# EDGAR Filing Document

**Accession Number:** 0001898391
**File Stem:** 0001898391-23-000015
**Filing Date:** 2023-3
**Character Count:** 419307
**Document Hash:** 2ece38d23f9470fc611f09b6fa4f32f2
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001898391-23-000015.hdr.sgml**: 20230323

**ACCESSION NUMBER**: 0001898391-23-000015

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 15

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230323

**DATE AS OF CHANGE**: 20230323

**EFFECTIVENESS DATE**: 20230323

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23762
- **FILM NUMBER:** 23755563

**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 Macro Opportunities Fund (Series ID: S000075413)

| Class ID   | Class Name                                         | Ticker Symbol   |
|:---|:---|:---|
| C000234485 | Fidelity Advisor Macro Opportunities Fund: Class M | FAQDX           |
| C000234486 | Fidelity Advisor Macro Opportunities Fund: Class C | FAQCX           |
| C000234487 | Fidelity Advisor Macro Opportunities Fund: Class I | FAQEX           |
| C000234488 | Fidelity Advisor Macro Opportunities Fund: Class Z | FAQFX           |
| C000234489 | Fidelity Macro Opportunities Fund                  | FAQAX           |
| C000234490 | Fidelity Advisor Macro Opportunities Fund: Class A | FAQBX           |

### 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           |

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UNITED STATES

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SECURITIES AND EXCHANGE COMMISSION

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Washington, D.C. 20549

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **FORM N-CSR** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **CERTIFIED SHAREHOLDER REPORT OF REGISTERED** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **MANAGEMENT INVESTMENT COMPANIES** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Company Act file number <u>811-23762</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Fidelity Greenwood Street Trust</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Exact name of registrant as specified in charter)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>245 Summer St., Boston, Massachusetts 02210</u> 

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cynthia Lo Bessette, Secretary

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 245 Summer St.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Boston, Massachusetts 02210</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Name and address of agent for service)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Registrant's telephone number, including area code:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>617-563-7000</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| | |
|:---|:---|
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date of fiscal year end:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; January 31  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date of reporting period:  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; January 31, 2023  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Item 1.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>Reports to Stockholders</u> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

**Fidelity® Risk Parity Fund**

**Annual Report**

**January 31, 2023**

Includes Fidelity and Fidelity Advisor share classes

![](img88794_1.jpg)

![](img88794_2.jpg)

**Contents**

---

| |
|:---|
| **[Performance](#Sec_Performance)** |
| **[Management's Discussion of Fund Performance](#Sec_Mgt Discussion of FundPerformance)** |
| **[Consolidated Investment Summary](#Sec_InvestmentSummary6513)** |
| **[Consolidated Schedule of Investments](#Sec_ScheduleOfInvestments6513)** |
| **[Consolidated Financial Statements](#Sec_FinancialStatements6513)** |
| **[Notes to Consolidated Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Report of Independent Registered Public Accounting Firm](#Sec_Report of Independent Registered Public Accounting Firm)** |
| **[Trustees and Officers](#Sec_Trustee and Officers)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Distributions](#Sec_Distributions)** |
| **[Liquidity Risk Management Program](#Sec_Liquidity Risk Management Program)** |

---

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.© 2023 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.*

**Performance: The Bottom Line**

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average annual total returns for Fidelity Advisor® Risk Parity Fund will be reported once the fund is a year old.

---

| |
|:---|
| **$10,000 Over Life of Fund**  |
| Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Risk Parity Fund - Class A, a class of the fund, on July 07, 2022, when the fund started, and the current 5.75% sales charge was paid. <br>The chart shows how the value of your investment would have changed, and also shows how the MSCI ACWI (All Country World Index) Index performed over the same period.  |
| ![](img88794_5.jpg)  |

---

**Management's Discussion of Fund Performance**

**Market Recap:** 

Asset prices around the world experienced a synchronous downturn for the 12-months ending January 31, 2023, as a multitude of factors challenged the global economy and financial markets. Persistently high inflation in some markets, exacerbated by energy price shocks from the Russia-Ukraine conflict, spurred the U.S. Federal Reserve and other central banks to aggressively tighten monetary policy. This led to a broad retreat from riskier assets and declining prices for stocks and bonds through September. In Q4, markets experienced a sharp reversal amid optimism on inflation and policy easing, and riskier assets rallied to cap a tumultuous year. International equities returned -5.56% for the 12 months, according to the MSCI ACWI (All Country World Index) ex USA Index. By region, emerging markets (-12%) notably lagged. Conversely, Asia Pacific ex Japan (+7%) held up best. Among the 11 sectors, information technology (-16%) fared worst, followed by real estate (-14%). In contrast, energy gained 4% amid elevated prices for oil and natural gas. The materials sector (+1%) also topped the broader index. U.S. stocks returned -8.42% for the 12 months, as measured by the Dow Jones U.S. Total Stock Market Index. Among sectors, communication services (-27%) lagged most, followed by consumer discretionary (-19%). Conversely, energy (+43%) led by a wide margin. Materials (+4%) and the defensive utilities (+3%) sector also notably outperformed. Value stocks handily outpaced growth among all market capitalizations. Commodities gained 6.20%, according to the Bloomberg Commodity Index Total Return. U.S. taxable investment-grade bonds returned -8.36% for the period, per the Bloomberg U.S. Aggregate Bond Index, amid soaring inflation and rising interest rates. The Fed raised its benchmark rate seven times, by 4.25 percentage points, while allowing up to billions in bonds to mature each month without investing the proceeds. U.S. investment-grade corporate bonds (-9.11%) trailed U.S. Treasuries (-8.54%), while commercial mortgage-backed securities (-7.09%) and agencies (-5.32%) also lost ground. Outside the index, leveraged loans (+1.80%) bested the returns for Treasury Inflation-Protected Securities (-8.38%), U.S. high-yield bonds (-5.14%) and emerging-markets debt securities (-11.29%).

**Comments from Portfolio Manager Avishek Hazrachoudhury:**

From its inception on July 7, 2022, the fund's share classes (excluding sales charges, if applicable) gained about 3%, trailing the 4.61% advance of the Fidelity Risk Parity Composite Index. The fund is designed to provide investors with diversification across the market's main systemic risk factors: growth, inflation, real rates and liquidity. In what was an extremely volatile environment for both stocks and bonds, this diversification detracted from the fund's relative performance as the sharp rise in yields pressured real rates and inflation factors. Conversely, the strong performance of equities and credit during the period led to significant gains in both the growth and liquidity factors, but nonetheless left the portfolio lagging the benchmark, which has a higher risk contribution coming from equities.

**Notes to shareholders:**

On March 1, 2023, Christopher Kelliher assumed co-management responsibilities for the fund.

*The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.*

**Consolidated Investment Summary January 31, 2023 (Unaudited)**

The information in the following tables is based on the consolidated investments of the Fund.

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| Fidelity Commodity Strategy Fund  | 18.2  |
| Fidelity International Index Fund  | 11.5  |
| Fidelity Long-Term Treasury Bond Index Fund  | 8.8  |
| Fidelity Small Cap Value Index Fund  | 7.7  |
| Fidelity Small Cap Index Fund  | 7.7  |
| Fidelity Inflation-Protected Bond Index Fund  | 6.1  |
| U.S. Treasury Bills  | 4.7  |
| Fidelity Real Estate Index Fund  | 3.3  |
| iShares iBoxx $ High Yield Corporate Bond ETF  | 2.9  |
| Invesco Senior Loan ETF  | 2.6  |
|  | 73.5  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88794_6.jpg)  |

---

*Domestic Equity Funds category includes Fidelity Commodity Strategy Fund of 18.2%.*

*Futures and Swaps 59.9%*

**Consolidated Schedule of Investments January 31, 2023**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Equity Funds - 52.3%**  | &nbsp;&nbsp; **Equity Funds - 52.3%**  | &nbsp;&nbsp; **Equity Funds - 52.3%**  |
|  | Shares  | Value ($) <br>|
| Domestic Equity Funds - 38.4%  |  |  |
|  Fidelity Commodity Strategy Fund (a)  | 12807  | 1314000  |
|  Fidelity Real Estate Index Fund (a)  | 14814  | 237762  |
|  Fidelity Small Cap Index Fund (a)  | 15554  | 370660  |
|  Fidelity Small Cap Value Index Fund (a)  | 23650  | 555772  |
|  Fidelity Total Market Index Fund (a)  | 1561  | 176997  |
|  SPDR Gold Trust ETF (b)  | 635  | 113925  |
|  TOTAL DOMESTIC EQUITY FUNDS  |  | 2769116  |
| International Equity Funds - 13.9%  |  |  |
|  Fidelity Emerging Markets Index Fund (a)  | 16803  | 172064  |
|  Fidelity International Index Fund (a)  | 18644  | 833192  |
|  TOTAL INTERNATIONAL EQUITY FUNDS  |  | 1005256  |
| <br> **TOTAL EQUITY FUNDS** <br> (Cost $4,008,235)  |  | <br> **3774372**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Fixed-Income Funds - 22.8%**  | &nbsp;&nbsp; **Fixed-Income Funds - 22.8%**  | &nbsp;&nbsp; **Fixed-Income Funds - 22.8%**  |
|  | Shares  | Value ($) <br>|
| Fixed-Income Funds - 22.8%  |  |  |
|  Fidelity Inflation-Protected Bond Index Fund (a)  | 48078  | 442321  |
|  Fidelity Long-Term Treasury Bond Index Fund (a)  | 58787  | 636668  |
|  Invesco Senior Loan ETF  | 8752  | 184755  |
|  iShares iBoxx $ High Yield Corporate Bond ETF  | 2717  | 207389  |
|  iShares J.P. Morgan EM Local Currency Bond ETF  | 2199  | 79032  |
|  iShares JPMorgan USD Emerging Markets Bond ETF  | 440  | 38680  |
|  iShares U.S. Treasury Bond ETF  | 2315  | 54009  |
| <br> **TOTAL FIXED-INCOME FUNDS** <br> (Cost $1,658,015)  |  | <br> **1642854**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 4.8%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 4.8%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 4.8%**  |
|  | Principal <br> Amount (c) <br>| Value ($) <br>|
|  U.S. Treasury Bills, yield at date of purchase 4.07% to 4.61% 2/2/23 to 4/27/23 (d)(e) <br>(Cost $343,839) <br>| 344000  | **343840**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Cash Equivalents - 18.5%**  | &nbsp;&nbsp; **Cash Equivalents - 18.5%**  | &nbsp;&nbsp; **Cash Equivalents - 18.5%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 4.38% (f) <br>(Cost $1,336,627) <br>| 1336360  | **1336627**  |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 98.4%** <br> (Cost $7,346,716) <br>| <br>**7097693**  |
| **NET OTHER ASSETS (LIABILITIES) - 1.6%**  | **114546**  |
| **NET ASSETS - 100.0%**  | **7212239**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &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 Index Contracts  |  |  |  |  |  |
| ICE E-mini MSCI EAFE Index Contracts (United States)  | 2  | Mar 2023  | 211900  | 13367  | 13367  |
| Treasury Contracts  |  |  |  |  |  |
| CBOT 10-Year U.S. Treasury Note Contracts (United States)  | 3  | Mar 2023  | 343547  | 5736  | 5736  |
| TOTAL PURCHASED  |  |  |  |  | 19103  |
| Sold  |  |  |  |  |  |
| Equity Index Contracts  |  |  |  |  |  |
| CME E-mini S&P 500 Index Contracts (United States)  | 2  | Mar 2023  | 409000  | (8973)  | (8973)  |
| **TOTAL FUTURES CONTRACTS**  |  |  |  |  | **10130**  |
| The notional amount of futures purchased as a percentage of Net Assets is 7.7%  | The notional amount of futures purchased as a percentage of Net Assets is 7.7%  | The notional amount of futures purchased as a percentage of Net Assets is 7.7%  | The notional amount of futures purchased as a percentage of Net Assets is 7.7%  | The notional amount of futures purchased as a percentage of Net Assets is 7.7%  | The notional amount of futures purchased as a percentage of Net Assets is 7.7%  |
| The notional amount of futures sold as a percentage of Net Assets is 5.7%  | The notional amount of futures sold as a percentage of Net Assets is 5.7%  | The notional amount of futures sold as a percentage of Net Assets is 5.7%  | The notional amount of futures sold as a percentage of Net Assets is 5.7%  | The notional amount of futures sold as a percentage of Net Assets is 5.7%  | The notional amount of futures sold as a percentage of Net Assets is 5.7%  |

---

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $808,726.

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **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  | Notional <br> Amount <br> ($)  | Value ($) <br>| Upfront <br> Premium <br> Received/ <br> (Paid) ($) <br>| Unrealized <br> Appreciation/ <br> (Depreciation) ($) <br>|
| Invesco Senior Loan ETF  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 75 basis points  | Monthly  | BNP Paribas SA  | Jul 2023  | 1021175  | 15398  | 0  | 15398  |
| iShares US Treasury Bond ETF  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 10 basis points  | Monthly  | BNP Paribas SA  | Nov 2023  | 779456  | (1597)  | 0  | (1597)  |
| iShares US Treasury Bond ETF  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 10 basis points  | Monthly  | BNP Paribas SA  | Nov 2023  | 103084  | 215  | 0  | 215  |
| iShares 20+ Year Treasury Bond ETF  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 15 basis points  | Monthly  | Bank of America, N.A.  | Jul 2023  | 78834  | 4159  | 0  | 4159  |
| iShares US Treasury Bond ETF  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 38 basis points  | Monthly  | Bank of America, N.A.  | Aug 2023  | 63861  | 1130  | 0  | 1130  |
| iShares TIPS Bond ETF  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 20 basis points  | Monthly  | Goldman Sachs Intl.  | Jul 2023  | 1731659  | 23397  | 0  | 23397  |
| iShares J.P. Morgan EM Local Currency Bond ETF  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 40 basis points  | Monthly  | Goldman Sachs Intl.  | Jul 2023  | 336694  | 11255  | 0  | 11255  |
| iShares J.P. Morgan USD Emerging Markets Bond ETF  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 35 basis points  | Monthly  | Goldman Sachs Intl.  | Jul 2023  | 189707  | 6500  | 0  | 6500  |
| iShares US Treasury Bond ETF  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 40 basis points  | Monthly  | Goldman Sachs Intl.  | Jul 2023  | 18044  | 319  | 0  | 319  |
| SPDR Gold Shares  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 25 basis points  | Monthly  | Goldman Sachs Intl.  | Jul 2023  | 506167  | 22864  | 0  | 22864  |
| SPDR Gold Shares  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 30 basis points  | Monthly  | Goldman Sachs Intl.  | Aug 2023  | 11632  | 525  | 0  | 525  |
| iShares iBoxx $ High Yield Corporate Bond ETF  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 40 basis points  | Monthly  | Morgan Stanley Capital Services LLC  | Jun 2023  | 642315  | 20298  | 0  | 20298  |
| iShares J.P. Morgan USD Emerging Markets Bond ETF  | Receives  | Monthly  | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 10 basis points  | Monthly  | Morgan Stanley Capital Services LLC  | Nov 2023  | 48257  | 1513  | 0  | 1513  |
| **TOTAL RETURN SWAPS**  |  |  |  |  |  |  |  | **105976**  | **0**  | **105976**  |

---

The shares/units for each total return swap, in the same order of appearance as in the table above, were as follows: 49,223 shares, 33,362 shares, 4,431 shares, 777 shares, 2,796 shares, 16,211 shares, 9,717 shares, 2,240 shares, 790 shares, 2,959 shares, 68 shares, 8,707 shares and 568 shares, respectively.

For the period, the average monthly notional amount for swaps in the aggregate was $4,779,930.

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Affiliated Fund

(b) Non-income producing

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

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $39,874.

(e) Security or a portion of the security has been segregated as collateral for bi- lateral over the counter (OTC) swaps. At period end, the value of securities pledged amounted to $303,966.

(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**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 ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 4.38%  | -  | 7909318  | 6572691  | 21506  | -  | -  | 1336627  | 0.0%  |
| Total  | -  | 7909318  | 6572691  | 21506  | -  | -  | 1336627  |  |

---

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 Funds 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 ($)  |
|  Fidelity Commodity Strategy Fund  | -  | 1879253  | 155322  | 393452  | (27765)  | (382166)  | 1314000  |
|  Fidelity Emerging Markets Index Fund  | -  | 191646  | 26391  | 311  | (1084)  | 7893  | 172064  |
|  Fidelity Inflation-Protected Bond Index Fund  | -  | 1073123  | 586753  | 26230  | (36950)  | (7099)  | 442321  |
|  Fidelity International Bond Index Fund  | -  | 384199  | 381735  | -  | (2464)  | -  | -  |
|  Fidelity International Index Fund  | -  | 1053019  | 290291  | 12640  | (2166)  | 72630  | 833192  |
|  Fidelity Long-Term Treasury Bond Index Fund  | -  | 1203051  | 516283  | 11532  | (37138)  | (12962)  | 636668  |
|  Fidelity Real Estate Index Fund  | -  | 261325  | 22518  | 4301  | (2836)  | 1791  | 237762  |
|  Fidelity Small Cap Index Fund  | -  | 400823  | 54686  | 3339  | (2409)  | 26932  | 370660  |
|  Fidelity Small Cap Value Index Fund  | -  | 625295  | 99133  | 13868  | (3568)  | 33178  | 555772  |
|  Fidelity Total Market Index Fund  | -  | 494105  | 324329  | 2216  | 4223  | 2998  | 176997  |
|  | -  | 7565839  | 2457441  | 467889  | (112157)  | (256805)  | 4739436  |

---

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.

**Consolidated Subsidiary**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Fund  | 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 ($)  |
|  Fidelity Risk Parity Cayman Ltd.  | -  | 206050  | -  | -  | -  | 47507  | 253557  |

---

**Investment Valuation**

The following is a summary of the inputs used, as of January 31, 2023, 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>**  |  |  |  |  |
|  Equity Funds  | 3774372  | 3774372  | -  | -  |
|  Fixed-Income Funds  | 1642854  | 1642854  | -  | -  |
|  Other Short-Term Investments  | 343840  | -  | 343840  | -  |
|  Money Market Funds  | 1336627  | 1336627  | -  | -  |
| **Total Investments in Securities:**  | 7097693  | 6753853  | 343840  | -  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 19103  | 19103  | -  | -  |
| Swaps  | 107573  | -  | 107573  | -  |
| Total Assets  | 126676  | 19103  | 107573  | -  |
|  **Liabilities**  |  |  |  |  |
| Futures Contracts  | (8973)  | (8973)  | -  | -  |
| Swaps  | (1597)  | -  | (1597)  | -  |
| Total Liabilities  | (10570)  | (8973)  | (1597)  | -  |
| **Total Derivative Instruments:**  | 116106  | 10130  | 105976  | -  |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2023. 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)  | 23389  | 0  |
| **Total Commodity Risk**  | 23389  | 0  |
| **Credit Risk**  |  |  |
| Swaps (a)  | 54964  | 0  |
| **Total Credit Risk**  | 54964  | 0  |
| **Equity Risk**  |  |  |
| Futures Contracts (b)  | 13367  | (8973)  |
| **Total Equity Risk**  | 13367  | (8973)  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts (b)  | 5736  | 0  |
| Swaps (a)  | 29220  | (1597)  |
| **Total Interest Rate Risk**  | 34956  | (1597)  |
| **Total Value of Derivatives**  | 126676  | (10570)  |

---

(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-items.

(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).

