |
| Written options | (365320) |  |
| Total net realized gain (loss) |  | (828219) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 1051366 |  |
| Futures contracts | (476) |  |
| Written options | 37195 |  |
| Total change in net unrealized appreciation (depreciation) |  | 1088085 |
| **Net gain (loss)** |  | 259866 |
| **Net increase (decrease) in net assets resulting from operations** |  | $320155 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)** | **For the period April 9, 2024 (commencement of operations) through January 31, 2025**  |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $60289 | $50642 |
| &nbsp;&nbsp;Net realized gain (loss) | (828219)<br>| 1564<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 1088085 | 851829<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 320155<br>| 904035<br>|
| Distributions to shareholders | (515000)<br>| (67422)<br>|
| Distributions to shareholders from tax return of capital | -<br>| (272653)<br>|
| **Total Distributions** | (515000)<br>| (340075)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 9183055 | 7650172 |
| &nbsp;&nbsp;Cost of shares redeemed | (1856640) | - |
| **Net increase (decrease) in net assets resulting from share transactions** | 7326415<br>| 7650172<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 7131570<br>| 8214132<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 8214132 | -<br>|
| &nbsp;&nbsp;End of period | $15345702 | $8214132 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 350000 | 300000 |
| &nbsp;&nbsp;Redeemed | (75000) | - |
| &nbsp;&nbsp;Net increase (decrease) | 275000 | 300000 |

---

**Financial Highlights** 

**Fidelity® Yield Enhanced Equity ETF** <br>

---

| | | |
|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $27.38 | $24.99 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .13  | .21  |
| Net realized and unrealized gain (loss)  | .30  | 3.64  |
| Total from investment operations  | .43  | 3.85  |
| Distributions from net investment income  | (1.12)  | (.22) D |
| Distributions from net realized gain  | -  | (.07) D |
| Distributions from tax return of capital  | - | (1.17) |
| Total distributions  | (1.12)  | (1.46)  |
| Net asset value, end of period  | $26.69 | $27.38 |
| **Total Return** E,F,G | 1.82% <br>| 15.78%  |
| **Ratios to Average Net Assets** C,H,I |  |  |
| Expenses before reductions  | .32% J | .32% J |
| Expenses net of fee waivers, if any  | .28% J<br>| .28% J |
| Expenses net of all reductions, if any  | .28% J | .27% J |
| Net investment income (loss)  | 1.00% J | 1.02% J |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $15346 | $8214 |
| Portfolio turnover rate K | 109% J,L<br>| 101% J,L |

---

A*For the period April 9, 2024 (commencement of operations) through January 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

E*Total returns for periods of less than one year are not annualized.*

F*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

G*Based on net asset value.*

H*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.*

I*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

J*Annualized.*

K*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

L*Portfolio turnover rate excludes securities received or delivered in-kind.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended July 31, 2025

**1. Organization.**

Fidelity Dynamic Buffered Equity ETF, Fidelity Hedged Equity ETF and Fidelity Yield Enhanced Equity ETF (the Funds) are exchange-traded funds of Fidelity Greenwood Street Trust (the Trust) and are authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Each Fund operates as a single operating segment. Each Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated each Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, each Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages each Fund's fair valuation practices and maintains the fair valuation policies and procedures. Each Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value each Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Exchange-traded options are valued using the last sale price or, in the absence of a sale, the last offering price and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2025 is included at the end of each Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business (normally 4:00 p.m. Eastern time) of the Cboe BZX Exchange, Inc. (CboeBZX). Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Funds represent a return of capital or capital gain. The Funds determine the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences resulted in distribution reclassifications.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to futures contracts, options, redemptions in-kind, capital loss carryforwards and losses deferred due to wash sales.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Tax cost ($)** | **Gross unrealized appreciation ($)** | **Gross unrealized depreciation ($)** | **Net unrealized appreciation (depreciation) ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | 9589121 | 2063718 | (242585) | 1821133 |
| **Fidelity Hedged Equity ETF** | 376008794 | 83522058 | (10428156) | 73093902 |
| **Fidelity Yield Enhanced Equity ETF** | 13456990 | 2223481 | (295556) | 1927925 |

---

Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

---

| | | | |
|:---|:---|:---|:---|
|  | **Short-term ($)** | **Long-term ($)** | **Total capital loss carryforward ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | (55812) | (191793) | (247605) |
| **Fidelity Hedged Equity ETF** | (6035179) | (7623964) | (13659143) |

---

**New Accounting Pronouncement.** In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** Each Fund's investment objectives allow for various types of derivative instruments, including futures contracts and options. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Equity Risk  | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.<br>|

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Dynamic Buffered Equity ETF** |  |  |
| **Equity Risk** |  |  |
| Futures Contracts | (2841) | (357) |
| Purchased Options | 114188 | (15483) |
| Written Options | <u>(301806)</u> | <u>33225</u> |
| **Total Equity Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(190459)</u> | <u>17385</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(190459)</u> | <u>17385</u> |
| **Fidelity Hedged Equity ETF** |  |  |
| **Equity Risk** |  |  |
| Futures Contracts | 84384 | 7988 |
| Purchased Options | <u>(5048151)</u> | <u>(835212)</u> |
| **Total Equity Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>(4963767)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(827224)</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp; <u>(4963767)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(827224)</u> |
| **Fidelity Yield Enhanced Equity ETF** |  |  |
| **Equity Risk** |  |  |
| Futures Contracts | 2627 | (476) |
| Written Options | <u>(365320)</u> | <u>37195</u> |
| **Total Equity Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(362693)</u> | <u>36719</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(362693)</u> | <u>36719</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.

Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period.

Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.

**Options.** Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. Exchange-traded and/or OTC options were used to manage exposure to the market.

Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | | |
|:---|:---|:---|
|  | **Type** | **Average Notional Amount ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | Purchased Options | 6366261 |
| **Fidelity Dynamic Buffered Equity ETF** | Written Options | 9990562 |
| **Fidelity Hedged Equity ETF** | Purchased Options | 836352662 |
| **Fidelity Yield Enhanced Equity ETF** | Written Options | 12183040 |

---

Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | 5085688 | 5148684 |
| **Fidelity Hedged Equity ETF** | 221738820 | 210002558 |
| **Fidelity Yield Enhanced Equity ETF** | 5803875 | 6498124 |

---

Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **In-Kind Subscriptions ($)** | **In-Kind Redemptions ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | 5811702 | 4630840 |
| **Fidelity Hedged Equity ETF** | 188571155 | 180731848 |
| **Fidelity Yield Enhanced Equity ETF** | 8944767 | 1829838 |

---

**6. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) provides the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of each Fund's average net assets as noted in the table below. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

---

| | |
|:---|:---|
|  | **Fee Rate** |
| **Fidelity Dynamic Buffered Equity ETF** | .48% |
| **Fidelity Hedged Equity ETF** | .48% |
| **Fidelity Yield Enhanced Equity ETF** | .28% |

---

**Brokerage Commissions.** A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | 95 |
| **Fidelity Hedged Equity ETF** | 3366 |
| **Fidelity Yield Enhanced Equity ETF** | 104 |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | 70609 | 30611 | (242) |
| **Fidelity Hedged Equity ETF** | 4091992 | 1494785 | 19450 |
| **Fidelity Yield Enhanced Equity ETF** | 73596 | 39410 | (631) |

---

**Security Lending.** 

Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, the borrowers provide collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the fair value of the loaned securities during the period of the loan. The fair value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned or gaining access to non-cash collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral less rebates paid to borrowers, plus any premium income received, or for non-cash collateral, fees received from borrowers as compensation for the securities loaned. Securities lending income is reduced by any lending agent fees associated with the loan. Any security lending income earned on investing cash collateral is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Any security lending income earned on non-cash collateral is presented in the Statement of Operations as a component of income. Affiliated security lending activity, if any, was as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Hedged Equity ETF** | 2 | - | - |

---

**7. Expense Reductions.** 

The investment adviser contractually agreed to reimburse expenses of each Fund to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following Funds were in reimbursement during the period:

---

| | | | |
|:---|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** | **Expiration Date** |
| **Fidelity Dynamic Buffered Equity ETF** | .48% | 2228 | May 31, 2026 |
| **Fidelity Hedged Equity ETF** | .48% | 93359 | May 31, 2026 |
| **Fidelity Yield Enhanced Equity ETF** | .28% | 2305 | August 31, 2026 |

---

Through arrangements with each applicable Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Brokerage service rebates ($)** | **Custodian credits ($)** | **Transfer Agent credits ($)** |
| **Fidelity Dynamic Buffered Equity ETF**  | - | 299 | - |
| **Fidelity Hedged Equity ETF** | - | 262 | - |
| **Fidelity Yield Enhanced Equity ETF** | - | 195 | - |

---

Effective September 1, 2025, the investment adviser has contractually agreed to waive Fidelity Yield Enhanced Equity ETF's management fee on the first $250 million of the Fund's assets.

**8. Share Transactions.**

Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities to a fund and redemption proceeds are paid with a basket of securities from a fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.

**9. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**10. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img111963_4.jpg)<br>

1.9911148.101 HBE-SANN-0925

**Fidelity® Equity Market Neutral Fund**

**Semi-Annual Report**

**July 31, 2025**

Includes Fidelity and Fidelity Advisor share classes

![](img111964_1.jpg)

![](img111964_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_EMN-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Equity Market Neutral Fund](#Sub_Sec_Fund_7601_EMN-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements7601_EMN-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_EMN-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_EMN-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_EMN-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_EMN-SANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-8544 if you're an individual investing directly with Fidelity, call 1-800-835-5092 if you're a plan sponsor or participant with Fidelity as your recordkeeper or call 1-877-208-0098 on institutional accounts or if you're an advisor or invest through one to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® Equity Market Neutral Fund**