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** <sup>(a)</sup> **($)**  | <br> **Collateral** <br> **Pledged** <sup>(a)</sup> **($)**  | <br>**Net** <sup>(b)</sup> **($)**  |
| Bank of America, N.A.  | 5289  | -  | -  | -  | 5289  |
| BNP Paribas SA  | 15613  | (1597)  | -  | -  | 14016  |
| Goldman Sachs Intl.  | 64860  | -  | -  | -  | 64860  |
| Morgan Stanley Capital Services LLC  | 21811  | -  | -  | -  | 21811  |
| Exchange Traded Futures  | 19103  | (8973)  | -  | -  | 10130  |
| Total  | $126676  | $(10570)  |  |  |  |

---

*(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**

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Assets and Liabilities**  | **Consolidated Statement of Assets and Liabilities**  | **Consolidated Statement of Assets and Liabilities**  |
|  |  | **January 31, 2023**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $1,013,848)  | $1021630  |  |
|  Fidelity Central Funds (cost $1,336,627)  | 1336627  |  |
|  Other affiliated issuers (cost $4,996,241)  | 4739436  |  |
|  Total Investment in Securities (cost $7,346,716)  |  | $7097693  |
|  Cash  |  | 9043  |
| Receivable for investments sold  |  | 3804  |
|  Receivable for fund shares sold  |  | 1251  |
|  Distributions receivable from Fidelity Central Funds  |  | 4719  |
|  Bi-lateral OTC swaps, at value  |  | 107573  |
|  Receivable from investment adviser for expense reductions  |  | 2981  |
| **Total assets**  |  | 7227064  |
| **Liabilities**  |  |  |
|  Payable for fund shares redeemed  | $2483  |  |
|  Bi-lateral OTC swaps, at value  | 1597  |  |
|  Accrued management fee  | 3122  |  |
|  Distribution and service plan fees payable  | 1448  |  |
|  Payable for daily variation margin on futures contracts  | 3927  |  |
|  Other affiliated payables  | 2248  |  |
| **Total Liabilities**  |  | 14825  |
| **Net Assets**  |  | $7212239  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $7419595  |
|  Total accumulated earnings (loss)  |  | (207356)  |
|  **Net Assets**  |  | $7212239  |
|  **Net Asset Value and Maximum Offering Price**  |  |  |
| **Class A :**  |  |  |
|  **Net Asset Value** and redemption price per share ($1,008,857 ÷ 104,606 shares) <sup>(a)</sup>  |  | $9.64  |
|  Maximum offering price per share (100/94.25 of $9.64)  |  | $10.23  |
| **Class M :**  |  |  |
|  **Net Asset Value** and redemption price per share ($1,008,250 ÷ 104,564 shares) <sup>(a)</sup>  |  | $9.64  |
|  Maximum offering price per share (100/96.50 of $9.64)  |  | $9.99  |
| **Class C :**  |  |  |
|  **Net Asset Value** and offering price per share ($1,007,561 ÷ 104,534 shares) <sup>(a)</sup>  |  | $9.64  |
| **Fidelity Risk Parity Fund :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($2,035,984 ÷ 212,076 shares)  |  | $9.60  |
| **Class I :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($1,141,081 ÷ 118,320 shares)  |  | $9.64  |
| **Class Z :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($1,010,506 ÷ 104,734 shares)  |  | $9.65  |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  | *(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**  |
|  |  | **For the period July 7, 2022 (commencement of operations) through January 31, 2023**  |
|  **Investment Income**  |  |  |
| Dividends:  |  |  |
| Unaffiliated issuers  |  | $6573  |
| Affiliated issuers  |  | 461524  |
| Interest  |  | 5555  |
| Income from Fidelity Central Funds  |  | 21506  |
| **Total Income**  |  | 495158  |
|  **Expenses**  |  |  |
| Management fee  | $18501  |  |
| Distribution and service plan fees  | 9694  |  |
| Independent trustees' fees and expenses  | 47044  |  |
| Total expenses before reductions  | 75239  |  |
| Expense reductions  | (47364)  |  |
| Total expenses after reductions  |  | 27875  |
| **Net Investment income (loss)**  |  | 467283  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (3139)  |  |
| Affiliated issuers  | (112157)  |  |
| Futures contracts  | (24632)  |  |
| Swaps  | (37475)  |  |
| Capital gain distributions from underlying funds:  |  |  |
| Affiliated issuers  | 6365  |  |
| Total net realized gain (loss)  |  | (171038)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated Issuers  | 7782  |  |
| Affiliated issuers  | (256805)  |  |
| Futures contracts  | 10130  |  |
| Swaps  | 105976  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (132917)  |
| **Net gain (loss)**  |  | (303955)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $163328  |

---

---

| | |
|:---|:---|
| **Consolidated Statement of Changes in Net Assets**  | **Consolidated Statement of Changes in Net Assets**  |
|  | **For the period July 7, 2022 (commencement of operations) through January 31, 2023**  |
| **Increase (Decrease) in Net Assets**  |  |
| Operations  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $467283  |
| &nbsp;&nbsp; Net realized gain (loss)  | (171038) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (132917)  |
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 163328 <br>|
| Distributions to shareholders  | (370684) <br>|
| Share transactions - net increase (decrease)  | 7419595 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 7212239 <br>|
| **Net Assets**  |  |
| &nbsp;&nbsp; Beginning of period  | -  |
| &nbsp;&nbsp; End of period  | $7212239  |

---

**Consolidated Financial Highlights** 

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

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .86  |
| Net realized and unrealized gain (loss)  | (.60)  |
| Total from investment operations  | .26  |
| Distributions from net investment income  | (.62)  |
| Total distributions  | (.62)  |
| Net asset value, end of period  | $9.64  |
| **Total Return** <sup>D,E,F</sup>  | 2.90%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |
| Expenses before reductions  | 2.40% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | .85% <sup>I</sup>  |
| Expenses net of all reductions  | .84% <sup>I</sup>  |
| Net investment income (loss)  | 15.39% <sup>I</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $1009  |
| Portfolio turnover rate <sup>J</sup>  | 163% <sup>I</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *Total returns do not include the effect of the sales charges.*

<sup>G</sup> *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.*

<sup>H</sup> *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.*

<sup>I</sup> *Annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

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

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .84  |
| Net realized and unrealized gain (loss)  | (.60)  |
| Total from investment operations  | .24  |
| Distributions from net investment income  | (.60)  |
| Total distributions  | (.60)  |
| Net asset value, end of period  | $9.64  |
| **Total Return** <sup>D,E,F</sup>  | 2.77%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |
| Expenses before reductions  | 2.65% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | 1.10% <sup>I</sup>  |
| Expenses net of all reductions  | 1.09% <sup>I</sup>  |
| Net investment income (loss)  | 15.09% <sup>I</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $1008  |
| Portfolio turnover rate <sup>J</sup>  | 163% <sup>I</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *Total returns do not include the effect of the sales charges.*

<sup>G</sup> *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.*

<sup>H</sup> *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.*

<sup>I</sup> *Annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

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

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .82  |
| Net realized and unrealized gain (loss)  | (.60)  |
| Total from investment operations  | .22  |
| Distributions from net investment income  | (.58)  |
| Total distributions  | (.58)  |
| Net asset value, end of period  | $9.64  |
| **Total Return** <sup>D,E,F</sup>  | 2.52%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |
| Expenses before reductions  | 3.15% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | 1.60% <sup>I</sup>  |
| Expenses net of all reductions  | 1.59% <sup>I</sup>  |
| Net investment income (loss)  | 14.60% <sup>I</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $1008  |
| Portfolio turnover rate <sup>J</sup>  | 163% <sup>I</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *Total returns do not include the effect of the contingent deferred sales charge.*

<sup>G</sup> *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.*

<sup>H</sup> *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.*

<sup>I</sup> *Annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

 **Fidelity® Risk Parity Fund** <br>

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .27  |
| Net realized and unrealized gain (loss)  | (.04)  |
| Total from investment operations  | .23  |
| Distributions from net investment income  | (.63)  |
| Total distributions  | (.63)  |
| Net asset value, end of period  | $9.60  |
| **Total Return** <sup>D,E</sup>  | 2.63%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |
| Expenses before reductions  | 1.26% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .60% <sup>H</sup>  |
| Expenses net of all reductions  | .58% <sup>H</sup>  |
| Net investment income (loss)  | 7.06% <sup>H</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $2036  |
| Portfolio turnover rate <sup>I</sup>  | 163% <sup>H</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *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.*

<sup>G</sup> *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.*

<sup>H</sup> *Annualized.*

<sup>I</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

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

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .88  |
| Net realized and unrealized gain (loss)  | (.61)  |
| Total from investment operations  | .27  |
| Distributions from net investment income  | (.63)  |
| Total distributions  | (.63)  |
| Net asset value, end of period  | $9.64  |
| **Total Return** <sup>D,E</sup>  | 3.02%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |
| Expenses before reductions  | 2.18% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .60% <sup>H</sup>  |
| Expenses net of all reductions  | .59% <sup>H</sup>  |
| Net investment income (loss)  | 15.81% <sup>H</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $1141  |
| Portfolio turnover rate <sup>I</sup>  | 163% <sup>H</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *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.*

<sup>G</sup> *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.*

<sup>H</sup> *Annualized.*

<sup>I</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

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

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .97  |
| Net realized and unrealized gain (loss)  | (.69)  |
| Total from investment operations  | .28  |
| Distributions from net investment income  | (.63)  |
| Total distributions  | (.63)  |
| Net asset value, end of period  | $9.65  |
| **Total Return** <sup>D,E</sup>  | 3.13%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |
| Expenses before reductions  | 2.23% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .55% <sup>H</sup>  |
| Expenses net of all reductions  | .54% <sup>H</sup>  |
| Net investment income (loss)  | 17.34% <sup>H</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $1011  |
| Portfolio turnover rate <sup>I</sup>  | 163% <sup>H</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *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.*

<sup>G</sup> *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.*

<sup>H</sup> *Annualized.*

<sup>I</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

**Notes to Consolidated Financial Statements**

For the period ended January 31, 2023

**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 commenced sale of Fidelity Risk Parity Fund shares on September 1, 2022. 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. 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**  | **$ Amount**  | **% of Fund's Net Assets**  |
| **Fidelity Risk Parity Fund**  | Fidelity Risk Parity Cayman Ltd.  | 253557  | 3.5  |

---

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 Ratio** <sup>A</sup>  |
| 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%  |

---

<sup>A</sup> *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. 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 (ETFs) 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, 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. 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 January 31, 2023 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. 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. 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. As of January 31, 2023, the Fund did not have any unrecognized tax benefits in the consolidated financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. 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 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**  | $138144  |
| **Gross unrealized depreciation**  | <u>(530347)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(392203)</u>  |
| **Tax Cost**  | <u>$7455009</u>  |

---

The tax-based components of distributable earnings as of period end were as follows:

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$200655</u>  |
| **Capital loss carryforward**  | <u>$(15809)</u>  |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(392203)</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 fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term  | $(13473)  |
| Long-term  | <u>(2336)</u>  |
| **Total capital loss carryforward**  | <u>$(15809)</u>  |

---

The tax character of distributions paid was as follows:

---

| | |
|:---|:---|
|  | **January 31, 2023** <sup>A</sup>  |
| **Ordinary Income**  | <u>$370684</u>  |

---

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

**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 the 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. 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 Risk Parity Fund**  |  |  |
| **Commodity Risk**  |  |  |
| Swaps  | <u>18400</u>  | <u>23389</u>  |
| **Total Commodity Risk**  | <u>18400</u>  | <u>23389</u>  |
| **Credit Risk**  |  |  |
| Swaps  | <u>55000</u>  | <u>54964</u>  |
| **Total Credit Risk**  | <u>55000</u>  | <u>54964</u>  |
| **Equity Risk**  |  |  |
| Futures Contracts  | <u>4956</u>  | <u>4394</u>  |
| **Total Equity Risk**  | <u>4956</u>  | <u>4394</u>  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts  | (29588)  | 5736  |
| Swaps  | <u>(110875)</u>  | <u>27623</u>  |
| **Total Interest Rate Risk**  | <u>(140463)</u>  | <u>33359</u>  |
| **Totals**  | <u>(62107)</u>  | <u>116106</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, 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. 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 net unrealized appreciation (depreciation) 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.

**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. 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**  | 9855725  | 3975172  |

---

**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%  | $1390  | $1385  |
| **Class M**  | .25%  | .25%  | 2768  | 2767  |
| **Class C**  | .75%  | .25%  | <u>5536</u>  | <u>5536</u>  |
|  |  |  | <u>$9694</u>  | <u>$9688</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, there were no sales charge amounts retained by FDC.

**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**  | $113  |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. 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 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, 2024. 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%  | $8625  |
| **Class M**  | 1.10%  | 8552  |
| **Class C**  | 1.60%  | 8534  |
| **Fidelity Risk Parity Fund**  | .60%  | 1768  |
| **Class I**  | .60%  | 9685  |
| **Class Z**  | .55%  | <u>9760</u>  |
|  |  | <u>$46924</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 by $397.

In addition, during the period the investment adviser or an affiliate reimbursed and/or waived a portion of fund-level operating expenses in the amount of $43.

**9. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | |
|:---|:---|
|  | **Year ended January 31, 2023** <sup>A</sup>  |
| **Fidelity Risk Parity Fund**  |  |
| **Distributions to shareholders**  |  |
| Class A  | $60367  |
| Class M  | 59224  |
| Class C  | 56987  |
| Fidelity Risk Parity Fund  | 63034  |
| Class I  | 69528  |
| Class Z  | <u>61544</u>  |
| Total  | <u>$370684</u>  |

---

<sup>A</sup> *Distributions for Class A, Class M, Class C, Class I and Class Z are for the period July 7, 2022 (commencement of operations) through January 31, 2023 and for Fidelity Risk Parity Fund for the period September 1, 2022 (commencement of sale of shares) through January 31, 2023.*

**10. 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**  | **Dollars**  |
|  | **Year ended January 31, 2023** <sup>A</sup>  | **Year ended January 31, 2023** <sup>A</sup>  |
| **Fidelity Risk Parity Fund**  |  |  |
| **Class A**  |  |  |
| Shares sold  | 98825  | $988808  |
| Reinvestment of distributions  | 6606  | 60367  |
| Shares redeemed  | <u>(825)</u>  | <u>(8067)</u>  |
| Net increase (decrease)  | <u>104606</u>  | <u>$1041108</u>  |
| **Class M**  |  |  |
| Shares sold  | 98083  | $980805  |
| Reinvestment of distributions  | <u>6481</u>  | <u>59224</u>  |
| Net increase (decrease)  | <u>104564</u>  | <u>$1040029</u>  |
| **Class C**  |  |  |
| Shares sold  | 98298  | $982961  |
| Reinvestment of distributions  | <u>6236</u>  | <u>56987</u>  |
| Net increase (decrease)  | <u>104534</u>  | <u>$1039948</u>  |
| **Fidelity Risk Parity Fund**  |  |  |
| Shares sold  | 219651  | $2116923  |
| Reinvestment of distributions  | 2577  | 23447  |
| Shares redeemed  | <u>(10152)</u>  | <u>(93338)</u>  |
| Net increase (decrease)  | <u>212076</u>  | <u>$2047032</u>  |
| **Class I**  |  |  |
| Shares sold  | 110712  | $1115000  |
| Reinvestment of distributions  | <u>7608</u>  | <u>69528</u>  |
| Net increase (decrease)  | <u>118320</u>  | <u>$1184528</u>  |
| **Class Z**  |  |  |
| Shares sold  | 117657  | $1188529  |
| Reinvestment of distributions  | 6734  | 61544  |
| Shares redeemed  | <u>(19657)</u>  | <u>(183123)</u>  |
| Net increase (decrease)  | <u>104734</u>  | <u>$1066950</u>  |

---

<sup>A</sup> *Share transactions for Class A, Class M, Class C, Class I and Class Z are for the period July 7, 2022 (commencement of operations) through January 31, 2023 and for Fidelity Risk Parity Fund for the period September 1, 2022 (commencement of sale of shares) through January 31, 2023.*

**11. 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**  | 71%  |

---

**12. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, 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.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Greenwood Street Trust and the Shareholders of Fidelity Risk Parity Fund

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying consolidated statement of assets and liabilities of Fidelity Risk Parity Fund (the "Fund"), a fund of Fidelity Greenwood Street Trust, including the consolidated schedule of investments, as of January 31, 2023, the related consolidated statement of operations, the consolidated statement of changes in net assets and the consolidated financial highlights for the period from July 7, 2022 (commencement of operations) through January 31, 2023, and the related notes. In our opinion, the consolidated financial statements and consolidated financial highlights present fairly, in all material respects, the financial position of the Fund as of January 31, 2023, the results of its operations, the changes in its net assets and the financial highlights for the period from July 7, 2022 (commencement of operations) through January 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audit we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audit included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of January 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

March 17, 2023

We have served as the auditor of one or more of the Fidelity investment companies since 1999.

**Trustees and Officers**

**<u>TRUSTEES AND OFFICERS</u>**

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees four funds.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 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.

<u>Experience, Skills, Attributes, and Qualifications of the Trustees.</u> The Board of Trustees has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Board of Trustees also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Board of Trustees. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

<u>Board Structure and Oversight Function.</u> David B. Jones is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session.

Fidelity <sup>®</sup> funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's alternative investment funds, and other Boards oversee Fidelity's investment-grade bond, money market, asset allocation, high income, and equity funds. The asset allocation funds may invest in Fidelity <sup>®</sup> funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity **®** funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity <sup>®</sup> funds overseen by each Board.

The Trustees primarily operate as a full Board, but have also established one standing committee, the Audit Committee, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged FDS and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FDS, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FDS's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board and Audit Committee, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity <sup>®</sup> funds. The responsibilities of the Audit Committee, including its oversight responsibilities, are described further under "Standing Committees of the Trustees."

<u>Interested Trustees\*:</u>

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

David B. Jones (1962)

Year of Election or Appointment: 2021

Trustee

Chair of the Board of Trustees

Mr. Jones also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Jones served in a variety of positions at Fidelity Investments (1982-2008), retiring as a Senior Vice President. His duties included new product development, serving as a liaison to the board of trustees of various Fidelity <sup>®</sup> funds, and development of policies and procedures for fund investments in derivatives and complex securities. He also served on the FMR Fair Value Committee, which is responsible for day-to-day valuation activities for various Fidelity <sup>®</sup> funds

\* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FDS.

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.

<u>Independent Trustees:</u>

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

Jennifer M. Birmingham (1971)

Year of Election or Appointment: 2021

Trustee

Ms. Birmingham also serves as Trustee of other Fidelity <sup>®</sup> funds. Ms. Birmingham serves as Managing Director of Princeton University Investment Company (PRINCO) (2010-present). Previously, Ms. Birmingham served in a variety of positions at Deutsche Bank Asset Management (2002-2010), including Managing Director, Global CFO of DB Advisors and Deutsche Insurance Asset Management, Americas CFO of DWS Americas and various legal entities (2005-2010). Prior to Deutsche Bank, Ms. Birmingham was an employee of Investors Bank and Trust Company (1997-2002) and Deloitte & Touche LLP (1993-1997).

Matthew J. Conti (1966)

Year of Election or Appointment: 2021

Trustee

Mr. Conti also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Conti served in a variety of positions at Fidelity Investments, including as a portfolio manager to certain Fidelity® funds (2000-2018) and research analyst (1995-2003). Mr. Conti serves as a member of the Board of Directors of the Rose Kennedy Greenway Conservancy (2021-present).

Tara C. Kenney (1960)

Year of Election or Appointment: 2021

Trustee

Ms. Kenney also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to her retirement, Ms. Kenney served as Senior Vice President of Boston Common Asset Management (2017-2020). Previously, Ms. Kenney served as Managing Director in a variety of roles for Deutsche Asset Management (2003-2016) as well as Scudder Investments where she was a Portfolio Manager (1995-2003). Currently, Ms. Kenney serves as a Board member for a number of non-profit organizations and academic institutions, including Catholic Charities USA (2017-present) and the Kellogg Institute for International Studies at the University of Notre Dame (2002-present). Ms. Kenney is also an adjunct professor of finance at the University of Notre Dame.

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.

<u>Advisory Board Members and Officers:</u>

Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

<u>Name, Year of Birth; Principal Occupation</u>

Joseph Benedetti (1965)

Year of Election or Appointment: 2021

Assistant Secretary

Mr. Benedetti also serves as Assistant Secretary of other funds. Mr. Benedetti is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2020-present) and is an employee of Fidelity Investments. Mr. Benedetti serves as Assistant Secretary of Fidelity Diversifying Solutions LLC (investment adviser firm, 2022-present) and FIAM LLC (investment adviser firm, 2021-present). Previously, Mr. Benedetti served as Secretary of Fidelity Diversifying Solutions LLC (2021-2022). Prior to joining Fidelity, Mr. Benedetti was Assistant General Counsel at Invesco (investment adviser firm, 2019-2020); Senior Vice President and Managing Counsel at OppenheimerFunds Inc. (investment adviser firm, 2017-2019); and a Managing Director in the Legal Department of Morgan Stanley Investment Management Inc. (investment adviser firm, 2004-2017).

Heather Bonner (1977)

Year of Election or Appointment: 2023

President and Treasurer

Ms. Bonner also serves as President and Treasurer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).

Craig S. Brown (1977)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2022).

John J. Burke III (1964)

Year of Election or Appointment: 2021

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

Nati Davidi (1971)

Year of Election or Appointment: 2021

Assistant Secretary

Ms. Davidi also serves as Assistant Secretary of other funds. Ms. Davidi serves as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2013-present) and is an employee of Fidelity Investments. Previously, Ms. Davidi served as Assistant Secretary of the North Carolina Capital Management Trust (2016-2022).

Jonathan Davis (1968)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2021

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Colm A. Hogan (1973)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity <sup>®</sup> funds (2016-2020) and Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2016-2018).