**Schedule of Investments July 31, 2025 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 85.1%** | &nbsp;&nbsp;**Common Stocks - 85.1%** | &nbsp;&nbsp;**Common Stocks - 85.1%** |
|  | Shares | Value ($)<br>|
| AUSTRALIA - 3.2%  |  |  |
| Materials - 3.2% |  |  |
| Chemicals - 1.8% |  |  |
| Orica Ltd  | 19243 | 262784 |
| Metals & Mining - 1.4% |  |  |
| BHP Group Ltd (United Kingdom)  | 7885 | 198582 |
| TOTAL AUSTRALIA |  | 461366 |
| BERMUDA - 1.4%  |  |  |
| Financials - 1.4% |  |  |
| Insurance - 1.4% |  |  |
| RenaissanceRe Holdings Ltd  | 805 | 196211 |
| CANADA - 6.1%  |  |  |
| Communication Services - 1.2% |  |  |
| Diversified Telecommunication Services - 1.2% |  |  |
| TELUS Corp  | 10370 | 167046 |
| Consumer Discretionary - 0.8% |  |  |
| Specialty Retail - 0.8% |  |  |
| Aritzia Inc Subordinate Voting Shares (a) | 2322 | 124630 |
| Financials - 1.9% |  |  |
| Banks - 1.9% |  |  |
| Royal Bank of Canada  | 2169 | 278310 |
| Materials - 1.0% |  |  |
| Containers & Packaging - 1.0% |  |  |
| CCL Industries Inc Class B  | 2468 | 137952 |
| Utilities - 1.2% |  |  |
| Electric Utilities - 1.2% |  |  |
| Emera Inc  | 3743 | 175750 |
| TOTAL CANADA |  | 883688 |
| CHINA - 3.6%  |  |  |
| Consumer Discretionary - 1.4% |  |  |
| Broadline Retail - 1.4% |  |  |
| PDD Holdings Inc Class A ADR (a) | 1749 | 198424 |
| Industrials - 0.7% |  |  |
| Ground Transportation - 0.7% |  |  |
| Full Truck Alliance Co Ltd ADR  | 9570 | 110533 |
| Utilities - 1.5% |  |  |
| Gas Utilities - 1.5% |  |  |
| ENN Energy Holdings Ltd  | 26700 | 217606 |
| TOTAL CHINA |  | 526563 |
| FINLAND - 1.2%  |  |  |
| Communication Services - 0.5% |  |  |
| Diversified Telecommunication Services - 0.5% |  |  |
| Elisa Oyj A Shares  | 1444 | 74418 |
| Materials - 0.7% |  |  |
| Paper & Forest Products - 0.7% |  |  |
| Stora Enso Oyj R Shares  | 9159 | 94426 |
| TOTAL FINLAND |  | 168844 |
| FRANCE - 4.0%  |  |  |
| Communication Services - 0.4% |  |  |
| Media - 0.4% |  |  |
| IPSOS SA  | 1622 | 73115 |
| Financials - 2.9% |  |  |
| Banks - 1.4% |  |  |
| BNP Paribas SA  | 2257 | 205789 |
| Insurance - 1.5% |  |  |
| SCOR SE  | 6452 | 211172 |
| TOTAL FINANCIALS |  | 416961 |
| Materials - 0.7% |  |  |
| Chemicals - 0.7% |  |  |
| Air Liquide SA  | 482 | 94827 |
| TOTAL FRANCE |  | 584903 |
| GERMANY - 3.1%  |  |  |
| Health Care - 1.8% |  |  |
| Health Care Providers & Services - 1.8% |  |  |
| Fresenius SE & Co KGaA  | 5198 | 249024 |
| Industrials - 1.3% |  |  |
| Air Freight & Logistics - 1.3% |  |  |
| Deutsche Post AG  | 4290 | 192216 |
| TOTAL GERMANY |  | 441240 |
| INDONESIA - 1.0%  |  |  |
| Materials - 1.0% |  |  |
| Metals & Mining - 1.0% |  |  |
| Nickel Industries Ltd  | 322126 | 151331 |
| ITALY - 1.8%  |  |  |
| Consumer Discretionary - 0.4% |  |  |
| Household Durables - 0.4% |  |  |
| De' Longhi SpA  | 1804 | 59415 |
| Financials - 1.4% |  |  |
| Financial Services - 1.4% |  |  |
| Nexi SpA (b)(c) | 36338 | 207759 |
| TOTAL ITALY |  | 267174 |
| JAPAN - 6.2%  |  |  |
| Consumer Discretionary - 0.6% |  |  |
| Automobile Components - 0.6% |  |  |
| Nifco Inc/Japan  | 3500 | 85400 |
| Consumer Staples - 1.5% |  |  |
| Household Products - 1.5% |  |  |
| Lion Corp  | 21600 | 210445 |
| Industrials - 2.7% |  |  |
| Machinery - 2.7% |  |  |
| Makita Corp  | 8000 | 247666 |
| Miura Co Ltd  | 7100 | 141569 |
|  |  | 389235 |
| Materials - 1.4% |  |  |
| Chemicals - 1.4% |  |  |
| Kuraray Co Ltd  | 16800 | 207706 |
| TOTAL JAPAN |  | 892786 |
| KOREA (SOUTH) - 2.8%  |  |  |
| Communication Services - 1.0% |  |  |
| Diversified Telecommunication Services - 1.0% |  |  |
| KT Corp  | 3865 | 152430 |
| Information Technology - 1.8% |  |  |
| Semiconductors & Semiconductor Equipment - 1.1% |  |  |
| SK Hynix Inc  | 781 | 150449 |
| Technology Hardware, Storage & Peripherals - 0.7% |  |  |
| Samsung Electronics Co Ltd  | 2069 | 104803 |
| TOTAL INFORMATION TECHNOLOGY |  | 255252 |
| TOTAL KOREA (SOUTH) |  | 407682 |
| NETHERLANDS - 0.6%  |  |  |
| Industrials - 0.6% |  |  |
| Electrical Equipment - 0.6% |  |  |
| TKH Group NV depository receipt  | 2274 | 93838 |
| NORWAY - 1.5%  |  |  |
| Financials - 1.5% |  |  |
| Insurance - 1.5% |  |  |
| Storebrand ASA A Shares  | 15632 | 222716 |
| SPAIN - 2.1%  |  |  |
| Communication Services - 0.6% |  |  |
| Diversified Telecommunication Services - 0.6% |  |  |
| Cellnex Telecom SA (b)(c) | 2388 | 84480 |
| Industrials - 1.5% |  |  |
| Machinery - 1.5% |  |  |
| Fluidra SA  | 8488 | 212716 |
| TOTAL SPAIN |  | 297196 |
| SWEDEN - 1.4%  |  |  |
| Consumer Discretionary - 1.4% |  |  |
| Automobile Components - 1.4% |  |  |
| Autoliv Inc  | 1757 | 195993 |
| SWITZERLAND - 2.2%  |  |  |
| Consumer Discretionary - 0.7% |  |  |
| Textiles, Apparel & Luxury Goods - 0.7% |  |  |
| Cie Financiere Richemont SA Series A  | 642 | 104823 |
| Information Technology - 0.7% |  |  |
| Software - 0.7% |  |  |
| Temenos AG  | 1118 | 100685 |
| Materials - 0.8% |  |  |
| Chemicals - 0.8% |  |  |
| DSM-Firmenich AG  | 1151 | 110588 |
| TOTAL SWITZERLAND |  | 316096 |
| TAIWAN - 3.4%  |  |  |
| Communication Services - 1.3% |  |  |
| Wireless Telecommunication Services - 1.3% |  |  |
| Far EasTone Telecommunications Co Ltd  | 68000 | 185045 |
| Information Technology - 2.1% |  |  |
| Semiconductors & Semiconductor Equipment - 2.1% |  |  |
| Taiwan Semiconductor Manufacturing Co Ltd  | 8000 | 307299 |
| TOTAL TAIWAN |  | 492344 |
| THAILAND - 0.8%  |  |  |
| Consumer Staples - 0.8% |  |  |
| Consumer Staples Distribution & Retail - 0.8% |  |  |
| CP ALL PCL  | 85100 | 122562 |
| UNITED KINGDOM - 5.2%  |  |  |
| Communication Services - 2.1% |  |  |
| Interactive Media & Services - 1.5% |  |  |
| Auto Trader Group PLC (b)(c) | 19232 | 212317 |
| Media - 0.6% |  |  |
| WPP PLC  | 16528 | 89489 |
| TOTAL COMMUNICATION SERVICES |  | 301806 |
| Health Care - 1.0% |  |  |
| Health Care Equipment & Supplies - 1.0% |  |  |
| ConvaTec Group PLC (b)(c) | 47690 | 147000 |
| Utilities - 2.1% |  |  |
| Multi-Utilities - 2.1% |  |  |
| Centrica PLC  | 137694 | 299318 |
| TOTAL UNITED KINGDOM |  | 748124 |
| UNITED STATES - 33.5%  |  |  |
| Communication Services - 2.2% |  |  |
| Interactive Media & Services - 2.2% |  |  |
| Meta Platforms Inc Class A  | 416 | 321751 |
| Consumer Discretionary - 2.5% |  |  |
| Hotels, Restaurants & Leisure - 2.5% |  |  |
| Carnival Corp (a) | 3508 | 104433 |
| Expedia Group Inc Class A  | 1451 | 261499 |
|  |  | 365932 |
| Consumer Staples - 3.1% |  |  |
| Consumer Staples Distribution & Retail - 2.5% |  |  |
| Dollar General Corp  | 1257 | 131859 |
| Dollar Tree Inc (a) | 1992 | 226192 |
|  |  | 358051 |
| Food Products - 0.6% |  |  |
| Darling Ingredients Inc (a) | 2953 | 95618 |
| TOTAL CONSUMER STAPLES |  | 453669 |
| Energy - 0.9% |  |  |
| Energy Equipment & Services - 0.9% |  |  |
| Valaris Ltd (a) | 2613 | 127070 |
| Financials - 7.9% |  |  |
| Banks - 4.5% |  |  |
| Comerica Inc  | 1557 | 105206 |
| JPMorgan Chase & Co  | 935 | 276985 |
| Wells Fargo & Co  | 3082 | 248503 |
|  |  | 630694 |
| Capital Markets - 1.9% |  |  |
| Morgan Stanley  | 1963 | 279649 |
| Financial Services - 1.5% |  |  |
| Apollo Global Management Inc  | 1497 | 217544 |
| TOTAL FINANCIALS |  | 1127887 |
| Health Care - 4.4% |  |  |
| Health Care Equipment & Supplies - 3.3% |  |  |
| Boston Scientific Corp (a) | 2584 | 271113 |
| Insulet Corp (a) | 697 | 201015 |
|  |  | 472128 |
| Pharmaceuticals - 1.1% |  |  |
| Bristol-Myers Squibb Co  | 3758 | 162759 |
| TOTAL HEALTH CARE |  | 634887 |
| Industrials - 4.7% |  |  |
| Aerospace & Defense - 2.1% |  |  |
| L3Harris Technologies Inc  | 1112 | 305600 |
| Air Freight & Logistics - 1.3% |  |  |
| FedEx Corp  | 828 | 185050 |
| Building Products - 0.7% |  |  |
| Fortune Brands Innovations Inc  | 1809 | 98663 |
| Professional Services - 0.6% |  |  |
| TransUnion  | 922 | 87765 |
| TOTAL INDUSTRIALS |  | 677078 |
| Information Technology - 5.1% |  |  |
| IT Services - 1.7% |  |  |
| Cognizant Technology Solutions Corp Class A  | 3399 | 243912 |
| Software - 3.4% |  |  |
| Fair Isaac Corp (a) | 110 | 158039 |
| Microsoft Corp  | 602 | 321167 |
|  |  | 479206 |
| TOTAL INFORMATION TECHNOLOGY |  | 723118 |
| Materials - 1.2% |  |  |
| Metals & Mining - 1.2% |  |  |
| Steel Dynamics Inc  | 1329 | 169527 |
| Real Estate - 0.6% |  |  |
| Residential REITs - 0.6% |  |  |
| Sun Communities Inc  | 719 | 89178 |
| Utilities - 0.9% |  |  |
| Electric Utilities - 0.9% |  |  |
| NRG Energy Inc  | 820 | 137104 |
| TOTAL UNITED STATES |  | 4827201 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $11,339,766) |  | <br> **12297858** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 13.6%** | &nbsp;&nbsp;**Money Market Funds - 13.6%** | &nbsp;&nbsp;**Money Market Funds - 13.6%** | &nbsp;&nbsp;**Money Market Funds - 13.6%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class (d)<br>(Cost $1,971,886)<br>| 4.34 | 1971886 | **1971886** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 98.7%**<br> (Cost $13,311,652)<br>| <br>**14269744** |
| **NET OTHER ASSETS (LIABILITIES) - 1.3%**  | **194707** |
| **NET ASSETS - 100.0%** | **14464451** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| AUD | 155 | USD | 100 | HSBC Bank PLC | 8/01/25 | 0 |
| EUR | 87 | USD | 100 | HSBC Bank PLC | 8/01/25 | 0 |
| GBP | 285 | USD | 377 | HSBC Bank PLC | 8/01/25 | (1) |
| GBP | 110 | USD | 146 | UBS AG | 8/01/25 | (1) |
| GBP | 121 | USD | 161 | HSBC Bank PLC | 8/04/25 | 0 |
| GBP | 429 | USD | 567 | JPMorgan Chase Bank NA | 8/04/25 | (1) |
| HKD | 46500 | USD | 5922 | JPMorgan Chase Bank NA | 8/01/25 | 2 |
| HKD | 78000 | USD | 9963 | Goldman Sachs International | 8/28/25 | (4) |
| HKD | 89000 | USD | 11374 | HSBC Bank PLC | 8/28/25 | (9) |
| SEK | 86000 | USD | 9074 | HSBC Bank PLC | 8/28/25 | (275) |
| SEK | 263000 | USD | 27701 | Morgan Stanley | 8/28/25 | (792) |
| THB | 57000 | USD | 1775 | Goldman Sachs International | 8/28/25 | (33) |
| THB | 120000 | USD | 3744 | Goldman Sachs International | 8/28/25 | (77) |
| THB | 131000 | USD | 4053 | UBS AG | 8/28/25 | (49) |
| THB | 1015000 | USD | 31499 | UBS AG | 8/28/25 | (480) |
| TWD | 271000 | USD | 9250 | UBS AG | 8/28/25 | (173) |
| USD | 424675 | AUD | 651000 | UBS AG | 8/28/25 | 6118 |
| USD | 922406 | CAD | 1259000 | UBS AG | 8/28/25 | 12638 |
| USD | 194062 | CHF | 154000 | UBS AG | 8/28/25 | 3874 |
| USD | 22822 | CHF | 18000 | UBS AG | 8/28/25 | 592 |
| USD | 13884 | CNY | 99000 | HSBC Bank PLC | 8/28/25 | 109 |
| USD | 196175 | CNY | 1404000 | HSBC Bank PLC | 8/28/25 | 821 |
| USD | 2097 | EUR | 1834 | HSBC Bank PLC | 8/01/25 | 4 |
| USD | 1934053 | EUR | 1648000 | JPMorgan Chase Bank NA | 8/28/25 | 50260 |
| USD | 166077 | EUR | 145000 | UBS AG | 8/28/25 | 331 |
| USD | 2716 | GBP | 2054 | Morgan Stanley | 8/01/25 | 4 |
| USD | 55691 | GBP | 42000 | HSBC Bank PLC | 8/28/25 | 210 |
| USD | 901460 | GBP | 668000 | UBS AG | 8/28/25 | 19053 |
| USD | 217286 | HKD | 1700000 | HSBC Bank PLC | 8/28/25 | 215 |
| USD | 917821 | JPY | 134769000 | Goldman Sachs International | 8/28/25 | 21660 |
| USD | 413876 | KRW | 572483000 | Goldman Sachs International | 8/28/25 | 3025 |
| USD | 225418 | NOK | 2292000 | Goldman Sachs International | 8/28/25 | 3693 |
| USD | 2940 | SEK | 28000 | HSBC Bank PLC | 8/28/25 | 75 |
| USD | 14964 | SEK | 143000 | JPMorgan Chase Bank NA | 8/28/25 | 333 |
| USD | 12710 | SEK | 122000 | JPMorgan Chase Bank NA | 8/28/25 | 227 |
| USD | 5900 | SEK | 56000 | Morgan Stanley | 8/28/25 | 170 |
| USD | 52597 | TWD | 1543000 | Goldman Sachs International | 8/28/25 | 916 |
| USD | 5861 | TWD | 175000 | HSBC Bank PLC | 8/28/25 | (1) |
| USD | 4676 | TWD | 136000 | Morgan Stanley | 8/28/25 | 120 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **122554** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 124450 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (1896) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark of 4.32% plus or minus a specified spread ranging from (4.17)% to .31% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | Jun 2039 - Jul 2040 | 3946130 | (164010) | 23366 | (140644) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -8.2%  |  |  |  |  |  |  |
| **Health Care - 8.2%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - 8.2%**  |  |  |  |  |  |  |
| Dexcom Inc (1)  |  |  |  | 2068 | 167032 | (11498) |
| TOTAL HEALTH CARE |  |  |  |  | 167032 | (11498) |
| TOTAL UNITED STATES |  |  |  |  | 167032 | (11498) |
| **TOTAL LONG** |  |  |  |  | **167032** | **(11498)** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| CHINA -15.1%  |  |  |  |  |  |  |
| **Consumer Discretionary - 15.1%**  |  |  |  |  |  |  |
| **Automobiles - 15.1%**  |  |  |  |  |  |  |
| NIO Inc Class A ADR (1)  |  |  |  | (15057) | (73328) | (21231) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (73328) | (21231) |
| TOTAL CHINA |  |  |  |  | (73328) | (21231) |
| THAILAND -26.3%  |  |  |  |  |  |  |
| **Information Technology - 26.3%**  |  |  |  |  |  |  |
| **Electronic Equipment, Instruments & Components - 26.3%**  |  |  |  |  |  |  |
| Delta Electronics Thailand PCL depository receipt  |  |  |  | (27300) | (120456) | (37065) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (120456) | (37065) |
| TOTAL THAILAND |  |  |  |  | (120456) | (37065) |
| UNITED STATES -66.9%  |  |  |  |  |  |  |
| **Consumer Discretionary - (6.4)%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - (8.6)%**  |  |  |  |  |  |  |
| Light & Wonder Inc Class A (1)  |  |  |  | (2912) | (280484) | (1456) |
| Papa John's International Inc  |  |  |  | (1747) | (74090) | 13528 |
|  |  |  |  |  | (354574) | 12072 |
| **Household Durables - 10.0%**  |  |  |  |  |  |  |
| DR Horton Inc  |  |  |  | (996) | (142269) | (14094) |
| **Textiles, Apparel & Luxury Goods - (7.8)%**  |  |  |  |  |  |  |
| Lululemon Athletica Inc (1)  |  |  |  | (319) | (63969) | 11002 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (560812) | 8980 |
| **Energy - (1.7)%**  |  |  |  |  |  |  |
| **Energy Equipment & Services - (1.7)%**  |  |  |  |  |  |  |
| NOV Inc  |  |  |  | (16065) | (202098) | 2410 |
| TOTAL ENERGY |  |  |  |  | (202098) | 2410 |
| **Financials - 30.8%**  |  |  |  |  |  |  |
| **Banks - 0.3%**  |  |  |  |  |  |  |
| Fifth Third Bancorp  |  |  |  | (6890) | (286417) | (414) |
| **Capital Markets - 32.7%**  |  |  |  |  |  |  |
| Carlyle Group Inc/The  |  |  |  | (3624) | (219832) | (34392) |
| Cboe Global Markets Inc  |  |  |  | (1088) | (262252) | (13100) |
| CME Group Inc Class A  |  |  |  | (766) | (213162) | (2697) |
| MarketAxess Holdings Inc  |  |  |  | (793) | (162962) | 11142 |
| T Rowe Price Group Inc  |  |  |  | (1292) | (131073) | (6913) |
|  |  |  |  |  | (989281) | (45960) |
| **Financial Services - 15.1%**  |  |  |  |  |  |  |
| WEX Inc (1)  |  |  |  | (934) | (158481) | (21295) |
| **Insurance - (17.3)%**  |  |  |  |  |  |  |
| Brown & Brown Inc  |  |  |  | (1333) | (121796) | 24274 |
| TOTAL FINANCIALS |  |  |  |  | (1555975) | (43395) |
| **Health Care - 8.6%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - 8.6%**  |  |  |  |  |  |  |
| Medtronic PLC  |  |  |  | (2865) | (258538) | (12090) |
| TOTAL HEALTH CARE |  |  |  |  | (258538) | (12090) |
| **Industrials - 53.2%**  |  |  |  |  |  |  |
| **Building Products - 11.2%**  |  |  |  |  |  |  |
| Lennox International Inc  |  |  |  | (380) | (231421) | (15773) |
| **Electrical Equipment - 35.8%**  |  |  |  |  |  |  |
| GE Vernova Inc (1)  |  |  |  | (214) | (141302) | (33942) |
| Rockwell Automation Inc  |  |  |  | (754) | (265189) | (16407) |
|  |  |  |  |  | (406491) | (50349) |
| **Professional Services - 6.2%**  |  |  |  |  |  |  |
| Dayforce Inc (1)  |  |  |  | (3436) | (198154) | (8693) |
| TOTAL INDUSTRIALS |  |  |  |  | (836066) | (74815) |
| **Information Technology - (17.6)%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - (17.6)%**  |  |  |  |  |  |  |
| Texas Instruments Inc  |  |  |  | (949) | (171825) | 24694 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (171825) | 24694 |
| TOTAL UNITED STATES |  |  |  |  | (3585314) | (94216) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(3779098)** | <br> **(152512)** |
| **TOTAL SHORT** |  |  |  |  | **(3779098)** | **(152512)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(3612066)** | **(164010)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the BBSW-1M benchmark of 3.68% plus or minus a specified spread ranging from (.10)% to (.02)% on short/long CFDs, respectively, which is denominated in AUD based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | Nov 2039 | 32098 | (3) | 47 | 44 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| AUSTRALIA -(6.8)%  |  |  |  |  |  |  |
| **Financials - 1268.2%**  |  |  |  |  |  |  |
| **Banks - 1268.2%**  |  |  |  |  |  |  |
| Westpac Banking Corp  |  |  |  | (870) | (18783) | 558 |
| TOTAL FINANCIALS |  |  |  |  | (18783) | 558 |
| **Health Care - (1275.0)%**  |  |  |  |  |  |  |
| **Health Care Providers & Services - (1275.0)%**  |  |  |  |  |  |  |
| Sonic Healthcare Ltd  |  |  |  | (754) | (13315) | (561) |
| TOTAL HEALTH CARE |  |  |  |  | (13315) | (561) |
| TOTAL AUSTRALIA |  |  |  |  | (32098) | (3) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(32098)** | <br> **(3)** |
| **TOTAL SHORT** |  |  |  |  | **(32098)** | **(3)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(32098)** | **(3)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 1.92% plus or minus a specified spread ranging from (2.50)% to (.20)% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | Jun 2039 - Jul 2040 | 1495914 | 38152 | 4286 | 42438 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| AUSTRIA -34.2%  |  |  |  |  |  |  |
| **Energy - 34.2%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - 34.2%**  |  |  |  |  |  |  |
| OMV AG  |  |  |  | (4809) | (245205) | 14494 |
| TOTAL ENERGY |  |  |  |  | (245205) | 14494 |
| TOTAL AUSTRIA |  |  |  |  | (245205) | 14494 |
| FINLAND -3.9%  |  |  |  |  |  |  |
| **Materials - 3.9%**  |  |  |  |  |  |  |
| **Containers & Packaging - 3.9%**  |  |  |  |  |  |  |
| Huhtamaki Oyj  |  |  |  | (1672) | (57701) | 1641 |
| TOTAL MATERIALS |  |  |  |  | (57701) | 1641 |
| TOTAL FINLAND |  |  |  |  | (57701) | 1641 |
| FRANCE -23.1%  |  |  |  |  |  |  |
| **Financials - 23.1%**  |  |  |  |  |  |  |
| **Financial Services - 23.1%**  |  |  |  |  |  |  |
| Worldline SA/France (1)  |  |  |  | (23395) | (85542) | 9804 |
| TOTAL FINANCIALS |  |  |  |  | (85542) | 9804 |
| TOTAL FRANCE |  |  |  |  | (85542) | 9804 |
| GERMANY -(6.5)%  |  |  |  |  |  |  |
| **Information Technology - (6.5)%**  |  |  |  |  |  |  |
| **Software - (6.5)%**  |  |  |  |  |  |  |
| Nemetschek SE  |  |  |  | (1414) | (211550) | (2743) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (211550) | (2743) |
| TOTAL GERMANY |  |  |  |  | (211550) | (2743) |
| ITALY -(3.9)%  |  |  |  |  |  |  |
| **Energy - (3.9)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (3.9)%**  |  |  |  |  |  |  |
| Eni SpA  |  |  |  | (9671) | (165058) | (1652) |
| TOTAL ENERGY |  |  |  |  | (165058) | (1652) |
| TOTAL ITALY |  |  |  |  | (165058) | (1652) |
| KOREA (SOUTH) -11.2%  |  |  |  |  |  |  |
| **Consumer Discretionary - 11.2%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 11.2%**  |  |  |  |  |  |  |
| Delivery Hero SE (1)  |  |  |  | (5884) | (176533) | 4770 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (176533) | 4770 |
| TOTAL KOREA (SOUTH) |  |  |  |  | (176533) | 4770 |
| NETHERLANDS -7.0%  |  |  |  |  |  |  |
| **Financials - 7.0%**  |  |  |  |  |  |  |
| **Capital Markets - 7.0%**  |  |  |  |  |  |  |
| Euronext NV  |  |  |  | (1373) | (221868) | 2978 |
| TOTAL FINANCIALS |  |  |  |  | (221868) | 2978 |
| TOTAL NETHERLANDS |  |  |  |  | (221868) | 2978 |
| SPAIN -(2.5)%  |  |  |  |  |  |  |
| **Utilities - (2.5)%**  |  |  |  |  |  |  |
| **Independent Power and Renewable Electricity Producers - (2.5)%**  |  |  |  |  |  |  |
| EDP Renovaveis SA  |  |  |  | (8428) | (99066) | (1059) |
| TOTAL UTILITIES |  |  |  |  | (99066) | (1059) |
| TOTAL SPAIN |  |  |  |  | (99066) | (1059) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(1262523)** | <br> **28233** |
|  **Preferred Stock** |  |  |  |  |  |  |
| GERMANY -23.4%  |  |  |  |  |  |  |
| **Consumer Discretionary - 23.4%**  |  |  |  |  |  |  |
| **Automobiles - 23.4%**  |  |  |  |  |  |  |
| Volkswagen AG  |  |  |  | (2232) | (233391) | 9919 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (233391) | 9919 |
| TOTAL GERMANY |  |  |  |  | (233391) | 9919 |
| **TOTAL SHORT** |  |  |  |  | **(1495914)** | **38152** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(1495914)** | **38152** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SONIA benchmark of 4.22% plus or minus a specified spread of (.17)% on short/long CFDs, respectively, which is denominated in GBP based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | Mar 2039 - Aug 2040 | 811831 | 10443 | 5031 | 15474 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| CHILE -26.7%  |  |  |  |  |  |  |
| **Materials - 26.7%**  |  |  |  |  |  |  |
| **Metals & Mining - 26.7%**  |  |  |  |  |  |  |
| Antofagasta PLC  |  |  |  | (2885) | (71515) | 4133 |
| TOTAL MATERIALS |  |  |  |  | (71515) | 4133 |
| TOTAL CHILE |  |  |  |  | (71515) | 4133 |
| UNITED KINGDOM -19.6%  |  |  |  |  |  |  |
| **Financials - 5.8%**  |  |  |  |  |  |  |
| **Banks - 5.8%**  |  |  |  |  |  |  |
| Barclays PLC  |  |  |  | (63365) | (309729) | 896 |
| TOTAL FINANCIALS |  |  |  |  | (309729) | 896 |
| **Industrials - 13.8%**  |  |  |  |  |  |  |
| **Trading Companies & Distributors - 13.8%**  |  |  |  |  |  |  |
| Howden Joinery Group PLC  |  |  |  | (11160) | (129699) | 2141 |
| TOTAL INDUSTRIALS |  |  |  |  | (129699) | 2141 |
| TOTAL UNITED KINGDOM |  |  |  |  | (439428) | 3037 |
| UNITED STATES -21.2%  |  |  |  |  |  |  |
| **Health Care - 3.3%**  |  |  |  |  |  |  |
| **Pharmaceuticals - 3.3%**  |  |  |  |  |  |  |
| GSK PLC  |  |  |  | (9609) | (176748) | 510 |
| TOTAL HEALTH CARE |  |  |  |  | (176748) | 510 |
| **Materials - 17.9%**  |  |  |  |  |  |  |
| **Construction Materials - 17.9%**  |  |  |  |  |  |  |
| CRH PLC (United Kingdom)  |  |  |  | (1307) | (124140) | 2763 |
| TOTAL MATERIALS |  |  |  |  | (124140) | 2763 |
| TOTAL UNITED STATES |  |  |  |  | (300888) | 3273 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(811831)** | <br> **10443** |
| **TOTAL SHORT** |  |  |  |  | **(811831)** | **10443** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(811831)** | **10443** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the HIBOR-1M benchmark of 1.03% plus or minus a specified spread of (.25)% on short/long CFDs, respectively, which is denominated in HKD based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | Jul 2039 | 109166 | (4615) | 42 | (4573) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| HONG KONG -100.9%  |  |  |  |  |  |  |
| **Utilities - 100.9%**  |  |  |  |  |  |  |
| **Electric Utilities - 100.9%**  |  |  |  |  |  |  |
| CK Infrastructure Holdings Ltd  |  |  |  | (15500) | (109166) | (4615) |
| TOTAL UTILITIES |  |  |  |  | (109166) | (4615) |
| TOTAL HONG KONG |  |  |  |  | (109166) | (4615) |
| **TOTAL SHORT** |  |  |  |  | **(109166)** | **(4615)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(109166)** | **(4615)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark of 4.36% plus or minus a specified spread ranging from (.75)% to (.10)% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable. | JP Morgan Chase Bank NA | Jul 2029 - May 2030 | 461524 | (1239) | (820) | (2059) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| TAIWAN -(191.2)%  |  |  |  |  |  |  |
| **Communication Services - (191.2)%**  |  |  |  |  |  |  |
| **Diversified Telecommunication Services - (76.8)%**  |  |  |  |  |  |  |
| Chunghwa Telecom Co Ltd  |  |  |  | (10000) | (43116) | 1582 |
| **Insurance - (114.4)%**  |  |  |  |  |  |  |
| Fubon Financial Holding Co Ltd  |  |  |  | (26000) | (71200) | 2356 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (114316) | 3938 |
| TOTAL TAIWAN |  |  |  |  | (114316) | 3938 |
| THAILAND -505.9%  |  |  |  |  |  |  |
| **Information Technology - 505.9%**  |  |  |  |  |  |  |
| **Electronic Equipment, Instruments & Components - 505.9%**  |  |  |  |  |  |  |
| Delta Electronics Thailand PCL depository receipt  |  |  |  | (9700) | (42799) | (10418) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (42799) | (10418) |
| TOTAL THAILAND |  |  |  |  | (42799) | (10418) |
| UNITED STATES -(254.5)%  |  |  |  |  |  |  |
| **Health Care - (254.5)%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - (254.5)%**  |  |  |  |  |  |  |
| Becton Dickinson & Co  |  |  |  | (797) | (142065) | (925) |
| Solventum Corp (1)  |  |  |  | (2275) | (162344) | 6166 |
|  |  |  |  |  | (304409) | 5241 |
| TOTAL HEALTH CARE |  |  |  |  | (304409) | 5241 |
| TOTAL UNITED STATES |  |  |  |  | (304409) | 5241 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(461524)** | <br> **(1239)** |
| **TOTAL SHORT** |  |  |  |  | **(461524)** | **(1239)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(461524)** | **(1239)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the BBSW-1M benchmark of 3.6% plus or minus a specified spread ranging from (.29)% to (.10)% on short/long CFDs, respectively, which is denominated in AUD based on the local currencies of the positions within the swap as applicable. | JP Morgan Chase Bank NA | Jul 2029 - Jun 2030 | 332710 | (1572) | 558 | (1014) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| AUSTRALIA -155.1%  |  |  |  |  |  |  |
| **Financials - 81.5%**  |  |  |  |  |  |  |
| **Banks - (75.1)%**  |  |  |  |  |  |  |
| Westpac Banking Corp  |  |  |  | (5265) | (113672) | 762 |
| **Insurance - 156.6%**  |  |  |  |  |  |  |
| Medibank Pvt Ltd  |  |  |  | (44600) | (145771) | (1588) |
| TOTAL FINANCIALS |  |  |  |  | (259443) | (826) |
| **Health Care - 73.6%**  |  |  |  |  |  |  |
| **Health Care Providers & Services - 73.6%**  |  |  |  |  |  |  |
| Sonic Healthcare Ltd  |  |  |  | (4149) | (73267) | (746) |
| TOTAL HEALTH CARE |  |  |  |  | (73267) | (746) |
| TOTAL AUSTRALIA |  |  |  |  | (73267) | (746) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(332710)** | <br> **(1572)** |
| **TOTAL SHORT** |  |  |  |  | **(332710)** | **(1572)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(332710)** | **(1572)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the CORRA benchmark of 2.77% plus or minus a specified spread ranging from (.20)% to (.10)% on short/long CFDs, respectively, which is denominated in CAD based on the local currencies of the positions within the swap as applicable. | JP Morgan Chase Bank NA | Jul 2029 - Mar 2030 | 606908 | (353) | (231) | (584) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| CANADA -(1965.8)%  |  |  |  |  |  |  |
| **Consumer Discretionary - (345.4)%**  |  |  |  |  |  |  |
| **Broadline Retail - (345.4)%**  |  |  |  |  |  |  |
| Canadian Tire Corp Ltd Class A  |  |  |  | (672) | (90004) | 2017 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (90004) | 2017 |
| **Financials - (744.5)%**  |  |  |  |  |  |  |
| **Insurance - (744.5)%**  |  |  |  |  |  |  |
| Sun Life Financial Inc  |  |  |  | (4019) | (245039) | 4348 |
| TOTAL FINANCIALS |  |  |  |  | (245039) | 4348 |
| **Information Technology - (875.9)%**  |  |  |  |  |  |  |
| **Software - (875.9)%**  |  |  |  |  |  |  |
| BlackBerry Ltd (1)  |  |  |  | (16793) | (61810) | 5115 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (61810) | 5115 |
| TOTAL CANADA |  |  |  |  | (396853) | 11480 |
| UNITED STATES -2026.3%  |  |  |  |  |  |  |
| **Industrials - 2026.3%**  |  |  |  |  |  |  |
| **Commercial Services & Supplies - 2026.3%**  |  |  |  |  |  |  |
| GFL Environmental Inc Subordinate Voting Shares  |  |  |  | (4171) | (210055) | (11833) |
| TOTAL INDUSTRIALS |  |  |  |  | (210055) | (11833) |
| TOTAL UNITED STATES |  |  |  |  | (210055) | (11833) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(606908)** | <br> **(353)** |
| **TOTAL SHORT** |  |  |  |  | **(606908)** | **(353)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(606908)** | **(353)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SARON-1D benchmark of (.04)% plus or minus a specified spread of (.25)% on short/long CFDs, respectively, which is denominated in CHF based on the local currencies of the positions within the swap as applicable. | JP Morgan Chase Bank NA | Jul 2029 - Sep 2029 | 386688 | 2823 | 22 | 2845 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| SWITZERLAND -99.2%  |  |  |  |  |  |  |
| **Financials - (6.1)%**  |  |  |  |  |  |  |
| **Insurance - (6.1)%**  |  |  |  |  |  |  |
| Zurich Insurance Group AG  |  |  |  | (276) | (188261) | (173) |
| TOTAL FINANCIALS |  |  |  |  | (188261) | (173) |
| **Industrials - (17.4)%**  |  |  |  |  |  |  |
| **Building Products - (17.4)%**  |  |  |  |  |  |  |
| Geberit AG  |  |  |  | (130) | (99871) | (494) |
| TOTAL INDUSTRIALS |  |  |  |  | (99871) | (494) |
| **Materials - 122.7%**  |  |  |  |  |  |  |
| **Chemicals - 122.7%**  |  |  |  |  |  |  |
| Clariant AG  |  |  |  | (9530) | (98556) | 3490 |
| TOTAL MATERIALS |  |  |  |  | (98556) | 3490 |
| TOTAL SWITZERLAND |  |  |  |  | (386688) | 2823 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(386688)** | <br> **2823** |
| **TOTAL SHORT** |  |  |  |  | **(386688)** | **2823** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(386688)** | **2823** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 1.92% plus or minus a specified spread of (.17)% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable. | JP Morgan Chase Bank NA | Nov 2029 | 131033 | (1249) | 254 | (995) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| AUSTRIA -125.5%  |  |  |  |  |  |  |
| **Utilities - 125.5%**  |  |  |  |  |  |  |
| **Electric Utilities - 125.5%**  |  |  |  |  |  |  |
| Verbund AG Class A  |  |  |  | (1757) | (131033) | (1249) |
| TOTAL UTILITIES |  |  |  |  | (131033) | (1249) |
| TOTAL AUSTRIA |  |  |  |  | (131033) | (1249) |
| **TOTAL SHORT** |  |  |  |  | **(131033)** | **(1249)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(131033)** | **(1249)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SONIA benchmark of 4.22% plus or minus a specified spread of .25% on short/long CFDs, respectively, which is denominated in GBP based on the local currencies of the positions within the swap as applicable. | JP Morgan Chase Bank NA | Jul 2029 | 416818 | 4454 | 4528 | 8982 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED KINGDOM -49.6%  |  |  |  |  |  |  |
| **Consumer Discretionary - (3.1)%**  |  |  |  |  |  |  |
| **Diversified Consumer Services - (3.1)%**  |  |  |  |  |  |  |
| Auction Technology Group PLC (1)  |  |  |  | 8007 | 52080 | (283) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 52080 | (283) |
| **Industrials - (8.2)%**  |  |  |  |  |  |  |
| **Commercial Services & Supplies - (8.2)%**  |  |  |  |  |  |  |
| Serco Group PLC  |  |  |  | 16980 | 46867 | (735) |
| TOTAL INDUSTRIALS |  |  |  |  | 46867 | (735) |
| **Utilities - 60.9%**  |  |  |  |  |  |  |
| **Electric Utilities - 31.5%**  |  |  |  |  |  |  |
| SSE PLC  |  |  |  | 9812 | 240514 | 2833 |
| **Multi-Utilities - 29.4%**  |  |  |  |  |  |  |
| National Grid PLC  |  |  |  | 5505 | 77357 | 2639 |
| TOTAL UTILITIES |  |  |  |  | 317871 | 5472 |
| TOTAL UNITED KINGDOM |  |  |  |  | 416818 | 4454 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **416818** | <br> **4454** |
| **TOTAL LONG** |  |  |  |  | **416818** | **4454** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **416818** | **4454** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the HIBOR-1M benchmark of 1.03% plus or minus a specified spread ranging from (.25)% to (.05)% on short/long CFDs, respectively, which is denominated in HKD based on the local currencies of the positions within the swap as applicable. | JP Morgan Chase Bank NA | Oct 2029 - Jun 2030 | 372713 | (14212) | 154 | (14058) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| CHINA -52.9%  |  |  |  |  |  |  |
| **Industrials - 52.9%**  |  |  |  |  |  |  |
| **Air Freight & Logistics - 52.9%**  |  |  |  |  |  |  |
| ZTO Express Cayman Inc A Shares  |  |  |  | (10750) | (209567) | (7442) |
| TOTAL INDUSTRIALS |  |  |  |  | (209567) | (7442) |
| TOTAL CHINA |  |  |  |  | (209567) | (7442) |
| HONG KONG -48.2%  |  |  |  |  |  |  |
| **Utilities - 48.2%**  |  |  |  |  |  |  |
| **Electric Utilities - 48.2%**  |  |  |  |  |  |  |
| CK Infrastructure Holdings Ltd  |  |  |  | (4000) | (28172) | (2108) |
| Power Assets Holdings Ltd  |  |  |  | (20500) | (134974) | (4662) |
|  |  |  |  |  | (163146) | (6770) |
| TOTAL UTILITIES |  |  |  |  | (163146) | (6770) |
| TOTAL HONG KONG |  |  |  |  | (163146) | (6770) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(372713)** | <br> **(14212)** |
| **TOTAL SHORT** |  |  |  |  | **(372713)** | **(14212)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(372713)** | **(14212)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the TONAR benchmark of .48% plus or minus a specified spread ranging from (.20)% to .20% on short/long CFDs, respectively, which is denominated in JPY based on the local currencies of the positions within the swap as applicable. | JP Morgan Chase Bank NA | Jul 2029 - Jun 2030 | 2149770 | 41353 | (5926) | 35427 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| JAPAN -104.0%  |  |  |  |  |  |  |
| **Consumer Discretionary - 30.8%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 30.8%**  |  |  |  |  |  |  |
| Resorttrust Inc  |  |  |  | 21700 | 268808 | 10902 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 268808 | 10902 |
| **Industrials - 21.8%**  |  |  |  |  |  |  |
| **Machinery - 21.8%**  |  |  |  |  |  |  |
| Harmonic Drive Systems Inc  |  |  |  | 3500 | 66357 | 7725 |
| TOTAL INDUSTRIALS |  |  |  |  | 66357 | 7725 |
| **Information Technology - 51.4%**  |  |  |  |  |  |  |
| **IT Services - 51.4%**  |  |  |  |  |  |  |
| Simplex Holdings Inc  |  |  |  | 8700 | 236178 | 18194 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 236178 | 18194 |
| TOTAL JAPAN |  |  |  |  | 571343 | 36821 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **571343** | <br> **36821** |
| **TOTAL LONG** |  |  |  |  | **571343** | **36821** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| JAPAN -12.9%  |  |  |  |  |  |  |
| **Communication Services - 65.2%**  |  |  |  |  |  |  |
| **Entertainment - 65.2%**  |  |  |  |  |  |  |
| Capcom Co Ltd  |  |  |  | (7500) | (190918) | 21377 |
| Nintendo Co Ltd  |  |  |  | (3200) | (267453) | 1705 |
|  |  |  |  |  | (458371) | 23082 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (458371) | 23082 |
| **Consumer Staples - 81.7%**  |  |  |  |  |  |  |
| **Food Products - 34.4%**  |  |  |  |  |  |  |
| Yakult Honsha Co Ltd  |  |  |  | (8200) | (131918) | 12176 |
| **Household Products - (3.6)%**  |  |  |  |  |  |  |
| Unicharm Corp  |  |  |  | (23200) | (160478) | (1287) |
| **Personal Care Products - 50.9%**  |  |  |  |  |  |  |
| Shiseido Co Ltd  |  |  |  | (17000) | (276344) | 18020 |
| TOTAL CONSUMER STAPLES |  |  |  |  | (568740) | 28909 |
| **Health Care - (29.2)%**  |  |  |  |  |  |  |
| **Pharmaceuticals - (29.2)%**  |  |  |  |  |  |  |
| Otsuka Holdings Co Ltd  |  |  |  | (3100) | (147590) | (10344) |
| TOTAL HEALTH CARE |  |  |  |  | (147590) | (10344) |
| **Industrials - (104.7)%**  |  |  |  |  |  |  |
| **Machinery - (104.7)%**  |  |  |  |  |  |  |
| Mitsubishi Heavy Industries Ltd  |  |  |  | (13100) | (312781) | (37092) |
| TOTAL INDUSTRIALS |  |  |  |  | (312781) | (37092) |
| **Information Technology - (0.1)%**  |  |  |  |  |  |  |
| **IT Services - (0.1)%**  |  |  |  |  |  |  |
| Otsuka Corp  |  |  |  | (4800) | (90946) | (32) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (90946) | (32) |
| TOTAL JAPAN |  |  |  |  | (1578428) | 4523 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(1578428)** | <br> **4523** |
| **TOTAL SHORT** |  |  |  |  | **(1578428)** | **4532** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(1007085)** | **41353** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark of 4.36% plus or minus a specified spread of (.10)% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | Jun 2026 | 635143 | 28233 | (1047) | 27186 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -103.8%  |  |  |  |  |  |  |
| **Communication Services - 12.9%**  |  |  |  |  |  |  |
| **Diversified Telecommunication Services - 12.9%**  |  |  |  |  |  |  |
| Verizon Communications Inc  |  |  |  | (4424) | (189170) | 3495 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (189170) | 3495 |
| **Consumer Discretionary - 18.4%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 18.4%**  |  |  |  |  |  |  |
| Hilton Worldwide Holdings Inc  |  |  |  | (938) | (251459) | 5009 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (251459) | 5009 |
| **Health Care - 26.8%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - 26.8%**  |  |  |  |  |  |  |
| Envista Holdings Corp (1)  |  |  |  | (4863) | (91862) | 7295 |
| TOTAL HEALTH CARE |  |  |  |  | (91862) | 7295 |
| **Materials - 45.7%**  |  |  |  |  |  |  |
| **Chemicals - 45.7%**  |  |  |  |  |  |  |
| PPG Industries Inc  |  |  |  | (973) | (102652) | 12434 |
| TOTAL MATERIALS |  |  |  |  | (102652) | 12434 |
| TOTAL UNITED STATES |  |  |  |  | (635143) | 28233 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(635143)** | <br> **28233** |
| **TOTAL SHORT** |  |  |  |  | **(635143)** | **28233** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(635143)** | **28233** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the CORRA benchmark of 2.75% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in CAD based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | Nov 2026 | 108348 | 8364 | 120 | 8484 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| ZAMBIA -98.6%  |  |  |  |  |  |  |
| **Materials - 98.6%**  |  |  |  |  |  |  |
| **Metals & Mining - 98.6%**  |  |  |  |  |  |  |
| First Quantum Minerals Ltd (1)  |  |  |  | (6446) | (108348) | 8364 |
| TOTAL MATERIALS |  |  |  |  | (108348) | 8364 |
| TOTAL ZAMBIA |  |  |  |  | (108348) | 8364 |
| **TOTAL SHORT** |  |  |  |  | **(108348)** | **8364** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(108348)** | **8364** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SARON-1D benchmark of (.03)% plus or minus a specified spread of .14% on short/long CFDs, respectively, which is denominated in CHF based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | Jun 2026 | 192861 | (3026) | (121) | (3147) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -96.2%  |  |  |  |  |  |  |
| **Health Care - 96.2%**  |  |  |  |  |  |  |
| **Pharmaceuticals - 96.2%**  |  |  |  |  |  |  |
| Roche Holding AG  |  |  |  | 618 | 192861 | (3026) |
| TOTAL HEALTH CARE |  |  |  |  | 192861 | (3026) |
| TOTAL UNITED STATES |  |  |  |  | 192861 | (3026) |
| **TOTAL LONG** |  |  |  |  | **192861** | **(3026)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **192861** | **(3026)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 1.92% plus or minus a specified spread ranging from (.20)% to .20% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | Jun 2026 | 942018 | 25070 | (1234) | 23836 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| FRANCE -(37.1)%  |  |  |  |  |  |  |
| **Information Technology - (37.1)%**  |  |  |  |  |  |  |
| **IT Services - (37.1)%**  |  |  |  |  |  |  |
| Sopra Steria Group  |  |  |  | 490 | 105910 | (8844) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 105910 | (8844) |
| TOTAL FRANCE |  |  |  |  | 105910 | (8844) |
| GERMANY -123.9%  |  |  |  |  |  |  |
| **Consumer Discretionary - (0.7)%**  |  |  |  |  |  |  |
| **Automobile Components - (0.7)%**  |  |  |  |  |  |  |
| Continental AG  |  |  |  | 2188 | 187770 | (163) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 187770 | (163) |
| **Industrials - 124.6%**  |  |  |  |  |  |  |
| **Electrical Equipment - 124.6%**  |  |  |  |  |  |  |
| Siemens Energy AG (1)  |  |  |  | 2874 | 332748 | 29709 |
| TOTAL INDUSTRIALS |  |  |  |  | 332748 | 29709 |
| TOTAL GERMANY |  |  |  |  | 520518 | 29546 |
| NETHERLANDS -30.3%  |  |  |  |  |  |  |
| **Financials - 30.3%**  |  |  |  |  |  |  |
| **Insurance - 30.3%**  |  |  |  |  |  |  |
| NN Group NV  |  |  |  | 2183 | 147382 | 7224 |
| TOTAL FINANCIALS |  |  |  |  | 147382 | 7224 |
| TOTAL NETHERLANDS |  |  |  |  | 147382 | 7224 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **773810** | <br> **27926** |
| **TOTAL LONG** |  |  |  |  | **773810** | **27926** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| GERMANY -(13.1)%  |  |  |  |  |  |  |
| **Consumer Discretionary - (13.1)%**  |  |  |  |  |  |  |
| **Automobiles - (13.1)%**  |  |  |  |  |  |  |
| Dr Ing hc F Porsche AG (1)  |  |  |  | (1961) | (99435) | (3128) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (99435) | (3128) |
| TOTAL GERMANY |  |  |  |  | (99435) | (3128) |
| SPAIN -1.1%  |  |  |  |  |  |  |
| **Communication Services - 1.1%**  |  |  |  |  |  |  |
| **Diversified Telecommunication Services - 1.1%**  |  |  |  |  |  |  |
| Telefonica SA  |  |  |  | (13326) | (68773) | 272 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (68773) | 272 |
| TOTAL SPAIN |  |  |  |  | (68773) | 272 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(168208)** | <br> **(2856)** |
| **TOTAL SHORT** |  |  |  |  | **(168208)** | **(2856)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **605602** | **25070** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the NIBOR-1M benchmark of 4.30% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in NOK based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | Jun 2026 | 173879 | (3832) | 628 | (3204) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| NORWAY -119.6%  |  |  |  |  |  |  |
| **Energy - 119.6%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - 119.6%**  |  |  |  |  |  |  |
| Equinor ASA  |  |  |  | (6769) | (173879) | (3832) |
| TOTAL ENERGY |  |  |  |  | (173879) | (3832) |
| TOTAL NORWAY |  |  |  |  | (173879) | (3832) |
| **TOTAL SHORT** |  |  |  |  | **(173879)** | **(3832)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(173879)** | **(3832)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the STIBO-1M benchmark of 2.11% plus or minus a specified spread ranging from (.20)% to .20% on short/long CFDs, respectively, which is denominated in SEK based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | Jun 2026 | 321736 | 17128 | (30) | 17098 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| SWEDEN -89.1%  |  |  |  |  |  |  |
| **Communication Services - 89.1%**  |  |  |  |  |  |  |
| **Wireless Telecommunication Services - 89.1%**  |  |  |  |  |  |  |
| Tele2 AB B Shares  |  |  |  | 13405 | 207184 | 15239 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | 207184 | 15239 |
| TOTAL SWEDEN |  |  |  |  | 207184 | 15239 |
| **TOTAL LONG** |  |  |  |  | **207184** | **15239** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| SWEDEN -11.0%  |  |  |  |  |  |  |
| **Materials - 11.0%**  |  |  |  |  |  |  |
| **Paper & Forest Products - 11.0%**  |  |  |  |  |  |  |
| Svenska Cellulosa AB SCA B Shares  |  |  |  | (9128) | (114552) | 1889 |
| TOTAL MATERIALS |  |  |  |  | (114552) | 1889 |
| TOTAL SWEDEN |  |  |  |  | (114552) | 1889 |
| **TOTAL SHORT** |  |  |  |  | **(114552)** | **1889** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **92632** | **17128** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark of 4.36% plus or minus a specified spread of .13% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable. | HSBC Bank PLC | Oct 2025 | 104062 | 4609 | 139 | 4748 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| TAIWAN -97.1%  |  |  |  |  |  |  |
| **Financials - 97.1%**  |  |  |  |  |  |  |
| **Insurance - 97.1%**  |  |  |  |  |  |  |
| Fubon Financial Holding Co Ltd  |  |  |  | (38000) | (104062) | 4609 |
| TOTAL FINANCIALS |  |  |  |  | (104062) | 4609 |
| TOTAL TAIWAN |  |  |  |  | (104062) | 4609 |
| **TOTAL SHORT** |  |  |  |  | **(104062)** | **4609** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(104062)** | **4609** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 1.92% plus or minus a specified spread ranging of .28% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable. | HSBC Bank PLC | Oct 2025 | 583811 | 7203 | 447 | 7650 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| SPAIN -(0.3)%  |  |  |  |  |  |  |
| **Utilities - (0.3)%**  |  |  |  |  |  |  |
| **Independent Power and Renewable Electricity Producers - (0.3)%**  |  |  |  |  |  |  |
| EDP Renovaveis SA  |  |  |  | (100) | (1175) | (26) |
| TOTAL UTILITIES |  |  |  |  | (1175) | (26) |
| TOTAL SPAIN |  |  |  |  | (1175) | (26) |
| ITALY -29.1%  |  |  |  |  |  |  |
| **Utilities - 29.1%**  |  |  |  |  |  |  |
| **Electric Utilities - 29.1%**  |  |  |  |  |  |  |
| Enel SpA  |  |  |  | (11810) | (104144) | 2229 |
| TOTAL UTILITIES |  |  |  |  | (104144) | 2229 |
| TOTAL ITALY |  |  |  |  | (104144) | 2229 |
| FRANCE -(175.2)%  |  |  |  |  |  |  |
| **Health Care - (175.2)%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - (175.2)%**  |  |  |  |  |  |  |
| EssilorLuxottica SA  |  |  |  | (702) | (208773) | (13400) |
| TOTAL HEALTH CARE |  |  |  |  | (208773) | (13400) |
| TOTAL FRANCE |  |  |  |  | (208773) | (13400) |
| NETHERLANDS -240.5%  |  |  |  |  |  |  |
| **Communication Services - 240.5%**  |  |  |  |  |  |  |
| **Entertainment - 240.5%**  |  |  |  |  |  |  |
| Universal Music Group NV  |  |  |  | (9376) | (269719) | 18400 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (269719) | 18400 |
| TOTAL NETHERLANDS |  |  |  |  | (269719) | 18400 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(583811)** | <br> **7203** |
| **TOTAL SHORT** |  |  |  |  | **(583811)** | **7203** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(583811)** | **7203** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the STIBO-1M benchmark of 2.10% plus or minus a specified spread of .13% on short/long CFDs, respectively, which is denominated in SEK based on the local currencies of the positions within the swap as applicable. | HSBC Bank PLC | Oct 2025 | 245693 | (12397) | 727 | (11670) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| SWEDEN -106.2%  |  |  |  |  |  |  |
| **Information Technology - 106.2%**  |  |  |  |  |  |  |
| **Electronic Equipment, Instruments & Components - 106.2%**  |  |  |  |  |  |  |
| Hexagon AB B Shares  |  |  |  | (22360) | (245693) | (12397) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (245693) | (12397) |
| TOTAL SWEDEN |  |  |  |  | (245693) | (12397) |
| **TOTAL SHORT** |  |  |  |  | **(245693)** | **(12397)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(245693)** | **(12397)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark of 4.36% plus or minus a specified spread ranging from (.24)% to (.09)% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable. | UBS AG | Jun 2027 - Mar 2028 | 1336632 | 100437 | (10461) | 89976 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| TAIWAN -5.9%  |  |  |  |  |  |  |
| **Communication Services - 5.9%**  |  |  |  |  |  |  |
| **Diversified Telecommunication Services - 5.9%**  |  |  |  |  |  |  |
| Chunghwa Telecom Co Ltd  |  |  |  | (53000) | (228511) | 5272 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (228511) | 5272 |
| TOTAL TAIWAN |  |  |  |  | (228511) | 5272 |
| UNITED STATES -105.7%  |  |  |  |  |  |  |
| **Communication Services - 24.2%**  |  |  |  |  |  |  |
| **Diversified Telecommunication Services - 4.7%**  |  |  |  |  |  |  |
| AT&T Inc  |  |  |  | (7135) | (195570) | 4209 |
| **Media - 19.5%**  |  |  |  |  |  |  |
| Charter Communications Inc Class A (1)  |  |  |  | (435) | (117172) | 17570 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (312742) | 21779 |
| **Consumer Discretionary - 28.6%**  |  |  |  |  |  |  |
| **Specialty Retail - 15.8%**  |  |  |  |  |  |  |
| Advance Auto Parts Inc  |  |  |  | (2528) | (134161) | 14182 |
| **Textiles, Apparel & Luxury Goods - 12.8%**  |  |  |  |  |  |  |
| Deckers Outdoor Corp (1)  |  |  |  | (1082) | (114876) | 11556 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (249037) | 25738 |
| **Health Care - 28.3%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - 28.3%**  |  |  |  |  |  |  |
| Baxter International Inc  |  |  |  | (3418) | (74376) | 25498 |
| TOTAL HEALTH CARE |  |  |  |  | (74376) | 25498 |
| **Industrials - 12.4%**  |  |  |  |  |  |  |
| **Aerospace & Defense - 12.4%**  |  |  |  |  |  |  |
| Howmet Aerospace Inc  |  |  |  | (1148) | (206376) | 11193 |
| TOTAL INDUSTRIALS |  |  |  |  | (206376) | 11193 |
| **Information Technology - 12.2%**  |  |  |  |  |  |  |
| **IT Services - 3.7%**  |  |  |  |  |  |  |
| IBM Corporation  |  |  |  | (507) | (128347) | 3331 |
| **Software - 8.5%**  |  |  |  |  |  |  |
| Procore Technologies Inc (1)  |  |  |  | (1916) | (137243) | 7626 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (265590) | 10957 |
| TOTAL UNITED STATES |  |  |  |  | (1108121) | 95165 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(1336632)** | <br> **100437** |
| **TOTAL SHORT** |  |  |  |  | **(1336632)** | **100437** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(1336632)** | **100437** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 1.92% plus or minus a specified spread of .10% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable. | UBS AG | Jun 2027 - Mar 2028 | 238435 | (8918) | 51 | (8867) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| SPAIN -100.6%  |  |  |  |  |  |  |
| **Financials - 100.6%**  |  |  |  |  |  |  |
| **Banks - 100.6%**  |  |  |  |  |  |  |
| CaixaBank SA  |  |  |  | (25343) | (238435) | (8918) |
| TOTAL FINANCIALS |  |  |  |  | (238435) | (8918) |
| TOTAL SPAIN |  |  |  |  | (238435) | (8918) |
| **TOTAL SHORT** |  |  |  |  | **(238435)** | **(8918)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(238435)** | **(8918)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SONIA benchmark of 4.22% plus or minus a specified spread of .22% on short/long CFDs, respectively, which is denominated in GBP based on the local currencies of the positions within the swap as applicable. | UBS AG | Jun 2027 - Mar 2028 | 468853 | 4922 | 283 | 5205 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED KINGDOM -94.6%  |  |  |  |  |  |  |
| **Consumer Discretionary - 94.6%**  |  |  |  |  |  |  |
| **Diversified Consumer Services - (81.7)%**  |  |  |  |  |  |  |
| Pearson PLC  |  |  |  | (16597) | (234697) | (4252) |
| **Textiles, Apparel & Luxury Goods - 176.3%**  |  |  |  |  |  |  |
| Burberry Group PLC (1)  |  |  |  | (13804) | (234156) | 9174 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (468853) | 4922 |
| TOTAL UNITED KINGDOM |  |  |  |  | (468853) | 4922 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(468853)** | <br> **4922** |
| **TOTAL SHORT** |  |  |  |  | **(468853)** | **4922** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(468853)** | **4922** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the TONAR benchmark of .48% plus or minus a specified spread of .22% on short/long CFDs, respectively, which is denominated in JPY based on the local currencies of the positions within the swap as applicable. | UBS AG | Jun 2027 - Mar 2028 | 96367 | (3645) | 155 | (3490) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| JAPAN -104.4%  |  |  |  |  |  |  |
| **Financials - 104.4%**  |  |  |  |  |  |  |
| **Insurance - 104.4%**  |  |  |  |  |  |  |
| Tokio Marine Holdings Inc  |  |  |  | 2400 | 96367 | (3645) |
| TOTAL FINANCIALS |  |  |  |  | 96367 | (3645) |
| TOTAL JAPAN |  |  |  |  | 96367 | (3645) |
| **TOTAL SHORT** |  |  |  |  | **96367** | **(3645)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **96367** | **(3645)** |

---

(1) Non-income producing.

---

| | |
|:---|:---|
| **Benchmark Abbreviations** |  |
| BBSW-1M | Bank Bill Swap Rate |
| CORRA | Canadian Overnight Repo Rate Average |
| ESTR-1D | Euro Short-Term Rate |
| HIBOR-1M | Hong Kong Interbank Offered Rate |
| NIBOR-1M | Norwegian Interbank Offered Rate |
| SARON-1D | Swiss Average Rate Overnight |
| SOFR-1D | Secured Overnight Financing Rate |
| SONIA | Sterling Overnight Average |
| STIBO-1M | Stockholm Interbank Offered Rate |
| TONAR | Tokyo Overnight Average Rate<br>|

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| CAD | - | Canadian Dollar |
| CHF | - | Swiss Franc |
| CNY | - | Chinese (Peoples Rep) Yuan |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| HKD | - | Hong Kong Dollar |
| JPY | - | Japanese Yen |
| KRW | - | Korean Won |
| NOK | - | Norwegian Krone |
| SEK | - | Swedish Krona |
| THB | - | Thai Baht |
| TWD | - | Taiwan Dollar |
| USD | - | United States Dollar |

---

**Legend**

(a) Non-income producing.

(b) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $651,556 or 4.5% of net assets.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $651,556 or 4.5% of net assets.

(d) The rate quoted is the annualized seven-day yield of the fund at period end.

**Investment Valuation**

The following is a summary of the inputs used, as of July 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 1360091 | 720810 | 639281 | - |
| Consumer Discretionary | 1134617 | 944394 | 190223 | - |
| Consumer Staples | 786676 | 453669 | 333007 | - |
| Energy | 127070 | 127070 | - | - |
| Financials | 2449844 | 2244055 | 205789 | - |
| Health Care | 1030911 | 1030911 | - | - |
| Industrials | 1675616 | 1094165 | 581451 | - |
| Information Technology | 1386354 | 823803 | 562551 | - |
| Materials | 1427723 | 600487 | 827236 | - |
| Real Estate | 89178 | 89178 | - | - |
| Utilities | 829778 | 612172 | 217606 | - |
|  **Money Market Funds** | 1971886 | 1971886 | - | - |
| **Total Investments in Securities:** | 14269744 | 10712600 | 3557144 | - |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Swaps | 289393 | - | 289393 | - |
| Forward Foreign Currency Contracts | 124450 | - | 124450 | - |
| Total Assets | 413843 | - | 413843 | - |
|  **Liabilities** |  |  |  |  |
| Swaps | (194305) | - | (194305) | - |
| Forward Foreign Currency Contracts | (1896) | - | (1896) | - |
| Total Liabilities | (196201) | - | (196201) | - |
| **Total Derivative Instruments:** | 217642 | - | 217642 | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Swaps (a)  | 289393 | (194305) |
| **Total Equity Risk**  | 289393 | (194305) |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (b)  | 124450 | (1896) |
| **Total Foreign Exchange Risk**  | 124450 | (1896) |
| **Total Value of Derivatives** | 413843 | (196201) |

---

(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

(b)Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-item(s).

The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Counterparty** | **Value of**<br> **Derivative**<br> **Assets ($)** | **Value of**<br> **Derivative**<br> **Liabilities ($)** | <br> **Collateral**<br> **Received**(a) **($)** | <br> **Collateral**<br> **Pledged**(a) **($)** | <br>**Net**(b) **($)** |
| Goldman Sachs International | 87250 | (145331) | - | 58081 | - |
| HSBC Bank PLC | 13832 | (11956) | - | - | 1876 |
| JPMorgan Chase Bank NA | 98076 | (18711) | - | - | 79365 |
| Morgan Stanley | 76898 | (7143) | - | - | 69755 |
| UBS AG | 137787 | (13060) | - | - | 124727 |
| Total | $413843 | $(196201) | $- | $58081 | $275723 |

---

*(a) Reflects collateral received from or pledged to an individual counterparty, excluding any excess or initial collateral amounts.*

*(b) Net represents the receivable / (payable) that would be due from / (to) the counterparty in an event of default. Netting may be allowed across transactions traded under the same legal agreement with the same legal entity. Please refer to Derivative Instruments - Risk Exposures and the Use of Derivative Instruments section in the accompanying Notes to Financial Statements.*

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:<br>Unaffiliated issuers (cost $13,311,652)<br>|  | $14269744 |
| Segregated cash with brokers for derivative instruments |  | 270000 |
| Foreign currency held at value (cost $10,014) |  | 10016 |
| Unrealized appreciation on forward foreign currency contracts |  | 124450 |
| Receivable for fund shares sold |  | 6175 |
| Dividends receivable |  | 25147 |
| Bi-lateral OTC swaps, at value |  | 289393 |
| Receivable from investment adviser for expense reductions |  | 8353 |
| Receivable from affiliate |  | 19747 |
| **Total assets** |  | 15023025 |
| **Liabilities** |  |  |
| Payable to custodian bank | $281097 |  |
| Unrealized depreciation on forward foreign currency contracts | 1896 |  |
| Payable for unsettled total return swaps | 1249 |  |
| Payable for fund shares redeemed | 10000 |  |
| Bi-lateral OTC swaps, at value | 194305 |  |
| Accrued management fee | 11800 |  |
| Distribution and service plan fees payable | 1458 |  |
| Audit fee payable | 43018 |  |
| Other payables and accrued expenses | 13751 |  |
| **Total liabilities** |  | 558574 |
| **Net Assets**  |  | $14464451 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $13654646 |
| Total accumulated earnings (loss) |  | 809805 |
| **Net Assets** |  | $14464451 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($1,089,488 ÷ 108,090 shares)(a) |  | $10.08 |
| Maximum offering price per share (100/94.25 of $10.08) |  | $10.69 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($1,031,549 ÷ 102,632 shares)(a) |  | $10.05 |
| Maximum offering price per share (100/96.50 of $10.05) |  | $10.41 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($999,615 ÷ 100,000 shares)(a) |  | $10.00 |
| **Fidelity Equity Market Neutral Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($9,211,958 ÷ 911,392 shares) |  | $10.11 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,120,556 ÷ 110,866 shares) |  | $10.11 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,011,285 ÷ 100,000 shares) |  | $10.11 |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* | *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.* |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** | **Six months ended July 31, 2025 (Unaudited)** |
| **Investment Income** |  |  |
| Dividends  |  | $303953 |
| Income before foreign taxes withheld |  | $303953 |
| Less foreign taxes withheld |  | (14070) |
| **Total income** |  | 289883 |
| **Expenses** |  |  |
| Management fee | $67940 |  |
| Distribution and service plan fees | 8700 |  |
| Custodian fees and expenses | 3171 |  |
| Independent trustees' fees and expenses | 2915 |  |
| Registration fees | 126035 |  |
| Audit fees | 56970 |  |
| Total expenses before reductions | 265731 |  |
| Expense reductions | (182251) |  |
| Total expenses after reductions |  | 83480 |
| **Net Investment income (loss)** |  | 206403 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 38269 |  |
| Forward foreign currency contracts | (374257) |  |
| Foreign currency transactions | 19802 |  |
| Swaps | (62037) |  |
| Total net realized gain (loss) |  | (378223) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 434116 |  |
| Forward foreign currency contracts | 143063 |  |
| Assets and liabilities in foreign currencies | (156) |  |
| Swaps | 47947 |  |
| Total change in net unrealized appreciation (depreciation) |  | 624970 |
| **Net gain (loss)** |  | 246747 |
| **Net increase (decrease) in net assets resulting from operations** |  | $453150 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)** | **For the period June 25, 2024 (commencement of operations) through January 31, 2025**  |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $206403 | $98457 |
| &nbsp;&nbsp;Net realized gain (loss) | (378223)<br>| (858040)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 624970 | 550316<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 453150<br>| (209267)<br>|
| Share transactions - net increase (decrease) | 1035222<br>| 13185346<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 1488372<br>| 12976079<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 12976079 | -<br>|
| &nbsp;&nbsp;End of period | $14464451 | $12976079 |

---

**Financial Highlights** 

**Fidelity Advisor® Equity Market Neutral Fund Class A**<br>

---

| | | |
|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.74 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .14  | .08 D |
| Net realized and unrealized gain (loss)  | .20 E | (.34)  |
| Total from investment operations  | .34  | (.26)  |
| Net asset value, end of period  | $10.08 | $9.74 |
| **Total Return** F,G,H | 3.49% E<br>| (2.60)%  |
| **Ratios to Average Net Assets** C,I,J |  |  |
| Expenses before reductions  | 4.01% K | 3.25% K,L |
| Expenses net of fee waivers, if any  | 1.35% K<br>| 1.36% K |
| Expenses net of all reductions, if any  | 1.35% K | 1.34% K |
| Net investment income (loss)  | 2.90% K | .74% D,K |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $1089 | $1015 |
| Portfolio turnover rate M | 56% K<br>| 78% K |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been (.16)%.*

E*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 3.35%.*

F*Total returns for periods of less than one year are not annualized.*

G*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

H*Total returns do not include the effect of the sales charges.*

I*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

J*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

K*Annualized.*

L*Audit fees are not annualized.*

M*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity Advisor® Equity Market Neutral Fund Class M**<br>

---

| | | |
|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.73 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .13  | .06 D |
| Net realized and unrealized gain (loss)  | .19 E | (.33)  |
| Total from investment operations  | .32  | (.27)  |
| Net asset value, end of period  | $10.05 | $9.73 |
| **Total Return** F,G,H | 3.29% E<br>| (2.70)%  |
| **Ratios to Average Net Assets** C,I,J |  |  |
| Expenses before reductions  | 4.26% K | 3.50% K,L |
| Expenses net of fee waivers, if any  | 1.60% K<br>| 1.61% K |
| Expenses net of all reductions, if any  | 1.60% K | 1.59% K |
| Net investment income (loss)  | 2.65% K | .49% D,K |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $1032 | $973 |
| Portfolio turnover rate M | 56% K<br>| 78% K |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been (.42)%.*

E*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 3.15%.*

F*Total returns for periods of less than one year are not annualized.*

G*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

H*Total returns do not include the effect of the sales charges.*

I*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

J*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

K*Annualized.*

L*Audit fees are not annualized.*

M*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity Advisor® Equity Market Neutral Fund Class C**<br>

---

| | | |
|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.70 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .11  | .03 D |
| Net realized and unrealized gain (loss)  | .19 E | (.33)  |
| Total from investment operations  | .30  | (.30)  |
| Net asset value, end of period  | $10.00 | $9.70 |
| **Total Return** F,G,H | 3.09% E<br>| (3.00)%  |
| **Ratios to Average Net Assets** C,I,J |  |  |
| Expenses before reductions  | 4.76% K | 4.00% K,L |
| Expenses net of fee waivers, if any  | 2.10% K<br>| 2.12% K |
| Expenses net of all reductions, if any  | 2.10% K | 2.09% K |
| Net investment income (loss)  | 2.15% K | (.02)% D,K |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $1000 | $970 |
| Portfolio turnover rate M | 56% K<br>| 78% K |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been (.92)%.*

E*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 2.95%.*

F*Total returns for periods of less than one year are not annualized.*

G*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

H*Total returns do not include the effect of the contingent deferred sales charge.*

I*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

J*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

K*Annualized.*

L*Audit fees are not annualized.*

M*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity® Equity Market Neutral Fund** <br>

---

| | | |
|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.76 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .16  | .09 D |
| Net realized and unrealized gain (loss)  | .19 E | (.33)  |
| Total from investment operations  | .35  | (.24)  |
| Net asset value, end of period  | $10.11 | $9.76 |
| **Total Return** F,G | 3.59% E<br>| (2.40)%  |
| **Ratios to Average Net Assets** C,H,I |  |  |
| Expenses before reductions  | 3.78% J | 2.97% J,K |
| Expenses net of fee waivers, if any  | 1.10% J<br>| 1.11% J |
| Expenses net of all reductions, if any  | 1.10% J | 1.08% J |
| Net investment income (loss)  | 3.15% J | .99% D,J |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $9212 | $8026 |
| Portfolio turnover rate L | 56% J<br>| 78% J |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been .09%.*

E*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 3.45%.*

F*Total returns for periods of less than one year are not annualized.*

G*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

H*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

I*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

J*Annualized.*

K*Audit fees are not annualized.*

L*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity Advisor® Equity Market Neutral Fund Class I**<br>

---

| | | |
|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.76 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .16  | .09 D |
| Net realized and unrealized gain (loss)  | .19 E | (.33)  |
| Total from investment operations  | .35  | (.24)  |
| Net asset value, end of period  | $10.11 | $9.76 |
| **Total Return** F,G | 3.59% E<br>| (2.40)%  |
| **Ratios to Average Net Assets** C,H,I |  |  |
| Expenses before reductions  | 3.77% J | 3.00% J,K |
| Expenses net of fee waivers, if any  | 1.10% J<br>| 1.11% J |
| Expenses net of all reductions, if any  | 1.10% J | 1.08% J |
| Net investment income (loss)  | 3.15% J | .99% D,J |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $1121 | $1017 |
| Portfolio turnover rate L | 56% J<br>| 78% J |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been .09%.*

E*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 3.45%.*

F*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

G*Total returns for periods of less than one year are not annualized.*

H*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

I*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

J*Annualized.*

K*Audit fees are not annualized.*

L*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Fidelity Advisor® Equity Market Neutral Fund Class Z**<br>

---

| | | |
|:---|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)**  | **Years ended January 31, 2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.76 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .16  | .10 D |
| Net realized and unrealized gain (loss)  | .19 E | (.34)  |
| Total from investment operations  | .35  | (.24)  |
| Net asset value, end of period  | $10.11 | $9.76 |
| **Total Return** F,G | 3.59% E<br>| (2.40)%  |
| **Ratios to Average Net Assets** C,H,I |  |  |
| Expenses before reductions  | 3.71% J | 2.95% J,K |
| Expenses net of fee waivers, if any  | 1.05% J<br>| 1.06% J |
| Expenses net of all reductions, if any  | 1.05% J | 1.03% J |
| Net investment income (loss)  | 3.20% J | 1.04% D,J |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $1011 | $976 |
| Portfolio turnover rate L | 56% J<br>| 78% J |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been .14%.*

E*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.01 per share. Excluding this reimbursement, the total return would have been 3.45%.*

F*Total returns for periods of less than one year are not annualized.*

G*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

H*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

I*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

J*Annualized.*

K*Audit fees are not annualized.*

L*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended July 31, 2025

**1. Organization.**

Fidelity Equity Market Neutral Fund (the Fund) is a fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund offers Class A, Class M, Class C, Fidelity Equity Market Neutral Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Class A, Class M, Class C, Class I and Class Z are Fidelity Advisor classes. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.

**2. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Foreign Currency.** Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in foreign taxes withheld. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable. The Fund has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union (EU) countries. These additional filings are subject to various administrative proceedings by the local jurisdictions' tax authorities within the EU, as well as a number of related judicial proceedings. Income recognized for EU reclaims is included with other reclaims in the Statement of Operations in foreign taxes withheld. These reclaims are recorded when the amount is known and there are no significant uncertainties on collectability.

**Class Allocations and Expenses.** Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to foreign currency transactions, contracts for difference, passive foreign investment companies (PFIC), net operating losses and capital loss carryforwards.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $1866381 |
| **Gross unrealized depreciation** | <u>(690637)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$1175744</u> |
| **Tax cost** | <u>$13311652</u> |

---

Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term | <u>$(145806)</u> |
| **Total capital loss carryforward** | <u>$(145806)</u> |

---

**Restricted Securities (including Private Placements).** Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

**New Accounting Pronouncement.** In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**3. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including forward foreign currency contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Equity Risk  | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.<br>|
| 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.<br>|

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. A summary of derivatives inclusive of potential netting arrangements is presented at the end of the Schedule of Investments.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Equity Market Neutral Fund** |  |  |
| **Equity Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(62037)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>47947</u> |
| **Total Equity Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(62037)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>47947</u> |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(374257)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>143063</u> |
| **Total Foreign Exchange Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(374257)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>143063</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(436294)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>191010</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Schedule of Investments.

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period, unless an average contract value is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Contracts Amount ($)** |
| **Fidelity Equity Market Neutral Fund** | 6337819 |

---

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Equity Market Neutral Fund** | 16330522 |

---

**Total Return Swaps.** Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty at the specified payment frequency.

The Fund enters into contracts for difference (CFD), which are total return swap transactions, to obtain exposure to long and/or short positions in a single equity stock or financial index for hedging, efficient portfolio management and investment purposes. The Fund may trade in and out of these long and short positions and receives the economic benefits and risks equivalent to direct investments in these positions, which includes unrealized appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes financing charges and credits related to the notional values of the long and short positions and cash balances within the swap. Finance charges and credits are based on defined market rates plus or minus a specified spread. Positions within the swap are reset periodically, and financing costs are reset generally monthly. During a reset, any realized gains (losses) from positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Fund and the counterparty. Prior to the reset, these amounts are included as a component of the swap value in net cash and other receivables (payables).