William Irving (1964)

Year of Election or Appointment: 2023

Vice President

Mr. Irving also serves as Vice President of other funds. Mr. Irving serves as Head of Fidelity Asset Management Solutions (2022-present) and is an employee of Fidelity Investments. Mr. Irving serves as President and Director of Fidelity Diversifying Solutions LLC (investment adviser firm, 2023-present) and President, Director, or Vice President of certain other Fidelity entities. Previously, Mr. Irving served as Chief Investment Officer (CIO) in the Global Asset Allocation division (2020-2022). Prior to that, he was Managing Director of Research in the Global Asset Allocation division (2018-2020) and portfolio manager of certain Fidelity <sup>®</sup> funds (2004-2018).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2021

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), FD Funds Management LLC (2021-present), and Fidelity Diversifying Solutions LLC (investment adviser firm, 2022-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Ksenia Portnoy (1980)

Year of Election or Appointment: 2021

Chief Compliance Officer

Ms. Portnoy also serves as Chief Compliance Officer of other funds. Ms. Portnoy is a Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2021-present). Prior to joining Fidelity, Ms. Portnoy worked in the asset management divisions of Morgan Stanley Investment Management (investment adviser firm, 2020-2021), Mizuho (investment adviser firm, 2015-2020), Guggenheim Partners (investment adviser firm, 2012-2015) and Lehman Brothers (investment adviser firm, 2008-2012).

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2021

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity <sup>®</sup> funds.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2021).

**Shareholder Expense Example**

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2022 to January 31, 2023) for Class A and Class M and Class C and Class I and Class Z and for the period (September 1, 2022 to January 31, 2023) for Fidelity® Risk Parity Fund. The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2022 to January 31, 2023). <br>

***Actual Expenses***

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

***Hypothetical Example for Comparison Purposes***

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

---

| | | | |
|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value**  | **Ending Account Value January 31, 2023**  |
| **Fidelity® Risk Parity Fund**  |  |  |  |
| **Class A**  | .85%  |  |  |
| **Actual**  |  | $1000  | $958.10 <br> $4.20 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1020.92 <br> $4.33 <sup>D</sup> <br>|
| **Class M**  | 1.10%  |  |  |
| **Actual**  |  | $1000  | $956.90 <br> $5.43 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1019.66 <br> $5.60 <sup>D</sup> <br>|
| **Class C**  | 1.60%  |  |  |
| **Actual**  |  | $1000  | $955.40 <br> $7.89 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1017.14 <br> $8.13 <sup>D</sup> <br>|
| **Fidelity® Risk Parity Fund**  | .60%  |  |  |
| **Actual**  |  | $1000  | $1026.30 <br> $2.55 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1022.18 <br> $3.06 <sup>D</sup> <br>|
| **Class I**  | .60%  |  |  |
| **Actual**  |  | $1000  | $959.30 <br> $2.96 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1022.18 <br> $3.06 <sup>D</sup> <br>|
| **Class Z**  | .55%  |  |  |
| **Actual**  |  | $1000  | $960.30 <br> $2.72 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1022.43 <br> $2.80 <sup>D</sup> <br>|

---

*A Annualized expense ratio reflects expenses net of applicable fee waivers.*

*B 5% return per year before expenses*

*C Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 / 365 (to reflect the one-half year period) for Class A and Class M and Class C and Class I and Class Z and multiplied by 153 / 365 (to reflect the period September 1, 2022 to January 31, 2023) for Fidelity® Risk Parity Fund.*

*D Hypothetical expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).*

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com.*

The fund designates $65,795 of distributions paid in the calendar year 2022 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $23,609 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.

A percentage of the dividends distributed during the fiscal qualify for the dividends-received deduction for corporate shareholders:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Ex-Date <br>| Class A  | Class M  | Class C  | Risk Parity Fund  | Class I  | Class Z  |
| 12/29/2022 <br>| 3.00%  | 3.00%  | 3.00%  | 2.00%  | 2.00%  | 2.00%  |
| 12/30/2022 <br>| 3.00%  | 3.00%  | 3.00%  | 3.00%  | 3.00%  | 3.00%  |

---

A percentage of the dividends distributed during the fiscal year may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Ex-Date  | Class A  | Class M  | Class C  | Risk Parity Fund  | Class I  | Class Z  |
| 12/29/2022  | 4.57%  | 4.66%  | 4.86%  | 4.48%  | 4.48%  | 4.48%  |
| 12/30/2022  | 4.58%  | 4.58%  | 4.58%  | 4.58%  | 4.58%  | 4.58%  |

---

A percentage of the dividends distributed during the fiscal year qualify as a section 199A dividend:

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| Ex-Date  | Class A  | Class M  | Class C  | Risk Parity Fund  | Class I  | Class Z  |
| 12/29/2022 <br>| 0.49%  | 0.50%  | 0.52%  | 0.48%  | 0.48%  | 0.48%  |
| 12/30/2022 <br>| 0.49%  | 0.49%  | 0.49%  | 0.49%  | 0.49%  | 0.49%  |

---

The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.

**Liquidity Risk Management Program**

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.

In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

* Highly liquid investments - cash or convertible to cash within three business days or less 

* Moderately liquid investments - convertible to cash in three to seven calendar days 

* Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days 

* Illiquid investments - cannot be sold or disposed of within seven calendar days 

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period ending November 30, 2022. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.

![](img88794_2.jpg) <br>

1.9906092.100 RPF-ANN-0423

**Fidelity® Macro Opportunities Fund**

**Annual Report**

**January 31, 2023**

Includes Fidelity and Fidelity Advisor share classes

![](img88795_1.jpg)

![](img88795_2.jpg)

**Contents**

---

| |
|:---|
| **[Performance](#Sec_Performance)** |
| **[Management's Discussion of Fund Performance](#Sec_Mgt Discussion of FundPerformance)** |
| **[Consolidated Investment Summary](#Sec_InvestmentSummary6519)** |
| **[Consolidated Schedule of Investments](#Sec_ScheduleOfInvestments6519)** |
| **[Consolidated Financial Statements](#Sec_FinancialStatements6519)** |
| **[Notes to Consolidated Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Report of Independent Registered Public Accounting Firm](#Sec_Report of Independent Registered Public Accounting Firm)** |
| **[Trustees and Officers](#Sec_Trustee and Officers)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Distributions](#Sec_Distributions)** |
| **[Liquidity Risk Management Program](#Sec_Liquidity Risk Management Program)** |

---

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.© 2023 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.*

**Performance: The Bottom Line**

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average annual total returns for Fidelity Advisor® Macro Opportunities Fund will be reported once the fund is a year old.

---

| |
|:---|
| **$10,000 Over Life of Fund**  |
| Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Macro Opportunities Fund - Class A, a class of the fund, on July 07, 2022, when the fund started, and the current 5.75% sales charge was paid. <br>The chart shows how the value of your investment would have changed, and also shows how the Bloomberg US 3 Month Treasury Bellwether Index performed over the same period.  |
| ![](img88795_5.jpg)  |

---

**Management's Discussion of Fund Performance**

**Market Recap:** 

Asset prices around the world experienced a synchronous downturn for the 12-months ending January 31, 2023, as a multitude of factors challenged the global economy and financial markets. Persistently high inflation in some markets, exacerbated by energy price shocks from the Russia-Ukraine conflict, spurred the U.S. Federal Reserve and other central banks to aggressively tighten monetary policy. This led to a broad retreat from riskier assets and declining prices for stocks and bonds through September. In Q4, markets experienced a sharp reversal amid optimism on inflation and policy easing, and riskier assets rallied to cap a tumultuous year. International equities returned -5.56% for the 12 months, according to the MSCI ACWI (All Country World Index) ex USA Index. By region, emerging markets (-12%) notably lagged. Conversely, Asia Pacific ex Japan (+7%) held up best. Among the 11 sectors, information technology (-16%) fared worst, followed by real estate (-14%). In contrast, energy gained 4% amid elevated prices for oil and natural gas. The materials sector (+1%) also topped the broader index. U.S. stocks returned -8.42% for the 12 months, as measured by the Dow Jones U.S. Total Stock Market Index. Among sectors, communication services (-27%) lagged most, followed by consumer discretionary (-19%). Conversely, energy (+43%) led by a wide margin. Materials (+4%) and the defensive utilities (+3%) sector also notably outperformed. Value stocks handily outpaced growth among all market capitalizations. Commodities gained 6.20%, according to the Bloomberg Commodity Index Total Return. U.S. taxable investment-grade bonds returned -8.36% for the period, per the Bloomberg U.S. Aggregate Bond Index, amid soaring inflation and rising interest rates. The Fed raised its benchmark rate seven times, by 4.25 percentage points, while allowing up to billions in bonds to mature each month without investing the proceeds. U.S. investment-grade corporate bonds (-9.11%) trailed U.S. Treasuries (-8.54%), while commercial mortgage-backed securities (-7.09%) and agencies (-5.32%) also lost ground. Outside the index, leveraged loans (+1.80%) bested the returns for Treasury Inflation-Protected Securities (-8.38%), U.S. high-yield bonds (-5.14%) and emerging-markets debt securities (-11.29%).

**Comments from Portfolio Manager Jordan Alexiev:**

From its inception on July 7, 2022, the fund's share classes (excluding sales charges, if applicable) returned about -7% to -6%, trailing the 1.69% gain of the Bloomberg U.S. 3 Month Treasury Bellwether Index. In what was an extremely challenging environment for risk-oriented investments, asset class positioning notably weighed on the fund's relative result. In the summer of 2022, we started increasing the fund's overweight to duration (a key measure of interest rate sensitivity), given the already sizable uptick in rates that had occurred, along with what was promised in terms of future rate hikes and quantitative tightening efforts. With the benefit of hindsight, this change proved to be a bit too early. The resulting market drawdown in the late summer was driven by two things, first: a notable tightening in credit spreads where the fund maintained an underweight given our expectations of a slowing economy that could potentially challenge credit fundamentals; and second, rates rose further on the back of ever-increasing Fed hawkishness. Since its launch, the fund's underweighted exposure to U.S. credit and overweighting among U.S. Treasuries proved most challenging. On the other hand, the fund's positioning among short-term investments, U.S. equities and foreign currencies moderately contributed to relative performance during the period.

*The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.*

**Consolidated Investment Summary January 31, 2023 (Unaudited)**

The information in the following tables is based on the consolidated investments of the Fund.

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| iShares 7-10 Year Treasury Bond ETF  | 19.0  |
| Vanguard Consumer Staples ETF  | 4.7  |
| Vanguard Health Care ETF  | 4.7  |
| iShares Russell 2000 Index ETF  | 2.2  |
| iShares MSCI Brazil Index ETF  | 2.0  |
|  | 32.6  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88795_6.jpg) <br>|
| *Foreign investments - 0.2%*  |
| *Futures and Swaps - 68.8%*  |
| *Foreign Currency Contracts - 5.7%*  |

---

**Consolidated Schedule of Investments January 31, 2023**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **U.S. Treasury Obligations - 4.2%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 4.2%**  | &nbsp;&nbsp; **U.S. Treasury Obligations - 4.2%**  |
|  | Principal <br> Amount (a) <br>| Value ($) <br>|
|  U.S. Treasury Bills, yield at date of purchase 4.08% to 4.61% 2/9/23 to 4/27/23 (b)(c) <br>(Cost $297,755) <br>| 300000  | **297755**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Fixed-Income Funds - 19.0%**  | &nbsp;&nbsp; **Fixed-Income Funds - 19.0%**  | &nbsp;&nbsp; **Fixed-Income Funds - 19.0%**  |
|  | Shares  | Value ($) <br>|
|  iShares 7-10 Year Treasury Bond ETF <br>(Cost $1,396,374) <br>| 13647  | **1353919**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 60.2%**  | &nbsp;&nbsp; **Money Market Funds - 60.2%**  | &nbsp;&nbsp; **Money Market Funds - 60.2%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 4.38% (d) <br>(Cost $4,281,993) <br>| 4281136  | **4281993**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Equity Funds - 13.6%**  | &nbsp;&nbsp; **Equity Funds - 13.6%**  | &nbsp;&nbsp; **Equity Funds - 13.6%**  |
|  | Shares  | Value ($) <br>|
| Domestic Equity Funds - 9.4%  |  |  |
|  Vanguard Consumer Staples ETF  | 1752  | 335088  |
|  Vanguard Health Care ETF  | 1348  | 331716  |
|  TOTAL DOMESTIC EQUITY FUNDS  |  | 666804  |
| International Equity Funds - 2.0%  |  |  |
|  iShares MSCI Brazil Index ETF  | 4727  | 143417  |
| Small Blend Funds - 2.2%  |  |  |
|  iShares Russell 2000 Index ETF  | 832  | 159311  |
| <br> **TOTAL EQUITY FUNDS** <br> (Cost $935,356)  |  | <br> **969532**  |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 0.2%**  | **Purchased Options - 0.2%**  | **Purchased Options - 0.2%**  | **Purchased Options - 0.2%**  | **Purchased Options - 0.2%**  | **Purchased Options - 0.2%**  | **Purchased Options - 0.2%**  |
|  | Counterparty  | Number <br> of Contracts  | Notional Amount  | Exercise <br> Price ($)  | Expiration <br> Date  | Value ($)  |
| Call Options  |  |  |  |  |  |  |
| EURO STOXX Banks Index (e)  | Eurex Deutschland  | 20  | 111130  | 100  | 06/16/23  | 11904  |
|  |  |  |  |  |  | **11904**  |
| **TOTAL PURCHASED OPTIONS** <br> (Cost 3,795)  |  |  |  |  |  | **11904**  |

---

*(e) Notional Amount and Exercise Price are stated in EUR.*

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 97.2%** <br> (Cost $6,915,273) <br>| <br>**6915103**  |
| **NET OTHER ASSETS (LIABILITIES) - 2.8%**  | **200147**  |
| **NET ASSETS - 100.0%**  | **7115250**  |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &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  |  |  |  |  |  |
| Treasury Contracts  |  |  |  |  |  |
| CBOT 2-Year U.S. Treasury Note Contracts (United States)  | 23  | Mar 2023  | 4729914  | 14365  | 14365  |
| CBOT 5-Year U.S. Treasury Note Contracts (United States)  | 36  | Mar 2023  | 3932719  | 29512  | 29512  |
| TOTAL PURCHASED  |  |  |  |  | 43877  |
| Sold  |  |  |  |  |  |
| Equity Index Contracts  |  |  |  |  |  |
| CME S&P 500 Index Contracts (United States)  | 16  | Mar 2023  | 327200  | (9707)  | (9707)  |
| Treasury Contracts  |  |  |  |  |  |
| CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States)  | 1  | Mar 2023  | 141750  | (564)  | (564)  |
| TOTAL SOLD  |  |  |  |  | (10271)  |
| **TOTAL FUTURES CONTRACTS**  |  |  |  |  | **33606**  |
| The notional amount of futures purchased as a percentage of Net Assets is 121.8%  | The notional amount of futures purchased as a percentage of Net Assets is 121.8%  | The notional amount of futures purchased as a percentage of Net Assets is 121.8%  | The notional amount of futures purchased as a percentage of Net Assets is 121.8%  | The notional amount of futures purchased as a percentage of Net Assets is 121.8%  | The notional amount of futures purchased as a percentage of Net Assets is 121.8%  |
| The notional amount of futures sold as a percentage of Net Assets is 6.6%  | The notional amount of futures sold as a percentage of Net Assets is 6.6%  | The notional amount of futures sold as a percentage of Net Assets is 6.6%  | The notional amount of futures sold as a percentage of Net Assets is 6.6%  | The notional amount of futures sold as a percentage of Net Assets is 6.6%  | The notional amount of futures sold as a percentage of Net Assets is 6.6%  |

---

For the period, the average monthly notional amount at value for futures contracts in the aggregate was $5,027,121.

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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) ($)  |
| JPY  | 13605500  | USD  | 99813  | Bank of America, N.A.  | 3/20/23  | 5363  |
| JPY  | 13243500  | USD  | 100850  | Bank of America, N.A.  | 3/20/23  | 1528  |
| JPY  | 13003500  | USD  | 100638  | Bank of America, N.A.  | 3/20/23  | (115)  |
| JPY  | 13069000  | USD  | 100913  | Goldman Sachs Bank USA  | 3/20/23  | 115  |
| **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**  |  | **6891**  |
| Unrealized Appreciation  | Unrealized Appreciation  | Unrealized Appreciation  |  |  |  | 7006  |
| Unrealized Depreciation  | Unrealized Depreciation  | Unrealized Depreciation  |  |  |  | (115)  |

---

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **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  | Maturity <br> Date <br> Clearinghouse / <br> Counterparty <sup>(1)</sup>  | Fixed <br> Payment <br> Received/ <br> (Paid)  | Payment <br> Frequency  | Notional <br> Amount <sup>(2)</sup>  | Value ($)  | Upfront <br> Premium <br> Received/ <br> (Paid) ($) <sup>(3)</sup>  | Unrealized <br> Appreciation/ <br> (Depreciation) ($)  |
| Buy Protection  |  |  |  |  |  |  |  |
| 5-Year CDX N.A. HY Series 39  | Dec 2027 <br> ICE  | (5%)  | Quarterly  | 3820000  | (194037)  | 0  | (194037)  |

---

(1)Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.

(2)Notional amount is stated in U.S. Dollars unless otherwise noted.

(3)Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

For the period, the average monthly notional amount at value for swaps in the aggregate was $2,804,781.

**Currency Abbreviations**

EUR - European Dollar <br> JPY - Japanese yen <br> USD - U.S. dollar

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

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

(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $79,529.

(c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $218,226.

(d) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**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 ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 4.38%  | -  | 8176830  | 3894837  | 58280  | -  | -  | 4281993  | 0.0%  |
| Total  | -  | 8176830  | 3894837  | 58280  | -  | -  | 4281993  |  |

---

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.

**Consolidated Subsidiary**

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| Fund  | 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 ($)  |
|  Fidelity Macro Opportunities Cayman Ltd.  | -  | 57  | -  | -  | -  | -  | 57  |

---

**Investment Valuation**

The following is a summary of the inputs used, as of January 31, 2023, 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>**  |  |  |  |  |
|  U.S. Government and Government Agency Obligations  | 297755  | -  | 297755  | -  |
|  Fixed-Income Funds  | 1353919  | 1353919  | -  | -  |
|  Money Market Funds  | 4281993  | 4281993  | -  | -  |
|  Equity Funds  | 969532  | 969532  | -  | -  |
|  Purchased Options  | 11904  | 11904  | -  | -  |
| **Total Investments in Securities:**  | 6915103  | 6617348  | 297755  | -  |
| **<u>Derivative Instruments:</u>**  |  |  |  |  |
|  **Assets**  |  |  |  |  |
| Futures Contracts  | 43877  | 43877  | -  | -  |
| Forward Foreign Currency Contracts  | 7006  | -  | 7006  | -  |
| Total Assets  | 50883  | 43877  | 7006  | -  |
|  **Liabilities**  |  |  |  |  |
| Futures Contracts  | (10271)  | (10271)  | -  | -  |
| Forward Foreign Currency Contracts  | (115)  | -  | (115)  | -  |
| Swaps  | (194037)  | -  | (194037)  | -  |
| Total Liabilities  | (204423)  | (10271)  | (194152)  | -  |
| **Total Derivative Instruments:**  | (153540)  | 33606  | (187146)  | -  |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2023. 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 ($)**  | **Liability ($)**  |
| **Credit Risk**  |  |  |
| Swaps (a)  | 0  | (194037)  |
| **Total Credit Risk**  | 0  | (194037)  |
| **Equity Risk**  |  |  |
| Futures Contracts (b)  | 0  | (9707)  |
| Purchased Options (d)  | 11904  | 0  |
| **Total Equity Risk**  | 11904  | (9707)  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts (c)  | 7006  | (115)  |
| **Total Foreign Exchange Risk**  | 7006  | (115)  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts (b)  | 43877  | (564)  |
| **Total Interest Rate Risk**  | 43877  | (564)  |
| **Total Value of Derivatives**  | 62787  | (204423)  |

---

(a)For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Consoidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).

(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).

(c)Gross value is presented in the Consolidated Statement of Assets and Liabilities in the unrealized appreciation/depreciation on forward foreign currency contracts line-items.