**4. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Equity Market Neutral Fund** | 4660583 | 3096315 |

---

**5. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which each class of the Fund pays a monthly management fee. Under the management contract, the investment adviser pays all other operating expenses, except third-party expenses (including custody, audit and registration fees) and certain other limited exceptions. During the period, the management fee for each class of the Fund was as follows:

---

| | |
|:---|:---|
|  | **Annual % of Class-Level Average Net Assets** |
| **Class A** | 1.00% |
| **Class M** | 1.00% |
| **Class C** | 1.00% |
| **Fidelity Equity Market Neutral Fund** | 1.00% |
| **Class I** | 1.00% |
| **Class Z** | .95% |

---

**Distribution and Service Plan Fees.** In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee** | **Service Fee** | **Total Fees ($)** | **Retained by FDC ($)** |
| **Class A**  | - % | .25% | 1309 | 1272 |
| **Class M** | .25% | .25% | 2486 | 2462 |
| **Class C** | .75% | .25% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4905</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4905</u> |
|  |  |  | <u>8700</u> | <u>8639</u> |

---

**Sales Load.** FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.

For the period, sales charge amounts retained by FDC were as follows:

---

| | |
|:---|:---|
|  | **Retained by FDC ($)** |
| **Class A** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>292</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>292</u> |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**Other.** During the period, Fidelity Management & Research Company LLC (FMR) reimbursed the Fund $19,747 for an operational error which is included within Share Transactions in the accompanying Statement of Changes in Net Assets.

**6. Committed Line of Credit.**

Certain Funds participate with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes.

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are borne by the investment adviser.

Interest is charged to a participating fund based on its borrowings at an annual rate of .75% plus the highest of (i) daily SOFR plus a .10% spread adjustment, (ii) Federal Funds Effective Rate, or (iii) Overnight Bank Funding Rate. During the period, there were no borrowings on this line of credit.

The line of credit agreement will expire in March 2026 unless extended or renewed.

**7. Expense Reductions.**

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through May 31, 2026. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

---

| | | |
|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** |
| **Class A** | 1.35% | 13927 |
| **Class M** | 1.60% | 13232 |
| **Class C** | 2.10% | 13054 |
| **Fidelity Equity Market Neutral Fund** | 1.10% | 114909 |
| **Class I** | 1.10% | 13957 |
| **Class Z** | 1.05% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>13172</u> |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>182251</u> |

---

**8. Share Transactions.**

Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares** | **Shares** | **Dollars** | **Dollars** |
|  | **Six months ended** <br> **July 31, 2025**  | **Year ended**<br> **January 31, 2025A** | **Six months ended** <br> **July 31, 2025**  | **Year ended**<br> **January 31, 2025A** |
| **Fidelity Equity Market Neutral Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | <u>3915</u> | <u>104175</u> | <u>$39949</u> | <u>$1040000</u> |
| Net increase (decrease) | <u>3915</u> | <u>104175</u> | <u>$39949</u> | <u>$1040000</u> |
| **Class M** |  |  |  |  |
| Shares sold | <u>2632</u> | <u>100000</u> | <u>$27275</u> | <u>$1000004</u> |
| Net increase (decrease) | <u>2632</u> | <u>100000</u> | <u>$27275</u> | <u>$1000004</u> |
| **Class C** |  |  |  |  |
| Shares sold | <u>-</u> | <u>100000</u> | <u>$1364</u> | <u>$1000000</u> |
| Net increase (decrease) | <u>-</u> | <u>100000</u> | <u>$1364</u> | <u>$1000000</u> |
| **Fidelity Equity Market Neutral Fund** |  |  |  |  |
| Shares sold | 212284 | 843074 | $2114513 | $8304570 |
| Shares redeemed | <u>(123314)</u> | <u>(20652)</u> | <u>(1217541)</u> | <u>(199218)</u> |
| Net increase (decrease) | <u>88970</u> | <u>822422</u> | <u>$896972</u> | <u>$8105352</u> |
| **Class I** |  |  |  |  |
| Shares sold | 6696 | 104318 | $68288 | $1041400 |
| Shares redeemed | <u>(1)</u> | <u>(147)</u> | <u>(6)</u> | <u>(1410)</u> |
| Net increase (decrease) | <u>6695</u> | <u>104171</u> | <u>$68282</u> | <u>$1039990</u> |
| **Class Z** |  |  |  |  |
| Shares sold | - | 100000 | $1384 | $1000000 |
| Shares redeemed | <u>-</u> | <u>-</u> | <u>(4)</u> | <u>-</u> |
| Net increase (decrease) | <u>-</u> | <u>100000</u> | <u>$1380</u> | <u>$1000000</u> |

---

*A For the period June 25, 2024 (commencement of operations) through July 31, 2025.*

**9. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:

---

| | |
|:---|:---|
| **Fund** | **Affiliated %**  |
| Fidelity Equity Market Neutral Fund | 70% |

---

**10. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img111964_4.jpg)<br>

1.9911986.101 EMN-SANN-0925

**Fidelity® SAI Managed Futures Fund**

**Semi-Annual Report**

**July 31, 2025**

Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.

![](img111966_1.jpg)

![](img111966_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7Consolidated_SFF-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® SAI Managed Futures Fund](#Sub_Sec_Fund_9036_SFF-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Consolidated Financial Statements](#Sub_Sec_NotestoFinancialStatements9036_SFF-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SFF-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SFF-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SFF-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SFF-SANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® SAI Managed Futures Fund**

**Consolidated Schedule of Investments July 31, 2025 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 4.9%** | &nbsp;&nbsp;**Domestic Equity Funds - 4.9%** | &nbsp;&nbsp;**Domestic Equity Funds - 4.9%** |
|  | Shares | Value ($)<br>|
| iShares Core S&P 500 ETF <br>(Cost $3,041,384)<br>| 4940 | **3136405** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 84.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 84.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 84.6%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 84.6%** |
|  | Yield (%) (b) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 9/18/2025 (c)(d)<br>(Cost $53,995,810)<br>| 4.23 to 4.28 | 54300000 | **53991281** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 12.8%** | &nbsp;&nbsp;**Money Market Funds - 12.8%** | &nbsp;&nbsp;**Money Market Funds - 12.8%** | &nbsp;&nbsp;**Money Market Funds - 12.8%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (e)<br>(Cost $8,160,928)<br>| 4.33 | 8159296 | **8160928** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 102.3%**<br> (Cost $65,198,122)<br>| <br>**65288614** |
| **NET OTHER ASSETS (LIABILITIES) - (2.3)%**  | **(1453295)** |
| **NET ASSETS - 100.0%** | **63835319** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Commodity Contracts |  |  |  |  |  |
| CBOT Soybean Contracts (United States) | 6 | Nov 2025 | 296775 | (8997) | (8997) |
| CBOT Soybean Oil Contracts (United States) | 15 | Jan 2026 | 493650 | 8695 | 8695 |
| CEC Silver Bullion Contracts (United States) | 1 | Sep 2025 | 183560 | (3848) | (3848) |
| CME Copper Contracts (United States) | 8 | Dec 2025 | 884700 | (98120) | (98120) |
| CME Lean Hogs Contracts (United States) | 171 | Dec 2025 | 5589990 | (193864) | (193864) |
| CME Live Cattle Contracts (United States) | 1 | Oct 2025 | 89260 | 4619 | 4619 |
| CME Live Cattle Contracts (United States) | 8 | Dec 2025 | 716560 | 48835 | 48835 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 7 | Nov 2025 | 487340 | 13242 | 13242 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 8 | Sep 2025 | 566400 | 26507 | 26507 |
| ICE Cocoa Contracts (United States) | 1 | Dec 2025 | 77410 | (7053) | (7053) |
| ICE Gas Oil Contracts (United Kingdom) | 11 | Sep 2025 | 769450 | 22280 | 22280 |
| ICE Gas Oil Contracts (United Kingdom) | 11 | Jan 2026 | 735350 | 19368 | 19368 |
| LME Aluminum Contracts (United Kingdom) | 32 | Sep 2025 | 2051088 | (29837) | (29837) |
| LME Lead Contracts (United Kingdom) | 29 | Sep 2025 | 1415207 | (49175) | (49175) |
| LME Nickel Contracts (United Kingdom) | 10 | Sep 2025 | 890329 | (18938) | (18938) |
| LME Zinc Contracts (United Kingdom) | 19 | Sep 2025 | 1311960 | (1576) | (1576) |
| NYMEX Gasoline RBOB Contracts (United States) | 11 | Dec 2025 | 890597 | 29434 | 29434 |
| NYMEX Heating Oil Contracts (United States) | 8 | Aug 2025 | 805022 | 29115 | 29115 |
| NYMEX Heating Oil Contracts (United States) | 10 | Dec 2025 | 984144 | 26658 | 26658 |
| NYMEX Natural Gas Contracts (United States) | 11 | Aug 2025 | 341660 | (47782) | (47782) |
| NYMEX Palladium Bullion Contracts (United States) | 2 | Sep 2025 | 241260 | 14755 | 14755 |
| NYMEX Platinum Bullion Contracts (United States) | 7 | Oct 2025 | 454685 | (5868) | (5868) |
| NYMEX WTI Crude Contracts (United States) | 7 | Dec 2025 | 462770 | 17913 | 17913 |
| NYMEX WTI Crude Contracts (United States) | 7 | Aug 2025 | 484820 | 23713 | 23713 |
| **TOTAL COMMODITY CONTRACTS** |  |  |  |  | (179924) |
| Equity Contracts |  |  |  |  |  |
| ASX 24 S&P/ASX 200 Index Contracts (Australia) | 14 | Sep 2025 | 1957544 | 36868 | 36868 |
| CBOT E-mini Dow Jones Industrial Average Index Contracts (United States) | 1 | Sep 2025 | 221525 | 63 | 63 |
| CME E-Mini S&P 500 Index Contracts (United States) | 1 | Sep 2025 | 318713 | 4110 | 4110 |
| CME E-Mini S&P MidCap 400 Index Contracts (United States) | 1 | Sep 2025 | 316510 | (6692) | (6692) |
| CME Russell 2000 Index Contracts (United States) | 2 | Sep 2025 | 222020 | (4794) | (4794) |
| Eurex Deutschland Euro Stoxx 50 Contracts (Germany) | 17 | Sep 2025 | 1035981 | 4878 | 4878 |
| Eurex Deutschland Swiss Market Index Contracts (Germany) | 7 | Sep 2025 | 1018221 | (12484) | (12484) |
| Euronext CAC 40 Index Contracts (France) | 10 | Aug 2025 | 887682 | 1507 | 1507 |
| FTSE/JSE Top 40 Index Contracts (South Africa) | 12 | Sep 2025 | 600163 | 10392 | 10392 |
| HKFE HSI Contracts (Hong Kong) | 15 | Aug 2025 | 848885 | (32432) | (32432) |
| HKFE HSI Contracts (Hong Kong) | 6 | Aug 2025 | 945707 | (30250) | (30250) |
| ICE Financial Times 100 Contracts (United Kingdom) | 11 | Sep 2025 | 1325457 | 41577 | 41577 |
| ICE MSCI EAFE Index Contracts (United States) | 8 | Sep 2025 | 1045360 | (18649) | (18649) |
| ICE MSCI Emerging Markets Index Contracts (United States) | 21 | Sep 2025 | 1300215 | 18473 | 18473 |
| IDEM FTSE MIB Index Contracts (Italy) | 4 | Sep 2025 | 938295 | 34055 | 34055 |
| KRX KOSPI 200 Index Contracts (South Korea) | 14 | Sep 2025 | 1098445 | 62436 | 62436 |
| MEFF IBEX 35 Index Contracts (Spain) | 3 | Aug 2025 | 493556 | 15787 | 15787 |
| NSE IFSC Limited S&P CNX Nifty Index Contracts (India) | 11 | Aug 2025 | 546403 | 1073 | 1073 |
| Nasdaq Stockholm AB OMXS30 Index Contracts (Sweden) | 23 | Aug 2025 | 606469 | 1873 | 1873 |
| OSE Nikkei 225 Index Contracts (Japan) | 3 | Sep 2025 | 819629 | 38010 | 38010 |
| OSE TOPIX Contracts (Japan) | 5 | Sep 2025 | 977785 | 43094 | 43094 |
| SGX-DC FTSE China A50 Index Contracts (Singapore) | 72 | Aug 2025 | 991944 | (14516) | (14516) |
| SGX-DC FTSE Taiwan RIC Capped Price Return TWD Index Contracts (Singapore) | 21 | Aug 2025 | 1635480 | 21245 | 21245 |
| SGX-DC MSCI Index Contracts (Singapore) | 78 | Aug 2025 | 2536322 | (30469) | (30469) |
| TFX SET50 Index Contracts (Thailand) | 188 | Sep 2025 | 925750 | 81548 | 81548 |
| TME S&P/TSX 60 Index Contracts (Canada) | 5 | Sep 2025 | 1170107 | 25637 | 25637 |
| **TOTAL EQUITY CONTRACTS** |  |  |  |  | 292340 |
| Interest Rate Contracts |  |  |  |  |  |
| ASX 10Y Treasury Bond Contracts (Australia) | 17 | Sep 2025 | 1243127 | (6916) | (6916) |
| CBOT 10 Year US Treasury Bond Contracts (United States) | 2 | Sep 2025 | 222125 | (3) | (3) |
| Eurex Deutschland French Government Contracts (Germany) | 20 | Sep 2025 | 2813971 | (15629) | (15629) |
| Eurex Deutschland Italian Republic Contracts (Germany) | 22 | Sep 2025 | 3031849 | (2586) | (2586) |
| ICE 3M Sonia O/N Deposit Rates Swap Contracts (United Kingdom) | 26 | Sep 2026 | 8282490 | (3589) | (3589) |
| ICE Three Month EURIBOR Index Contracts (United States) | 122 | Sep 2025 | 34113949 | (31849) | (31849) |
| ICE Three Month EURIBOR Index Contracts (United States) | 47 | Dec 2025 | 13151645 | (13087) | (13087) |
| ICE Three Month EURIBOR Index Contracts (United States) | 32 | Jun 2026 | 8956594 | (7999) | (7999) |
| ICE Three Month EURIBOR Index Contracts (United States) | 38 | Mar 2026 | 10637040 | (9211) | (9211) |
| ICE Three Month SONIA Index Contracts (United States) | 26 | Jun 2026 | 8276481 | (4551) | (4551) |
| OSE Japan Government Contracts (Japan) | 9 | Sep 2025 | 8237865 | (54991) | (54991) |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  |  | (150411) |
| TOTAL PURCHASED |  |  |  |  | (37995) |
| Sold |  |  |  |  |  |
| Commodity Contracts |  |  |  |  |  |
| CBOT Corn Contracts (United States) | 47 | Sep 2025 | 925900 | 46787 | 46787 |
| CBOT Corn Contracts (United States) | 36 | Dec 2025 | 744750 | 23199 | 23199 |
| CBOT Hard Red Winter Wheat Contracts (United States) | 6 | Sep 2025 | 157875 | 6506 | 6506 |
| CBOT Hard Red Winter Wheat Contracts (United States) | 10 | Dec 2025 | 272375 | 11393 | 11393 |
| CBOT Soybean Meal Contracts (United States) | 20 | Dec 2025 | 552000 | 38066 | 38066 |
| CBOT Soybean Meal Contracts (United States) | 6 | Jan 2026 | 167820 | 7272 | 7272 |
| CBOT Soybean Oil Contracts (United States) | 10 | Dec 2025 | 328440 | (5073) | (5073) |
| CBOT Soybeans Contracts (United States) | 11 | Jan 2026 | 554125 | 14169 | 14169 |
| CBOT Wheat Contracts (United States) | 3 | Sep 2025 | 78488 | 5090 | 5090 |
| CBOT Wheat Contracts (United States) | 9 | Dec 2025 | 244125 | 12647 | 12647 |
| CEC Copper Contracts (United States) | 1 | Sep 2025 | 108863 | 12735 | 12735 |
| CME Lean Hogs Contracts (United States) | 166 | Oct 2025 | 5947780 | 224352 | 224352 |
| ICE Cocoa Contracts (United States) | 10 | Sep 2025 | 850600 | 28351 | 28351 |
| ICE Coffee Contracts (United States) | 1 | Dec 2025 | 108263 | (191) | (191) |
| ICE Cotton No 2 Contracts (United States) | 23 | Dec 2025 | 773375 | 15032 | 15032 |
| ICE Sugar Contracts (United States) | 8 | Sep 2025 | 146496 | 1879 | 1879 |
| ICE Sugar Contracts (United States) | 24 | Feb 2026 | 456154 | 6196 | 6196 |
| LME Aluminum Contracts (United Kingdom) | 12 | Sep 2025 | 769158 | 20 | 20 |
| LME Lead Contracts (United Kingdom) | 15 | Sep 2025 | 732004 | 17165 | 17165 |
| LME Nickel Contracts (United Kingdom) | 3 | Sep 2025 | 267099 | 1511 | 1511 |
| LME Zinc Contracts (United Kingdom) | 12 | Sep 2025 | 828606 | (20123) | (20123) |
| NYMEX Gasoline RBOB Contracts (United States) | 3 | Aug 2025 | 273911 | (6387) | (6387) |
| NYMEX Natural Gas Contracts (United States) | 4 | Dec 2025 | 179880 | 8450 | 8450 |
| **TOTAL COMMODITY CONTRACTS** |  |  |  |  | 449046 |
| Interest Rate Contracts |  |  |  |  |  |
| ASX 3Y Treasury Bond Contracts (Australia) | 51 | Sep 2025 | 3517162 | (114) | (114) |
| CBOT 2 Year US Treasury Note Contracts (United States) | 124 | Sep 2025 | 25669938 | 76554 | 76554 |
| CBOT 5 Year US Treasury Note Contracts (United States) | 38 | Sep 2025 | 4111422 | 7509 | 7509 |
| CBOT US Treasury Long Bond Contracts (United States) | 9 | Sep 2025 | 1027688 | (4607) | (4607) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 10 | Sep 2025 | 1171563 | (3641) | (3641) |
| CME Three-Month SOFR Index Contracts (United States) | 63 | Dec 2025 | 15082988 | 10734 | 10734 |
| CME Three-Month SOFR Index Contracts (United States) | 9 | Sep 2026 | 2169675 | 1458 | 1458 |
| CME Three-Month SOFR Index Contracts (United States) | 60 | Jun 2026 | 14427000 | 30935 | 30935 |
| CME Three-Month SOFR Index Contracts (United States) | 61 | Mar 2026 | 14635425 | 26233 | 26233 |
| Eurex 30Y Deutschland Contracts (Germany) | 6 | Sep 2025 | 803724 | 8022 | 8022 |
| Eurex Euro-Bobl contracts (Germany) | 15 | Sep 2025 | 2007428 | 3241 | 3241 |
| Eurex Euro-Bund Contracts (Germany) | 7 | Sep 2025 | 1036095 | (937) | (937) |
| Eurex Euro-Schatz Contracts (Germany) | 186 | Sep 2025 | 22722776 | 39706 | 39706 |
| ICE Long GILT Futures (United Kingdom) | 8 | Sep 2025 | 973689 | (3303) | (3303) |
| ICE Three Month SONIA Index Contracts (United States) | 101 | Dec 2025 | 32044235 | 3690 | 3690 |
| ICE Three Month SONIA Index Contracts (United States) | 19 | Mar 2026 | 6040042 | (443) | (443) |
| KRX 10Y Korean Treasury Bond Contracts (South Korea) | 8 | Sep 2025 | 679658 | (3765) | (3765) |
| KRX 3Y Korean Treasury Bond Contracts (South Korea) | 71 | Sep 2025 | 5457468 | (2994) | (2994) |
| TME Three Month CORRA Contracts (Canada) | 54 | Dec 2025 | 9481957 | 209 | 209 |
| TME Three Month CORRA Contracts (Canada) | 2 | Sep 2026 | 351490 | (75) | (75) |
| TME Three Month CORRA Contracts (Canada) | 4 | Jun 2026 | 703125 | (114) | (114) |
| TME Three Month CORRA Contracts (Canada) | 34 | Mar 2026 | 5975336 | (176) | (176) |
| TMX 10Y Canadian Bond Contracts (Canada) | 12 | Sep 2025 | 1043764 | (4298) | (4298) |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  |  | 183824 |
| TOTAL SOLD |  |  |  |  | 632870 |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **594875** |
| The notional amount of futures purchased as a percentage of Net Assets is 227.2% | The notional amount of futures purchased as a percentage of Net Assets is 227.2% | The notional amount of futures purchased as a percentage of Net Assets is 227.2% | The notional amount of futures purchased as a percentage of Net Assets is 227.2% | The notional amount of futures purchased as a percentage of Net Assets is 227.2% | The notional amount of futures purchased as a percentage of Net Assets is 227.2% |
| The notional amount of futures sold as a percentage of Net Assets is 292.2% | The notional amount of futures sold as a percentage of Net Assets is 292.2% | The notional amount of futures sold as a percentage of Net Assets is 292.2% | The notional amount of futures sold as a percentage of Net Assets is 292.2% | The notional amount of futures sold as a percentage of Net Assets is 292.2% | The notional amount of futures sold as a percentage of Net Assets is 292.2% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| AUD | 285000 | USD | 186508 | Bank of America NA | 9/17/25 | (3196) |
| AUD | 373000 | USD | 240233 | Bank of America NA | 9/17/25 | (318) |
| AUD | 209000 | USD | 138346 | Bank of America NA | 9/17/25 | (3917) |
| AUD | 190000 | USD | 123592 | Bank of America NA | 9/17/25 | (1383) |
| AUD | 1608000 | USD | 1055179 | Bank of America NA | 9/17/25 | (20911) |
| AUD | 1998000 | USD | 1306049 | Royal Bank of Canada | 9/17/25 | (20931) |
| AUD | 2733000 | USD | 1772851 | Royal Bank of Canada | 9/17/25 | (14980) |
| BRL | 6525000 | USD | 1157736 | Bank of America NA | 10/02/25 | (10169) |
| BRL | 586000 | USD | 105159 | Bank of America NA | 10/02/25 | (2098) |
| BRL | 571000 | USD | 100422 | Bank of America NA | 10/02/25 | 1 |
| BRL | 4594000 | USD | 815986 | Bank of America NA | 10/02/25 | (8028) |
| BRL | 1104000 | USD | 194229 | Bank of America NA | 10/02/25 | (66) |
| BRL | 726000 | USD | 128883 | Bank of America NA | 10/02/25 | (1200) |
| BRL | 5025000 | USD | 895259 | Royal Bank of Canada | 10/02/25 | (11501) |
| CAD | 165000 | USD | 121425 | Bank of America NA | 9/17/25 | (2078) |
| CAD | 165000 | USD | 121048 | Bank of America NA | 9/17/25 | (1701) |
| CAD | 899000 | USD | 658455 | Bank of America NA | 9/17/25 | (8194) |
| CAD | 2994000 | USD | 2205071 | Bank of America NA | 9/17/25 | (39464) |
| CAD | 972000 | USD | 715851 | Bank of America NA | 9/17/25 | (12788) |
| CAD | 298000 | USD | 218821 | Bank of America NA | 9/17/25 | (3273) |
| CAD | 168000 | USD | 123600 | Royal Bank of Canada | 9/17/25 | (2083) |
| CAD | 322000 | USD | 236964 | Royal Bank of Canada | 9/17/25 | (4056) |
| CAD | 235000 | USD | 172937 | Royal Bank of Canada | 9/17/25 | (2957) |
| CAD | 236000 | USD | 172761 | Royal Bank of Canada | 9/17/25 | (2059) |
| CAD | 4415000 | USD | 3249851 | Royal Bank of Canada | 9/17/25 | (56412) |
| CAD | 3708000 | USD | 2717602 | Royal Bank of Canada | 9/17/25 | (35548) |
| CHF | 80000 | USD | 101230 | Bank of America NA | 9/17/25 | (2175) |
| CHF | 328000 | USD | 416124 | Bank of America NA | 9/17/25 | (9999) |
| CHF | 80000 | USD | 100307 | Bank of America NA | 9/17/25 | (1252) |
| CHF | 250000 | USD | 309640 | Royal Bank of Canada | 9/17/25 | (93) |
| CLP | 875518000 | USD | 929425 | Bank of America NA | 9/17/25 | (29205) |
| CLP | 120564000 | USD | 127987 | Bank of America NA | 9/17/25 | (4022) |
| CLP | 601805000 | USD | 647102 | Bank of America NA | 9/17/25 | (28318) |
| CLP | 681963000 | USD | 729372 | Royal Bank of Canada | 9/17/25 | (28168) |
| CNH | 737000 | USD | 102990 | Bank of America NA | 9/17/25 | (408) |
| CNH | 778000 | USD | 109087 | Bank of America NA | 9/17/25 | (798) |
| CNH | 722000 | USD | 101169 | Bank of America NA | 9/17/25 | (675) |
| COP | 5348157000 | USD | 1293387 | Bank of America NA | 9/17/25 | (21585) |
| COP | 3657720000 | USD | 898041 | Bank of America NA | 9/17/25 | (28228) |
| COP | 412500000 | USD | 101526 | Bank of America NA | 9/17/25 | (3433) |
| COP | 4204974000 | USD | 1015694 | Royal Bank of Canada | 9/17/25 | (15743) |
| COP | 534692000 | USD | 130604 | Royal Bank of Canada | 9/17/25 | (3453) |
| CZK | 2152000 | USD | 102158 | Bank of America NA | 9/17/25 | (2119) |
| CZK | 9567000 | USD | 453469 | Bank of America NA | 9/17/25 | (8735) |
| CZK | 2348000 | USD | 112802 | Bank of America NA | 9/17/25 | (3652) |
| CZK | 10557000 | USD | 501290 | Royal Bank of Canada | 9/17/25 | (10534) |
| CZK | 14237000 | USD | 660945 | Royal Bank of Canada | 9/17/25 | 880 |
| EUR | 101000 | USD | 118853 | Bank of America NA | 9/17/25 | (3241) |
| EUR | 89000 | USD | 105230 | Bank of America NA | 9/17/25 | (3354) |
| EUR | 708000 | USD | 833189 | Bank of America NA | 9/17/25 | (22759) |
| EUR | 1070000 | USD | 1236185 | Royal Bank of Canada | 9/17/25 | (11382) |
| EUR | 814000 | USD | 958023 | Royal Bank of Canada | 9/17/25 | (26258) |
| GBP | 79000 | USD | 107467 | Bank of America NA | 9/17/25 | (3089) |
| GBP | 75000 | USD | 101342 | Bank of America NA | 9/17/25 | (2249) |
| GBP | 408000 | USD | 548462 | Bank of America NA | 9/17/25 | (9396) |
| GBP | 203000 | USD | 275361 | Bank of America NA | 9/17/25 | (7149) |
| GBP | 370000 | USD | 496680 | Bank of America NA | 9/17/25 | (7821) |
| GBP | 93000 | USD | 125013 | Bank of America NA | 9/17/25 | (2138) |
| GBP | 661000 | USD | 903290 | Bank of America NA | 9/17/25 | (29950) |
| GBP | 334000 | USD | 458991 | Bank of America NA | 9/17/25 | (17696) |
| GBP | 838000 | USD | 1125975 | Royal Bank of Canada | 9/17/25 | (18775) |
| GBP | 255000 | USD | 349708 | Royal Bank of Canada | 9/17/25 | (12791) |
| GBP | 236000 | USD | 317319 | Royal Bank of Canada | 9/17/25 | (5506) |
| HUF | 37838000 | USD | 110295 | Bank of America NA | 9/17/25 | (2588) |
| HUF | 247223000 | USD | 721352 | Bank of America NA | 9/17/25 | (17624) |
| HUF | 36931000 | USD | 107835 | Bank of America NA | 9/17/25 | (2710) |
| HUF | 372119000 | USD | 1053052 | Royal Bank of Canada | 9/17/25 | 6197 |
| HUF | 280984000 | USD | 821920 | Royal Bank of Canada | 9/17/25 | (22090) |
| IDR | 2920514000 | USD | 179184 | Bank of America NA | 9/17/25 | (1908) |
| IDR | 5128185000 | USD | 312599 | Bank of America NA | 9/17/25 | (1318) |
| IDR | 1895087000 | USD | 116442 | Bank of America NA | 9/17/25 | (1410) |
| IDR | 2451145000 | USD | 150840 | Bank of America NA | 9/17/25 | (2055) |
| IDR | 1709975000 | USD | 104458 | Bank of America NA | 9/17/25 | (662) |
| IDR | 4634807000 | USD | 285482 | Bank of America NA | 9/17/25 | (4150) |
| IDR | 1650510000 | USD | 100887 | Bank of America NA | 9/17/25 | (701) |
| IDR | 1983246000 | USD | 120841 | Bank of America NA | 9/17/25 | (458) |
| IDR | 2286020000 | USD | 139886 | Bank of America NA | 9/17/25 | (1125) |
| IDR | 1753111000 | USD | 107586 | Bank of America NA | 9/17/25 | (1172) |
| IDR | 5478201000 | USD | 336602 | Royal Bank of Canada | 9/17/25 | (4075) |
| INR | 229109000 | USD | 2641026 | Bank of America NA | 9/17/25 | (28960) |
| INR | 10051000 | USD | 116926 | Bank of America NA | 9/17/25 | (2335) |
| INR | 11359000 | USD | 132020 | Bank of America NA | 9/17/25 | (2516) |
| INR | 11549000 | USD | 133824 | Bank of America NA | 9/17/25 | (2154) |
| INR | 124721000 | USD | 1450750 | Bank of America NA | 9/17/25 | (28809) |
| INR | 9092000 | USD | 105086 | Bank of America NA | 9/17/25 | (1428) |
| INR | 158004000 | USD | 1841217 | Royal Bank of Canada | 9/17/25 | (39817) |
| JPY | 74479000 | USD | 520473 | Bank of America NA | 9/17/25 | (24048) |
| JPY | 124534000 | USD | 866179 | Royal Bank of Canada | 9/17/25 | (36121) |
| JPY | 88634000 | USD | 617652 | Royal Bank of Canada | 9/17/25 | (26879) |
| KRW | 153923000 | USD | 112550 | Bank of America NA | 9/17/25 | (1944) |
| KRW | 230224000 | USD | 170347 | Bank of America NA | 9/17/25 | (4912) |
| KRW | 151867000 | USD | 111503 | Bank of America NA | 9/17/25 | (2374) |
| KRW | 155201000 | USD | 112710 | Bank of America NA | 9/17/25 | (1185) |
| KRW | 174826000 | USD | 128700 | Royal Bank of Canada | 9/17/25 | (3073) |
| MXN | 2138000 | USD | 113619 | Bank of America NA | 9/17/25 | (844) |
| MXN | 1897000 | USD | 100248 | Bank of America NA | 9/17/25 | (186) |
| MXN | 2451000 | USD | 131283 | Bank of America NA | 9/17/25 | (1998) |
| MXN | 16774000 | USD | 881783 | Bank of America NA | 9/17/25 | 3008 |
| MXN | 24012000 | USD | 1250517 | Royal Bank of Canada | 9/17/25 | 16063 |
| MXN | 19098000 | USD | 1004944 | Royal Bank of Canada | 9/17/25 | 2433 |
| NOK | 6874000 | USD | 683863 | Bank of America NA | 9/17/25 | (18786) |
| NOK | 1047000 | USD | 103945 | Bank of America NA | 9/17/25 | (2645) |
| NOK | 1204000 | USD | 119791 | Bank of America NA | 9/17/25 | (3301) |
| NOK | 2578000 | USD | 253815 | Royal Bank of Canada | 9/17/25 | (4387) |
| NOK | 1821000 | USD | 180531 | Royal Bank of Canada | 9/17/25 | (4344) |
| NZD | 466000 | USD | 280470 | Bank of America NA | 9/17/25 | (5501) |
| NZD | 364000 | USD | 219102 | Bank of America NA | 9/17/25 | (4320) |
| NZD | 228000 | USD | 135982 | Bank of America NA | 9/17/25 | (1448) |
| NZD | 727000 | USD | 431294 | Bank of America NA | 9/17/25 | (2319) |
| NZD | 679000 | USD | 402718 | Bank of America NA | 9/17/25 | (2065) |
| NZD | 166000 | USD | 99955 | Bank of America NA | 9/17/25 | (2005) |
| NZD | 1534000 | USD | 932620 | Bank of America NA | 9/17/25 | (27464) |
| NZD | 262000 | USD | 157317 | Bank of America NA | 9/17/25 | (2720) |
| NZD | 253000 | USD | 149959 | Bank of America NA | 9/17/25 | (674) |
| NZD | 2046000 | USD | 1241644 | Royal Bank of Canada | 9/17/25 | (34376) |
| NZD | 2571000 | USD | 1551203 | Royal Bank of Canada | 9/17/25 | (34152) |
| PHP | 106702000 | USD | 1872622 | Bank of America NA | 9/17/25 | (42456) |
| PHP | 65138000 | USD | 1148818 | Bank of America NA | 9/17/25 | (31563) |
| PHP | 77354000 | USD | 1365231 | Royal Bank of Canada | 9/17/25 | (38446) |
| PLN | 386000 | USD | 105865 | Bank of America NA | 9/17/25 | (2943) |
| PLN | 364000 | USD | 100648 | Bank of America NA | 9/17/25 | (3592) |
| PLN | 2013000 | USD | 554635 | Bank of America NA | 9/17/25 | (17890) |
| PLN | 3063000 | USD | 821137 | Royal Bank of Canada | 9/17/25 | (4422) |
| PLN | 2271000 | USD | 625798 | Royal Bank of Canada | 9/17/25 | (20260) |
| SEK | 3223000 | USD | 339164 | Bank of America NA | 9/17/25 | (8950) |
| SEK | 1838000 | USD | 193613 | Bank of America NA | 9/17/25 | (5299) |
| SEK | 1652000 | USD | 169078 | Bank of America NA | 9/17/25 | 178 |
| SEK | 1441000 | USD | 147806 | Bank of America NA | 9/17/25 | (167) |
| SEK | 1810000 | USD | 188425 | Bank of America NA | 9/17/25 | (2981) |
| SEK | 1276000 | USD | 134253 | Bank of America NA | 9/17/25 | (3520) |
| SGD | 140000 | USD | 109894 | Bank of America NA | 9/17/25 | (1688) |
| SGD | 248000 | USD | 195670 | Bank of America NA | 9/17/25 | (3991) |
| SGD | 324000 | USD | 253398 | Royal Bank of Canada | 9/17/25 | (2979) |
| SGD | 209000 | USD | 164638 | Royal Bank of Canada | 9/17/25 | (3103) |
| TWD | 3269000 | USD | 111761 | Bank of America NA | 9/17/25 | (2079) |
| USD | 331734 | AUD | 512000 | Bank of America NA | 9/17/25 | 2414 |
| USD | 269934 | AUD | 411000 | Bank of America NA | 9/17/25 | 5579 |
| USD | 130916 | AUD | 199000 | Bank of America NA | 9/17/25 | 2919 |
| USD | 122823 | AUD | 189000 | Bank of America NA | 9/17/25 | 1258 |
| USD | 979376 | CAD | 1353000 | Bank of America NA | 9/17/25 | 730 |
| USD | 1017062 | CAD | 1394000 | Bank of America NA | 9/17/25 | 8760 |
| USD | 113293 | CAD | 156000 | Bank of America NA | 9/17/25 | 456 |
| USD | 539593 | CAD | 740000 | Royal Bank of Canada | 9/17/25 | 4340 |
| USD | 120923 | CAD | 166000 | Royal Bank of Canada | 9/17/25 | 853 |
| USD | 262310 | CHF | 211000 | Bank of America NA | 9/17/25 | 1053 |
| USD | 241838 | CHF | 193000 | Bank of America NA | 9/17/25 | 2868 |
| USD | 852026 | CHF | 681000 | Bank of America NA | 9/17/25 | 8821 |
| USD | 656895 | CHF | 514000 | Bank of America NA | 9/17/25 | 20468 |
| USD | 138891 | CHF | 110000 | Bank of America NA | 9/17/25 | 2691 |
| USD | 144947 | CHF | 116000 | Bank of America NA | 9/17/25 | 1318 |
| USD | 617106 | CHF | 486000 | Bank of America NA | 9/17/25 | 15348 |
| USD | 186848 | CHF | 148000 | Royal Bank of Canada | 9/17/25 | 3597 |
| USD | 154546 | CLP | 151610000 | Bank of America NA | 9/17/25 | (1341) |
| USD | 126988 | CLP | 121083000 | Bank of America NA | 9/17/25 | 2489 |
| USD | 155870 | CLP | 151194000 | Bank of America NA | 9/17/25 | 410 |
| USD | 127052 | CNH | 913000 | Bank of America NA | 9/17/25 | (27) |
| USD | 326201 | CNH | 2323000 | Bank of America NA | 9/17/25 | 2867 |
| USD | 744074 | CNH | 5315000 | Royal Bank of Canada | 9/17/25 | 4289 |
| USD | 505297 | CNH | 3603000 | Royal Bank of Canada | 9/17/25 | 3802 |
| USD | 125639 | COP | 529944000 | Bank of America NA | 9/17/25 | (383) |
| USD | 180457 | CZK | 3884000 | Bank of America NA | 9/17/25 | (95) |
| USD | 22850 | EUR | 20000 | BNP Paribas SA | 8/01/25 | 26 |
| USD | 228842 | EUR | 200000 | Royal Bank of Canada | 9/17/25 | (93) |
| USD | 176882 | GBP | 131000 | Bank of America NA | 9/17/25 | 3799 |
| USD | 103291 | GBP | 77000 | Bank of America NA | 9/17/25 | 1556 |
| USD | 321940 | GBP | 244000 | Bank of America NA | 9/17/25 | (443) |
| USD | 312807 | GBP | 230000 | Bank of America NA | 9/17/25 | 8921 |
| USD | 138259 | GBP | 104000 | Royal Bank of Canada | 9/17/25 | 850 |
| USD | 132964 | HUF | 46722000 | Royal Bank of Canada | 9/17/25 | (31) |
| USD | 151649 | IDR | 2507509000 | Bank of America NA | 9/17/25 | (557) |
| USD | 108200 | ILS | 361000 | Bank of America NA | 9/17/25 | 1895 |
| USD | 104707 | ILS | 355000 | Royal Bank of Canada | 9/17/25 | 169 |
| USD | 201916 | INR | 17603000 | Bank of America NA | 9/17/25 | 1224 |
| USD | 260886 | INR | 22898000 | Bank of America NA | 9/17/25 | (173) |
| USD | 172790 | INR | 15196000 | Royal Bank of Canada | 9/17/25 | (459) |
| USD | 125705 | JPY | 18335000 | Bank of America NA | 9/17/25 | 3497 |
| USD | 151973 | JPY | 22770000 | Bank of America NA | 9/17/25 | 204 |
| USD | 127516 | JPY | 18838000 | Bank of America NA | 9/17/25 | 1955 |
| USD | 144038 | JPY | 21239000 | Bank of America NA | 9/17/25 | 2474 |
| USD | 183954 | JPY | 27267000 | Bank of America NA | 9/17/25 | 2211 |
| USD | 172765 | JPY | 25471000 | Bank of America NA | 9/17/25 | 2993 |
| USD | 103758 | KRW | 143974000 | Royal Bank of Canada | 9/17/25 | 301 |
| USD | 107624 | MXN | 2035000 | Bank of America NA | 9/17/25 | 282 |
| USD | 205606 | NOK | 2073000 | Bank of America NA | 9/17/25 | 5038 |
| USD | 312446 | NZD | 519000 | Bank of America NA | 9/17/25 | 6204 |
| USD | 199218 | NZD | 326000 | Bank of America NA | 9/17/25 | 6857 |
| USD | 166429 | NZD | 278000 | Bank of America NA | 9/17/25 | 2392 |
| USD | 369291 | NZD | 609000 | Royal Bank of Canada | 9/17/25 | 9943 |
| USD | 141495 | PHP | 8119000 | Bank of America NA | 9/17/25 | 2237 |
| USD | 229495 | PHP | 13414000 | Bank of America NA | 9/17/25 | (583) |
| USD | 168178 | PLN | 631000 | Bank of America NA | 9/17/25 | (71) |
| USD | 347860 | SEK | 3299000 | Bank of America NA | 9/17/25 | 9859 |
| USD | 208999 | SEK | 1996000 | Bank of America NA | 9/17/25 | 4498 |
| USD | 126989 | SEK | 1198000 | Bank of America NA | 9/17/25 | 4247 |
| USD | 112071 | SEK | 1065000 | Bank of America NA | 9/17/25 | 2956 |
| USD | 309622 | SEK | 2957000 | Bank of America NA | 9/17/25 | 6661 |
| USD | 179575 | SEK | 1701000 | Bank of America NA | 9/17/25 | 5299 |
| USD | 409380 | SEK | 3887000 | Royal Bank of Canada | 9/17/25 | 11135 |
| USD | 159855 | SEK | 1509000 | Royal Bank of Canada | 9/17/25 | 5250 |
| USD | 178430 | SGD | 231000 | Bank of America NA | 9/17/25 | (109) |
| USD | 295927 | SGD | 379000 | Bank of America NA | 9/17/25 | 2998 |
| USD | 223285 | SGD | 285000 | Bank of America NA | 9/17/25 | 3009 |
| USD | 210831 | SGD | 270000 | Bank of America NA | 9/17/25 | 2149 |
| USD | 484196 | SGD | 624000 | Bank of America NA | 9/17/25 | 1907 |
| USD | 124514 | SGD | 159000 | Brown Brothers Harriman & Co. | 9/17/25 | 1623 |
| USD | 496332 | TWD | 14344000 | Bank of America NA | 9/17/25 | 15063 |
| USD | 129175 | TWD | 3852000 | Bank of America NA | 9/17/25 | (67) |
| USD | 258755 | TWD | 7315000 | Bank of America NA | 9/17/25 | 13323 |
| USD | 395646 | TWD | 11196000 | Royal Bank of Canada | 9/17/25 | 19999 |
| USD | 150365 | ZAR | 2734000 | Royal Bank of Canada | 9/17/25 | 753 |
| ZAR | 1876000 | USD | 104293 | Bank of America NA | 9/17/25 | (1633) |
| ZAR | 9580000 | USD | 533555 | Bank of America NA | 9/17/25 | (9312) |
| ZAR | 1768000 | USD | 100068 | Bank of America NA | 9/17/25 | (3318) |
| ZAR | 13014000 | USD | 718082 | Royal Bank of Canada | 9/17/25 | (5921) |
| ZAR | 10605000 | USD | 590976 | Royal Bank of Canada | 9/17/25 | (10642) |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **(1009336)** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 301847 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (1311183) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(3) | Maturity <br> Date | Clearinghouse / <br> Counterparty(1) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(4)(5) | Notional<br> Amount(4)(5) | Value ($)(3) | Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| 5Y CDX NA IG Series 44 Index |  | Jun 2030 | ICE | (1%) | Quarterly |  | 33963000 | (28688) | 0 | (28688) |
| 5Y CDX EM CDSI Series 43 Index |  | Jun 2030 | ICE | (1%) | Quarterly |  | 5440000 | (27042) | 0 | (27042) |
| iTraxx Europe Series 43 Index |  | Jun 2030 | ICE | (1%) | Quarterly | EUR | 27833000 | (25954) | 0 | (25954) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | (81684) | 0 | (81684) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| iTraxx Crossover Series 43 Index | NR | Jun 2030 | ICE | 5% | Quarterly | EUR | 7251000 | 73004 | 0 | 73004 |
| 5Y CDX NA HY Series 44 Index | NR | Jun 2030 | ICE | 5% | Quarterly |  | 15024000 | 73843 | 0 | 73843 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | 146847 | 0 | 146847 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **65163** | **0** | **65163** |