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

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** <sup>(a)</sup> **($)**  | <br> **Collateral** <br> **Pledged** <sup>(a)</sup> **($)**  | <br>**Net** <sup>(b)</sup> **($)**  |
| Purchased Options  | 11904  | -  | -  | -  | 11904  |
| Bank of America, N.A.  | 6891  | (115)  | -  | -  | 6776  |
| Goldman Sachs Bank USA  | 115  | -  | -  | -  | 115  |
| Centrally Cleared OTC Swaps  | -  | (194037)  | -  | 194037  | -  |
| Exchange Traded Futures  | 43877  | (10271)  | -  | -  | 33606  |
| Total  | $62787  | $(204423)  |  |  |  |

---

*(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**

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Assets and Liabilities**  | **Consolidated Statement of Assets and Liabilities**  | **Consolidated Statement of Assets and Liabilities**  |
|  |  | **January 31, 2023**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $2,633,280)  | $2633110  |  |
|  Fidelity Central Funds (cost $4,281,993)  | 4281993  |  |
|  Total Investment in Securities (cost $6,915,273)  |  | $6915103  |
|  Cash  |  | 58  |
|  Unrealized appreciation on forward foreign currency contracts  |  | 7006  |
|  Receivable for fund shares sold  |  | 208200  |
|  Distributions receivable from Fidelity Central Funds  |  | 12706  |
|  Receivable for daily variation margin on futures contracts  |  | 6768  |
|  Receivable from investment adviser for expense reductions  |  | 3092  |
| **Total assets**  |  | 7152933  |
| **Liabilities**  |  |  |
|  Unrealized depreciation on forward foreign currency contracts  | $116  |  |
|  Payable for fund shares redeemed  | 2345  |  |
|  Accrued management fee  | 3998  |  |
|  Distribution and service plan fees payable  | 1349  |  |
|  Payable for daily variation margin on centrally cleared OTC swaps  | 27560  |  |
|  Other affiliated payables  | 2315  |  |
| **Total Liabilities**  |  | 37683  |
| **Net Assets**  |  | $7115250  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $7403607  |
|  Total accumulated earnings (loss)  |  | (288357)  |
|  **Net Assets**  |  | $7115250  |
|  **Net Asset Value and Maximum Offering Price**  |  |  |
| **Class A :**  |  |  |
|  **Net Asset Value** and redemption price per share ($970,955 ÷ 103,669 shares) <sup>(a)</sup>  |  | $9.37  |
|  Maximum offering price per share (100/94.25 of $9.37)  |  | $9.94  |
| **Class M :**  |  |  |
|  **Net Asset Value** and redemption price per share ($920,501 ÷ 98,423 shares) <sup>(a)</sup>  |  | $9.35  |
|  Maximum offering price per share (100/96.50 of $9.35)  |  | $9.69  |
| **Class C :**  |  |  |
|  **Net Asset Value** and offering price per share ($914,474 ÷ 98,059 shares) <sup>(a)</sup>  |  | $9.33  |
| **Fidelity Macro Opportunities Fund :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($1,699,039 ÷ 177,344 shares)  |  | $9.58  |
| **Class I :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($1,691,029 ÷ 180,404 shares)  |  | $9.37  |
| **Class Z :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($919,252 ÷ 98,000 shares)  |  | $9.38  |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  | *(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**  |
|  |  | **For the period July 7, 2022 (commencement of operations) through January 31, 2023**  |
|  **Investment Income**  |  |  |
| Dividends  |  | $35490  |
| Interest  |  | 4550  |
| Income from Fidelity Central Funds  |  | 58280  |
| **Total Income**  |  | 98320  |
|  **Expenses**  |  |  |
| Management fee  | $25605  |  |
| Distribution and service plan fees  | 9383  |  |
| Independent trustees' fees and expenses  | 48105  |  |
| Total expenses before reductions  | 83093  |  |
| Expense reductions  | (48133)  |  |
| Total expenses after reductions  |  | 34960  |
| **Net Investment income (loss)**  |  | 63360  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (95812)  |  |
| Forward foreign currency contracts  | (1157)  |  |
| Futures contracts  | (143331)  |  |
| Swaps  | (39301)  |  |
| Total net realized gain (loss)  |  | (279601)  |
| Change in net unrealized appreciation (depreciation) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated Issuers  | (170)  |  |
| Forward foreign currency contracts  | 6891  |  |
| Futures contracts  | 33606  |  |
| Swaps  | (194037)  |  |
| Total change in net unrealized appreciation (depreciation)  |  | (153710)  |
| **Net gain (loss)**  |  | (433311)  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $(369951)  |

---

---

| | |
|:---|:---|
| **Consolidated Statement of Changes in Net Assets**  | **Consolidated Statement of Changes in Net Assets**  |
|  | **For the period July 7, 2022 (commencement of operations) through January 31, 2023**  |
| **Increase (Decrease) in Net Assets**  |  |
| Operations  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $63360  |
| &nbsp;&nbsp; Net realized gain (loss)  | (279601) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | (153710)  |
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | (369951) <br>|
| Share transactions - net increase (decrease)  | 7485201 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 7115250 <br>|
| **Net Assets**  |  |
| &nbsp;&nbsp; Beginning of period  | -  |
| &nbsp;&nbsp; End of period  | $7115250  |

---

**Consolidated Financial Highlights** 

 **Fidelity Advisor® Macro Opportunities Fund Class A** <br>

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .11  |
| Net realized and unrealized gain (loss)  | (.74)  |
| Total from investment operations  | (.63)  |
| Net asset value, end of period  | $9.37  |
| **Total Return** <sup>D,E,F</sup>  | (6.30)%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |
| Expenses before reductions  | 2.51% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | 1.05% <sup>I</sup>  |
| Expenses net of all reductions  | 1.05% <sup>I</sup>  |
| Net investment income (loss)  | 2.04% <sup>I</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $971  |
| Portfolio turnover rate <sup>J</sup>  | 68% <sup>I</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *Total returns do not include the effect of the sales charges.*

<sup>G</sup> *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.*

<sup>H</sup> *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.*

<sup>I</sup> *Annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

 **Fidelity Advisor® Macro Opportunities Fund Class M** <br>

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .10  |
| Net realized and unrealized gain (loss)  | (.75)  |
| Total from investment operations  | (.65)  |
| Net asset value, end of period  | $9.35  |
| **Total Return** <sup>D,E,F</sup>  | (6.50)%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |
| Expenses before reductions  | 2.78% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | 1.30% <sup>I</sup>  |
| Expenses net of all reductions  | 1.30% <sup>I</sup>  |
| Net investment income (loss)  | 1.79% <sup>I</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $921  |
| Portfolio turnover rate <sup>J</sup>  | 68% <sup>I</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *Total returns do not include the effect of the sales charges.*

<sup>G</sup> *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.*

<sup>H</sup> *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.*

<sup>I</sup> *Annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

 **Fidelity Advisor® Macro Opportunities Fund Class C** <br>

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .07  |
| Net realized and unrealized gain (loss)  | (.74)  |
| Total from investment operations  | (.67)  |
| Net asset value, end of period  | $9.33  |
| **Total Return** <sup>D,E,F</sup>  | (6.70)%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |
| Expenses before reductions  | 3.28% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | 1.80% <sup>I</sup>  |
| Expenses net of all reductions  | 1.80% <sup>I</sup>  |
| Net investment income (loss)  | 1.28% <sup>I</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $914  |
| Portfolio turnover rate <sup>J</sup>  | 68% <sup>I</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *Total returns do not include the effect of the contingent deferred sales charge.*

<sup>G</sup> *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.*

<sup>H</sup> *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.*

<sup>I</sup> *Annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

 **Fidelity® Macro Opportunities Fund** <br>

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .10  |
| Net realized and unrealized gain (loss)  | (.52)  |
| Total from investment operations  | (.42)  |
| Net asset value, end of period  | $9.58  |
| **Total Return** <sup>D,E</sup>  | (4.20)%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |
| Expenses before reductions  | 1.50% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .80% <sup>H</sup>  |
| Expenses net of all reductions  | .80% <sup>H</sup>  |
| Net investment income (loss)  | 2.66% <sup>H</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $1699  |
| Portfolio turnover rate <sup>I</sup>  | 68% <sup>H</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *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.*

<sup>G</sup> *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.*

<sup>H</sup> *Annualized.*

<sup>I</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

 **Fidelity Advisor® Macro Opportunities Fund Class I** <br>

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .12  |
| Net realized and unrealized gain (loss)  | (.75)  |
| Total from investment operations  | (.63)  |
| Net asset value, end of period  | $9.37  |
| **Total Return** <sup>D,E</sup>  | (6.30)%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |
| Expenses before reductions  | 2.35% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .80% <sup>H</sup>  |
| Expenses net of all reductions  | .79% <sup>H</sup>  |
| Net investment income (loss)  | 2.14% <sup>H</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $1691  |
| Portfolio turnover rate <sup>I</sup>  | 68% <sup>H</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *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.*

<sup>G</sup> *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.*

<sup>H</sup> *Annualized.*

<sup>I</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

 **Fidelity Advisor® Macro Opportunities Fund Class Z** <br>

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .12  |
| Net realized and unrealized gain (loss)  | (.74)  |
| Total from investment operations  | (.62)  |
| Net asset value, end of period  | $9.38  |
| **Total Return** <sup>D,E</sup>  | (6.20)%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |
| Expenses before reductions  | 2.36% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .75% <sup>H</sup>  |
| Expenses net of all reductions  | .75% <sup>H</sup>  |
| Net investment income (loss)  | 2.20% <sup>H</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $919  |
| Portfolio turnover rate <sup>I</sup>  | 68% <sup>H</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *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.*

<sup>G</sup> *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.*

<sup>H</sup> *Annualized.*

<sup>I</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

**Notes to Consolidated Financial Statements**

For the period ended January 31, 2023

**1. Organization.**

Fidelity Macro Opportunities 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. The Fund commenced sale of Fidelity Macro Opportunities Fund shares on September 01, 2022. The Fund offers Class A, Class M, Class C, Fidelity Macro Opportunities Fund, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. 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**  | **$ Amount**  | **% of Fund's Net Assets**  |
| **Fidelity Macro Opportunities Fund**  | Fidelity Macro Opportunities Cayman Ltd.  | 57  | - <sup>A</sup>  |

---

<sup>A</sup> *Amount is less than 0.05%.* 

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 Ratio** <sup>A</sup>  |
| 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%  |

---

<sup>A</sup> *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. 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 (ETFs) 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, 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. 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. 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 January 31, 2023, 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. 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.

**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. As of January 31, 2023, the Fund did not have any unrecognized tax benefits in the consolidated financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. 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 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 swaps, futures and options transactions, foreign currency transactions, net operating losses, capital loss carryforwards and losses deferred due to excise tax regulations.

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**  | $-  |
| **Gross unrealized depreciation**  | <u>(138835)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$(138835)</u>  |
| **Tax Cost**  | <u>$6909438</u>  |

---

The tax-based components of distributable earnings as of period end were as follows:

---

| | |
|:---|:---|
| **Capital loss carryforward**  | <u>$(148365)</u>  |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$(138835)</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 fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| Short-term  | $(82529)  |
| Long-term  | <u>(65836)</u>  |
| **Total capital loss carryforward**  | <u>$(148365)</u>  |

---

The Fund intends to elect to defer to its next fiscal year $1,157 of ordinary losses recognized during the period January 1, 2023 to January 31, 2023.

**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, options 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):

---

| | |
|:---|:---|
| 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, 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. Counterparty credit risk related to centrally cleared OTC 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 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 Macro Opportunities Fund**  |  |  |
| **Credit Risk**  |  |  |
| Swaps  | <u>$(39301)</u>  | <u>$(194037)</u>  |
| **Total Credit Risk**  | <u>(39301)</u>  | <u>(194037)</u>  |
| **Equity Risk**  |  |  |
| Futures Contracts  | (19767)  | (9707)  |
| Purchased Options  | <u>(3782)</u>  | <u>8109</u>  |
| **Total Equity Risk**  | <u>(23549)</u>  | <u>(1598)</u>  |
| **Foreign Exchange Risk**  |  |  |
| Forward Foreign Currency Contracts  | <u>(1157)</u>  | <u>6891</u>  |
| **Total Foreign Exchange Risk**  | <u>(1157)</u>  | <u>6891</u>  |
| **Interest Rate Risk**  |  |  |
| Futures Contracts  | <u>(123564)</u>  | <u>43313</u>  |
| **Total Interest Rate Risk**  | <u>(123564)</u>  | <u>43313</u>  |
| Totals  | <u>$(187571)</u>  | <u>$(145431)</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 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.

**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 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. 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 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 Consolidated 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 on the Consolidated 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 Consolidated 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 Consolidated Statement of Operations.

Any open options at period end are presented in the Consolidated 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.

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.

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC 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.

Centrally cleared OTC 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 Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities. Centrally cleared OTC 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 OTC swaps in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in Total accumulated earnings (loss) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

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.

**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 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 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 Macro Opportunities Fund**  | 3310381  | 889541  |

---

**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**  | .80%  |
| **Class M**  | .80%  |
| **Class C**  | .80%  |
| **Fidelity Macro Opportunities Fund**  | .80%  |
| **Class I**  | .80%  |
| **Class Z**  | .75%  |

---

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%  | $1369  | $1337  |
| **Class M**  | .25%  | .25%  | 2674  | 2674  |
| **Class C**  | .75%  | .25%  | <u>5340</u>  | <u>5340</u>  |
|  |  |  | <u>$9383</u>  | <u>$9351</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, there were no sales charge amounts retained by FDC.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. 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 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, 2024. 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**  | 1.05%  | $7999  |
| **Class M**  | 1.30%  | 7904  |
| **Class C**  | 1.80%  | 7880  |
| **Fidelity Macro Opportunities Fund**  | .80%  | 1036  |
| **Class I**  | .80%  | 13941  |
| **Class Z**  | .75%  | <u>9202</u>  |
|  |  | <u>$47962</u>  |

---

Through arrangements with the Fund's custodian and each class' transfer agent, 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 $171.

**9. 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**  | **Dollars**  |
|  | **Year ended** <br> **January 31, 2023** <sup>A</sup>  | **Year ended** <br> **January 31, 2023** <sup>A</sup>  |
| **Fidelity Macro Opportunities Fund**  |  |  |
| **Class A**  |  |  |
| Shares sold  | <u>103669</u>  | <u>$1033368</u>  |
| Net increase (decrease)  | <u>103669</u>  | <u>$1033368</u>  |
| **Class M**  |  |  |
| Shares sold  | <u>98423</u>  | <u>$983956</u>  |
| Net increase (decrease)  | <u>98423</u>  | <u>$983956</u>  |
| **Class C**  |  |  |
| Shares sold  | <u>98059</u>  | <u>$980551</u>  |
| Net increase (decrease)  | <u>98059</u>  | <u>$980551</u>  |
| **Fidelity Macro Opportunities Fund**  |  |  |
| Shares sold  | 182920  | $1760545  |
| Shares redeemed  | <u>(5576)</u>  | <u>(53383)</u>  |
| Net increase (decrease)  | <u>177344</u>  | <u>$1707162</u>  |
| **Class I**  |  |  |
| Shares sold  | 180457  | $1790750  |
| Shares redeemed  | <u>(53)</u>  | <u>(500)</u>  |
| Net increase (decrease)  | <u>180404</u>  | <u>$1790250</u>  |
| **Class Z**  |  |  |
| Shares sold  | 119054  | $1188529  |
| Shares redeemed  | <u>(21054)</u>  | <u>(198615)</u>  |
| Net increase (decrease)  | <u>98000</u>  | <u>$989914</u>  |

---

<sup>A</sup> *Share transactions for Class A, Class M, Class C, Class I and Class Z are for the period July 7, 2022 (commencement of operations) through January 31, 2023 and for Fidelity Macro Opportunities Fund for the period September 1, 2022 (commencement of sale of shares) through January 31, 2023.*

**10. 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 Macro Opportunities Fund  | 68%  |

---

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, 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.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Greenwood Street Trust and the Shareholders of Fidelity Macro Opportunities Fund

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying consolidated statement of assets and liabilities of Fidelity Macro Opportunities Fund (the "Fund"), a fund of Fidelity Greenwood Street Trust, including the consolidated schedule of investments, as of January 31, 2023, the related consolidated statement of operations, the consolidated statement of changes in net assets and the consolidated financial highlights for the period from July 7, 2022 (commencement of operations) through January 31, 2023, and the related notes. In our opinion, the consolidated financial statements and consolidated financial highlights present fairly, in all material respects, the financial position of the Fund as of January 31, 2023, the results of its operations, the changes in its net assets and the financial highlights for the period from July 7, 2022 (commencement of operations) through January 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audit we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audit included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of January 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

March 17, 2023

We have served as the auditor of one or more of the Fidelity investment companies since 1999.

**Trustees and Officers**

**<u>TRUSTEES AND OFFICERS</u>**

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees four funds.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 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.

<u>Experience, Skills, Attributes, and Qualifications of the Trustees.</u> The Board of Trustees has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Board of Trustees also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Board of Trustees. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

<u>Board Structure and Oversight Function.</u> David B. Jones is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session.

Fidelity <sup>®</sup> funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's alternative investment funds, and other Boards oversee Fidelity's investment-grade bond, money market, asset allocation, high income, and equity funds. The asset allocation funds may invest in Fidelity <sup>®</sup> funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity **®** funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity <sup>®</sup> funds overseen by each Board.

The Trustees primarily operate as a full Board, but have also established one standing committee, the Audit Committee, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged FDS and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FDS, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FDS's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board and Audit Committee, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity <sup>®</sup> funds. The responsibilities of the Audit Committee, including its oversight responsibilities, are described further under "Standing Committees of the Trustees."

<u>Interested Trustees\*:</u>

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

David B. Jones (1962)

Year of Election or Appointment: 2021

Trustee

Chair of the Board of Trustees

Mr. Jones also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Jones served in a variety of positions at Fidelity Investments (1982-2008), retiring as a Senior Vice President. His duties included new product development, serving as a liaison to the board of trustees of various Fidelity <sup>®</sup> funds, and development of policies and procedures for fund investments in derivatives and complex securities. He also served on the FMR Fair Value Committee, which is responsible for day-to-day valuation activities for various Fidelity <sup>®</sup> funds

\* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FDS.

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.

<u>Independent Trustees:</u>

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

Jennifer M. Birmingham (1971)

Year of Election or Appointment: 2021

Trustee

Ms. Birmingham also serves as Trustee of other Fidelity <sup>®</sup> funds. Ms. Birmingham serves as Managing Director of Princeton University Investment Company (PRINCO) (2010-present). Previously, Ms. Birmingham served in a variety of positions at Deutsche Bank Asset Management (2002-2010), including Managing Director, Global CFO of DB Advisors and Deutsche Insurance Asset Management, Americas CFO of DWS Americas and various legal entities (2005-2010). Prior to Deutsche Bank, Ms. Birmingham was an employee of Investors Bank and Trust Company (1997-2002) and Deloitte & Touche LLP (1993-1997).

Matthew J. Conti (1966)

Year of Election or Appointment: 2021

Trustee

Mr. Conti also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Conti served in a variety of positions at Fidelity Investments, including as a portfolio manager to certain Fidelity® funds (2000-2018) and research analyst (1995-2003). Mr. Conti serves as a member of the Board of Directors of the Rose Kennedy Greenway Conservancy (2021-present).

Tara C. Kenney (1960)

Year of Election or Appointment: 2021

Trustee

Ms. Kenney also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to her retirement, Ms. Kenney served as Senior Vice President of Boston Common Asset Management (2017-2020). Previously, Ms. Kenney served as Managing Director in a variety of roles for Deutsche Asset Management (2003-2016) as well as Scudder Investments where she was a Portfolio Manager (1995-2003). Currently, Ms. Kenney serves as a Board member for a number of non-profit organizations and academic institutions, including Catholic Charities USA (2017-present) and the Kellogg Institute for International Studies at the University of Notre Dame (2002-present). Ms. Kenney is also an adjunct professor of finance at the University of Notre Dame.

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.

<u>Advisory Board Members and Officers:</u>

Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

<u>Name, Year of Birth; Principal Occupation</u>

Joseph Benedetti (1965)

Year of Election or Appointment: 2021

Assistant Secretary

Mr. Benedetti also serves as Assistant Secretary of other funds. Mr. Benedetti is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2020-present) and is an employee of Fidelity Investments. Mr. Benedetti serves as Assistant Secretary of Fidelity Diversifying Solutions LLC (investment adviser firm, 2022-present) and FIAM LLC (investment adviser firm, 2021-present). Previously, Mr. Benedetti served as Secretary of Fidelity Diversifying Solutions LLC (2021-2022). Prior to joining Fidelity, Mr. Benedetti was Assistant General Counsel at Invesco (investment adviser firm, 2019-2020); Senior Vice President and Managing Counsel at OppenheimerFunds Inc. (investment adviser firm, 2017-2019); and a Managing Director in the Legal Department of Morgan Stanley Investment Management Inc. (investment adviser firm, 2004-2017).

Heather Bonner (1977)

Year of Election or Appointment: 2023

President and Treasurer

Ms. Bonner also serves as President and Treasurer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).

Craig S. Brown (1977)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2022).

John J. Burke III (1964)

Year of Election or Appointment: 2021

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

Nati Davidi (1971)

Year of Election or Appointment: 2021

Assistant Secretary

Ms. Davidi also serves as Assistant Secretary of other funds. Ms. Davidi serves as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2013-present) and is an employee of Fidelity Investments. Previously, Ms. Davidi served as Assistant Secretary of the North Carolina Capital Management Trust (2016-2022).

Jonathan Davis (1968)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2021

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Colm A. Hogan (1973)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity <sup>®</sup> funds (2016-2020) and Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2016-2018).

William Irving (1964)

Year of Election or Appointment: 2023

Vice President

Mr. Irving also serves as Vice President of other funds. Mr. Irving serves as Head of Fidelity Asset Management Solutions (2022-present) and is an employee of Fidelity Investments. Mr. Irving serves as President and Director of Fidelity Diversifying Solutions LLC (investment adviser firm, 2023-present) and President, Director, or Vice President of certain other Fidelity entities. Previously, Mr. Irving served as Chief Investment Officer (CIO) in the Global Asset Allocation division (2020-2022). Prior to that, he was Managing Director of Research in the Global Asset Allocation division (2018-2020) and portfolio manager of certain Fidelity <sup>®</sup> funds (2004-2018).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2021

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), FD Funds Management LLC (2021-present), and Fidelity Diversifying Solutions LLC (investment adviser firm, 2022-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Ksenia Portnoy (1980)

Year of Election or Appointment: 2021

Chief Compliance Officer

Ms. Portnoy also serves as Chief Compliance Officer of other funds. Ms. Portnoy is a Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2021-present). Prior to joining Fidelity, Ms. Portnoy worked in the asset management divisions of Morgan Stanley Investment Management (investment adviser firm, 2020-2021), Mizuho (investment adviser firm, 2015-2020), Guggenheim Partners (investment adviser firm, 2012-2015) and Lehman Brothers (investment adviser firm, 2008-2012).

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2021

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity <sup>®</sup> funds.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2021).

**Shareholder Expense Example**

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (August 1, 2022 to January 31, 2023) for Class A and Class M and Class C and Class I and Class Z and for the period (September 1, 2022 to January 31, 2023) for Fidelity® Macro Opportunities Fund. The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2022 to January 31, 2023). <br>

***Actual Expenses***

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

***Hypothetical Example for Comparison Purposes***

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

---

| | | | |
|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value**  | **Ending Account Value January 31, 2023**  |
| **Fidelity® Macro Opportunities Fund**  |  |  |  |
| **Class A**  | 1.05%  |  |  |
| **Actual**  |  | $1000  | $935.10 <br> $5.12 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1019.91 <br> $5.35 <sup>D</sup> <br>|
| **Class M**  | 1.30%  |  |  |
| **Actual**  |  | $1000  | $934.10 <br> $6.34 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1018.65 <br> $6.61 <sup>D</sup> <br>|
| **Class C**  | 1.80%  |  |  |
| **Actual**  |  | $1000  | $932.10 <br> $8.77 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1016.13 <br> $9.15 <sup>D</sup> <br>|
| **Fidelity® Macro Opportunities Fund**  | .80%  |  |  |
| **Actual**  |  | $1000  | $958.00 <br> $3.28 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.17 <br> $4.08 <sup>D</sup> <br>|
| **Class I**  | .80%  |  |  |
| **Actual**  |  | $1000  | $935.10 <br> $3.90 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.17 <br> $4.08 <sup>D</sup> <br>|
| **Class Z**  | .75%  |  |  |
| **Actual**  |  | $1000  | $936.10 <br> $3.66 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.42 <br> $3.82 <sup>D</sup> <br>|

---

*A Annualized expense ratio reflects expenses net of applicable fee waivers.*

*B 5% return per year before expenses*

*C Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 / 365 (to reflect the one-half year period) for Class A and Class M and Class C and Class I and Class Z and multiplied by 153 / 365 (to reflect the period September 1, 2022 to January 31, 2023) for Fidelity® Macro Opportunities Fund.*

*D Hypothetical expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).*

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com.*

**Liquidity Risk Management Program**

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.

In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

* Highly liquid investments - cash or convertible to cash within three business days or less 

* Moderately liquid investments - convertible to cash in three to seven calendar days 

* Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days 

* Illiquid investments - cannot be sold or disposed of within seven calendar days 

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period ending November 30, 2022. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.

![](img88795_2.jpg) <br>

1.9904681.100 GMO-ANN-0423

**Fidelity® Hedged Equity Fund**

**Annual Report**

**January 31, 2023**

Includes Fidelity and Fidelity Advisor share classes

![](img88796_1.jpg)

![](img88796_2.jpg)

**Contents**

---

| |
|:---|
| **[Performance](#Sec_Performance)** |
| **[Investment Summary](#Sec_InvestmentSummary6875)** |
| **[Schedule of Investments](#Sec_ScheduleOfInvestments6875)** |
| **[Financial Statements](#Sec_FinancialStatements6875)** |
| **[Notes to Financial Statements](#Sec_Notes to Financial Statements)** |
| **[Report of Independent Registered Public Accounting Firm](#Sec_Report of Independent Registered Public Accounting Firm)** |
| **[Trustees and Officers](#Sec_Trustee and Officers)** |
| **[Shareholder Expense Example](#Sec_Shareholder Expense Example)** |
| **[Distributions](#Sec_Distributions)** |
| **[Board Approval of Investment Advisory Contracts](#Sec_Board Approval of Investment Advisory Contracts and Management Fees)** |
| **[Liquidity Risk Management Program](#Sec_Liquidity Risk Management Program)** |

---

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.© 2023 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.*

**Performance: The Bottom Line**

Average annual total return reflects the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The hypothetical investment and the average annual total returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.

Average annual total returns for Fidelity® Hedged Equity Fund will be reported once the fund is a year old.

**Investment Summary January 31, 2023 (Unaudited)**

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  | &nbsp;&nbsp; **Top Holdings (% of Fund's net assets)**  |
| Apple, Inc.  | 6.2  |
| Microsoft Corp.  | 5.3  |
| Alphabet, Inc. Class A  | 3.3  |
| iShares S&P 500 Index ETF  | 2.6  |
| Amazon.com, Inc.  | 2.6  |
| Berkshire Hathaway, Inc. Class B  | 1.8  |
| UnitedHealth Group, Inc.  | 1.6  |
| Exxon Mobil Corp.  | 1.5  |
| NVIDIA Corp.  | 1.5  |
| Johnson & Johnson  | 1.4  |
|  | 27.8  |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  | &nbsp;&nbsp; **Market Sectors (% of Fund's net assets)**  |
| Information Technology  | 25.3  |
| Health Care  | 13.8  |
| Financials  | 11.2  |
| Consumer Discretionary  | 10.0  |
| Industrials  | 8.3  |
| Communication Services  | 7.3  |
| Consumer Staples  | 6.4  |
| Energy  | 4.7  |
| Utilities  | 3.0  |
| Real Estate  | 2.6  |
| Materials  | 2.5  |

---

---

| |
|:---|
| &nbsp;&nbsp; **Asset Allocation (% of Fund's net assets)**  |
| ![](img88796_5.jpg)  |
| *Foreign investments - 2.9%*  |