---

(1)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(4)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

(5)Notional amount is stated in U.S. Dollars unless otherwise noted.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the U.S. SOFR Index of 4.36% plus or minus a specified spread ranging from 0.33% to 0.36% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | Goldman Sachs International | Oct 2025 | 3136406 | (48955) | 6410 | (42545) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
| **Domestic Equity Funds** |  |  |  |  |  |  |
|  iShares Core S&P 500 ETF |  |  |  | (1600) | (1015840) | (15856) |
|  iShares Core S&P 500 ETF |  |  |  | (3340) | (2120566) | (33099) |
| <br> **TOTAL DOMESTIC EQUITY FUNDS** |  |  |  |  | **(3136406)** | **(48955)** |
| **TOTAL SHORT** |  |  |  |  | **(3136406)** | **(48955)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(3136406)** | **(48955)** |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| BRL | - | Brazilian Real |
| CAD | - | Canadian Dollar |
| CHF | - | Swiss Franc |
| CLP | - | Chilean Peso |
| CNH | - | Chinese Offshore Currency |
| COP | - | Colombian Peso |
| CZK | - | Czech Koruna |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| HUF | - | Hungarian Forint |
| IDR | - | Indonesian Rupiah |
| ILS | - | Israeli Shekel |
| INR | - | Indian Rupee |
| JPY | - | Japanese Yen |
| KRW | - | Korean Won |
| MXN | - | Mexican Peso |
| NOK | - | Norwegian Krone |
| NZD | - | New Zealand Dollar |
| PHP | - | Philippines |
| PLN | - | Polish Zloty |
| SEK | - | Swedish Krona |
| SGD | - | Singapore Dollar |
| TWD | - | Taiwan Dollar |
| USD | - | United States Dollar |
| ZAR | - | South African Rand |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $870,026.

(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 $4,762,769.

(e) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | - | 41028233 | 32867305 | 37557 | - | - | 8160928 | 8159296 | 0.0% |
| Total | - | 41028233 | 32867305 | 37557 | - | - | 8160928 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of July 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Consolidated Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Domestic Equity Funds** | 3136405 | 3136405 | - | - |
|  **U.S. Treasury Obligations** | 53991281 | - | 53991281 | - |
|  **Money Market Funds** | 8160928 | 8160928 | - | - |
| **Total Investments in Securities:** | 65288614 | 11297333 | 53991281 | - |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 1416871 | 1416871 | - | - |
| Forward Foreign Currency Contracts | 301847 | - | 301847 | - |
| Swaps | 146847 | - | 146847 | - |
| Total Assets | 1865565 | 1416871 | 448694 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (821996) | (821996) | - | - |
| Forward Foreign Currency Contracts | (1311183) | - | (1311183) | - |
| Swaps | (124229) | - | (124229) | - |
| Total Liabilities | (2257408) | (821996) | (1435412) | - |
| **Total Derivative Instruments:** | (391843) | 594875 | (986718) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Commodity Risk** |  |  |
| Futures Contracts (a)  | 765954 | (496832) |
| **Total Commodity Risk**  | 765954 | (496832) |
| **Credit Risk** |  |  |
| Swaps (b)  | 146847 | (81684) |
| **Total Credit Risk**  | 146847 | (81684) |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 442626 | (150286) |
| Swaps (d)  | 0 | (42545) |
| **Total Equity Risk**  | 442626 | (192831) |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (c)  | 301847 | (1311183) |
| **Total Foreign Exchange Risk**  | 301847 | (1311183) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (a)  | 208291 | (174878) |
| **Total Interest Rate Risk**  | 208291 | (174878) |
| **Total Value of Derivatives** | 1865565 | (2257408) |

---

(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

(b)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

(c)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-item(s).

(d)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Counterparty** | **Value of**<br> **Derivative**<br> **Assets ($)** | **Value of**<br> **Derivative**<br> **Liabilities ($)** | <br> **Collateral**<br> **Received**(a) **($)** | <br> **Collateral**<br> **Pledged**(a) **($)** | <br>**Net**(b) **($)** |
| Bank of America NA | 209344 | (732283) | - | - | (522939) |
| BNP Paribas SA | 26 | - | - | - | 26 |
| Brown Brothers Harriman & Co | 1623 | - | - | - | 1623 |
| Goldman Sachs International | - | (42545) | - | - | (42545) |
| Royal Bank of Canada | 90854 | (578900) | - | - | (488046) |
| Total | $301847 | $(1353728) | $- | $- | $(1051881) |

---

*(a) Reflects collateral received from or pledged to an individual counterparty, excluding any excess or initial collateral amounts.*

*(b) Net represents the receivable / (payable) that would be due from / (to) the counterparty in an event of default. Netting may be allowed across transactions traded under the same legal agreement with the same legal entity. Please refer to Derivative Instruments - Risk Exposures and the Use of Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.*

**Consolidated Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Assets and Liabilities** | **Consolidated Statement of Assets and Liabilities** | **Consolidated Statement of Assets and Liabilities** |
| <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $57,037,194) | $57127686 |  |
| Fidelity Central Funds (cost $8,160,928) | 8160928 |  |
| Total Investment in Securities (cost $65,198,122) |  | $65288614 |
| Cash |  | 1031 |
| Foreign currency held at value (cost $55,709) |  | 55594 |
| Unrealized appreciation on forward foreign currency contracts |  | 301847 |
| Receivable for fund shares sold |  | 39823 |
| Distributions receivable from Fidelity Central Funds |  | 27540 |
| Receivable for daily variation margin on centrally cleared swaps |  | 987 |
| Prepaid expenses |  | 26221 |
| Receivable from investment adviser for expense reductions |  | 15072 |
| Other receivables |  | 4 |
| **Total assets** |  | 65756733 |
| **Liabilities** |  |  |
| Unrealized depreciation on forward foreign currency contracts | $1311183 |  |
| Bi-lateral OTC swaps, at value | 42545 |  |
| Accrued management fee | 52963 |  |
| Payable for daily variation margin on futures contracts | 491704 |  |
| Other payables and accrued expenses | 23019 |  |
| **Total liabilities** |  | 1921414 |
| **Net Assets**  |  | $63835319 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $63923155 |
| Total accumulated earnings (loss) |  | (87836) |
| **Net Assets** |  | $63835319 |
| **Net Asset Value**, offering price and redemption price per share ($63,835,319 ÷ 6,346,597 shares) |  | $10.06 |

---

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Operations** | **Consolidated Statement of Operations** | **Consolidated Statement of Operations** |
| <br>**For the period June 17, 2025 (commencement of operations) through July 31, 2025 (Unaudited)**  | <br>**For the period June 17, 2025 (commencement of operations) through July 31, 2025 (Unaudited)**  | <br>**For the period June 17, 2025 (commencement of operations) through July 31, 2025 (Unaudited)**  |
| **Investment Income** |  |  |
| Interest  |  | $233533 |
| Income from Fidelity Central Funds  |  | 37557 |
| **Total income** |  | 271090 |
| **Expenses** |  |  |
| Management fee | $64563 |  |
| Custodian fees and expenses | 566 |  |
| Independent trustees' fees and expenses | 842 |  |
| Registration fees | 13452 |  |
| Audit fees | 11776 |  |
| Miscellaneous | 1796 |  |
| Total expenses before reductions | 92995 |  |
| Expense reductions | (22361) |  |
| Total expenses after reductions |  | 70634 |
| **Net Investment income (loss)** |  | 200456 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (2957) |  |
| Forward foreign currency contracts | 318 |  |
| Foreign currency transactions | (1211) |  |
| Futures contracts | 14266 |  |
| Swaps | 2856 |  |
| Total net realized gain (loss) |  | 13272 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers | 90492 |  |
| Forward foreign currency contracts | (1009336) |  |
| Assets and liabilities in foreign currencies | (213) |  |
| Futures contracts | 594875 |  |
| Swaps | 22618 |  |
| Total change in net unrealized appreciation (depreciation) |  | (301564) |
| **Net gain (loss)** |  | (288292) |
| **Net increase (decrease) in net assets resulting from operations** |  | $(87836) |

---

---

| | |
|:---|:---|
| **Consolidated Statement of Changes in Net Assets** | **Consolidated Statement of Changes in Net Assets** |
|  | **For the period June 17, 2025 (commencement of operations) through July 31, 2025**<br> **(Unaudited)**  |
| **Increase (Decrease) in Net Assets** |  |
| Operations |  |
| &nbsp;&nbsp;Net investment income (loss) | $200456 |
| &nbsp;&nbsp;Net realized gain (loss) | 13272<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (301564) |
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | (87836)<br>|
| Share transactions |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 63923312 |
| &nbsp;&nbsp;Cost of shares redeemed | (157) |
| **Net increase (decrease) in net assets resulting from share transactions** | 63923155<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 63835319<br>|
| **Net Assets** |  |
| &nbsp;&nbsp;Beginning of period | - |
| &nbsp;&nbsp;End of period | $63835319 |
| **Other Information** |  |
| Shares |  |
| &nbsp;&nbsp;Sold | 6346613 |
| &nbsp;&nbsp;Redeemed | (16) |
| &nbsp;&nbsp;Net increase (decrease) | 6346597 |

---

**Consolidated Financial Highlights** 

**Fidelity® SAI Managed Futures Fund** <br>

---

| | |
|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)** A |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00 |
| Income from Investment Operations  |  |
| Net investment income (loss) B,C | .04  |
| Net realized and unrealized gain (loss)  | .02 D |
| Total from investment operations  | .06  |
| Net asset value, end of period  | $10.06 |
| **Total Return** E,F | .60% <br>|
| **Ratios to Average Net Assets** C,G,H |  |
| Expenses before reductions  | 1.39% I |
| Expenses net of fee waivers, if any  | 1.05% I<br>|
| Expenses net of all reductions, if any  | 1.05% I |
| Net investment income (loss)  | 2.99% I |
| **Supplemental Data** |  |
| Net assets, end of period (000 omitted) | $63835 |
| Portfolio turnover rate J | 0% <br>|

---

A*For the period June 17, 2025 (commencement of operations) through July 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.*

E*Total returns for periods of less than one year are not annualized.*

F*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Consolidated Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

**Notes to Consolidated Financial Statements** **(Unaudited)**

For the period ended July 31, 2025

**1. Organization.**

Fidelity SAI Managed Futures Fund (the Fund) is a non-diversified fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.

**2. Consolidated Subsidiary.**

The Funds included in the table below hold certain commodity-related investments through a wholly owned subsidiary (the "Subsidiary"). As of period end, the investments in the Subsidiaries, were as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Subsidiary Name** | **Net Assets of Subsidiary ($)** | **% of Fund's Total Assets** |
| **Fidelity SAI Managed Futures Fund** | Fidelity SAI Managed Futures Cayman Ltd | 12969843 | 19.7 |

---

The financial statements have been consolidated to include the Subsidiary accounts where applicable. Accordingly, all inter-company transactions and balances have been eliminated.

**3. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Consolidated Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**4. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the consolidated financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the consolidated financial statements and consolidated financial highlights. Subsequent events, if any, through the date that the consolidated financial statements were issued have been evaluated in the preparation of the consolidated financial statements. The Fund's Consolidated Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2025 is included at the end of the Fund's Consolidated Schedule of Investments.

**Foreign Currency.** Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Consolidated Statement of Operations. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying consolidated financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the consolidated financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $936320 |
| **Gross unrealized depreciation** | <u>(1051881)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$(115561)</u> |
| **Tax cost** | <u>$65012332</u> |

---

**New Accounting Pronouncement.** In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the consolidated financial statements.

**5. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency contracts and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.<br>|
| 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.<br>|
| 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.<br>|
| 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.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Consolidated Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse. A summary of derivatives inclusive of potential netting arrangements is presented at the end of the Consolidated Schedule of Investments.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Consolidated Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Consolidated Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity SAI Managed Futures Fund** |  |  |
| **Commodity Risk** |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>44043</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>269122</u> |
| **Total Commodity Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>44043</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>269122</u> |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>43514</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>65163</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>43514</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>65163</u> |
| **Equity Risk** |  |  |
| Futures Contracts | 201383 | 292340 |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(40658)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(42545)</u> |
| **Total Equity Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>160725</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>249795</u> |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>318</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(1009336)</u> |
| **Total Foreign Exchange Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>318</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(1009336)</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(231160)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>33413</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(231160)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>33413</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>17440</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(391843)</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Consolidated Schedule of Investments.

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Consolidated Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period, unless an average contract value is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Contracts Amount ($)** |
| **Fidelity SAI Managed Futures Fund** | 75720346 |

---

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market, commodities market, bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Consolidated Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Consolidated Statement of Operations.

Any open futures contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Managed Futures Fund** | 327152253 |

---

Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Consolidated Schedule of Investments.

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Consolidated Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Consolidated Statement of Operations.

Any open swaps at period end are included in the Consolidated Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Managed Futures Fund** | 92588288 |

---

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Consolidated Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Consolidated Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

**Total Return Swaps.** Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty at the specified payment frequency.

The Fund enters into total return basket swap contracts to obtain exposure to a portfolio of long and/or short positions in order to create and adjust the fund's investment exposure, to enhance total return, to hedge risks, to manage certain investment risk, and to manage volatility. The Fund has the ability to trade in and out of the long and short positions within the swap and receives the economic benefits and risks equivalent to direct investments in these positions.

**6. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity SAI Managed Futures Fund** | 15641384 | - |

---

**7. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of 1.00% of the Fund's average net assets.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**8. Expense Reductions.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded 1.05% of average net assets. This reimbursement will remain in place through May 31, 2026. Some expenses, for example the compensation of the independent Trustees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $22,361.

**9. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

---

| | |
|:---|:---|
|  | **Strategic Advisers Fidelity Alternatives Fund** |
| **Fidelity SAI Managed Futures Fund** | 61% |

---

**10. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the consolidated financial statements for each Fund as part of Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity SAI Managed Futures Fund**

At its May 2025 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve each fund's management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements with affiliates of FDS (together, the Advisory Contracts) for each fund. FDS and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requested and considered a broad range of information.

**Nature, Extent, and Quality of Services Provided.** The Board considered Fidelity's staffing as it relates to each fund, including the backgrounds and experience of investment personnel of Fidelity, and also considered each fund's investment objective, strategies and related investment philosophy.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity and technology and operations capabilities and resources, which are integral parts of the investment management process.

<u>Shareholder and Administrative Services</u>. The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for each fund. The Board also considered the nature and extent of the supervision of third-party service providers, principally custodians, subcustodians, and pricing vendors. The Board also considered that each fund is offered exclusively to Fidelity's managed account programs and other Fidelity proprietary investment solutions, and is not offered to the general public.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

<u>Investment Performance</u>. Each fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contracts. The Board considered the Investment Advisers' strength in managing assets and trading derivatives instruments.

Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to each fund under the Advisory Contracts should benefit the shareholders of each fund.

**Competitiveness of Management Fee and Total Expense Ratio.** The Board was provided with information regarding industry trends in management fees and expenses. In its review of each fund's proposed management fee and total expenses, the Board noted that FDS may agree to waive fees or reimburse expenses from time to time.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. The information provided to the Board indicated that each fund's proposed management fee rate ranked below the competitive median fee rate of funds with similar Morningstar classifications, regardless of whether their management fee structures are comparable. Further, the information provided to the Board indicated that the projected total net expense ratio of each fund ranked below the competitive median of the similar sales load structure group.