---

**Schedule of Investments January 31, 2023**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Common Stocks - 95.1%**  | &nbsp;&nbsp; **Common Stocks - 95.1%**  | &nbsp;&nbsp; **Common Stocks - 95.1%**  |
|  | Shares  | Value ($) <br>|
| COMMUNICATION SERVICES - 7.3%  |  |  |
| Diversified Telecommunication Services - 0.8%  |  |  |
|  Frontier Communications Parent, Inc. (a)  | 527  | 15604  |
|  Verizon Communications, Inc.  | 9222  | 383359  |
|  |  | 398963  |
| Entertainment - 1.4%  |  |  |
|  Liberty Media Corp. Liberty Formula One Class A (a)  | 237  | 15092  |
|  Madison Square Garden Sports Corp.  | 82  | 14911  |
|  Netflix, Inc. (a)  | 676  | 239209  |
|  Spotify Technology SA (a)  | 137  | 15443  |
|  The Walt Disney Co. (a)  | 3168  | 343696  |
|  Warner Bros Discovery, Inc. (a)  | 3545  | 52537  |
|  |  | 680888  |
| Interactive Media & Services - 4.3%  |  |  |
|  Alphabet, Inc. Class A (a)  | 16823  | 1662785  |
|  Meta Platforms, Inc. Class A (a)  | 3374  | 502625  |
|  Pinterest, Inc. Class A (a)  | 493  | 12961  |
|  |  | 2178371  |
| Media - 0.8%  |  |  |
|  Comcast Corp. Class A  | 8032  | 316059  |
|  DISH Network Corp. Class A (a)  | 1470  | 21153  |
|  Liberty Media Corp. Liberty SiriusXM Series A (a)  | 501  | 20351  |
|  Nexstar Broadcasting Group, Inc. Class A  | 108  | 22115  |
|  Sirius XM Holdings, Inc.  | 3724  | 21562  |
|  |  | 401240  |
|  TOTAL COMMUNICATION SERVICES  |  | 3659462  |
| CONSUMER DISCRETIONARY - 10.0%  |  |  |
| Auto Components - 0.1%  |  |  |
|  Gentex Corp.  | 545  | 16083  |
|  Lear Corp.  | 163  | 23762  |
|  |  | 39845  |
| Automobiles - 1.5%  |  |  |
|  Ford Motor Co.  | 7852  | 106081  |
|  Harley-Davidson, Inc.  | 279  | 12842  |
|  Tesla, Inc. (a)  | 3726  | 645418  |
|  |  | 764341  |
| Hotels, Restaurants & Leisure - 1.9%  |  |  |
|  Airbnb, Inc. Class A (a)  | 189  | 21000  |
|  ARAMARK Holdings Corp.  | 113  | 5032  |
|  Booking Holdings, Inc. (a)  | 60  | 146046  |
|  Caesars Entertainment, Inc. (a)  | 470  | 24468  |
|  Hyatt Hotels Corp. Class A (a)  | 243  | 26516  |
|  Las Vegas Sands Corp. (a)  | 741  | 43719  |
|  Marriott Vacations Worldwide Corp.  | 156  | 24966  |
|  McDonald's Corp.  | 1409  | 376767  |
|  Starbucks Corp.  | 1796  | 196015  |
|  Texas Roadhouse, Inc. Class A  | 295  | 29627  |
|  Vail Resorts, Inc.  | 93  | 24398  |
|  Wendy's Co.  | 1033  | 23036  |
|  Wyndham Hotels & Resorts, Inc.  | 325  | 25191  |
|  |  | 966781  |
| Household Durables - 0.5%  |  |  |
|  Leggett & Platt, Inc.  | 562  | 20547  |
|  PulteGroup, Inc.  | 1937  | 110196  |
|  Tempur Sealy International, Inc.  | 346  | 14100  |
|  Toll Brothers, Inc.  | 465  | 27663  |
|  TopBuild Corp. (a)  | 89  | 17805  |
|  Whirlpool Corp.  | 273  | 42476  |
|  |  | 232787  |
| Internet & Direct Marketing Retail - 2.8%  |  |  |
|  Amazon.com, Inc. (a)  | 12741  | 1313979  |
|  Doordash, Inc. (a)  | 236  | 13669  |
|  Etsy, Inc. (a)  | 277  | 38110  |
|  Uber Technologies, Inc. (a)  | 683  | 21125  |
|  |  | 1386883  |
| Multiline Retail - 0.5%  |  |  |
|  Dollar Tree, Inc. (a)  | 544  | 81698  |
|  Macy's, Inc.  | 85  | 2009  |
|  Target Corp.  | 1111  | 191248  |
|  |  | 274955  |
| Specialty Retail - 2.2%  |  |  |
|  Burlington Stores, Inc. (a)  | 57  | 13100  |
|  Dick's Sporting Goods, Inc.  | 183  | 23929  |
|  Five Below, Inc. (a)  | 67  | 13208  |
|  Floor & Decor Holdings, Inc. Class A (a)  | 161  | 14614  |
|  Foot Locker, Inc.  | 354  | 15403  |
|  Gap, Inc.  | 940  | 12756  |
|  Lowe's Companies, Inc.  | 1050  | 218663  |
|  Murphy U.S.A., Inc.  | 14  | 3808  |
|  RH (a)  | 49  | 15288  |
|  Ross Stores, Inc.  | 1192  | 140882  |
|  The Home Depot, Inc.  | 1655  | 536501  |
|  Tractor Supply Co.  | 321  | 73185  |
|  Williams-Sonoma, Inc.  | 110  | 14843  |
|  |  | 1096180  |
| Textiles, Apparel & Luxury Goods - 0.5%  |  |  |
|  NIKE, Inc. Class B  | 1941  | 247148  |
|  Ralph Lauren Corp.  | 221  | 27371  |
|  |  | 274519  |
|  TOTAL CONSUMER DISCRETIONARY  |  | 5036291  |
| CONSUMER STAPLES - 6.4%  |  |  |
| Beverages - 1.8%  |  |  |
|  Brown-Forman Corp. Class B (non-vtg.)  | 1343  | 89417  |
|  PepsiCo, Inc.  | 2309  | 394885  |
|  The Coca-Cola Co.  | 6784  | 415995  |
|  |  | 900297  |
| Food & Staples Retailing - 1.5%  |  |  |
|  BJ's Wholesale Club Holdings, Inc. (a)  | 261  | 18915  |
|  Casey's General Stores, Inc.  | 54  | 12739  |
|  Costco Wholesale Corp.  | 719  | 367510  |
|  Performance Food Group Co. (a)  | 180  | 11038  |
|  U.S. Foods Holding Corp. (a)  | 730  | 27835  |
|  Walmart, Inc.  | 2288  | 329175  |
|  |  | 767212  |
| Food Products - 1.2%  |  |  |
|  Bunge Ltd.  | 222  | 22000  |
|  Campbell Soup Co.  | 2094  | 108741  |
|  Flowers Foods, Inc.  | 761  | 21072  |
|  Hormel Foods Corp.  | 1874  | 84911  |
|  Ingredion, Inc.  | 239  | 24569  |
|  Kellogg Co.  | 1678  | 115077  |
|  Post Holdings, Inc. (a)  | 139  | 13198  |
|  The Hershey Co.  | 814  | 182824  |
|  |  | 572392  |
| Household Products - 1.4%  |  |  |
|  Colgate-Palmolive Co.  | 2867  | 213678  |
|  Procter & Gamble Co.  | 3565  | 507585  |
|  |  | 721263  |
| Personal Products - 0.0%  |  |  |
|  Coty, Inc. Class A (a)  | 1753  | 17460  |
| Tobacco - 0.5%  |  |  |
|  Philip Morris International, Inc.  | 2166  | 225784  |
|  TOTAL CONSUMER STAPLES  |  | 3204408  |
| ENERGY - 4.7%  |  |  |
| Energy Equipment & Services - 0.5%  |  |  |
|  Halliburton Co.  | 2225  | 91715  |
|  Schlumberger Ltd.  | 2621  | 149345  |
|  |  | 241060  |
| Oil, Gas & Consumable Fuels - 4.2%  |  |  |
|  Antero Midstream GP LP  | 1266  | 13799  |
|  Antero Resources Corp. (a)  | 362  | 10440  |
|  Cheniere Energy, Inc.  | 212  | 32391  |
|  Chesapeake Energy Corp.  | 199  | 17257  |
|  Chevron Corp.  | 2773  | 482557  |
|  CNX Resources Corp. (a)  | 725  | 12129  |
|  ConocoPhillips Co.  | 2007  | 244593  |
|  Devon Energy Corp.  | 1794  | 113453  |
|  Exxon Mobil Corp.  | 6366  | 738520  |
|  Kinder Morgan, Inc.  | 6951  | 127203  |
|  Marathon Oil Corp.  | 2955  | 81174  |
|  Murphy Oil Corp.  | 533  | 23244  |
|  Occidental Petroleum Corp.  | 1507  | 97639  |
|  Ovintiv, Inc.  | 689  | 33919  |
|  PDC Energy, Inc.  | 171  | 11582  |
|  Targa Resources Corp.  | 798  | 59866  |
|  Vitesse Energy, Inc. (a)  | 85  | 1357  |
|  |  | 2101123  |
|  TOTAL ENERGY  |  | 2342183  |
| FINANCIALS - 11.2%  |  |  |
| Banks - 3.5%  |  |  |
|  Bank of America Corp.  | 12531  | 444600  |
|  Cadence Bank  | 740  | 18929  |
|  Commerce Bancshares, Inc.  | 325  | 21632  |
|  Cullen/Frost Bankers, Inc.  | 82  | 10683  |
|  East West Bancorp, Inc.  | 378  | 29681  |
|  First Citizens Bancshares, Inc.  | 16  | 12443  |
|  First Horizon National Corp.  | 835  | 20650  |
|  FNB Corp., Pennsylvania  | 784  | 11188  |
|  Huntington Bancshares, Inc.  | 6206  | 94145  |
|  JPMorgan Chase & Co.  | 4870  | 681605  |
|  Old National Bancorp, Indiana  | 697  | 12198  |
|  Popular, Inc.  | 261  | 17915  |
|  Prosperity Bancshares, Inc.  | 324  | 24579  |
|  Synovus Financial Corp.  | 415  | 17409  |
|  Webster Financial Corp.  | 260  | 13689  |
|  Wells Fargo & Co.  | 6888  | 322841  |
|  Wintrust Financial Corp.  | 267  | 24422  |
|  |  | 1778609  |
| Capital Markets - 2.7%  |  |  |
|  Affiliated Managers Group, Inc.  | 87  | 15028  |
|  Ares Management Corp.  | 297  | 24648  |
|  BlackRock, Inc. Class A  | 289  | 219412  |
|  Blackstone, Inc.  | 266  | 25525  |
|  Carlyle Group LP  | 747  | 26870  |
|  Charles Schwab Corp.  | 2467  | 190995  |
|  Evercore, Inc. Class A  | 215  | 27909  |
|  Goldman Sachs Group, Inc.  | 683  | 249848  |
|  Interactive Brokers Group, Inc.  | 298  | 23822  |
|  Janus Henderson Group PLC  | 303  | 7854  |
|  Jefferies Financial Group, Inc.  | 727  | 28557  |
|  KKR & Co. LP  | 571  | 31868  |
|  Lazard Ltd. Class A  | 192  | 7695  |
|  LPL Financial  | 86  | 20392  |
|  Morgan Stanley  | 2763  | 268923  |
|  Morningstar, Inc.  | 55  | 13358  |
|  SEI Investments Co.  | 379  | 23661  |
|  State Street Corp.  | 1179  | 107678  |
|  Stifel Financial Corp.  | 363  | 24470  |
|  Tradeweb Markets, Inc. Class A  | 111  | 8274  |
|  |  | 1346787  |
| Consumer Finance - 0.5%  |  |  |
|  Ally Financial, Inc.  | 1003  | 32587  |
|  American Express Co.  | 1130  | 197671  |
|  SLM Corp.  | 781  | 13722  |
|  |  | 243980  |
| Diversified Financial Services - 2.0%  |  |  |
|  Apollo Global Management, Inc.  | 404  | 28595  |
|  Berkshire Hathaway, Inc. Class B (a)  | 2966  | 923968  |
|  Equitable Holdings, Inc.  | 1138  | 36496  |
|  Voya Financial, Inc.  | 393  | 27420  |
|  |  | 1016479  |
| Insurance - 2.3%  |  |  |
|  AFLAC, Inc.  | 2708  | 199038  |
|  American Financial Group, Inc.  | 158  | 22529  |
|  Arch Capital Group Ltd. (a)  | 1677  | 107915  |
|  Assured Guaranty Ltd.  | 213  | 13334  |
|  Axis Capital Holdings Ltd.  | 148  | 9260  |
|  Brighthouse Financial, Inc. (a)  | 239  | 13449  |
|  Brown & Brown, Inc.  | 1440  | 84326  |
|  Fidelity National Financial, Inc.  | 662  | 29148  |
|  First American Financial Corp.  | 263  | 16272  |
|  Globe Life, Inc.  | 581  | 70214  |
|  Hanover Insurance Group, Inc.  | 148  | 19918  |
|  Lincoln National Corp.  | 373  | 13215  |
|  Loews Corp.  | 1879  | 115521  |
|  Markel Corp. (a)  | 25  | 35225  |
|  Old Republic International Corp.  | 928  | 24490  |
|  Primerica, Inc.  | 91  | 14719  |
|  Principal Financial Group, Inc.  | 1234  | 114207  |
|  Reinsurance Group of America, Inc.  | 96  | 14570  |
|  RenaissanceRe Holdings Ltd.  | 71  | 13894  |
|  Selective Insurance Group, Inc.  | 143  | 13585  |
|  Unum Group  | 330  | 13870  |
|  W.R. Berkley Corp.  | 1535  | 107665  |
|  Willis Towers Watson PLC  | 394  | 100151  |
|  |  | 1166515  |
| Mortgage Real Estate Investment Trusts - 0.2%  |  |  |
|  AGNC Investment Corp.  | 1821  | 21124  |
|  Annaly Capital Management, Inc.  | 1278  | 29995  |
|  Starwood Property Trust, Inc.  | 1653  | 34531  |
|  |  | 85650  |
| Thrifts & Mortgage Finance - 0.0%  |  |  |
|  New York Community Bancorp, Inc.  | 1404  | 14026  |
|  TOTAL FINANCIALS  |  | 5652046  |
| HEALTH CARE - 13.8%  |  |  |
| Biotechnology - 2.6%  |  |  |
|  AbbVie, Inc.  | 2752  | 406608  |
|  Alnylam Pharmaceuticals, Inc. (a)  | 56  | 12678  |
|  Amgen, Inc.  | 892  | 225141  |
|  Biogen, Inc. (a)  | 298  | 86688  |
|  BioMarin Pharmaceutical, Inc. (a)  | 104  | 11996  |
|  Gilead Sciences, Inc.  | 2001  | 167964  |
|  Moderna, Inc. (a)  | 527  | 92784  |
|  Regeneron Pharmaceuticals, Inc. (a)  | 171  | 129698  |
|  Seagen, Inc. (a)  | 106  | 14785  |
|  Vertex Pharmaceuticals, Inc. (a)  | 438  | 141518  |
|  |  | 1289860  |
| Health Care Equipment & Supplies - 2.4%  |  |  |
|  Abbott Laboratories  | 3102  | 342926  |
|  Boston Scientific Corp. (a)  | 4921  | 227596  |
|  DexCom, Inc. (a)  | 661  | 70786  |
|  Envista Holdings Corp. (a)  | 398  | 15518  |
|  GE HealthCare Technologies, Inc. (a)  | 1079  | 75012  |
|  Globus Medical, Inc. (a)  | 355  | 26803  |
|  Insulet Corp. (a)  | 46  | 13217  |
|  Integra LifeSciences Holdings Corp. (a)  | 181  | 10371  |
|  Intuitive Surgical, Inc. (a)  | 678  | 166578  |
|  Masimo Corp. (a)  | 44  | 7484  |
|  STERIS PLC  | 423  | 87354  |
|  Teleflex, Inc.  | 248  | 60368  |
|  The Cooper Companies, Inc.  | 300  | 104679  |
|  |  | 1208692  |
| Health Care Providers & Services - 3.0%  |  |  |
|  Acadia Healthcare Co., Inc. (a)  | 248  | 20837  |
|  Centene Corp. (a)  | 1118  | 85236  |
|  Chemed Corp.  | 43  | 21721  |
|  CVS Health Corp.  | 2490  | 219668  |
|  Encompass Health Corp.  | 406  | 25355  |
|  HCA Holdings, Inc.  | 479  | 122179  |
|  Humana, Inc.  | 387  | 198028  |
|  LHC Group, Inc. (a)  | 79  | 12529  |
|  Option Care Health, Inc. (a)  | 314  | 9065  |
|  UnitedHealth Group, Inc.  | 1593  | 795210  |
|  |  | 1509828  |
| Health Care Technology - 0.0%  |  |  |
|  Teladoc Health, Inc. (a)  | 224  | 6586  |
|  Veeva Systems, Inc. Class A (a)  | 120  | 20466  |
|  |  | 27052  |
| Life Sciences Tools & Services - 1.4%  |  |  |
|  Avantor, Inc. (a)  | 935  | 22347  |
|  Danaher Corp.  | 1122  | 296634  |
|  QIAGEN NV (a)  | 471  | 23079  |
|  Thermo Fisher Scientific, Inc.  | 626  | 357027  |
|  |  | 699087  |
| Pharmaceuticals - 4.4%  |  |  |
|  Bristol-Myers Squibb Co.  | 3774  | 274181  |
|  Eli Lilly & Co.  | 1162  | 399902  |
|  Johnson & Johnson  | 4411  | 720846  |
|  Merck & Co., Inc.  | 3956  | 424914  |
|  Pfizer, Inc.  | 8364  | 369354  |
|  Royalty Pharma PLC  | 476  | 18654  |
|  |  | 2207851  |
|  TOTAL HEALTH CARE  |  | 6942370  |
| INDUSTRIALS - 8.3%  |  |  |
| Aerospace & Defense - 1.6%  |  |  |
|  Curtiss-Wright Corp.  | 73  | 12103  |
|  HEICO Corp.  | 256  | 43763  |
|  Howmet Aerospace, Inc.  | 2065  | 84025  |
|  Lockheed Martin Corp.  | 433  | 200592  |
|  Raytheon Technologies Corp.  | 2673  | 266899  |
|  The Boeing Co. (a)  | 862  | 183606  |
|  Woodward, Inc.  | 132  | 13498  |
|  |  | 804486  |
| Air Freight & Logistics - 0.6%  |  |  |
|  C.H. Robinson Worldwide, Inc.  | 545  | 54593  |
|  United Parcel Service, Inc. Class B  | 1348  | 249690  |
|  |  | 304283  |
| Airlines - 0.2%  |  |  |
|  American Airlines Group, Inc. (a)  | 3183  | 51374  |
|  United Airlines Holdings, Inc. (a)  | 1211  | 59291  |
|  |  | 110665  |
| Building Products - 0.4%  |  |  |
|  Builders FirstSource, Inc. (a)  | 192  | 15302  |
|  Carlisle Companies, Inc.  | 93  | 23330  |
|  Fortune Brands Home & Security, Inc.  | 330  | 21288  |
|  Lennox International, Inc.  | 87  | 22674  |
|  Masco Corp.  | 1640  | 87248  |
|  Owens Corning  | 255  | 24646  |
|  |  | 194488  |
| Commercial Services & Supplies - 0.8%  |  |  |
|  Cintas Corp.  | 429  | 190364  |
|  Clean Harbors, Inc. (a)  | 175  | 22803  |
|  Republic Services, Inc.  | 1326  | 165511  |
|  Stericycle, Inc. (a)  | 437  | 23515  |
|  Tetra Tech, Inc.  | 89  | 13841  |
|  |  | 416034  |
| Construction & Engineering - 0.1%  |  |  |
|  AECOM  | 343  | 29934  |
|  Willscot Mobile Mini Holdings (a)  | 283  | 13714  |
|  |  | 43648  |
| Electrical Equipment - 0.4%  |  |  |
|  AMETEK, Inc.  | 897  | 129993  |
|  Hubbell, Inc. Class B  | 91  | 20831  |
|  Regal Rexnord Corp.  | 156  | 21715  |
|  Sensata Technologies, Inc. PLC  | 546  | 27764  |
|  |  | 200303  |
| Industrial Conglomerates - 0.9%  |  |  |
|  General Electric Co.  | 2358  | 189772  |
|  Honeywell International, Inc.  | 1206  | 251427  |
|  |  | 441199  |
| Machinery - 2.2%  |  |  |
|  AGCO Corp.  | 99  | 13675  |
|  Caterpillar, Inc.  | 772  | 194768  |
|  Cummins, Inc.  | 636  | 158707  |
|  Dover Corp.  | 946  | 143631  |
|  Fortive Corp.  | 1720  | 117012  |
|  Graco, Inc.  | 321  | 21931  |
|  IDEX Corp.  | 499  | 119600  |
|  ITT, Inc.  | 287  | 26286  |
|  Lincoln Electric Holdings, Inc.  | 150  | 25031  |
|  Middleby Corp. (a)  | 94  | 14612  |
|  Oshkosh Corp.  | 148  | 14915  |
|  PACCAR, Inc.  | 1251  | 136747  |
|  Snap-On, Inc.  | 319  | 79345  |
|  Toro Co.  | 118  | 13159  |
|  |  | 1079419  |
| Professional Services - 0.2%  |  |  |
|  Booz Allen Hamilton Holding Corp. Class A  | 207  | 19590  |
|  CACI International, Inc. Class A (a)  | 71  | 21874  |
|  KBR, Inc.  | 435  | 22285  |
|  Science Applications International Corp.  | 215  | 22313  |
|  TransUnion Holding Co., Inc.  | 353  | 25328  |
|  |  | 111390  |
| Road & Rail - 0.6%  |  |  |
|  Knight-Swift Transportation Holdings, Inc. Class A  | 412  | 24349  |
|  Landstar System, Inc.  | 138  | 23851  |
|  Saia, Inc. (a)  | 59  | 16094  |
|  Union Pacific Corp.  | 1135  | 231756  |
|  Werner Enterprises, Inc.  | 312  | 14655  |
|  XPO, Inc. (a)  | 194  | 7733  |
|  |  | 318438  |
| Trading Companies & Distributors - 0.3%  |  |  |
|  W.W. Grainger, Inc.  | 177  | 104338  |
|  Watsco, Inc.  | 77  | 22127  |
|  |  | 126465  |
|  TOTAL INDUSTRIALS  |  | 4150818  |
| INFORMATION TECHNOLOGY - 25.3%  |  |  |
| Communications Equipment - 0.8%  |  |  |
|  Ciena Corp. (a)  | 192  | 9988  |
|  Cisco Systems, Inc.  | 7934  | 386148  |
|  |  | 396136  |
| Electronic Equipment & Components - 0.5%  |  |  |
|  Arrow Electronics, Inc. (a)  | 207  | 24320  |
|  Avnet, Inc.  | 102  | 4680  |
|  Coherent Corp. (a)  | 511  | 22177  |
|  Jabil, Inc.  | 341  | 26813  |
|  Keysight Technologies, Inc. (a)  | 788  | 141328  |
|  National Instruments Corp.  | 502  | 27108  |
|  TD SYNNEX Corp.  | 222  | 22677  |
|  |  | 269103  |
| IT Services - 4.0%  |  |  |
|  Accenture PLC Class A  | 1186  | 330953  |
|  Amdocs Ltd.  | 243  | 22339  |
|  Block, Inc. Class A (a)  | 362  | 29583  |
|  Cloudflare, Inc. (a)  | 222  | 11746  |
|  ExlService Holdings, Inc. (a)  | 69  | 11771  |
|  Genpact Ltd.  | 441  | 20850  |
|  GoDaddy, Inc. (a)  | 275  | 22586  |
|  IBM Corp.  | 1585  | 213547  |
|  MasterCard, Inc. Class A  | 1281  | 474739  |
|  Maximus, Inc.  | 337  | 25224  |
|  MongoDB, Inc. Class A (a)  | 63  | 13495  |
|  Okta, Inc. (a)  | 224  | 16489  |
|  PayPal Holdings, Inc. (a)  | 1883  | 153446  |
|  Snowflake, Inc. (a)  | 47  | 7353  |
|  SS&C Technologies Holdings, Inc.  | 396  | 23899  |
|  The Western Union Co.  | 1374  | 19470  |
|  Twilio, Inc. Class A (a)  | 267  | 15977  |
|  Visa, Inc. Class A  | 2562  | 589798  |
|  WEX, Inc. (a)  | 63  | 11653  |
|  |  | 2014918  |
| Semiconductors & Semiconductor Equipment - 5.4%  |  |  |
|  Advanced Micro Devices, Inc. (a)  | 2662  | 200049  |
|  Broadcom, Inc.  | 724  | 423547  |
|  Enphase Energy, Inc. (a)  | 226  | 50032  |
|  Entegris, Inc.  | 415  | 33495  |
|  Intel Corp.  | 6503  | 183775  |
|  Lam Research Corp.  | 453  | 226545  |
|  Lattice Semiconductor Corp. (a)  | 221  | 16750  |
|  Micron Technology, Inc.  | 2356  | 142067  |
|  MKS Instruments, Inc.  | 242  | 24761  |
|  NVIDIA Corp.  | 3744  | 731465  |
|  onsemi (a)  | 1171  | 86010  |
|  Qualcomm, Inc.  | 1776  | 236581  |
|  SolarEdge Technologies, Inc. (a)  | 113  | 36062  |
|  Texas Instruments, Inc.  | 1756  | 311181  |
|  Universal Display Corp.  | 116  | 15373  |
|  Wolfspeed, Inc. (a)  | 111  | 8548  |
|  |  | 2726241  |
| Software - 8.2%  |  |  |
|  Adobe, Inc. (a)  | 733  | 271459  |
|  Aspen Technology, Inc. (a)  | 47  | 9341  |
|  Atlassian Corp. PLC (a)  | 88  | 14223  |
|  Bill.Com Holdings, Inc. (a)  | 85  | 9828  |
|  Crowdstrike Holdings, Inc. (a)  | 122  | 12920  |
|  Datadog, Inc. Class A (a)  | 218  | 16309  |
|  DocuSign, Inc. (a)  | 322  | 19526  |
|  Dolby Laboratories, Inc. Class A  | 283  | 22515  |
|  Dropbox, Inc. Class A (a)  | 960  | 22301  |
|  Dynatrace, Inc. (a)  | 332  | 12759  |
|  Fair Isaac Corp. (a)  | 23  | 15317  |
|  Guidewire Software, Inc. (a)  | 328  | 24023  |
|  HubSpot, Inc. (a)  | 43  | 14921  |
|  Intuit, Inc.  | 507  | 214294  |
|  Manhattan Associates, Inc. (a)  | 150  | 19554  |
|  Microsoft Corp.  | 10663  | 2642398  |
|  Oracle Corp.  | 2420  | 214073  |
|  Palo Alto Networks, Inc. (a)  | 118  | 18720  |
|  Paylocity Holding Corp. (a)  | 47  | 9790  |
|  Salesforce.com, Inc. (a)  | 1513  | 254139  |
|  ServiceNow, Inc. (a)  | 402  | 182962  |
|  Splunk, Inc. (a)  | 235  | 22506  |
|  VMware, Inc. Class A (a)  | 177  | 21677  |
|  Workday, Inc. Class A (a)  | 159  | 28847  |
|  Zoom Video Communications, Inc. Class A (a)  | 181  | 13575  |
|  Zscaler, Inc. (a)  | 120  | 14899  |
|  |  | 4122876  |
| Technology Hardware, Storage & Peripherals - 6.4%  |  |  |
|  Apple, Inc.  | 21362  | 3082313  |
|  Dell Technologies, Inc.  | 210  | 8530  |
|  Hewlett Packard Enterprise Co.  | 5537  | 89312  |
|  Xerox Holdings Corp.  | 829  | 13579  |
|  |  | 3193734  |
|  TOTAL INFORMATION TECHNOLOGY  |  | 12723008  |
| MATERIALS - 2.5%  |  |  |
| Chemicals - 1.7%  |  |  |
|  Albemarle Corp.  | 227  | 63889  |
|  Ashland, Inc.  | 203  | 22182  |
|  Axalta Coating Systems Ltd. (a)  | 1372  | 41297  |
|  Celanese Corp. Class A  | 598  | 73674  |
|  Eastman Chemical Co.  | 938  | 82703  |
|  Element Solutions, Inc.  | 1132  | 23183  |
|  Huntsman Corp.  | 798  | 25289  |
|  Linde PLC  | 1064  | 352120  |
|  LyondellBasell Industries NV Class A  | 1204  | 116415  |
|  Olin Corp.  | 229  | 14791  |
|  RPM International, Inc.  | 248  | 22298  |
|  Valvoline, Inc.  | 404  | 14811  |
|  Westlake Corp.  | 126  | 15467  |
|  |  | 868119  |
| Construction Materials - 0.0%  |  |  |
|  Eagle Materials, Inc.  | 108  | 15777  |
| Containers & Packaging - 0.3%  |  |  |
|  Aptargroup, Inc.  | 201  | 23244  |
|  Berry Global Group, Inc.  | 410  | 25309  |
|  Crown Holdings, Inc.  | 387  | 34118  |
|  Graphic Packaging Holding Co.  | 945  | 22765  |
|  Silgan Holdings, Inc.  | 451  | 24304  |
|  Sonoco Products Co.  | 336  | 20533  |
|  |  | 150273  |
| Metals & Mining - 0.5%  |  |  |
|  Alcoa Corp.  | 268  | 14000  |
|  Newmont Corp.  | 2076  | 109883  |
|  Reliance Steel & Aluminum Co.  | 66  | 15012  |
|  Royal Gold, Inc.  | 132  | 16768  |
|  Southern Copper Corp.  | 215  | 16170  |
|  Steel Dynamics, Inc.  | 511  | 61647  |
|  |  | 233480  |
|  TOTAL MATERIALS  |  | 1267649  |
| REAL ESTATE - 2.6%  |  |  |
| Equity Real Estate Investment Trusts (REITs) - 2.6%  |  |  |
|  American Homes 4 Rent Class A  | 1299  | 44543  |
|  American Tower Corp.  | 892  | 199264  |
|  Americold Realty Trust  | 455  | 14292  |
|  Brixmor Property Group, Inc.  | 1005  | 23648  |
|  Camden Property Trust (SBI)  | 958  | 118035  |
|  CubeSmart  | 476  | 21796  |
|  EastGroup Properties, Inc.  | 129  | 21704  |
|  Equity Lifestyle Properties, Inc.  | 346  | 24836  |
|  Federal Realty Investment Trust (SBI)  | 692  | 77179  |
|  First Industrial Realty Trust, Inc.  | 409  | 21820  |
|  Gaming & Leisure Properties  | 423  | 22656  |
|  Healthcare Trust of America, Inc.  | 881  | 18968  |
|  Healthpeak Properties, Inc.  | 3612  | 99258  |
|  Independence Realty Trust, Inc.  | 1109  | 20882  |
|  Kite Realty Group Trust  | 665  | 14431  |
|  Lamar Advertising Co. Class A  | 96  | 10228  |
|  Life Storage, Inc.  | 173  | 18691  |
|  Medical Properties Trust, Inc.  | 1511  | 19567  |
|  Mid-America Apartment Communities, Inc.  | 763  | 127207  |
|  National Retail Properties, Inc.  | 466  | 22065  |
|  Omega Healthcare Investors, Inc.  | 638  | 18783  |
|  Physicians Realty Trust  | 877  | 13909  |
|  Rexford Industrial Realty, Inc.  | 346  | 21961  |
|  SBA Communications Corp. Class A  | 341  | 101458  |
|  Spirit Realty Capital, Inc.  | 366  | 16060  |
|  Store Capital Corp.  | 668  | 21516  |
|  Sun Communities, Inc.  | 295  | 46274  |
|  UDR, Inc.  | 2081  | 88630  |
|  WP Carey, Inc.  | 422  | 36094  |
|  |  | 1305755  |
| Real Estate Management & Development - 0.0%  |  |  |
|  Jones Lang LaSalle, Inc. (a)  | 82  | 15159  |
|  TOTAL REAL ESTATE  |  | 1320914  |
| UTILITIES - 3.0%  |  |  |
| Electric Utilities - 1.4%  |  |  |
|  Exelon Corp.  | 3794  | 160069  |
|  IDACORP, Inc.  | 180  | 19046  |
|  NextEra Energy, Inc.  | 3972  | 296430  |
|  OGE Energy Corp.  | 508  | 19975  |
|  PNM Resources, Inc.  | 300  | 14844  |
|  Xcel Energy, Inc.  | 2527  | 173782  |
|  |  | 684146  |
| Gas Utilities - 0.0%  |  |  |
|  National Fuel Gas Co.  | 202  | 11728  |
| Independent Power and Renewable Electricity Producers - 0.0%  |  |  |
|  Vistra Corp.  | 287  | 6618  |
| Multi-Utilities - 1.5%  |  |  |
|  Ameren Corp.  | 1851  | 160796  |
|  Black Hills Corp.  | 262  | 18964  |
|  CMS Energy Corp.  | 2381  | 150455  |
|  Consolidated Edison, Inc.  | 1799  | 171463  |
|  DTE Energy Co.  | 1225  | 142553  |
|  NiSource, Inc.  | 4249  | 117910  |
|  |  | 762141  |
| Water Utilities - 0.1%  |  |  |
|  Essential Utilities, Inc.  | 665  | 31075  |
|  TOTAL UTILITIES  |  | 1495708  |
| <br> **TOTAL COMMON STOCKS** <br> (Cost $44,755,634)  |  | <br> **47794857**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Money Market Funds - 1.2%**  | &nbsp;&nbsp; **Money Market Funds - 1.2%**  | &nbsp;&nbsp; **Money Market Funds - 1.2%**  |
|  | Shares  | Value ($) <br>|
|  Fidelity Cash Central Fund 4.38% (b) <br>(Cost $575,547) <br>| 575432  | **575547**  |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Equity Funds - 2.6%**  | &nbsp;&nbsp; **Equity Funds - 2.6%**  | &nbsp;&nbsp; **Equity Funds - 2.6%**  |
|  | Shares  | Value ($) <br>|
| Domestic Equity Funds - 2.6%  |  |  |
|  iShares S&P 500 Index ETF <br> (Cost $1,300,013)  | 3239  | **1322516**  |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 1.2%**  | **Purchased Options - 1.2%**  | **Purchased Options - 1.2%**  | **Purchased Options - 1.2%**  | **Purchased Options - 1.2%**  | **Purchased Options - 1.2%**  | **Purchased Options - 1.2%**  |
|  | Counterparty  | Number <br> of Contracts  | Notional Amount  | Exercise <br> Price ($)  | Expiration <br> Date  | Value ($)  |
| Put Options  |  |  |  |  |  |  |
| S&P 500 Index  | Chicago Board Options Exchange  | 47  | 19160020  | 2550  | 01/19/24  | 118675  |
| S&P 500 Index  | Chicago Board Options Exchange  | 45  | 18344700  | 3770  | 04/21/23  | 207900  |
| S&P 500 Index  | Chicago Board Options Exchange  | 36  | 14675760  | 3700  | 03/17/23  | 66600  |
| S&P 500 Index  | Chicago Board Options Exchange  | 61  | 24867260  | 2400  | 11/17/23  | 99125  |
| S&P 500 Index  | Chicago Board Options Exchange  | 35  | 14268100  | 3730  | 02/17/23  | 18025  |
| S&P 500 Index  | Chicago Board Options Exchange  | 58  | 23644280  | 2450  | 12/15/23  | 114260  |
| **TOTAL PURCHASED OPTIONS** <br> (Cost 1,532,155)  |  |  |  |  |  | **624585**  |

---

For the period, the average monthly notional amount at value for purchased options in the aggregate was $110,375,401.