<u>Other Contractual Arrangements</u>. The Board noted that FDS has agreed to contractually limit each fund's total operating expenses, with certain limited exceptions, to 105 basis points for Fidelity SAI Managed Futures Fund and 110 basis points for Fidelity SAI Merger Arbitrage Fund through May 31, 2026.

Based on its review, the Board concluded that the management fee and the projected total net expenses of each fund were fair and reasonable in light of the services that each fund and its shareholders will receive, and the other factors considered.

**Costs of the Services and Profitability.** Each fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved the Advisory Contracts. In connection with its consideration of future renewal of each fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and servicing each fund's shareholders.

**Economies of Scale.** The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee for each fund was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that each fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, ultimately concluded that the advisory and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that each fund's Advisory Contracts should be approved through November 2026.

![](img111966_4.jpg)<br>

1.9918622.100 SFF-SANN-0925

**Fidelity® Managed Futures ETF**

**Semi-Annual Report**

**July 31, 2025**

![](img111967_1.jpg)

![](img111967_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7Consolidated_MFE-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Managed Futures ETF](#Sub_Sec_Fund_9044_MFE-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Consolidated Financial Statements](#Sub_Sec_NotestoFinancialStatements9044_MFE-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_MFE-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_MFE-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_MFE-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_MFE-SANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-FIDELITY to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® Managed Futures ETF**

**Consolidated Schedule of Investments July 31, 2025 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 5.1%** | &nbsp;&nbsp;**Domestic Equity Funds - 5.1%** | &nbsp;&nbsp;**Domestic Equity Funds - 5.1%** |
|  | Shares | Value ($)<br>|
| iShares Core S&P 500 ETF <br>(Cost $5,926,344)<br>| 9550 | **6063295** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 85.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 85.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 85.4%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 85.4%** |
|  | Yield (%) (b) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 8/26/2025  | 4.34 | 79190000 | 78953640 |
| US Treasury Bills 0% 9/4/2025 (c)(d)(e) | 4.27 to 4.33 | 22540000 | 22448952 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $101,403,077) |  |  | **101402592** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 11.5%** | &nbsp;&nbsp;**Money Market Funds - 11.5%** | &nbsp;&nbsp;**Money Market Funds - 11.5%** | &nbsp;&nbsp;**Money Market Funds - 11.5%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (f)<br>(Cost $13,715,503)<br>| 4.33 | 13712760 | **13715503** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 102.0%**<br> (Cost $121,044,924)<br>| <br>**121181390** |
| **NET OTHER ASSETS (LIABILITIES) - (2.0)%**  | **(2367743)** |
| **NET ASSETS - 100.0%** | **118813647** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Commodity Contracts |  |  |  |  |  |
| CBOT Soybean Contracts (United States) | 15 | Nov 2025 | 741938 | (21468) | (21468) |
| CBOT Soybean Oil Contracts (United States) | 26 | Jan 2026 | 855660 | 15798 | 15798 |
| CEC Silver Bullion Contracts (United States) | 1 | Sep 2025 | 183560 | 8807 | 8807 |
| CME Copper Contracts (United States) | 11 | Dec 2025 | 1216463 | (190328) | (190328) |
| CME Lean Hogs Contracts (United States) | 410 | Dec 2025 | 13402900 | (437195) | (437195) |
| CME Live Cattle Contracts (United States) | 3 | Oct 2025 | 267780 | 13856 | 13856 |
| CME Live Cattle Contracts (United States) | 14 | Dec 2025 | 1253980 | 77816 | 77816 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 5 | Nov 2025 | 348100 | 10046 | 10046 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 21 | Sep 2025 | 1486800 | 70341 | 70341 |
| ICE Cocoa Contracts (United States) | 2 | Dec 2025 | 154820 | (11119) | (11119) |
| ICE Gas Oil Contracts (United Kingdom) | 27 | Sep 2025 | 1888650 | 130899 | 130899 |
| ICE Gas Oil Contracts (United Kingdom) | 15 | Jan 2026 | 1002750 | 19361 | 19361 |
| LME Aluminum Contracts (United Kingdom) | 51 | Sep 2025 | 3268922 | (51102) | (51102) |
| LME Lead Contracts (United Kingdom) | 47 | Sep 2025 | 2293612 | (71600) | (71600) |
| LME Nickel Contracts (United Kingdom) | 21 | Sep 2025 | 1869691 | (45412) | (45412) |
| LME Zinc Contracts (United Kingdom) | 27 | Sep 2025 | 1864364 | 6209 | 6209 |
| NYMEX Gasoline RBOB Contracts (United States) | 15 | Dec 2025 | 1214451 | 40744 | 40744 |
| NYMEX Heating Oil Contracts (United States) | 17 | Aug 2025 | 1710673 | 127831 | 127831 |
| NYMEX Heating Oil Contracts (United States) | 15 | Dec 2025 | 1476216 | 29616 | 29616 |
| NYMEX Natural Gas Contracts (United States) | 25 | Aug 2025 | 776500 | (95186) | (95186) |
| NYMEX Palladium Bullion Contracts (United States) | 3 | Sep 2025 | 361890 | 27972 | 27972 |
| NYMEX Platinum Bullion Contracts (United States) | 11 | Oct 2025 | 714505 | (24374) | (24374) |
| NYMEX WTI Crude Contracts (United States) | 7 | Dec 2025 | 462770 | 11743 | 11743 |
| NYMEX WTI Crude Contracts (United States) | 18 | Aug 2025 | 1246680 | 105796 | 105796 |
| **TOTAL COMMODITY CONTRACTS** |  |  |  |  | (250949) |
| Equity Contracts |  |  |  |  |  |
| ASX 24 S&P/ASX 200 Index Contracts (Australia) | 24 | Sep 2025 | 3347762 | 41101 | 41101 |
| Eurex Deutschland Euro Stoxx 50 Contracts (Germany) | 27 | Sep 2025 | 1664428 | 21176 | 21176 |
| Eurex Deutschland Swiss Market Index Contracts (Germany) | 13 | Sep 2025 | 1905215 | (3020) | (3020) |
| Euronext CAC 40 Index Contracts (France) | 17 | Aug 2025 | 1504831 | (6514) | (6514) |
| FTSE/JSE Top 40 Index Contracts (South Africa) | 1 | Sep 2025 | 50638 | 1028 | 1028 |
| HKFE HSI Contracts (Hong Kong) | 28 | Aug 2025 | 1636306 | (8820) | (8820) |
| HKFE HSI Contracts (Hong Kong) | 9 | Aug 2025 | 1461669 | (5725) | (5725) |
| ICE Financial Times 100 Contracts (United Kingdom) | 15 | Sep 2025 | 1783049 | 32085 | 32085 |
| ICE MSCI EAFE Index Contracts (United States) | 9 | Sep 2025 | 1176030 | (25884) | (25884) |
| ICE MSCI Emerging Markets Index Contracts (United States) | 36 | Sep 2025 | 2228940 | 17748 | 17748 |
| ICE Three Month EURIBOR Index Contracts (United States) | 63 | Jun 2026 | 17703084 | 508 | 508 |
| IDEM FTSE MIB Index Contracts (Italy) | 6 | Sep 2025 | 1366215 | 525 | 525 |
| KRX KOSPI 200 Index Contracts (South Korea) | 23 | Sep 2025 | 1793869 | 82284 | 82284 |
| MEFF IBEX 35 Index Contracts (Spain) | 2 | Aug 2025 | 318940 | (728) | (728) |
| Nasdaq Stockholm AB OMXS30 Index Contracts (Sweden) | 27 | Aug 2025 | 714090 | 689 | 689 |
| OSE Nikkei 225 Index Contracts (Japan) | 5 | Sep 2025 | 1322303 | 2712 | 2712 |
| OSE TOPIX Contracts (Japan) | 9 | Sep 2025 | 1707665 | 8478 | 8478 |
| SGX-DC FTSE China A50 Index Contracts (Singapore) | 116 | Aug 2025 | 1623768 | 2249 | 2249 |
| SGX-DC FTSE Taiwan RIC Capped Price Return TWD Index Contracts (Singapore) | 42 | Aug 2025 | 3240300 | 11450 | 11450 |
| SGX-DC MSCI Index Contracts (Singapore) | 164 | Aug 2025 | 5362377 | (38812) | (38812) |
| TFX SET50 Index Contracts (Thailand) | 395 | Sep 2025 | 1951310 | 209163 | 209163 |
| TME S&P/TSX 60 Index Contracts (Canada) | 8 | Sep 2025 | 1876301 | 30242 | 30242 |
| **TOTAL EQUITY CONTRACTS** |  |  |  |  | 371935 |
| Interest Rate Contracts |  |  |  |  |  |
| ASX 10Y Treasury Bond Contracts (Australia) | 45 | Sep 2025 | 3296774 | (19602) | (19602) |
| CBOT 10 Year US Treasury Bond Contracts (United States) | 4 | Sep 2025 | 444250 | (162) | (162) |
| Eurex Deutschland French Government Contracts (Germany) | 58 | Sep 2025 | 8191773 | (31999) | (31999) |
| Eurex Deutschland Italian Republic Contracts (Germany) | 48 | Sep 2025 | 6604145 | (42505) | (42505) |
| ICE 3M Sonia O/N Deposit Rates Swap Contracts (United Kingdom) | 47 | Sep 2026 | 15013687 | 678 | 678 |
| ICE Three Month EURIBOR Index Contracts (United States) | 205 | Sep 2025 | 57511420 | (38316) | (38316) |
| ICE Three Month EURIBOR Index Contracts (United States) | 94 | Dec 2025 | 26411436 | (695) | (695) |
| ICE Three Month EURIBOR Index Contracts (United States) | 76 | Mar 2026 | 21359363 | (921) | (921) |
| ICE Three Month SONIA Index Contracts (United States) | 52 | Jun 2026 | 16599705 | 3167 | 3167 |
| KRX 10Y Korean Treasury Bond Contracts (South Korea) | 9 | Sep 2025 | 767674 | 1239 | 1239 |
| OSE Japan Government Contracts (Japan) | 27 | Sep 2025 | 24941294 | 11618 | 11618 |
| TME Three Month CORRA Contracts (Canada) | 46 | Sep 2026 | 8102112 | (6299) | (6299) |
| TME Three Month CORRA Contracts (Canada) | 49 | Jun 2026 | 8632283 | (15490) | (15490) |
| TME Three Month CORRA Contracts (Canada) | 9 | Mar 2026 | 1585196 | (2044) | (2044) |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  |  | (141331) |
| TOTAL PURCHASED |  |  |  |  | (20345) |
| Sold |  |  |  |  |  |
| Commodity Contracts |  |  |  |  |  |
| CBOT Corn Contracts (United States) | 118 | Sep 2025 | 2324600 | 109975 | 109975 |
| CBOT Corn Contracts (United States) | 59 | Dec 2025 | 1220563 | 36989 | 36989 |
| CBOT Hard Red Winter Wheat Contracts (United States) | 14 | Sep 2025 | 368375 | 3868 | 3868 |
| CBOT Hard Red Winter Wheat Contracts (United States) | 7 | Dec 2025 | 190663 | 4040 | 4040 |
| CBOT Soybean Meal Contracts (United States) | 49 | Dec 2025 | 1352400 | 90813 | 90813 |
| CBOT Soybean Meal Contracts (United States) | 3 | Jan 2026 | 83910 | 4851 | 4851 |
| CBOT Soybean Oil Contracts (United States) | 24 | Dec 2025 | 788256 | (13377) | (13377) |
| CBOT Soybeans Contracts (United States) | 19 | Jan 2026 | 957125 | 27701 | 27701 |
| CBOT Wheat Contracts (United States) | 10 | Sep 2025 | 261625 | 9918 | 9918 |
| CBOT Wheat Contracts (United States) | 5 | Dec 2025 | 135625 | 4997 | 4997 |
| CEC Copper Contracts (United States) | 1 | Sep 2025 | 108863 | 18247 | 18247 |
| CME Lean Hogs Contracts (United States) | 410 | Oct 2025 | 14690300 | 565548 | 565548 |
| ICE Cocoa Contracts (United States) | 28 | Sep 2025 | 2381680 | 48428 | 48428 |
| ICE Coffee C Contracts (United States) | 1 | Sep 2025 | 110925 | 16047 | 16047 |
| ICE Cotton No 2 Contracts (United States) | 39 | Dec 2025 | 1311375 | 18962 | 18962 |
| ICE Sugar Contracts (United States) | 21 | Sep 2025 | 384552 | 661 | 661 |
| ICE Sugar Contracts (United States) | 36 | Feb 2026 | 684230 | 5329 | 5329 |
| LME Aluminum Contracts (United Kingdom) | 24 | Sep 2025 | 1538316 | (18845) | (18845) |
| LME Lead Contracts (United Kingdom) | 30 | Sep 2025 | 1464008 | 49006 | 49006 |
| LME Nickel Contracts (United Kingdom) | 5 | Sep 2025 | 445165 | 18714 | 18714 |
| LME Zinc Contracts (United Kingdom) | 21 | Sep 2025 | 1450061 | (14891) | (14891) |
| NYMEX Gasoline RBOB Contracts (United States) | 5 | Aug 2025 | 456519 | (17396) | (17396) |
| NYMEX Natural Gas Contracts (United States) | 4 | Dec 2025 | 179880 | 550 | 550 |
| **TOTAL COMMODITY CONTRACTS** |  |  |  |  | 970135 |
| Equity Contracts |  |  |  |  |  |
| CBOT E-mini Dow Jones Industrial Average Index Contracts (United States) | 1 | Sep 2025 | 222295 | (435) | (435) |
| CME E-Mini S&P MidCap 400 Index Contracts (United States) | 2 | Sep 2025 | 633020 | (7944) | (7944) |
| CME Russell 2000 Index Contracts (United States) | 1 | Sep 2025 | 111010 | (1457) | (1457) |
| NSE IFSC Limited S&P CNX Nifty Index Contracts (India) | 1 | Aug 2025 | 49861 | (315) | (315) |
| **TOTAL EQUITY CONTRACTS** |  |  |  |  | (10151) |
| Interest Rate Contracts |  |  |  |  |  |
| ASX 3Y Treasury Bond Contracts (Australia) | 127 | Sep 2025 | 8774778 | 16569 | 16569 |
| CBOT 2 Year US Treasury Note Contracts (United States) | 292 | Sep 2025 | 60448563 | 236041 | 236041 |
| CBOT 5 Year US Treasury Note Contracts (United States) | 93 | Sep 2025 | 10062164 | 49050 | 49050 |
| CBOT US Treasury Long Bond Contracts (United States) | 14 | Sep 2025 | 1598625 | (5959) | (5959) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 17 | Sep 2025 | 1991656 | 1254 | 1254 |
| CME Three-Month SOFR Index Contracts (United States) | 71 | Dec 2025 | 16998288 | 11084 | 11084 |
| CME Three-Month SOFR Index Contracts (United States) | 2 | Sep 2026 | 482150 | 171 | 171 |
| CME Three-Month SOFR Index Contracts (United States) | 105 | Jun 2026 | 25247250 | 61211 | 61211 |
| CME Three-Month SOFR Index Contracts (United States) | 85 | Mar 2026 | 20393625 | 40824 | 40824 |
| Eurex 30Y Deutschland Contracts (Germany) | 12 | Sep 2025 | 1629748 | (8400) | (8400) |
| Eurex Euro-Bobl contracts (Germany) | 29 | Sep 2025 | 3892420 | 11504 | 11504 |
| Eurex Euro-Bund Contracts (Germany) | 6 | Sep 2025 | 890689 | (661) | (661) |
| Eurex Euro-Schatz Contracts (Germany) | 424 | Sep 2025 | 51950209 | 114558 | 114558 |
| ICE Long GILT Futures (United Kingdom) | 14 | Sep 2025 | 1707439 | (1098) | (1098) |
| ICE Three Month SONIA Index Contracts (United States) | 198 | Dec 2025 | 62947822 | 11303 | 11303 |
| ICE Three Month SONIA Index Contracts (United States) | 36 | Mar 2026 | 11467688 | (360) | (360) |
| KRX 3Y Korean Treasury Bond Contracts (South Korea) | 121 | Sep 2025 | 9357694 | (771) | (771) |
| TME Three Month CORRA Contracts (Canada) | 5 | Dec 2025 | 879896 | (52) | (52) |
| TMX 10Y Canadian Bond Contracts (Canada) | 11 | Sep 2025 | 958895 | (7605) | (7605) |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  |  | 528663 |
| TOTAL SOLD |  |  |  |  | 1488647 |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **1468302** |
| The notional amount of futures purchased as a percentage of Net Assets is 248.4% | The notional amount of futures purchased as a percentage of Net Assets is 248.4% | The notional amount of futures purchased as a percentage of Net Assets is 248.4% | The notional amount of futures purchased as a percentage of Net Assets is 248.4% | The notional amount of futures purchased as a percentage of Net Assets is 248.4% | The notional amount of futures purchased as a percentage of Net Assets is 248.4% |
| The notional amount of futures sold as a percentage of Net Assets is 274.1% | The notional amount of futures sold as a percentage of Net Assets is 274.1% | The notional amount of futures sold as a percentage of Net Assets is 274.1% | The notional amount of futures sold as a percentage of Net Assets is 274.1% | The notional amount of futures sold as a percentage of Net Assets is 274.1% | The notional amount of futures sold as a percentage of Net Assets is 274.1% |