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.1%** <br> (Cost $48,163,349) <br>| <br>**50317505**  |
| **NET OTHER ASSETS (LIABILITIES) - (0.1)%**  | **(70406)**  |
| **NET ASSETS - 100.0%**  | **50247099**  |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

**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 ($)  | % ownership, <br> end <br> of period  |
|  Fidelity Cash Central Fund 4.38%  | -  | 45875880  | 45300333  | 16606  | -  | -  | 575547  | 0.0%  |
| Total  | -  | 45875880  | 45300333  | 16606  | -  | -  | 575547  |  |

---

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 January 31, 2023, 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>**  |  |  |  |  |
|  **Equities:**  |  |  |  |  |
| Communication Services  | 3659462  | 3659462  | -  | -  |
| Consumer Discretionary  | 5036291  | 5036291  | -  | -  |
| Consumer Staples  | 3204408  | 3204408  | -  | -  |
| Energy  | 2342183  | 2342183  | -  | -  |
| Financials  | 5652046  | 5652046  | -  | -  |
| Health Care  | 6942370  | 6942370  | -  | -  |
| Industrials  | 4150818  | 4150818  | -  | -  |
| Information Technology  | 12723008  | 12723008  | -  | -  |
| Materials  | 1267649  | 1267649  | -  | -  |
| Real Estate  | 1320914  | 1320914  | -  | -  |
| Utilities  | 1495708  | 1495708  | -  | -  |
|  Money Market Funds  | 575547  | 575547  | -  | -  |
|  Equity Funds  | 1322516  | 1322516  | -  | -  |
|  Purchased Options  | 624585  | 624585  | -  | -  |
| **Total Investments in Securities:**  | 50317505  | 50317505  | -  | -  |

---

**Value of Derivative Instruments**

The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of January 31, 2023. 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)  | 624585  | 0  |
| **Total Equity Risk**  | 624585  | 0  |
| **Total Value of Derivatives**  | 624585  | 0  |

---

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

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  | **Statement of Assets and Liabilities**  |
|  |  | **January 31, 2023**  |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:  |  |  |
|  Unaffiliated issuers (cost $47,587,802)  | $49741958  |  |
|  Fidelity Central Funds (cost $575,547)  | 575547  |  |
|  Total Investment in Securities (cost $48,163,349)  |  | $50317505  |
|  Receivable for fund shares sold  |  | 26636  |
|  Dividends receivable  |  | 38454  |
|  Distributions receivable from Fidelity Central Funds  |  | 2735  |
|  Receivable from investment adviser for expense reductions  |  | 24167  |
| **Total assets**  |  | 50409497  |
| **Liabilities**  |  |  |
|  Payable for investments purchased  | $120976  |  |
|  Payable for fund shares redeemed  | 17  |  |
|  Accrued management fee  | 22059  |  |
|  Distribution and service plan fees payable  | 897  |  |
|  Other affiliated payables  | 18438  |  |
|  Other payables and accrued expenses  | 11  |  |
| **Total Liabilities**  |  | 162398  |
| **Net Assets**  |  | $50247099  |
|  Net Assets consist of:  |  |  |
|  Paid in capital  |  | $48902526  |
|  Total accumulated earnings (loss)  |  | 1344573  |
|  **Net Assets**  |  | $50247099  |
|  **Net Asset Value and Maximum Offering Price**  |  |  |
| **Class A :**  |  |  |
|  **Net Asset Value** and redemption price per share ($1,317,089 ÷ 132,949 shares) <sup>(a)</sup>  |  | $9.91  |
|  Maximum offering price per share (100/94.25 of $9.91)  |  | $10.51  |
| **Class M :**  |  |  |
|  **Net Asset Value** and redemption price per share ($508,521 ÷ 51,327 shares) <sup>(a)</sup>  |  | $9.91  |
|  Maximum offering price per share (100/96.50 of $9.91)  |  | $10.27  |
| **Class C :**  |  |  |
|  **Net Asset Value** and offering price per share ($526,288 ÷ 53,143 shares) <sup>(a)</sup>  |  | $9.90  |
| **Fidelity Hedged Equity Fund :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($46,678,041 ÷ 4,709,343 shares)  |  | $9.91  |
| **Class I :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($497,367 ÷ 50,180 shares)  |  | $9.91  |
| **Class Z :**  |  |  |
|  **Net Asset Value** , offering price and redemption price per share ($719,793 ÷ 72,605 shares)  |  | $9.91  |
| *(a)Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.*  | *(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**  |
|  |  | **For the period September 1, 2022 (commencement of operations) through January 31, 2023**  |
|  **Investment Income**  |  |  |
| Dividends  |  | $258995  |
| Income from Fidelity Central Funds  |  | 16606  |
| **Total Income**  |  | 275601  |
|  **Expenses**  |  |  |
| Management fee  | $89553  |  |
| Distribution and service plan fees  | 3813  |  |
| Independent trustees' fees and expenses  | 91689  |  |
| Total expenses before reductions  | 185055  |  |
| Expense reductions  | (92729)  |  |
| Total expenses after reductions  |  | 92326  |
| **Net Investment income (loss)**  |  | 183275  |
| **Realized and Unrealized Gain (Loss)**  |  |  |
| Net realized gain (loss) on:  |  |  |
| Investment Securities:  |  |  |
| Unaffiliated issuers  | (831002)  |  |
| Total net realized gain (loss)  |  | (831002)  |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | 2154156  |
| **Net gain (loss)**  |  | 1323154  |
| **Net increase (decrease) in net assets resulting from operations**  |  | $1506429  |

---

---

| | |
|:---|:---|
| **Statement of Changes in Net Assets**  | **Statement of Changes in Net Assets**  |
|  | **For the period September 1, 2022 (commencement of operations) through January 31, 2023**  |
| **Increase (Decrease) in Net Assets**  |  |
| Operations  |  |
| &nbsp;&nbsp; Net investment income (loss)  | $183275  |
| &nbsp;&nbsp; Net realized gain (loss)  | (831002) <br>|
| &nbsp;&nbsp; Change in net unrealized appreciation (depreciation)  | 2154156  |
| &nbsp;&nbsp; **Net increase (decrease) in net assets resulting from operations**  | 1506429 <br>|
| Distributions to shareholders  | (161856) <br>|
| Share transactions - net increase (decrease)  | 48902526 <br>|
| &nbsp;&nbsp; **Total increase (decrease) in net assets**  | 50247099 <br>|
| **Net Assets**  |  |
| &nbsp;&nbsp; Beginning of period  | -  |
| &nbsp;&nbsp; End of period  | $50247099  |

---

**Financial Highlights** 

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

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .04  |
| Net realized and unrealized gain (loss)  | (.10)  |
| Total from investment operations  | (.06)  |
| Distributions from net investment income  | (.03)  |
| Total distributions  | (.03)  |
| Net asset value, end of period  | $9.91  |
| **Total Return** <sup>D,E,F</sup>  | (.59)%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |
| Expenses before reductions  | 1.34% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | .80% <sup>I</sup>  |
| Expenses net of all reductions  | .79% <sup>I</sup>  |
| Net investment income (loss)  | .90% <sup>I</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $1317  |
| Portfolio turnover rate <sup>J</sup>  | 21% <sup>K</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *Total returns do not include the effect of the sales charges.*

<sup>G</sup> *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.*

<sup>H</sup> *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.*

<sup>I</sup> *Annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>K</sup> *Amount not annualized.*

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

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .03  |
| Net realized and unrealized gain (loss)  | (.10)  |
| Total from investment operations  | (.07)  |
| Distributions from net investment income  | (.02)  |
| Total distributions  | (.02)  |
| Net asset value, end of period  | $9.91  |
| **Total Return** <sup>D,E,F</sup>  | (.71)%  |
| **Ratios to Average Net Assets** <sup>C,G,H</sup>  |  |
| Expenses before reductions  | 1.54% <sup>I</sup>  |
| Expenses net of fee waivers, if any  | 1.05% <sup>I</sup>  |
| Expenses net of all reductions  | 1.04% <sup>I</sup>  |
| Net investment income (loss)  | .65% <sup>I</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $509  |
| Portfolio turnover rate <sup>J</sup>  | 21% <sup>K</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *Total returns do not include the effect of the sales charges.*

<sup>G</sup> *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.*

<sup>H</sup> *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.*

<sup>I</sup> *Annualized.*

<sup>J</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>K</sup> *Amount not annualized.*

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

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .01  |
| Net realized and unrealized gain (loss)  | (.11)  |
| Total from investment operations  | (.10)  |
| Distributions from net investment income  | - <sup>D</sup>  |
| Net asset value, end of period  | $9.90  |
| **Total Return** <sup>E,F,G</sup>  | (.97)%  |
| **Ratios to Average Net Assets** <sup>C,H,I</sup>  |  |
| Expenses before reductions  | 2.04% <sup>J</sup>  |
| Expenses net of fee waivers, if any  | 1.55% <sup>J</sup>  |
| Expenses net of all reductions  | 1.54% <sup>J</sup>  |
| Net investment income (loss)  | .15% <sup>J</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $526  |
| Portfolio turnover rate <sup>K</sup>  | 21% <sup>L</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Amount represents less than $.005 per share.*

<sup>E</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>G</sup> *Total returns do not include the effect of the contingent deferred sales charge.*

<sup>H</sup> *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.*

<sup>I</sup> *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.*

<sup>J</sup> *Annualized.*

<sup>K</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>L</sup> *Amount not annualized.*

 **Fidelity® Hedged Equity Fund** <br>

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .05  |
| Net realized and unrealized gain (loss)  | (.10)  |
| Total from investment operations  | (.05)  |
| Distributions from net investment income  | (.04)  |
| Total distributions  | (.04)  |
| Net asset value, end of period  | $9.91  |
| **Total Return** <sup>D,E</sup>  | (.54)%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |
| Expenses before reductions  | 1.12% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .55% <sup>H</sup>  |
| Expenses net of all reductions  | .54% <sup>H</sup>  |
| Net investment income (loss)  | 1.15% <sup>H</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $46678  |
| Portfolio turnover rate <sup>I</sup>  | 21% <sup>J</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *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.*

<sup>G</sup> *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.*

<sup>H</sup> *Annualized.*

<sup>I</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>J</sup> *Amount not annualized.*

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

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .05  |
| Net realized and unrealized gain (loss)  | (.10)  |
| Total from investment operations  | (.05)  |
| Distributions from net investment income  | (.04)  |
| Total distributions  | (.04)  |
| Net asset value, end of period  | $9.91  |
| **Total Return** <sup>D,E</sup>  | (.54)%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |
| Expenses before reductions  | 1.04% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .55% <sup>H</sup>  |
| Expenses net of all reductions  | .55% <sup>H</sup>  |
| Net investment income (loss)  | 1.15% <sup>H</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $497  |
| Portfolio turnover rate <sup>I</sup>  | 21% <sup>J</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *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.*

<sup>G</sup> *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.*

<sup>H</sup> *Annualized.*

<sup>I</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>J</sup> *Amount not annualized.*

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

---

| | |
|:---|:---|
| **Years ended January 31,**  | **2023** <sup>A</sup>  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00  |
| Income from Investment Operations  |  |
| Net investment income (loss) <sup>B,C</sup>  | .05  |
| Net realized and unrealized gain (loss)  | (.10)  |
| Total from investment operations  | (.05)  |
| Distributions from net investment income  | (.04)  |
| Total distributions  | (.04)  |
| Net asset value, end of period  | $9.91  |
| **Total Return** <sup>D,E</sup>  | (.54)%  |
| **Ratios to Average Net Assets** <sup>C,F,G</sup>  |  |
| Expenses before reductions  | 1.01% <sup>H</sup>  |
| Expenses net of fee waivers, if any  | .50% <sup>H</sup>  |
| Expenses net of all reductions  | .50% <sup>H</sup>  |
| Net investment income (loss)  | 1.20% <sup>H</sup>  |
| **Supplemental Data**  |  |
| Net assets, end of period (000 omitted)  | $720  |
| Portfolio turnover rate <sup>I</sup>  | 21% <sup>J</sup>  |

---

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

<sup>B</sup> *Calculated based on average shares outstanding during the period.*

<sup>C</sup> *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.*

<sup>D</sup> *Total returns for periods of less than one year are not annualized.*

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

<sup>F</sup> *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.*

<sup>G</sup> *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.*

<sup>H</sup> *Annualized.*

<sup>I</sup> *Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).*

<sup>J</sup> *Amount not annualized.*

**Notes to Financial Statements**

For the period ended January 31, 2023

**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. 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 Ratio** <sup>A</sup>  |
| 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%  |

---

<sup>A</sup> *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. 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 (ETFs) 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, 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 January 31, 2023 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. 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.

**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. As of January 31, 2023, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. 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 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, capital loss carryforwards and losses deferred due to option transactions and 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**  | $4193874  |
| **Gross unrealized depreciation**  | <u>(1172811)</u>  |
| **Net unrealized appreciation (depreciation)**  | <u>$3021063</u>  |
| **Tax Cost**  | <u>$47296442</u>  |

---

The tax-based components of distributable earnings as of period end were as follows:

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$21416</u>  |
| **Capital loss carryforward**  | <u>$(1681984)</u>  |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$3005141</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 fiscal period end and is subject to adjustment.

---

| | |
|:---|:---|
| **Short-term**  | $(552437)  |
| **Long-term**  | <u>(1129547)</u>  |
| **Total capital loss carryforward**  | <u>$(1681984)</u>  |

---

The tax character of distributions paid was as follows:

---

| | |
|:---|:---|
|  | **January 31, 2023** <sup>A</sup>  |
| **Ordinary Income**  | <u>$161856</u>  |

---

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

**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 on 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.

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**  | 55093337  | 9118085  |

---

**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%  | $756  | $522  |
| **Class M**  | .25%  | .25%  | 1016  | 1009  |
| **Class C**  | .75%  | .25%  | <u>2041</u>  | <u>2032</u>  |
|  |  |  | <u>$3813</u>  | <u>$3563</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**  | <u>$166</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**  | $351  |

---

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. 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**  | 106204  | -  | -  |

---

**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, 2024. 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%  | $1633  |
| **Class M**  | 1.05%  | 1004  |
| **Class C**  | 1.55%  | 1016  |
| **Fidelity Hedged Equity Fund**  | .55%  | 86608  |
| **Class I**  | .55%  | 990  |
| **Class Z**  | .50%  | <u>1371</u>  |
|  |  | <u>$92622</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 $107.

**8. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | |
|:---|:---|
|  | **Year ended** <br> **January 31, 2023** <sup>A</sup>  |
| **Fidelity Hedged Equity Fund**  |  |
| **Distributions to shareholders**  |  |
| Class A  | $2528  |
| Class M  | 958  |
| Class C  | 150  |
| Fidelity Hedged Equity Fund  | 154020  |
| Class I  | 1750  |
| Class Z  | <u>2450</u>  |
| Total  | <u>$161856</u>  |

---

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

**9. 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**  | **Dollars**  |
|  | **Year ended January 31, 2023** <sup>A</sup>  | **Year ended January 31, 2023** <sup>A</sup>  |
| **Fidelity Hedged Equity Fund**  |  |  |
| **Class A**  |  |  |
| Shares sold  | 133546  | $1303675  |
| Reinvestment of distributions  | 260  | 2528  |
| Shares redeemed  | <u>(857)</u>  | <u>(8250)</u>  |
| Net increase (decrease)  | <u>132949</u>  | <u>$1297953</u>  |
| **Class M**  |  |  |
| Shares sold  | 51229  | $511835  |
| Reinvestment of distributions  | <u>98</u>  | <u>958</u>  |
| Net increase (decrease)  | <u>51327</u>  | <u>$512793</u>  |
| **Class C**  |  |  |
| Shares sold  | 53128  | $530661  |
| Reinvestment of distributions  | <u>15</u>  | <u>150</u>  |
| Net increase (decrease)  | <u>53143</u>  | <u>$530811</u>  |
| **Fidelity Hedged Equity Fund**  |  |  |
| Shares sold  | 4777239  | $45999665  |
| Reinvestment of distributions  | 15347  | 149478  |
| Shares redeemed  | <u>(83243)</u>  | <u>(808623)</u>  |
| Net increase (decrease)  | <u>4709343</u>  | <u>$45340520</u>  |
| **Class I**  |  |  |
| Shares sold  | 50000  | $500000  |
| Reinvestment of distributions  | <u>180</u>  | <u>1750</u>  |
| Net increase (decrease)  | <u>50180</u>  | <u>$501750</u>  |
| **Class Z**  |  |  |
| Shares sold  | 72944  | $721934  |
| Reinvestment of distributions  | 252  | 2450  |
| Shares redeemed  | <u>(591)</u>  | <u>(5685)</u>  |
| Net increase (decrease)  | <u>72605</u>  | <u>$718699</u>  |

---

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

**10. 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.

In addition, 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  | 25%  | 31%  |

---

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  | 74%  |

---

**11. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, 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.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Greenwood Street Trust and the Shareholders of Fidelity Hedged Equity Fund

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity Hedged Equity Fund (the "Fund"), a fund of Fidelity Greenwood Street Trust, including the schedule of investments, as of January 31, 2023, the related statement of operations, the statement of changes in net assets and the financial highlights for the period from September 1, 2022 (commencement of operations) through January 31, 2023, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of January 31, 2023, and the results of its operations, the changes in its net assets and the financial highlights for the period from September 1, 2022 (commencement of operations) through January 31, 2023 in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audit we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.

Our audit included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of January 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

March 16, 2023

We have served as the auditor of one or more of the Fidelity investment companies since 1999.

**Trustees and Officers**

**<u>TRUSTEES AND OFFICERS</u>**

The Trustees, Members of the Advisory Board (if any), and officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Each of the Trustees oversees four funds.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 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.

<u>Experience, Skills, Attributes, and Qualifications of the Trustees.</u> The Board of Trustees has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Board of Trustees also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Board of Trustees. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.

<u>Board Structure and Oversight Function.</u> David B. Jones is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session.

Fidelity <sup>®</sup> funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's alternative investment funds, and other Boards oversee Fidelity's investment-grade bond, money market, asset allocation, high income, and equity funds. The asset allocation funds may invest in Fidelity <sup>®</sup> funds overseen by the fund's Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity **®** funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity <sup>®</sup> funds overseen by each Board.

The Trustees primarily operate as a full Board, but have also established one standing committee, the Audit Committee, to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board has charged FDS and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FDS, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. Board oversight of different aspects of the fund's activities is exercised primarily through the full Board, but also through the Audit Committee. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FDS's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board and Audit Committee, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity <sup>®</sup> funds. The responsibilities of the Audit Committee, including its oversight responsibilities, are described further under "Standing Committees of the Trustees."