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| AUD | 260000 | USD | 171500 | Bank of America NA | 9/17/25 | (3955) |
| AUD | 324000 | USD | 212030 | Bank of America NA | 9/17/25 | (3243) |
| AUD | 186000 | USD | 121992 | Bank of America NA | 9/17/25 | (2133) |
| AUD | 181000 | USD | 117872 | Bank of America NA | 9/17/25 | (1235) |
| AUD | 974000 | USD | 627310 | Bank of America NA | 9/17/25 | 341 |
| AUD | 186000 | USD | 121059 | Brown Brothers Harriman & Co. | 9/17/25 | (1200) |
| AUD | 243000 | USD | 158708 | Goldman Sachs Bank USA | 9/17/25 | (2118) |
| AUD | 2914000 | USD | 1888616 | Royal Bank of Canada | 9/17/25 | (10820) |
| AUD | 10958000 | USD | 7193160 | State Street Bank & Trust Co | 9/17/25 | (131773) |
| BRL | 856000 | USD | 150638 | Bank of America NA | 10/02/25 | (63) |
| BRL | 282000 | USD | 49622 | Bank of America NA | 10/02/25 | (17) |
| BRL | 564000 | USD | 99243 | Bank of America NA | 10/02/25 | (33) |
| BRL | 1781000 | USD | 316173 | Bank of America NA | 10/02/25 | (2886) |
| BRL | 616000 | USD | 108374 | Bank of America NA | 10/02/25 | (17) |
| BRL | 1724000 | USD | 303308 | Bank of America NA | 10/02/25 | (48) |
| BRL | 627000 | USD | 110738 | Royal Bank of Canada | 10/02/25 | (446) |
| BRL | 6467000 | USD | 1113656 | Royal Bank of Canada | 10/02/25 | 23921 |
| BRL | 27211000 | USD | 4874601 | State Street Bank & Trust Co | 10/02/25 | (88055) |
| CAD | 2139000 | USD | 1575314 | Bank of America NA | 9/17/25 | (24725) |
| CAD | 166000 | USD | 122246 | Bank of America NA | 9/17/25 | (1910) |
| CAD | 2226000 | USD | 1630390 | Bank of America NA | 9/17/25 | (16735) |
| CAD | 262000 | USD | 192395 | Bank of America NA | 9/17/25 | (2468) |
| CAD | 236000 | USD | 172891 | Bank of America NA | 9/17/25 | (1811) |
| CAD | 168000 | USD | 123623 | Bank of America NA | 9/17/25 | (1838) |
| CAD | 243000 | USD | 178641 | Goldman Sachs Bank USA | 9/17/25 | (2488) |
| CAD | 146000 | USD | 107414 | Royal Bank of Canada | 9/17/25 | (1577) |
| CAD | 171000 | USD | 124954 | Royal Bank of Canada | 9/17/25 | (994) |
| CAD | 338000 | USD | 247429 | Royal Bank of Canada | 9/17/25 | (2409) |
| CAD | 232000 | USD | 170729 | Royal Bank of Canada | 9/17/25 | (2549) |
| CAD | 427000 | USD | 314234 | Royal Bank of Canada | 9/17/25 | (4697) |
| CAD | 4600000 | USD | 3373671 | State Street Bank & Trust Co | 9/17/25 | (39073) |
| CAD | 232000 | USD | 170355 | State Street Bank & Trust Co | 9/17/25 | (2176) |
| CAD | 20912000 | USD | 15385374 | State Street Bank & Trust Co | 9/17/25 | (226000) |
| CHF | 681000 | USD | 863964 | Bank of America NA | 9/17/25 | (20551) |
| CHF | 128000 | USD | 162325 | Bank of America NA | 9/17/25 | (3798) |
| CHF | 345000 | USD | 435297 | Bank of America NA | 9/17/25 | (8017) |
| CHF | 185000 | USD | 229325 | Bank of America NA | 9/17/25 | (204) |
| CHF | 134000 | USD | 167109 | Bank of America NA | 9/17/25 | (1151) |
| CHF | 86000 | USD | 108860 | Bank of America NA | 9/17/25 | (2350) |
| CHF | 113000 | USD | 142987 | Bank of America NA | 9/17/25 | (3038) |
| CHF | 85000 | USD | 104669 | Bank of America NA | 9/17/25 | 603 |
| CLP | 96247000 | USD | 102916 | Bank of America NA | 9/17/25 | (4614) |
| CLP | 105880000 | USD | 109640 | Goldman Sachs Bank USA | 9/17/25 | (1499) |
| CLP | 880147000 | USD | 935421 | Royal Bank of Canada | 9/17/25 | (36480) |
| CLP | 3650528000 | USD | 3916960 | State Street Bank & Trust Co | 9/17/25 | (188482) |
| CNH | 762000 | USD | 106774 | Bank of America NA | 9/17/25 | (699) |
| CNH | 876000 | USD | 122688 | Bank of America NA | 9/17/25 | (744) |
| CNH | 743000 | USD | 104020 | Bank of America NA | 9/17/25 | (590) |
| CNH | 913000 | USD | 128009 | Bank of America NA | 9/17/25 | (914) |
| CNH | 1184000 | USD | 165456 | Bank of America NA | 9/17/25 | (637) |
| CNH | 745000 | USD | 104189 | Bank of America NA | 9/17/25 | (481) |
| CNH | 1142000 | USD | 160001 | Bank of America NA | 9/17/25 | (1028) |
| CNH | 721000 | USD | 101172 | Bank of America NA | 9/17/25 | (805) |
| CNH | 932000 | USD | 130420 | Brown Brothers Harriman & Co. | 9/17/25 | (681) |
| COP | 437189000 | USD | 102916 | Morgan Stanley Capital Services LLC | 9/17/25 | 1522 |
| COP | 594307000 | USD | 145165 | Royal Bank of Canada | 9/17/25 | (3194) |
| COP | 5948336000 | USD | 1418516 | Royal Bank of Canada | 9/17/25 | 2458 |
| COP | 23228799000 | USD | 5609466 | State Street Bank & Trust Co | 9/17/25 | (60431) |
| CZK | 11275000 | USD | 517528 | Bank of America NA | 9/17/25 | 7919 |
| CZK | 2248000 | USD | 107998 | Bank of America NA | 9/17/25 | (3235) |
| CZK | 2272000 | USD | 107674 | Bank of America NA | 9/17/25 | (1792) |
| CZK | 43082000 | USD | 2050846 | State Street Bank & Trust Co | 9/17/25 | (43103) |
| EUR | 91000 | USD | 107052 | Bank of America NA | 9/17/25 | (2580) |
| EUR | 94000 | USD | 110870 | Bank of America NA | 9/17/25 | (2955) |
| EUR | 945000 | USD | 1084084 | Royal Bank of Canada | 9/17/25 | 811 |
| EUR | 3703000 | USD | 4369036 | State Street Bank & Trust Co | 9/17/25 | (117855) |
| GBP | 660000 | USD | 895262 | Bank of America NA | 9/17/25 | (21461) |
| GBP | 98000 | USD | 133313 | Bank of America NA | 9/17/25 | (3567) |
| GBP | 253000 | USD | 342400 | Bank of America NA | 9/17/25 | (7443) |
| GBP | 1679000 | USD | 2294439 | Bank of America NA | 9/17/25 | (71541) |
| GBP | 989000 | USD | 1329483 | Bank of America NA | 9/17/25 | (20105) |
| GBP | 926000 | USD | 1243042 | Bank of America NA | 9/17/25 | (17072) |
| GBP | 94000 | USD | 126599 | Bank of America NA | 9/17/25 | (2148) |
| GBP | 212000 | USD | 284976 | Bank of America NA | 9/17/25 | (4301) |
| GBP | 318000 | USD | 427573 | Royal Bank of Canada | 9/17/25 | (6560) |
| GBP | 382000 | USD | 517103 | Royal Bank of Canada | 9/17/25 | (11358) |
| GBP | 1046000 | USD | 1434137 | State Street Bank & Trust Co | 9/17/25 | (49295) |
| GBP | 149000 | USD | 202152 | State Street Bank & Trust Co | 9/17/25 | (4885) |
| HUF | 388151000 | USD | 1089090 | Bank of America NA | 9/17/25 | 19787 |
| HUF | 44277000 | USD | 129064 | Bank of America NA | 9/17/25 | (2573) |
| HUF | 1471591000 | USD | 4305196 | State Street Bank & Trust Co | 9/17/25 | (101127) |
| IDR | 2154989000 | USD | 132330 | Bank of America NA | 9/17/25 | (1522) |
| IDR | 2957749000 | USD | 180991 | Bank of America NA | 9/17/25 | (1455) |
| IDR | 1664241000 | USD | 101664 | Bank of America NA | 9/17/25 | (645) |
| IDR | 2521560000 | USD | 154593 | Bank of America NA | 9/17/25 | (1534) |
| IDR | 3178616000 | USD | 195307 | Bank of America NA | 9/17/25 | (2365) |
| IDR | 1755107000 | USD | 107248 | Bank of America NA | 9/17/25 | (713) |
| IDR | 1818821000 | USD | 111618 | Bank of America NA | 9/17/25 | (1216) |
| IDR | 1725648000 | USD | 105725 | Bank of America NA | 9/17/25 | (978) |
| IDR | 1987876000 | USD | 122143 | Bank of America NA | 9/17/25 | (1479) |
| IDR | 1628874000 | USD | 100238 | Bank of America NA | 9/17/25 | (1366) |
| IDR | 2953433000 | USD | 181203 | Bank of America NA | 9/17/25 | (1930) |
| IDR | 1736470000 | USD | 106893 | Bank of America NA | 9/17/25 | (1489) |
| IDR | 2250681000 | USD | 137136 | Bank of America NA | 9/17/25 | (520) |
| IDR | 1696168000 | USD | 103989 | Goldman Sachs Bank USA | 9/17/25 | (1032) |
| IDR | 1783873000 | USD | 109012 | Royal Bank of Canada | 9/17/25 | (731) |
| IDR | 11522388000 | USD | 709376 | State Street Bank & Trust Co | 9/17/25 | (9967) |
| ILS | 360000 | USD | 102778 | Royal Bank of Canada | 9/17/25 | 3383 |
| INR | 9894000 | USD | 115113 | Bank of America NA | 9/17/25 | (2401) |
| INR | 10021000 | USD | 115823 | Bank of America NA | 9/17/25 | (1663) |
| INR | 11920000 | USD | 138524 | Bank of America NA | 9/17/25 | (2731) |
| INR | 10857000 | USD | 125703 | Bank of America NA | 9/17/25 | (2020) |
| INR | 230014000 | USD | 2671785 | Bank of America NA | 9/17/25 | (51460) |
| INR | 17729000 | USD | 206572 | Morgan Stanley Capital Services LLC | 9/17/25 | (4602) |
| INR | 8929000 | USD | 103082 | Royal Bank of Canada | 9/17/25 | (1363) |
| INR | 854728000 | USD | 9930615 | State Street Bank & Trust Co | 9/17/25 | (193532) |
| JPY | 107561000 | USD | 756898 | Goldman Sachs Bank USA | 9/17/25 | (38517) |
| JPY | 429788000 | USD | 3001246 | State Street Bank & Trust Co | 9/17/25 | (130767) |
| KRW | 157882000 | USD | 115919 | Bank of America NA | 9/17/25 | (1772) |
| KRW | 177254000 | USD | 128089 | Bank of America NA | 9/17/25 | 64 |
| KRW | 148060000 | USD | 107704 | Bank of America NA | 9/17/25 | (657) |
| KRW | 153652000 | USD | 113480 | Bank of America NA | 9/17/25 | (2391) |
| KRW | 176846000 | USD | 129066 | Bank of America NA | 9/17/25 | (1208) |
| KRW | 159217000 | USD | 118114 | Bank of America NA | 9/17/25 | (3001) |
| KRW | 141615000 | USD | 104244 | Bank of America NA | 9/17/25 | (1857) |
| KRW | 160782000 | USD | 117755 | Bank of America NA | 9/17/25 | (1511) |
| MXN | 2155000 | USD | 115165 | Bank of America NA | 9/17/25 | (1282) |
| MXN | 2238000 | USD | 118269 | Bank of America NA | 9/17/25 | 1 |
| MXN | 25579000 | USD | 1313542 | Bank of America NA | 9/17/25 | 38208 |
| MXN | 1916000 | USD | 100092 | Goldman Sachs Bank USA | 9/17/25 | 1161 |
| MXN | 104219000 | USD | 5472546 | State Street Bank & Trust Co | 9/17/25 | 35019 |
| NOK | 1184000 | USD | 116795 | Bank of America NA | 9/17/25 | (1737) |
| NOK | 1241000 | USD | 122840 | Bank of America NA | 9/17/25 | (2243) |
| NOK | 15047000 | USD | 1496957 | Bank of America NA | 9/17/25 | (34730) |
| NOK | 1625000 | USD | 161678 | Bank of America NA | 9/17/25 | (3765) |
| NOK | 1577000 | USD | 155376 | Brown Brothers Harriman & Co. | 9/17/25 | (2127) |
| NOK | 3517000 | USD | 346264 | Royal Bank of Canada | 9/17/25 | (4491) |
| NZD | 1821000 | USD | 1080312 | Bank of America NA | 9/17/25 | (3529) |
| NZD | 169000 | USD | 102847 | Bank of America NA | 9/17/25 | (2915) |
| NZD | 1125000 | USD | 677100 | Bank of America NA | 9/17/25 | (11872) |
| NZD | 835000 | USD | 502611 | Bank of America NA | 9/17/25 | (8864) |
| NZD | 531000 | USD | 314737 | Bank of America NA | 9/17/25 | (749) |
| NZD | 283000 | USD | 168784 | Bank of America NA | 9/17/25 | (1443) |
| NZD | 192000 | USD | 114444 | Bank of America NA | 9/17/25 | (912) |
| NZD | 646000 | USD | 387887 | Bank of America NA | 9/17/25 | (5898) |
| NZD | 1802000 | USD | 1068774 | Bank of America NA | 9/17/25 | (3226) |
| NZD | 634000 | USD | 374176 | Royal Bank of Canada | 9/17/25 | 717 |
| NZD | 260000 | USD | 158412 | Royal Bank of Canada | 9/17/25 | (4671) |
| NZD | 10166000 | USD | 6187526 | State Street Bank & Trust Co | 9/17/25 | (176224) |
| NZD | 2442000 | USD | 1471359 | State Street Bank & Trust Co | 9/17/25 | (27369) |
| NZD | 167000 | USD | 101574 | State Street Bank & Trust Co | 9/17/25 | (2825) |
| PHP | 6842000 | USD | 122200 | Morgan Stanley Capital Services LLC | 9/17/25 | (5048) |
| PHP | 381721000 | USD | 6758516 | State Street Bank & Trust Co | 9/17/25 | (222458) |
| PHP | 101240000 | USD | 1814012 | State Street Bank & Trust Co | 9/17/25 | (80519) |
| PLN | 446000 | USD | 123322 | Bank of America NA | 9/17/25 | (3972) |
| PLN | 2922000 | USD | 776516 | Goldman Sachs Bank USA | 9/17/25 | 5416 |
| PLN | 10790000 | USD | 2980757 | State Street Bank & Trust Co | 9/17/25 | (93336) |
| SEK | 3279000 | USD | 344997 | Bank of America NA | 9/17/25 | (8031) |
| SEK | 2704000 | USD | 278238 | Bank of America NA | 9/17/25 | (362) |
| SEK | 4678000 | USD | 492775 | Bank of America NA | 9/17/25 | (12040) |
| SEK | 8458000 | USD | 890056 | Bank of America NA | 9/17/25 | (20871) |
| SEK | 4045000 | USD | 414903 | Bank of America NA | 9/17/25 | 781 |
| SEK | 1022000 | USD | 108720 | Bank of America NA | 9/17/25 | (3694) |
| SEK | 5603000 | USD | 573454 | Bank of America NA | 9/17/25 | 2337 |
| SEK | 2429000 | USD | 252864 | Bank of America NA | 9/17/25 | (3248) |
| SEK | 1155000 | USD | 121545 | Bank of America NA | 9/17/25 | (2852) |
| SGD | 130000 | USD | 102232 | Bank of America NA | 9/17/25 | (1675) |
| SGD | 173000 | USD | 135798 | Bank of America NA | 9/17/25 | (1979) |
| SGD | 137000 | USD | 107397 | Bank of America NA | 9/17/25 | (1425) |
| TWD | 4445000 | USD | 151966 | Bank of America NA | 9/17/25 | (2486) |
| TWD | 3975000 | USD | 137164 | Bank of America NA | 9/17/25 | (3490) |
| TWD | 3421000 | USD | 119448 | Bank of America NA | 9/17/25 | (4405) |
| TWD | 4046000 | USD | 141320 | Bank of America NA | 9/17/25 | (5259) |
| USD | 652453 | AUD | 1007000 | Bank of America NA | 9/17/25 | 3537 |
| USD | 130622 | AUD | 201000 | Bank of America NA | 9/17/25 | 1096 |
| USD | 579275 | AUD | 882000 | Bank of America NA | 9/17/25 | 10910 |
| USD | 241416 | AUD | 371000 | Bank of America NA | 9/17/25 | 2342 |
| USD | 150938 | AUD | 230000 | Bank of America NA | 9/17/25 | 2725 |
| USD | 680894 | AUD | 1035000 | Bank of America NA | 9/17/25 | 13935 |
| USD | 104754 | BRL | 595000 | Bank of America NA | 10/02/25 | 90 |
| USD | 232844 | CAD | 317000 | Bank of America NA | 9/17/25 | 3047 |
| USD | 233849 | CAD | 322000 | Bank of America NA | 9/17/25 | 427 |
| USD | 130146 | CAD | 178000 | Bank of America NA | 9/17/25 | 1111 |
| USD | 2427377 | CAD | 3327000 | Bank of America NA | 9/17/25 | 15593 |
| USD | 2159983 | CAD | 2984000 | Bank of America NA | 9/17/25 | (3157) |
| USD | 1369401 | CAD | 1878000 | Royal Bank of Canada | 9/17/25 | 8015 |
| USD | 227278 | CAD | 312000 | Royal Bank of Canada | 9/17/25 | 1105 |
| USD | 210399 | CAD | 284000 | State Street Bank & Trust Co | 9/17/25 | 4524 |
| USD | 1625299 | CHF | 1280000 | Bank of America NA | 9/17/25 | 40030 |
| USD | 232474 | CHF | 187000 | Bank of America NA | 9/17/25 | 876 |
| USD | 149913 | CHF | 119000 | Bank of America NA | 9/17/25 | 2532 |
| USD | 172920 | CHF | 140000 | Bank of America NA | 9/17/25 | (469) |
| USD | 2094406 | CHF | 1674000 | Bank of America NA | 9/17/25 | 21171 |
| USD | 105178 | CHF | 85000 | Bank of America NA | 9/17/25 | (93) |
| USD | 1649906 | CHF | 1291000 | Bank of America NA | 9/17/25 | 51014 |
| USD | 545076 | CHF | 435000 | Bank of America NA | 9/17/25 | 6332 |
| USD | 194929 | CHF | 156000 | Bank of America NA | 9/17/25 | 1724 |
| USD | 116277 | CHF | 92000 | Royal Bank of Canada | 9/17/25 | 2335 |
| USD | 217821 | CHF | 177000 | State Street Bank & Trust Co | 9/17/25 | (1392) |
| USD | 2780322 | CHF | 2192000 | State Street Bank & Trust Co | 9/17/25 | 65548 |
| USD | 224868 | CLP | 219808000 | Bank of America NA | 9/17/25 | 366 |
| USD | 118922 | CLP | 113392000 | Bank of America NA | 9/17/25 | 3109 |
| USD | 130125 | CLP | 127653000 | Bank of America NA | 9/17/25 | (253) |
| USD | 104504 | CLP | 101369000 | Bank of America NA | 9/17/25 | 971 |
| USD | 1629814 | CNH | 11620000 | Bank of America NA | 9/17/25 | 12245 |
| USD | 5390777 | CNH | 38395000 | State Street Bank & Trust Co | 9/17/25 | 45981 |
| USD | 136569 | COP | 551328000 | Bank of America NA | 9/17/25 | 4864 |
| USD | 156718 | COP | 655550000 | Bank of America NA | 9/17/25 | 116 |
| USD | 144310 | CZK | 3106000 | Bank of America NA | 9/17/25 | (438) |
| USD | 137649 | CZK | 2948000 | Royal Bank of Canada | 9/17/25 | 264 |
| USD | 91401 | EUR | 80000 | BNP Paribas SA | 8/01/25 | (163) |
| USD | 135776 | EUR | 116000 | Bank of America NA | 9/17/25 | 2604 |
| USD | 216255 | EUR | 189000 | Royal Bank of Canada | 9/17/25 | (724) |
| USD | 131188 | EUR | 114000 | Royal Bank of Canada | 9/17/25 | 312 |
| USD | 429769 | GBP | 316000 | Bank of America NA | 9/17/25 | 11404 |
| USD | 179839 | GBP | 131000 | Bank of America NA | 9/17/25 | 6403 |
| USD | 150242 | GBP | 112000 | Bank of America NA | 9/17/25 | 1960 |
| USD | 255196 | GBP | 189000 | Bank of America NA | 9/17/25 | 4971 |
| USD | 109203 | GBP | 81000 | Bank of America NA | 9/17/25 | 1964 |
| USD | 605616 | GBP | 459000 | Bank of America NA | 9/17/25 | (2073) |
| USD | 113818 | GBP | 84000 | Bank of America NA | 9/17/25 | 2607 |
| USD | 122289 | GBP | 89000 | Bank of America NA | 9/17/25 | 4458 |
| USD | 212706 | GBP | 160000 | Royal Bank of Canada | 9/17/25 | 875 |
| USD | 124745 | HUF | 43527000 | Bank of America NA | 9/17/25 | 396 |
| USD | 129404 | HUF | 45471000 | Royal Bank of Canada | 9/17/25 | (498) |
| USD | 135017 | IDR | 2232504000 | Bank of America NA | 9/17/25 | (496) |
| USD | 38456 | IDR | 629332000 | Bank of America NA | 9/17/25 | 256 |
| USD | 367176 | ILS | 1290000 | Bank of America NA | 9/17/25 | (13234) |
| USD | 120270 | ILS | 403000 | Bank of America NA | 9/17/25 | 1429 |
| USD | 125648 | ILS | 426000 | Royal Bank of Canada | 9/17/25 | 25 |
| USD | 1385161 | ILS | 4661000 | State Street Bank & Trust Co | 9/17/25 | 10672 |
| USD | 113528 | INR | 9777000 | Bank of America NA | 9/17/25 | 2148 |
| USD | 366162 | INR | 32138000 | Bank of America NA | 9/17/25 | 45 |
| USD | 307846 | INR | 26838000 | Bank of America NA | 9/17/25 | 2107 |
| USD | 104176 | INR | 8955000 | Bank of America NA | 9/17/25 | 2161 |
| USD | 293672 | INR | 25827000 | Royal Bank of Canada | 9/17/25 | (550) |
| USD | 177475 | JPY | 25886000 | Bank of America NA | 9/17/25 | 4587 |
| USD | 179596 | JPY | 26621000 | Bank of America NA | 9/17/25 | 1799 |
| USD | 134839 | JPY | 19806000 | Bank of America NA | 9/17/25 | 2558 |
| USD | 131559 | JPY | 19396000 | Bank of America NA | 9/17/25 | 2017 |
| USD | 259789 | JPY | 38924000 | Bank of America NA | 9/17/25 | (178) |
| USD | 199662 | JPY | 29508000 | Bank of America NA | 9/17/25 | 2583 |
| USD | 167474 | JPY | 24741000 | Bank of America NA | 9/17/25 | 2233 |
| USD | 125215 | JPY | 18480000 | Bank of America NA | 9/17/25 | 1790 |
| USD | 235540 | KRW | 327989000 | Bank of America NA | 9/17/25 | (1593) |
| USD | 427385 | KRW | 584877000 | Bank of America NA | 9/17/25 | 4525 |
| USD | 396454 | KRW | 534702000 | State Street Bank & Trust Co | 9/17/25 | 9870 |
| USD | 175741 | MXN | 3323000 | Bank of America NA | 9/17/25 | 133 |
| USD | 129290 | MXN | 2451000 | Bank of America NA | 9/17/25 | (236) |
| USD | 236368 | NOK | 2438000 | Bank of America NA | 9/17/25 | (550) |
| USD | 233874 | NOK | 2358000 | Bank of America NA | 9/17/25 | 4730 |
| USD | 238580 | NOK | 2373000 | Brown Brothers Harriman & Co. | 9/17/25 | 7978 |
| USD | 127029 | NOK | 1285000 | State Street Bank & Trust Co | 9/17/25 | 2156 |
| USD | 216607 | NOK | 2146000 | State Street Bank & Trust Co | 9/17/25 | 8064 |
| USD | 251006 | NOK | 2539000 | State Street Bank & Trust Co | 9/17/25 | 4273 |
| USD | 117378 | NZD | 194000 | Bank of America NA | 9/17/25 | 2663 |
| USD | 768172 | NZD | 1276000 | Bank of America NA | 9/17/25 | 13655 |
| USD | 411882 | NZD | 688000 | Bank of America NA | 9/17/25 | 5058 |
| USD | 413102 | NZD | 676000 | Bank of America NA | 9/17/25 | 13373 |
| USD | 102057 | NZD | 168000 | Royal Bank of Canada | 9/17/25 | 2716 |
| USD | 788306 | NZD | 1300000 | Royal Bank of Canada | 9/17/25 | 19597 |
| USD | 122354 | PHP | 6913000 | Bank of America NA | 9/17/25 | 3985 |
| USD | 187579 | PHP | 10964000 | Bank of America NA | 9/17/25 | (153) |
| USD | 216487 | PHP | 12422000 | Bank of America NA | 9/17/25 | 3790 |
| USD | 178330 | PHP | 10336000 | Royal Bank of Canada | 9/17/25 | 1351 |
| USD | 134063 | PLN | 503000 | Bank of America NA | 9/17/25 | (541) |
| USD | 138105 | PLN | 515000 | Royal Bank of Canada | 9/17/25 | 290 |
| USD | 533807 | SEK | 5098000 | Bank of America NA | 9/17/25 | 9912 |
| USD | 285807 | SEK | 2716000 | Bank of America NA | 9/17/25 | 6697 |
| USD | 118248 | SEK | 1133000 | Bank of America NA | 9/17/25 | 1815 |
| USD | 755259 | SEK | 7213000 | Bank of America NA | 9/17/25 | 14016 |
| USD | 858316 | SEK | 8140000 | Bank of America NA | 9/17/25 | 21809 |
| USD | 454481 | SEK | 4305000 | Bank of America NA | 9/17/25 | 12078 |
| USD | 1053498 | SEK | 10054000 | Goldman Sachs Bank USA | 9/17/25 | 20300 |
| USD | 2485341 | SEK | 23568000 | State Street Bank & Trust Co | 9/17/25 | 63377 |
| USD | 519432 | SGD | 663000 | Bank of America NA | 9/17/25 | 6588 |
| USD | 291204 | SGD | 377000 | Bank of America NA | 9/17/25 | (412) |
| USD | 113015 | SGD | 144000 | Bank of America NA | 9/17/25 | 1628 |
| USD | 987791 | SGD | 1273000 | Bank of America NA | 9/17/25 | 3100 |
| USD | 840151 | SGD | 1076000 | Bank of America NA | 9/17/25 | 7844 |
| USD | 509118 | SGD | 652000 | Bank of America NA | 9/17/25 | 4784 |
| USD | 315593 | SGD | 403000 | Brown Brothers Harriman & Co. | 9/17/25 | 3864 |
| USD | 195311 | SGD | 250000 | Goldman Sachs Bank USA | 9/17/25 | 1931 |
| USD | 1102892 | SGD | 1397000 | State Street Bank & Trust Co | 9/17/25 | 22285 |
| USD | 4051395 | TWD | 116194000 | State Street Bank & Trust Co | 9/17/25 | 143943 |
| USD | 1237788 | TWD | 36287000 | State Street Bank & Trust Co | 9/17/25 | 17504 |
| USD | 141889 | ZAR | 2552000 | Bank of America NA | 9/17/25 | 1204 |
| USD | 116211 | ZAR | 2113000 | Royal Bank of Canada | 9/17/25 | (273) |
| ZAR | 2045000 | USD | 115746 | Bank of America NA | 9/17/25 | (3011) |
| ZAR | 10686000 | USD | 592808 | Goldman Sachs Bank USA | 9/17/25 | (3718) |
| ZAR | 1992000 | USD | 111560 | Goldman Sachs Bank USA | 9/17/25 | (1747) |
| ZAR | 51667000 | USD | 2891301 | State Street Bank & Trust Co | 9/17/25 | (43040) |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **(1722611)** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 1019634 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (2742245) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(3) | Maturity <br> Date | Clearinghouse / <br> Counterparty(1) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(4)(5) | Notional<br> Amount(4)(5) | Value ($)(3) | Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| 5Y CDX NA IG Series 44 Index |  | Jun 2030 | ICE | (1%) | Quarterly |  | 84017000 | (23834) | 0 | (23834) |
| 5Y CDX EM CDSI Series 43 Index |  | Jun 2030 | ICE | (1%) | Quarterly |  | 14380000 | 37828 | 0 | 37828 |
| iTraxx Europe Series 43 Index |  | Jun 2030 | ICE | (1%) | Quarterly | EUR | 70217000 | (34675) | 0 | (34675) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | (20681) | 0 | (20681) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| iTraxx Crossover Series 43 Index | NR | Jun 2030 | ICE | 5% | Quarterly | EUR | 17954000 | 1825 | 0 | 1825 |
| 5Y CDX NA HY Series 44 Index | NR | Jun 2030 | ICE | 5% | Quarterly |  | 37926000 | 78718 | 0 | 78718 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | 80543 | 0 | 80543 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **59862** | **0** | **59862** |

---

(1)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(4)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

(5)Notional amount is stated in U.S. Dollars unless otherwise noted.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the U.S. SOFR Index of 4.36% plus or minus a specified spread ranging from 0.285% to 0.36% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | Goldman Sachs International | Oct 2025 | 6063295 | (94641) | 12385 | (82256) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
| **Domestic Equity Funds** |  |  |  |  |  |  |
|  iShares Core S&P 500 ETF |  |  |  | (7950) | (5047455) | (78785) |
|  iShares Core S&P 500 ETF |  |  |  | (1600) | (1015840) | (15856) |
| <br> **TOTAL DOMESTIC EQUITY FUNDS** |  |  |  |  | **(6063295)** | **(94641)** |
| **TOTAL SHORT** |  |  |  |  | **(6063295)** | **(94641)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(6063295)** | **(94641)** |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| BRL | - | Brazilian Real |
| CAD | - | Canadian Dollar |
| CHF | - | Swiss Franc |
| CLP | - | Chilean Peso |
| CNH | - | Chinese Offshore Currency |
| COP | - | Colombian Peso |
| CZK | - | Czech Koruna |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| HUF | - | Hungarian Forint |
| IDR | - | Indonesian Rupiah |
| ILS | - | Israeli Shekel |
| INR | - | Indian Rupee |
| JPY | - | Japanese Yen |
| KRW | - | Korean Won |
| MXN | - | Mexican Peso |
| NOK | - | Norwegian Krone |
| NZD | - | New Zealand Dollar |
| PHP | - | Philippines |
| PLN | - | Polish Zloty |
| SEK | - | Swedish Krona |
| SGD | - | Singapore Dollar |
| TWD | - | Taiwan Dollar |
| USD | - | United States Dollar |
| ZAR | - | South African Rand |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(c) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $652,354.

(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 $8,376,032.

(e) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $2,126,377.

(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | - | 26520673 | 12805170 | 61538 | - | - | 13715503 | 13712760 | 0.0% |
| Total | - | 26520673 | 12805170 | 61538 | - | - | 13715503 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Consolidated Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of July 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Consolidated Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Domestic Equity Funds** | 6063295 | 6063295 | - | - |
|  **U.S. Treasury Obligations** | 101402592 | - | 101402592 | - |
|  **Money Market Funds** | 13715503 | 13715503 | - | - |
| **Total Investments in Securities:** | 121181390 | 19778798 | 101402592 | - |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 2763188 | 2763188 | - | - |
| Forward Foreign Currency Contracts | 1019634 | - | 1019634 | - |
| Swaps | 118371 | - | 118371 | - |
| Total Assets | 3901193 | 2763188 | 1138005 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (1294886) | (1294886) | - | - |
| Forward Foreign Currency Contracts | (2742245) | - | (2742245) | - |
| Swaps | (140765) | - | (140765) | - |
| Total Liabilities | (4177896) | (1294886) | (2883010) | - |
| **Total Derivative Instruments:** | (276703) | 1468302 | (1745005) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Commodity Risk** |  |  |
| Futures Contracts (a)  | 1731479 | (1012293) |
| **Total Commodity Risk**  | 1731479 | (1012293) |
| **Credit Risk** |  |  |
| Swaps (b)  | 118371 | (58509) |
| **Total Credit Risk**  | 118371 | (58509) |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 461438 | (99654) |
| Swaps (d)  | 0 | (82256) |
| **Total Equity Risk**  | 461438 | (181910) |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (c)  | 1019634 | (2742245) |
| **Total Foreign Exchange Risk**  | 1019634 | (2742245) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (a)  | 570271 | (182939) |
| **Total Interest Rate Risk**  | 570271 | (182939) |
| **Total Value of Derivatives** | 3901193 | (4177896) |

---

(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).

(b)For centrally cleared swaps, reflects gross cumulative appreciation (depreciation) as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared swaps is included in receivable or payable for daily variation margin on centrally cleared swaps, and the net cumulative appreciation (depreciation) for centrally cleared swaps is included in Total accumulated earnings (loss).

(c)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-item(s).

(d)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Counterparty** | **Value of**<br> **Derivative**<br> **Assets ($)** | **Value of**<br> **Derivative**<br> **Liabilities ($)** | <br> **Collateral**<br> **Received**(a) **($)** | <br> **Collateral**<br> **Pledged**(a) **($)** | <br>**Net**(b) **($)** |
| Bank of America NA | 476071 | (549236) | - | - | (73165) |
| BNP Paribas SA | - | (163) | - | - | (163) |
| Brown Brothers Harriman & Co | 11842 | (4008) | - | - | 7834 |
| Goldman Sachs Bank USA | 28808 | (51119) | - | - | (22311) |
| Goldman Sachs International | - | (82256) | - | - | (82256) |
| Morgan Stanley Capital Group Inc | 1522 | (9650) | - | - | (8128) |
| Royal Bank of Canada | 68175 | (94385) | - | - | (26210) |
| State Street Bank & Trust Co | 433216 | (2033684) | - | 652354 | (948114) |
| Total | $1019634 | $(2824501) | $- | $652354 | $(1152513) |

---

*(a) Reflects collateral received from or pledged to an individual counterparty, excluding any excess or initial collateral amounts.*

*(b) Net represents the receivable / (payable) that would be due from / (to) the counterparty in an event of default. Netting may be allowed across transactions traded under the same legal agreement with the same legal entity. Please refer to Derivative Instruments - Risk Exposures and the Use of Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.*

**Consolidated Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Assets and Liabilities** | **Consolidated Statement of Assets and Liabilities** | **Consolidated Statement of Assets and Liabilities** |
| <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $107,329,421) | $107465887 |  |
| Fidelity Central Funds (cost $13,715,503) | 13715503 |  |
| Total Investment in Securities (cost $121,044,924) |  | $121181390 |
| Cash |  | 1 |
| Foreign currency held at value (cost $151,401) |  | 150899 |
| Unrealized appreciation on forward foreign currency contracts |  | 1019634 |
| Distributions receivable from Fidelity Central Funds |  | 51953 |
| Other receivables |  | 8 |
| **Total assets** |  | 122403885 |
| **Liabilities** |  |  |
| Unrealized depreciation on forward foreign currency contracts | $2742245 |  |
| Bi-lateral OTC swaps, at value | 82256 |  |
| Accrued management fee | 80329 |  |
| Payable for daily variation margin on futures contracts | 620452 |  |
| Payable for daily variation margin on centrally cleared swaps | 63643 |  |
| Other payables and accrued expenses | 1313 |  |
| **Total liabilities** |  | 3590238 |
| **Net Assets**  |  | $118813647 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $118947282 |
| Total accumulated earnings (loss) |  | (133635) |
| **Net Assets** |  | $118813647 |
| **Net Asset Value**, offering price and redemption price per share ($118,813,647 ÷ 2,360,000 shares) |  | $50.34 |

---

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Operations** | **Consolidated Statement of Operations** | **Consolidated Statement of Operations** |
| <br>**For the period June 3, 2025 (commencement of operations) through July 31, 2025 (Unaudited)**  | <br>**For the period June 3, 2025 (commencement of operations) through July 31, 2025 (Unaudited)**  | <br>**For the period June 3, 2025 (commencement of operations) through July 31, 2025 (Unaudited)**  |
| **Investment Income** |  |  |
| Dividends  |  | $2987 |
| Interest  |  | 439178 |
| Income from Fidelity Central Funds  |  | 61538 |
| **Total income** |  | 503703 |
| **Expenses** |  |  |
| Management fee | $95507 |  |
| Custodian fees and expenses | 249 |  |
| Independent trustees' fees and expenses | 665 |  |
| **Total expenses** |  | 96421 |
| **Net Investment income (loss)** |  | 407282 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 3496 |  |
| Forward foreign currency contracts | (912) |  |
| Foreign currency transactions | (8066) |  |
| Futures contracts | (417938) |  |
| Swaps | 22300 |  |
| Total net realized gain (loss) |  | (401120) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers | 136466 |  |
| Forward foreign currency contracts | (1722611) |  |
| Assets and liabilities in foreign currencies | 440 |  |
| Futures contracts | 1468302 |  |
| Swaps | (22394) |  |
| Total change in net unrealized appreciation (depreciation) |  | (139797) |
| **Net gain (loss)** |  | (540917) |
| **Net increase (decrease) in net assets resulting from operations** |  | $(133635) |

---

---

| | |
|:---|:---|
| **Consolidated Statement of Changes in Net Assets** | **Consolidated Statement of Changes in Net Assets** |
|  | **For the period June 3, 2025 (commencement of operations) through July 31, 2025**<br> **(Unaudited)**  |
| **Increase (Decrease) in Net Assets** |  |
| Operations |  |
| &nbsp;&nbsp;Net investment income (loss) | $407282 |
| &nbsp;&nbsp;Net realized gain (loss) | (401120)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | (139797) |
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | (133635)<br>|
| Share transactions |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 118947282 |
| **Net increase (decrease) in net assets resulting from share transactions** | 118947282<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 118813647<br>|
| **Net Assets** |  |
| &nbsp;&nbsp;Beginning of period | - |
| &nbsp;&nbsp;End of period | $118813647 |
| **Other Information** |  |
| Shares |  |
| &nbsp;&nbsp;Sold | 2360000 |
| &nbsp;&nbsp;Net increase (decrease) | 2360000 |

---

**Consolidated Financial Highlights** 

**Fidelity® Managed Futures ETF** <br>

---

| | |
|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)** A |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $50.00 |
| Income from Investment Operations  |  |
| Net investment income (loss) B,C | .26  |
| Net realized and unrealized gain (loss)  | .08 D |
| Total from investment operations  | .34  |
| Net asset value, end of period  | $50.34 |
| **Total Return** E,F | .69% <br>|
| **Ratios to Average Net Assets** C,G,H |  |
| Expenses before reductions  | .80% I |
| Expenses net of fee waivers, if any  | .80% I<br>|
| Expenses net of all reductions, if any  | .80% I |
| Net investment income (loss)  | 3.28% I |
| **Supplemental Data** |  |
| Net assets, end of period (000 omitted) | $118814 |
| Portfolio turnover rate J | 0% K<br>|

---

A*For the period June 3, 2025 (commencement of operations) through July 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.*

E*Total returns for periods of less than one year are not annualized.*

F*Based on net asset value.*

G*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Consolidated Financial Statements section of the most recent Annual or Semi-Annual report.*

H*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

I*Annualized.*

J*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

K*Amount not annualized.*

**Notes to Consolidated Financial Statements** **(Unaudited)**

For the period ended July 31, 2025

**1. Organization.**

Fidelity Managed Futures ETF (the Fund) is a non-diversified fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.

**2. Consolidated Subsidiary.**

The Funds included in the table below hold certain commodity-related investments through a wholly owned subsidiary (the "Subsidiary"). As of period end, the investments in the Subsidiaries, were as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Subsidiary Name** | **Net Assets of Subsidiary ($)** | **% of Fund's Total Assets** |
| **Fidelity Managed Futures ETF** | Fidelity Managed Futures Cayman Ltd | 24388047 | 19.9 |

---

The financial statements have been consolidated to include the Subsidiary accounts where applicable. Accordingly, all inter-company transactions and balances have been eliminated.

**3. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Consolidated Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**4. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The consolidated financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the consolidated financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the consolidated financial statements and consolidated financial highlights. Subsequent events, if any, through the date that the consolidated financial statements were issued have been evaluated in the preparation of the consolidated financial statements. The Fund's Consolidated Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions. Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2025 is included at the end of the Fund's Consolidated Schedule of Investments.

**Foreign Currency.** Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.

Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.

The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying consolidated financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the consolidated financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $3227971 |
| **Gross unrealized depreciation** | <u>(3380593)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$(152622)</u> |
| **Tax cost** | <u>$121044924</u> |

---

**New Accounting Pronouncement.** In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the consolidated financial statements.

**5. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including futures contracts, forward foreign currency contracts and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.<br>|
| 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.<br>|
| 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.<br>|
| 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.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as forward foreign currency contracts and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Consolidated Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse. A summary of derivatives inclusive of potential netting arrangements is presented at the end of the Consolidated Schedule of Investments.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Consolidated Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives.** The table below, which reflects the impacts of derivatives on the financial performance, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Consolidated Statement of Operations.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Managed Futures ETF** |  |  |
| **Commodity Risk** |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(367905)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>719186</u> |
| **Total Commodity Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(367905)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>719186</u> |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>58303</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>59862</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>58303</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>59862</u> |
| **Equity Risk** |  |  |
| Futures Contracts | 433055 | 361784 |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(36003)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(82256)</u> |
| **Total Equity Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>397052</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>279528</u> |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(912)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(1722611)</u> |
| **Total Foreign Exchange Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(912)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(1722611)</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(483088)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>387332</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(483088)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>387332</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(396550)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>(276703)</u> |

---

If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Consolidated Schedule of Investments.

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Consolidated Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period, unless an average contract value is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Contracts Amount ($)** |
| **Fidelity Managed Futures ETF** | 170083153 |

---

**Futures Contracts.** A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market, commodities market, bond market and fluctuations in interest rates.

Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Consolidated Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Consolidated Statement of Operations.

Any open futures contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Managed Futures ETF** | 660669534 |

---

Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Consolidated Schedule of Investments.

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Consolidated Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

For both bi-lateral and centrally cleared swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Consolidated Statement of Operations.

Any open swaps at period end are included in the Consolidated Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Managed Futures ETF** | 238475159 |

---

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Consolidated Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Consolidated Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

**6. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Managed Futures ETF** | 29856345 | - |

---

**7. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Management & Research Company LLC (the investment adviser) provides the Fund with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of .80% of average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholders meeting expenses.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.

**Other.** During the period, the investment adviser reimbursed the Fund for certain losses as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Managed Futures ETF** | 7241 |

---

**8. Share Transactions.**

Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities to a fund and redemption proceeds are paid with a basket of securities from a fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.

**9. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

**10. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the consolidated financial statements for each Fund as part of Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity Managed Futures ETF**

At its May 2025 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the fund's management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements with affiliates of FDS (together, the Advisory Contracts) for the fund. FDS and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requested and considered a broad range of information.

**Nature, Extent, and Quality of Services Provided.** The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds and experience of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operations capabilities and resources, which are integral parts of the investment management process.

<u>Shareholder and Administrative Services</u>. The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering pricing and bookkeeping and securities lending services for the fund. The Board also considered the nature and extent of the supervision of third-party service providers, principally transfer agents, custodians, subcustodians, and pricing vendors.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

<u>Investment Performance</u>. The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. The Board considered the Investment Advisers' strength in managing assets and trading derivatives instruments.

Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to the fund under the Advisory Contracts should benefit the shareholders of the fund.

**Competitiveness of Management Fee and Total Expense Ratio.** In reviewing the Advisory Contracts, the Board considered the fund's proposed all-inclusive (subject to certain exceptions) management fee rate. The Board also considered other expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees, paid by FDS under the all-inclusive arrangement. The Board noted that the fund's proposed management fee rate is at the median fee rate of funds with similar Morningstar classifications, regardless of whether their management fee structures are comparable. The Board also considered that the projected total net expense ratio of the fund is at the median of those funds used by the Board for management fee comparisons that have a similar sales load structure.

<u>Other Contractual Arrangements</u>. The Board noted that FDS has agreed to contractually limit the fund's total operating expenses, with certain limited exceptions, to 80 basis points (which is equal to the fund's management fee) through May 31, 2026.

Based on its review, the Board concluded that the management fee and the projected total expenses of the fund were fair and reasonable in light of the services that the fund and its shareholders will receive, and the other factors considered.

**Costs of the Services and Profitability.** The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its consideration of future renewals of the fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders.

**Economies of Scale.** The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee was at a level normally associated with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, ultimately concluded that the advisory and sub-advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be approved through November 2026.

![](img111967_4.jpg)<br>

1.9919363.100 MFE-SANN-0925

**Fidelity® SAI Merger Arbitrage Fund**

**Semi-Annual Report**

**July 31, 2025**

Offered exclusively to certain clients of the Adviser, or its affiliates, including Strategic Advisers LLC (Strategic Advisers) - not available for sale to the general public. Fidelity® SAI is a product name of Fidelity® funds dedicated to certain programs affiliated with Strategic Advisers.

![](img111968_1.jpg)

![](img111968_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)](#Sec_Item7_FSM-SANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® SAI Merger Arbitrage Fund](#Sub_Sec_Fund_9007_FSM-SANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements9007_FSM-SANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_FSM-SANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_FSM-SANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_FSM-SANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_FSM-SANN)** |

---

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.

You may also call 1-800-544-3455 to request a free copy of the proxy voting guidelines.

Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.

Other third-party marks appearing herein are the property of their respective owners.

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2025 FMR LLC. All rights reserved.

*This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.*

*A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.*

*For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.*

**NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE**

*Neither the Fund nor Fidelity Distributors Corporation is a bank.*

**Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Semi-Annual Report)**

**Fidelity® SAI Merger Arbitrage Fund**

**Schedule of Investments July 31, 2025 (Unaudited)**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 60.1%** | &nbsp;&nbsp;**Common Stocks - 60.1%** | &nbsp;&nbsp;**Common Stocks - 60.1%** |
|  | Shares | Value ($)<br>|
| UNITED KINGDOM - 8.0%  |  |  |
| Health Care - 1.3% |  |  |
| Pharmaceuticals - 1.3% |  |  |
| Verona Pharma PLC ADR (b) | 10000 | 1050900 |
| Industrials - 6.7% |  |  |
| Professional Services - 6.7% |  |  |
| WNS Holdings Ltd (b) | 75000 | 5609250 |
| TOTAL UNITED KINGDOM |  | 6660150 |
| UNITED STATES - 52.1%  |  |  |
| Communication Services - 8.1% |  |  |
| Diversified Telecommunication Services - 6.6% |  |  |
| Frontier Communications Parent Inc (b) | 150000 | 5511000 |
| Media - 1.5% |  |  |
| Interpublic Group of Cos Inc/The  | 50000 | 1230000 |
| TOTAL COMMUNICATION SERVICES |  | 6741000 |
| Consumer Discretionary - 1.8% |  |  |
| Textiles, Apparel & Luxury Goods - 1.8% |  |  |
| Skechers USA Inc Class A (b) | 25000 | 1581250 |
| Consumer Staples - 4.8% |  |  |
| Food Products - 4.8% |  |  |
| Kellanova  | 50000 | 3991500 |
| Financials - 5.0% |  |  |
| Banks - 3.7% |  |  |
| Pacific Premier Bancorp Inc  | 50000 | 1083500 |
| Veritex Holdings Inc  | 63607 | 2017614 |
|  |  | 3101114 |
| Financial Services - 0.6% |  |  |
| AvidXchange Holdings Inc (b) | 50000 | 493000 |
| Insurance - 0.7% |  |  |
| ProAssurance Corp (b) | 25000 | 594000 |
| TOTAL FINANCIALS |  | 4188114 |
| Health Care - 4.0% |  |  |
| Health Care Equipment & Supplies - 1.1% |  |  |
| Zimvie Inc (b) | 50000 | 939500 |
| Health Care Providers & Services - 2.9% |  |  |
| Amedisys Inc (b) | 25000 | 2465000 |
| TOTAL HEALTH CARE |  | 3404500 |
| Industrials - 12.3% |  |  |
| Aerospace & Defense - 0.9% |  |  |
| Spirit AeroSystems Holdings Inc Class A (b) | 20000 | 788000 |
| Machinery - 2.4% |  |  |
| Chart Industries Inc (b) | 10000 | 1988300 |
| Professional Services - 4.4% |  |  |
| Dun & Bradstreet Holdings Inc  | 400000 | 3640000 |
| Trading Companies & Distributors - 4.6% |  |  |
| GMS Inc (b) | 35000 | 3837400 |
| TOTAL INDUSTRIALS |  | 10253700 |
| Information Technology - 16.1% |  |  |
| Semiconductors & Semiconductor Equipment - 13.2% |  |  |
| NVIDIA Corp  | 62000 | 11027941 |
| Software - 2.9% |  |  |
| CyberArk Software Ltd (b) | 3000 | 1234410 |
| Informatica Inc Class A (b) | 25000 | 617500 |
| Microsoft Corp  | 1050 | 560175 |
|  |  | 2412085 |
| TOTAL INFORMATION TECHNOLOGY |  | 13440026 |
| TOTAL UNITED STATES |  | 43600090 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $49,333,474) |  | <br> **50260240** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 9.9%** | &nbsp;&nbsp;**Domestic Equity Funds - 9.9%** | &nbsp;&nbsp;**Domestic Equity Funds - 9.9%** |
|  | Shares | Value ($)<br>|
| iShares Core S&P 500 ETF  | 6300 | 3999870 |
| SPDR S&P 500 ETF  | 400 | 252832 |
| Vanguard 500 Index Fund, ETF Shares  | 6900 | 4009038 |
| <br> **TOTAL DOMESTIC EQUITY FUNDS**<br> (Cost $8,233,372) |  | **8261740** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 17.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 17.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 17.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 17.2%** |
|  | Yield (%) (c) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 10/9/2025 (d) | 4.30 | 10000000 | 9918491 |
| US Treasury Bills 0% 9/18/2025 (d) | 4.27 | 4000000 | 3977258 |
| US Treasury Bills 0% 9/25/2025 (d) | 4.23 | 505300 | 501981 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $14,398,061) |  |  | **14397730** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 34.2%** | &nbsp;&nbsp;**Money Market Funds - 34.2%** | &nbsp;&nbsp;**Money Market Funds - 34.2%** | &nbsp;&nbsp;**Money Market Funds - 34.2%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (e)<br>(Cost $28,625,807)<br>| 4.33 | 28620083 | **28625807** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 121.4%**<br> (Cost $100,590,714)<br>| <br>**101545517** |
| **NET OTHER ASSETS (LIABILITIES) - (21.4)%**  | **(17894840)** |
| **NET ASSETS - 100.0%** | **83650677** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the U.S. SOFR Index of 4.33% plus or minus a specified spread ranging from (0.15)% to 0.55% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | BNP Paribas SA | Jun 2026 | 28679556 | (407324) | 327458 | (79866) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -172.0%  |  |  |  |  |  |  |
| **Financials - 0.0%**  |  |  |  |  |  |  |
| **Banks - 0.0%**  |  |  |  |  |  |  |
| Veritex Holdings Inc  |  |  |  | 11393 | 361386 | (342) |
| TOTAL FINANCIALS |  |  |  |  | 361386 | (342) |
| **Industrials - 6.0%**  |  |  |  |  |  |  |
| **Ground Transportation - 6.0%**  |  |  |  |  |  |  |
| Norfolk Southern Corp  |  |  |  | 7442 | 2068876 | (4704) |
| TOTAL INDUSTRIALS |  |  |  |  | 2068876 | (4704) |
| **Information Technology - 166.0%**  |  |  |  |  |  |  |
| **Software - 166.0%**  |  |  |  |  |  |  |
| CyberArk Software Ltd (1)  |  |  |  | 9500 | 3908965 | (132577) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 3908965 | (132577) |
| TOTAL UNITED STATES |  |  |  |  | 6339227 | (137623) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **6339227** | <br> **(137623)** |
| **TOTAL LONG** |  |  |  |  | **6339227** | **(137623)** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -337.0%  |  |  |  |  |  |  |
| **Financials - (19.0)%**  |  |  |  |  |  |  |
| **Financial Services - 0.0%**  |  |  |  |  |  |  |
| Cantaloupe Inc (1)  |  |  |  | (35200) | (389664) | 148 |
| **Banks - (19.0)%**  |  |  |  |  |  |  |
| Columbia Banking System Inc  |  |  |  | (45750) | (1088850) | 1373 |
| Huntington Bancshares Inc/OH  |  |  |  | (146251) | (2402904) | 13580 |
|  |  |  |  |  | (3491754) | 14953 |
| TOTAL FINANCIALS |  |  |  |  | (3881418) | 15101 |
| **Industrials - (36.0)%**  |  |  |  |  |  |  |
| **Aerospace & Defense - (16.0)%**  |  |  |  |  |  |  |
| Boeing Co (1)  |  |  |  | (2000) | (443680) | 12356 |
| **Ground Transportation - (20.0)%**  |  |  |  |  |  |  |
| Union Pacific Corp  |  |  |  | (7442) | (1651901) | 15994 |
| TOTAL INDUSTRIALS |  |  |  |  | (2095581) | 28350 |
| **Information Technology - 392.0%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - 557.0%**  |  |  |  |  |  |  |
| NVIDIA Corp  |  |  |  | (62000) | (11027940) | (444540) |
| **Software - (165.0)%**  |  |  |  |  |  |  |
| Microsoft Corp  |  |  |  | (1050) | (560175) | (29064) |
| Palo Alto Networks Inc (1)  |  |  |  | (27507) | (4775215) | 160452 |
|  |  |  |  |  | (5335390) | 131388 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (16363330) | (313152) |
| TOTAL UNITED STATES |  |  |  |  | (22340329) | (269701) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(22340329)** | <br> **(269701)** |
| **TOTAL SHORT** |  |  |  |  | **(22340329)** | **(269701)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(16001102)** | **(407324)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the U.S. SOFR Index ranging from 4.32% to 4.36% plus or minus a specified spread ranging from (0.3)% to 0.47% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | Goldman Sachs International | Jul 2030 | 5338877 | (4254) | (47) | (4301) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -(70.0)%  |  |  |  |  |  |  |
| **Financials - (70.0)%**  |  |  |  |  |  |  |
| **Banks - (70.0)%**  |  |  |  |  |  |  |
| Pacific Premier Bancorp Inc  |  |  |  | 25000 | 541750 | 3000 |
| TOTAL FINANCIALS |  |  |  |  | 541750 | 3000 |
| TOTAL UNITED STATES |  |  |  |  | 541750 | 3000 |
| **TOTAL LONG** |  |  |  |  | **541750** | **3000** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
| **Domestic Equity Funds** |  |  |  |  |  |  |
|  iShares Core S&P 500 ETF |  |  |  | (5900) | (3745910) | 0 |
|  iShares Core S&P 500 ETF |  |  |  | (400) | (253960) | (3964) |
|  SPDR S&P 500 ETF |  |  |  | (400) | (252832) | (3976) |
| <br> **TOTAL DOMESTIC EQUITY FUNDS** |  |  |  |  | **(4252702)** | **(7940)** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -(16.0)%  |  |  |  |  |  |  |
| **Financials - (16.0)%**  |  |  |  |  |  |  |
| **Banks - (16.0)%**  |  |  |  |  |  |  |
| Columbia Banking System Inc  |  |  |  | (22875) | (544425) | 686 |
| TOTAL FINANCIALS |  |  |  |  | (544425) | 686 |
| TOTAL UNITED STATES |  |  |  |  | (544425) | 686 |
| **TOTAL SHORT** |  |  |  |  | **(4797127)** | **(7254)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(4255377)** | **(4254)** |

---

(1) Non-income producing.

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Non-income producing.

(c) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(d) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $4,124,230.

(e) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | - | 73822450 | 45196643 | 184279 | - | - | 28625807 | 28620083 | 0.0% |
| Total | - | 73822450 | 45196643 | 184279 | - | - | 28625807 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.

Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.

**Investment Valuation**

The following is a summary of the inputs used, as of July 31, 2025, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
|  **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 6741000 | 6741000 | - | - |
| Consumer Discretionary | 1581250 | 1581250 | - | - |
| Consumer Staples | 3991500 | 3991500 | - | - |
| Financials | 4188114 | 4188114 | - | - |
| Health Care | 4455400 | 4455400 | - | - |
| Industrials | 15862950 | 15862950 | - | - |
| Information Technology | 13440026 | 13440026 | - | - |
|  **Domestic Equity Funds** | 8261740 | 8261740 | - | - |
|  **U.S. Treasury Obligations** | 14397730 | - | 14397730 | - |
|  **Money Market Funds** | 28625807 | 28625807 | - | - |
| **Total Investments in Securities:** | 101545517 | 87147787 | 14397730 | - |
|  **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Liabilities** |  |  |  |  |
| Swaps | (84167) | - | (84167) | - |
| Total Liabilities | (84167) | - | (84167) | - |
| **Total Derivative Instruments:** | (84167) | - | (84167) | - |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2025. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Swaps (a)  | 0 | (84167) |
| **Total Equity Risk**  | 0 | (84167) |
| **Total Value of Derivatives** | 0 | (84167) |

---

(a)For bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-item(s).

**Financial Statements (Unaudited)**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** | <br> **As of July 31, 2025 (Unaudited)** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $71,964,907) | $72919710 |  |
| Fidelity Central Funds (cost $28,625,807) | 28625807 |  |
| Total Investment in Securities (cost $100,590,714) |  | $101545517 |
| Receivable for fund shares sold |  | 79646 |
| Distributions receivable from Fidelity Central Funds |  | 163907 |
| Prepaid expenses |  | 26221 |
| Receivable from investment adviser for expense reductions |  | 17015 |
| **Total assets** |  | 101832306 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $18002550 |  |
| Bi-lateral OTC swaps, at value | 84167 |  |
| Accrued management fee | 70791 |  |
| Other payables and accrued expenses | 24121 |  |
| **Total liabilities** |  | 18181629 |
| **Net Assets**  |  | $83650677 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $82885013 |
| Total accumulated earnings (loss) |  | 765664 |
| **Net Assets** |  | $83650677 |
| **Net Asset Value**, offering price and redemption price per share ($83,650,677 ÷ 8,278,581 shares) |  | $10.10 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br>**For the period June 17, 2025 (commencement of operations) through July 31, 2025 (Unaudited)**  | <br>**For the period June 17, 2025 (commencement of operations) through July 31, 2025 (Unaudited)**  | <br>**For the period June 17, 2025 (commencement of operations) through July 31, 2025 (Unaudited)**  |
| **Investment Income** |  |  |
| Dividends  |  | $705 |
| Interest  |  | 47808 |
| Income from Fidelity Central Funds  |  | 184279 |
| **Total income** |  | 232792 |
| **Expenses** |  |  |
| Management fee | $77333 |  |
| Custodian fees and expenses | 1321 |  |
| Independent trustees' fees and expenses | 452 |  |
| Registration fees | 16275 |  |
| Audit fees | 10415 |  |
| Miscellaneous | 210 |  |
| Total expenses before reductions | 106006 |  |
| Expense reductions | (21283) |  |
| Total expenses after reductions |  | 84723 |
| **Net Investment income (loss)** |  | 148069 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 16003 |  |
| Swaps | (269044) |  |
| Total net realized gain (loss) |  | (253041) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 954803 |  |
| Swaps | (84167) |  |
| Total change in net unrealized appreciation (depreciation) |  | 870636 |
| **Net gain (loss)** |  | 617595 |
| **Net increase (decrease) in net assets resulting from operations** |  | $765664 |

---

---

| | |
|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **For the period June 17, 2025 (commencement of operations) through July 31, 2025**<br> **(Unaudited)**  |
| **Increase (Decrease) in Net Assets** |  |
| Operations |  |
| &nbsp;&nbsp;Net investment income (loss) | $148069 |
| &nbsp;&nbsp;Net realized gain (loss) | (253041)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 870636 |
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 765664<br>|
| Share transactions |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 82885178 |
| &nbsp;&nbsp;Cost of shares redeemed | (165) |
| **Net increase (decrease) in net assets resulting from share transactions** | 82885013<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 83650677<br>|
| **Net Assets** |  |
| &nbsp;&nbsp;Beginning of period | - |
| &nbsp;&nbsp;End of period | $83650677 |
| **Other Information** |  |
| Shares |  |
| &nbsp;&nbsp;Sold | 8278598 |
| &nbsp;&nbsp;Redeemed | (17) |
| &nbsp;&nbsp;Net increase (decrease) | 8278581 |

---

**Financial Highlights** 

**Fidelity® SAI Merger Arbitrage Fund** <br>

---

| | |
|:---|:---|
|  | **Six months ended**<br> **July 31, 2025**<br> **(Unaudited)** A |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00 |
| Income from Investment Operations  |  |
| Net investment income (loss) B,C | .02  |
| Net realized and unrealized gain (loss)  | .08  |
| Total from investment operations  | .10  |
| Net asset value, end of period  | $10.10 |
| **Total Return** D,E | 1.00% <br>|
| **Ratios to Average Net Assets** C,F,G |  |
| Expenses before reductions  | 1.37% H |
| Expenses net of fee waivers, if any  | 1.10% H<br>|
| Expenses net of all reductions, if any  | 1.10% H |
| Net investment income (loss)  | 1.92% H |
| **Supplemental Data** |  |
| Net assets, end of period (000 omitted) | $83651 |
| Portfolio turnover rate I | 2% J<br>|

---

A*For the period June 17, 2025 (commencement of operations) through July 31, 2025.*

B*Calculated based on average shares outstanding during the period.*

C*Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.*

D*Total returns for periods of less than one year are not annualized.*

E*Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.*

F*Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.*

G*Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.*

H*Annualized.*

I*Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.* 

J*Amount not annualized.*

**Notes to Financial Statements** **(Unaudited)**

For the period ended July 31, 2025

**1. Organization.**

Fidelity SAI Merger Arbitrage Fund (the Fund) is a non-diversified fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.

**2. Investments in Fidelity Central Funds.**

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fidelity Central Fund** | **Investment Manager** | **Investment Objective** | **Investment Practices** | **Expense RatioA** |
| Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |

---

*A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.* 

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

**3. Significant Accounting Policies.**

The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 *Financial Services - Investment Companies*. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The Fund operates as a single operating segment. The Fund's income, expenses, assets, and performance are regularly monitored and assessed as a whole by the investment adviser and other individuals responsible for oversight functions of the Trust, using the information presented in the financial statements and financial highlights. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:

**Investment Valuation.** Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value the Fund's investments by major category are as follows:

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. Exchange-Traded Funds (ETFs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2025 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:

---

| | |
|:---|:---|
| **Gross unrealized appreciation** | $1238110 |
| **Gross unrealized depreciation** | <u>(319666)</u> |
| **Net unrealized appreciation (depreciation)** | <u>$918444</u> |
| **Tax cost** | <u>$100542906</u> |

---

**New Accounting Pronouncement.** In December 2023, the FASB issued ASU 2023-09 Income Taxes (Topic 740): Improvements to Income Tax Disclosures. Effective for annual periods beginning after December 15, 2024, the amendments require greater disaggregation of disclosures related to income taxes paid. The ASU allows for early adoption and amendments should be applied on a prospective basis. Management is currently evaluating the impact of the ASU but does not expect this guidance to materially impact the financial statements.

**4. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

Derivatives were used to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.

Derivatives were used to increase or decrease exposure to the following risk(s):

---

| | |
|:---|:---|
| 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.<br>|

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in total accumulated earnings (loss) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.

Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Statement of Operations.

Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period, unless an average notional amount is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Merger Arbitrage Fund** | 10678279 |

---

**Total Return Swaps.** Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty at the specified payment frequency.

The Fund enters into total return basket swap contracts to obtain exposure to a portfolio of long and/or short positions in order to create and adjust the fund's investment exposure, to enhance total return, to hedge risks, to manage certain investment risk, and to manage volatility. The Fund has the ability to trade in and out of the long and short positions within the swap and receives the economic benefits and risks equivalent to direct investments in these positions.

**5. Purchases and Sales of Investments.**

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity SAI Merger Arbitrage Fund** | 59540718 | 611875 |

---

**6. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of 1.05% of the Fund's average net assets.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Fidelity SAI Merger Arbitrage Fund** | 1867500 | - | - |

---

**7. Expense Reductions.**

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded 1.10% of average net assets. This reimbursement will remain in place through May 31, 2026. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $21,283.

**8. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

At the end of the period, the following mutual funds managed by the investment adviser or its affiliates were the owners of record of 10% or more of the total outstanding shares.

---

| | |
|:---|:---|
|  | **Strategic Advisers Fidelity Alternatives Fund** |
| Fidelity SAI Merger Arbitrage Fund | 94% |

---

**9. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

**Board Approval of Investment Advisory Contracts and Management Fees**

**Fidelity SAI Merger Arbitrage Fund**

At its May 2025 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve each fund's management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements with affiliates of FDS (together, the Advisory Contracts) for each fund. FDS and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requested and considered a broad range of information.

**Nature, Extent, and Quality of Services Provided.** The Board considered Fidelity's staffing as it relates to each fund, including the backgrounds and experience of investment personnel of Fidelity, and also considered each fund's investment objective, strategies and related investment philosophy.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity and technology and operations capabilities and resources, which are integral parts of the investment management process.

<u>Shareholder and Administrative Services</u>. The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for each fund. The Board also considered the nature and extent of the supervision of third-party service providers, principally custodians, subcustodians, and pricing vendors. The Board also considered that each fund is offered exclusively to Fidelity's managed account programs and other Fidelity proprietary investment solutions, and is not offered to the general public.

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

<u>Investment Performance</u>. Each fund is a new fund and therefore had no historical performance for the Board to review at the time it approved each fund's Advisory Contracts. The Board considered the Investment Advisers' strength in managing assets and trading derivatives instruments.

Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to each fund under the Advisory Contracts should benefit the shareholders of each fund.

**Competitiveness of Management Fee and Total Expense Ratio.** The Board was provided with information regarding industry trends in management fees and expenses. In its review of each fund's proposed management fee and total expenses, the Board noted that FDS may agree to waive fees or reimburse expenses from time to time.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. The information provided to the Board indicated that each fund's proposed management fee rate ranked below the competitive median fee rate of funds with similar Morningstar classifications, regardless of whether their management fee structures are comparable. Further, the information provided to the Board indicated that the projected total net expense ratio of each fund ranked below the competitive median of the similar sales load structure group.

<u>Other Contractual Arrangements</u>. The Board noted that FDS has agreed to contractually limit each fund's total operating expenses, with certain limited exceptions, to 105 basis points for Fidelity SAI Managed Futures Fund and 110 basis points for Fidelity SAI Merger Arbitrage Fund through May 31, 2026.

Based on its review, the Board concluded that the management fee and the projected total net expenses of each fund were fair and reasonable in light of the services that each fund and its shareholders will receive, and the other factors considered.

**Costs of the Services and Profitability.** Each fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of each fund at the time it approved the Advisory Contracts. In connection with its consideration of future renewal of each fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and servicing each fund's shareholders.

**Economies of Scale.** The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee for each fund was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that each fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, ultimately concluded that the advisory and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that each fund's Advisory Contracts should be approved through November 2026.

![](img111968_4.jpg)<br>

1.9918587.100 FSM-SANN-0925

Item 8.

<u>Changes in and Disagreements with Accountants for Open-End Management Investment Companies</u>

See Item 7.

Item 9.

<u>Proxy Disclosures for Open-End Management Investment Companies</u>

See Item 7.

Item 10.

<u>Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies</u>

See Item 7.

Item 11.

<u>Statement Regarding Basis for Approval of Investment Advisory Contract</u>

See Item 7.

Item 12.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 13.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 14.

<u>Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 15.

<u>Submission of Matters to a Vote of Security Holders</u>

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Greenwood Street Trust's Board of Trustees.

Item 16.

<u>Controls and Procedures</u>

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Greenwood Street Trust's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.

Item 17.

<u>Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>

Not applicable.

Item 18.

<u>Recovery of Erroneously Awarded Compensation</u>

(a) Not applicable.

(b) Not applicable.

Item 19.

<u>Exhibits</u>

(a) (1) Not applicable.

(a) (2) [Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT](greenwood_ex99cert.htm) .

(a) (3) Not applicable.

(b) [Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT](greenwood_ex99906cert.htm) .

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

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Heather Bonner</u> |
|  | &nbsp;&nbsp; Heather Bonner |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; September 22, 2025 |

---

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.

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Heather Bonner</u> |
|  | &nbsp;&nbsp; Heather Bonner |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; September 22, 2025 |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
|  | &nbsp;&nbsp; Stephanie Caron |
|  | &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; September 22, 2025 |

---

## Ex-99.Cert

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

<u>Exhibit EX-99.CERT</u>

I, Heather Bonner, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Greenwood Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

September 22, 2025

---

| |
|:---|
| &nbsp;&nbsp;<u>/s/Heather Bonner</u> |
| &nbsp;&nbsp;Heather Bonner |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

---

I, Stephanie Caron, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Greenwood Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

September 22, 2025

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

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## Exhibit 99.906

<u>Exhibit EX-99.906CERT</u>

**Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)**

In connection with the attached Report of Fidelity Greenwood Street Trust (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: September 22, 2025

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Heather Bonner</u> |
| &nbsp;&nbsp;Heather Bonner |
| &nbsp;&nbsp;President and Treasurer |

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Dated: September 22, 2025

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer |

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A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

<br>