<u>Interested Trustees\*:</u>

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

David B. Jones (1962)

Year of Election or Appointment: 2021

Trustee

Chair of the Board of Trustees

Mr. Jones also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Jones served in a variety of positions at Fidelity Investments (1982-2008), retiring as a Senior Vice President. His duties included new product development, serving as a liaison to the board of trustees of various Fidelity <sup>®</sup> funds, and development of policies and procedures for fund investments in derivatives and complex securities. He also served on the FMR Fair Value Committee, which is responsible for day-to-day valuation activities for various Fidelity <sup>®</sup> funds

\* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FDS.

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.

<u>Independent Trustees:</u>

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

<u>Name, Year of Birth; Principal Occupations and Other Relevant Experience+</u>

Jennifer M. Birmingham (1971)

Year of Election or Appointment: 2021

Trustee

Ms. Birmingham also serves as Trustee of other Fidelity <sup>®</sup> funds. Ms. Birmingham serves as Managing Director of Princeton University Investment Company (PRINCO) (2010-present). Previously, Ms. Birmingham served in a variety of positions at Deutsche Bank Asset Management (2002-2010), including Managing Director, Global CFO of DB Advisors and Deutsche Insurance Asset Management, Americas CFO of DWS Americas and various legal entities (2005-2010). Prior to Deutsche Bank, Ms. Birmingham was an employee of Investors Bank and Trust Company (1997-2002) and Deloitte & Touche LLP (1993-1997).

Matthew J. Conti (1966)

Year of Election or Appointment: 2021

Trustee

Mr. Conti also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to his retirement, Mr. Conti served in a variety of positions at Fidelity Investments, including as a portfolio manager to certain Fidelity® funds (2000-2018) and research analyst (1995-2003). Mr. Conti serves as a member of the Board of Directors of the Rose Kennedy Greenway Conservancy (2021-present).

Tara C. Kenney (1960)

Year of Election or Appointment: 2021

Trustee

Ms. Kenney also serves as Trustee of other Fidelity <sup>®</sup> funds. Prior to her retirement, Ms. Kenney served as Senior Vice President of Boston Common Asset Management (2017-2020). Previously, Ms. Kenney served as Managing Director in a variety of roles for Deutsche Asset Management (2003-2016) as well as Scudder Investments where she was a Portfolio Manager (1995-2003). Currently, Ms. Kenney serves as a Board member for a number of non-profit organizations and academic institutions, including Catholic Charities USA (2017-present) and the Kellogg Institute for International Studies at the University of Notre Dame (2002-present). Ms. Kenney is also an adjunct professor of finance at the University of Notre Dame.

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.

<u>Advisory Board Members and Officers:</u>

Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

<u>Name, Year of Birth; Principal Occupation</u>

Joseph Benedetti (1965)

Year of Election or Appointment: 2021

Assistant Secretary

Mr. Benedetti also serves as Assistant Secretary of other funds. Mr. Benedetti is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2020-present) and is an employee of Fidelity Investments. Mr. Benedetti serves as Assistant Secretary of Fidelity Diversifying Solutions LLC (investment adviser firm, 2022-present) and FIAM LLC (investment adviser firm, 2021-present). Previously, Mr. Benedetti served as Secretary of Fidelity Diversifying Solutions LLC (2021-2022). Prior to joining Fidelity, Mr. Benedetti was Assistant General Counsel at Invesco (investment adviser firm, 2019-2020); Senior Vice President and Managing Counsel at OppenheimerFunds Inc. (investment adviser firm, 2017-2019); and a Managing Director in the Legal Department of Morgan Stanley Investment Management Inc. (investment adviser firm, 2004-2017).

Heather Bonner (1977)

Year of Election or Appointment: 2023

President and Treasurer

Ms. Bonner also serves as President and Treasurer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).

Craig S. Brown (1977)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2022).

John J. Burke III (1964)

Year of Election or Appointment: 2021

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

Nati Davidi (1971)

Year of Election or Appointment: 2021

Assistant Secretary

Ms. Davidi also serves as Assistant Secretary of other funds. Ms. Davidi serves as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2013-present) and is an employee of Fidelity Investments. Previously, Ms. Davidi served as Assistant Secretary of the North Carolina Capital Management Trust (2016-2022).

Jonathan Davis (1968)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2021

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Colm A. Hogan (1973)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity <sup>®</sup> funds (2016-2020) and Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2016-2018).

William Irving (1964)

Year of Election or Appointment: 2023

Vice President

Mr. Irving also serves as Vice President of other funds. Mr. Irving serves as Head of Fidelity Asset Management Solutions (2022-present) and is an employee of Fidelity Investments. Mr. Irving serves as President and Director of Fidelity Diversifying Solutions LLC (investment adviser firm, 2023-present) and President, Director, or Vice President of certain other Fidelity entities. Previously, Mr. Irving served as Chief Investment Officer (CIO) in the Global Asset Allocation division (2020-2022). Prior to that, he was Managing Director of Research in the Global Asset Allocation division (2018-2020) and portfolio manager of certain Fidelity <sup>®</sup> funds (2004-2018).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2021

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), FD Funds Management LLC (2021-present), and Fidelity Diversifying Solutions LLC (investment adviser firm, 2022-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Ksenia Portnoy (1980)

Year of Election or Appointment: 2021

Chief Compliance Officer

Ms. Portnoy also serves as Chief Compliance Officer of other funds. Ms. Portnoy is a Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2021-present). Prior to joining Fidelity, Ms. Portnoy worked in the asset management divisions of Morgan Stanley Investment Management (investment adviser firm, 2020-2021), Mizuho (investment adviser firm, 2015-2020), Guggenheim Partners (investment adviser firm, 2012-2015) and Lehman Brothers (investment adviser firm, 2008-2012).

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2021

Assistant Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity <sup>®</sup> funds.

Jim Wegmann (1979)

Year of Election or Appointment: 2021

Assistant Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity <sup>®</sup> funds (2019-2021).

**Shareholder Expense Example**

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2022 to January 31, 2023). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (August 1, 2022 to January 31, 2023). <br>

***Actual Expenses***

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

***Hypothetical Example for Comparison Purposes***

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

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| | | | |
|:---|:---|:---|:---|
|  | **Annualized Expense Ratio-** <sup>A</sup>  | **Beginning Account Value**  | **Ending Account Value January 31, 2023**  |
| **Fidelity® Hedged Equity Fund**  |  |  |  |
| **Class A**  | .80%  |  |  |
| **Actual**  |  | $1000  | $994.10 <br> $3.34 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1021.17 <br> $4.08 <sup>D</sup> <br>|
| **Class M**  | 1.05%  |  |  |
| **Actual**  |  | $1000  | $992.90 <br> $4.39 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1019.91 <br> $5.35 <sup>D</sup> <br>|
| **Class C**  | 1.55%  |  |  |
| **Actual**  |  | $1000  | $990.30 <br> $6.47 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1017.39 <br> $7.88 <sup>D</sup> <br>|
| **Fidelity® Hedged Equity Fund**  | .55%  |  |  |
| **Actual**  |  | $1000  | $994.60 <br> $2.30 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1022.43 <br> $2.80 <sup>D</sup> <br>|
| **Class I**  | .55%  |  |  |
| **Actual**  |  | $1000  | $994.60 <br> $2.30 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1022.43 <br> $2.80 <sup>D</sup> <br>|
| **Class Z**  | .50%  |  |  |
| **Actual**  |  | $1000  | $994.60 <br> $2.09 <sup>C</sup> <br>|
| **Hypothetical-** <sup>B</sup>  |  | $1000  | $1022.68 <br> $2.55 <sup>D</sup> <br>|

---

*A Annualized expense ratio reflects expenses net of applicable fee waivers.*

*B 5% return per year before expenses*

*C Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 153 / 365 (to reflect the period September 1, 2022 to January 31, 2023).*

*D Hypothetical expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).*

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com* .

The fund designates $8,210 of distributions paid during the fiscal year ended 2023 as qualifying to be taxed as section 163(j) interest dividends.

Class A, Class M, Class C, Retail Class, Class I and Class Z designate 100% of the dividends distributed in December 2022, during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

Class A, Class M, Class C, Retail Class, Class I and Class Z designated 100% of the dividends distributed in December 2022, during the fiscal year as amounts which may be taken into account as a dividend for the purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

The fund will notify shareholders in January 2024 of amounts for use in preparing 2023 income tax returns.

**Board Approval of Investment Advisory Contracts**

**Board Approval of Investment Advisory Contracts and Management Fees** 

**Fidelity Hedged Equity Fund** 

At its May 2022 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements with affiliates of FDS (together, the Advisory Contracts) for the fund. FDS and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information.

**Nature, Extent, and Quality of Services Provided.** The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objectives, strategies, and related investment philosophies.

<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 training and managing 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 the 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 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.

<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 class-level management fee rates, out of which FDS will pay all operating expenses of the fund, with certain limited exceptions. In reviewing the Advisory Contracts, the Board also considered the projected total expense ratio of each class of the fund. The Board noted that the fund's proposed management fee rate was lower than the median fee rate of funds with a similar Lipper investment objective category and comparable investment mandate, regardless of whether their management fee structures are comparable. The Board also considered that the projected total net expense ratio of each class of the fund was below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure.

Based on its review, the Board concluded that the management fee and the projected total expense ratios of each class of the fund were 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 future renewal 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 each 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, 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 the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be approved.

**Liquidity Risk Management Program**

The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940 (the Liquidity Rule) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.

The Fund has adopted and implemented a liquidity risk management program (the Program) reasonably designed to assess and manage the Fund's liquidity risk and to comply with the requirements of the Liquidity Rule. The Fund's Board of Trustees (the Board) has designated the Fund's investment adviser as administrator of the Program. The Fidelity advisers have established a Liquidity Risk Management Committee (the LRM Committee) to manage the Program for each of the Fidelity Funds. The LRM Committee monitors the adequacy and effectiveness of implementation of the Program and on a periodic basis assesses each Fund's liquidity risk based on a variety of factors including (1) the Fund's investment strategy, (2) portfolio liquidity and cash flow projections during normal and reasonably foreseeable stressed conditions, (3) shareholder redemptions, (4) borrowings and other funding sources and (5) certain factors specific to ETFs including the effect of the Fund's prices and spreads, market participants, and basket compositions on the overall liquidity of the Fund's portfolio, as applicable.

In accordance with the Program, each of the Fund's portfolio investments is classified into one of four defined liquidity categories based on a determination of a reasonable expectation for how long it would take to convert the investment to cash (or sell or dispose of the investment) without significantly changing its market value.

* Highly liquid investments - cash or convertible to cash within three business days or less 

* Moderately liquid investments - convertible to cash in three to seven calendar days 

* Less liquid investments - can be sold or disposed of, but not settled, within seven calendar days 

* Illiquid investments - cannot be sold or disposed of within seven calendar days 

Liquidity classification determinations take into account a variety of factors including various market, trading and investment-specific considerations, as well as market depth, and generally utilize analysis from a third-party liquidity metrics service.

The Liquidity Rule places a 15% limit on a fund's illiquid investments and requires funds that do not primarily hold assets that are highly liquid investments to determine and maintain a minimum percentage of the fund's net assets to be invested in highly liquid investments (highly liquid investment minimum or HLIM). The Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirement as applicable.

At a recent meeting of the Fund's Board of Trustees, the LRM Committee provided a written report to the Board pertaining to the operation, adequacy, and effectiveness of the Program for the period ending November 30, 2022. The report concluded that the Program is operating effectively and is reasonably designed to assess and manage the Fund's liquidity risk.

![](img88796_2.jpg) <br>

1.9905820.100 FHE-ANN-0423

Item 2.

<u>Code of Ethics</u>

As of the end of the period, January 31, 2023, Fidelity Greenwood Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.

Item 3.

<u>Audit Committee Financial Expert</u>

The Board of Trustees of the trust has determined that Jennifer M. Birmingham is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Birmingham is independent for purposes of Item 3 of Form N-CSR.

Item 4.

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

<u>Fees and Services</u>

The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") in each of the last two fiscal years for services rendered to Fidelity Hedged Equity Fund, Fidelity Macro Opportunities Fund, and Fidelity Risk Parity Fund (the "Funds"):

**<u>Services Billed by Deloitte Entities</u>**

**<u>January 31, 2023 Fees</u><sup>A,B</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Audit Fees** | **Audit-Related Fees** | **Tax Fees** | **All Other Fees** |
| Fidelity Hedged Equity Fund | $44500  | $-  | $9700  | $300  |
| Fidelity Macro Opportunities Fund | $74400  | $-  | $9300  | $500 |
| Fidelity Risk Parity Fund | $76200  | $-  | $9300  | $500 |

---

**<u>January 31, 2022 Fees</u><sup>B</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Audit Fees** | **Audit-Related Fees** | **Tax Fees** | **All Other Fees** |
| Fidelity Hedged Equity Fund | $- | $- | $- | $- |
| Fidelity Macro Opportunities Fund | $- | $- | $- | $- |
| Fidelity Risk Parity Fund | $- | $- | $- | $- |

---

<sup>A</sup> Amounts may reflect rounding.

<sup>B</sup> Fidelity Macro Opportunities Fund and Fidelity Risk Parity Fund commenced operations on July 7, 2022. Fidelity Hedged Equity Fund commenced operations on September 1, 2022.

The following table(s) present(s) fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund(s) and that are rendered on behalf of Fidelity Diversifying Solutions LLC ("FDS") and entities controlling, controlled by, or under common control with FDS (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund(s) ("Fund Service Providers"):

**<u>Services Billed by Deloitte Entities</u>**

---

| | | |
|:---|:---|:---|
|  | **<u>January 31, 2023</u><sup>A,B</sup>** | **<u>January 31, 2022</u><sup>B</sup>** |
| Audit-Related Fees | $- | $- |
| Tax Fees | $- | $- |
| All Other Fees | $- | $- |

---

<sup>A</sup> Amounts may reflect rounding.

<sup>B</sup> May include amounts billed prior to the Fidelity Hedged Equity Fund, Fidelity Macro Opportunities Fund, and Fidelity Risk Parity Fund's commencement of operations.

"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.

"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.

"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.

Assurance services must be performed by an independent public accountant.

\* \* \*

The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund(s), FDS (not including any sub-adviser whose role is primarily portfolio

management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund(s) are as follows:

---

| | | |
|:---|:---|:---|
| **<u>Billed By</u>** | **<u>January 31, 2023</u><sup>A,B</sup>** | **<u>January 31, 2022</u><sup>A,B</sup>** |
| Deloitte Entities | $487200  | $521600  |

---

<sup>A</sup> Amounts may reflect rounding.

<sup>B</sup> May include amounts billed prior to the Fidelity Hedged Equity Fund, Fidelity Macro Opportunities Fund, and Fidelity Risk Parity Fund's commencement of operations.

The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its(their) audit of the Fund(s), taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund(s) and its(their) related entities and FDS's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund(s) Service Providers.

<u>Audit Committee Pre-Approval Policies and Procedures</u>

The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.

The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.

All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.

Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee periodically.

<u>Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")</u>

There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund's(s') last two fiscal years relating to services provided to (i) the Fund(s) or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund(s).

Item 5.

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

Not applicable.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable.

Item 7.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 8.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 9.

<u>Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 10.

<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 trust's Board of Trustees.

Item 11.

<u>Controls and Procedures</u>

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information

relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.

(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.

Item 12.

<u>Disclosure of Securities Lending Activities for Closed-End Management</u>

<u>Investment Companies</u>

Not applicable.

Item 13.

<u>Exhibits</u>

(a) (1) [Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH.](code.htm)

(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.](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.](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

---

| | |
|:---|:---|
| By: | <u>/s/Heather Bonner</u> |
|  | Heather Bonner |
|  | President and Treasurer |
| Date: | March 23, 2023 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By: | <u>/s/Heather Bonner</u> |
|  | Heather Bonner |
|  | President and Treasurer |
| Date: | March 23, 2023 |

---

---

| | |
|:---|:---|
| By: | <u>/s/John J. Burke III</u> |
|  | John J. Burke III |
|  | Chief Financial Officer |
| Date: | March 23, 2023 |

---

## 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;&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> 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I, Heather Bonner, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I have reviewed this report on Form N-CSR of Fidelity Greenwood Street Trust;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; March 23, 2023

---

| |
|:---|
|  &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/Heather Bonner</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Heather Bonner  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; President and Treasurer  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I, John J. Burke III, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; I have reviewed this report on Form N-CSR of Fidelity Greenwood Street Trust;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; a.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Date:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; March 23, 2023

---

| |
|:---|
|  &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/John J. Burke III</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; John J. Burke III  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Financial Officer  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

## Exhibit 99.906

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exhibit EX-99.906CERT

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **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)** 

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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;&nbsp;&nbsp;&nbsp;&nbsp; 2.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dated: March 23, 2023

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| |
|:---|
|  &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/Heather Bonner</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Heather Bonner  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; President and Treasurer  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dated: March 23, 2023

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

---

| |
|:---|
|  &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/John J. Burke III</u>  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; John J. Burke III  |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Chief Financial Officer  |

---

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <br>

## Ex-99.Code

**EXHIBIT EX-99.CODE ETH**

**FIDELITY FUNDS' CODE OF ETHICS FOR PRESIDENT, TREASURER AND PRINCIPAL ACCOUNTING OFFICER**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**I.**

**Purposes of the Code/Covered Officers**

This document constitutes the Code of Ethics (Code) adopted by the Fidelity Funds (Funds) pursuant to the provisions of Rule 30b2-1(a) under the Investment Company Act of 1940), which Rule implements Sections 406 of the Sarbanes-Oxley Act of 2002 with respect to registered investment companies. The Code applies to the Fidelity Funds' President and Treasurer, and Chief Financial Officer (Covered Officers). Fidelity's Ethics Office, a part of Corporate Compliance Group within Core Compliance, administers the Code.

The purposes of the Code are to deter wrongdoing and to promote, on the part of the Covered Officers:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· full, fair, accurate, timely and understandable disclosure in reports and documents that the Fidelity Funds submit to the Securities and Exchange Commission (SEC), and in other public communications by a Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· compliance with applicable laws and governmental rules and regulations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· accountability for adherence to the Code.

Each Covered Officer should adhere to a high standard of business ethics and should be sensitive to situations that may give rise to actual as well as apparent conflicts of interest.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**II.**

&nbsp;&nbsp;&nbsp;&nbsp;**Covered Officers Should Handle Ethically Actual and Apparent Conflicts of Interest**

**Overview.** A "conflict of interest" occurs when a Covered Officer's private interest interferes with the interests of, or his service to, the Fidelity Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of his family, receives improper personal benefits as a result of his position with the Fidelity Funds.

Certain conflicts of interest arise out of the relationships between Covered Officers and the Fidelity Funds and already are subject to conflict of interest provisions in the Investment Company Act of 1940 (Investment Company Act) and the Investment Advisers Act of 1940 (Investment Advisers Act). For example, Covered Officers may not individually engage in certain transactions (such as the purchase or sale of securities or other property) with a Fidelity Fund because of their status as "affiliated persons" of the Fund. Separate compliance programs and procedures of the Fidelity Funds, Fidelity Management & Research Company (FMR) and the other Fidelity companies are designed to prevent, or identify and correct, violations of these provisions. This Code does not, and is not intended to, repeat or replace these programs and procedures, and such conflicts fall outside of the parameters of this Code.

Although typically not presenting an opportunity for improper personal benefit, conflicts arise from, or as a result of, the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company) of which the Covered Officers are also officers or employees. As a result, this Code recognizes that the Covered Officers will, in the normal course of their duties (whether formally for the Fidelity Funds, FMR or another Fidelity company), be involved in establishing policies and implementing decisions that have different effects on the Fidelity Funds, FMR and other Fidelity companies. The participation of the Covered Officers in such activities is inherent in the contractual relationship between the Fidelity Funds and FMR (or another Fidelity company), and is consistent with the performance by the Covered Officers of their duties as officers of the Fidelity Funds. Thus, if performed in conformity with the provisions of the Investment Company Act and the Investment Advisers Act, such activities will be deemed to have been handled ethically. In addition, it is recognized by the Funds' Board of Trustees (Board) that the Covered Officers also may be officers or employees of one or more other Fidelity Funds covered by this Code.

Other conflicts of interest are covered by the Code, even if such conflicts of interest are not subject to provisions in the Investment Company Act and the Investment Advisers Act. The following list provides examples of conflicts of interest under the Code, but Covered Officers should keep in mind that these examples are not exhaustive. The overarching principle is that the personal interest of a Covered Officer should not be placed improperly before the interest of a Fidelity Fund.

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Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by any Fidelity Fund whereby the Covered Officer would benefit personally to the detriment of any Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not cause a Fidelity Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fidelity Fund;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not engage in any outside business activity, including serving as a director or trustee, that prevents the Covered Officer from devoting appropriate time and attention to the Covered Officer's responsibilities with the Fidelity Funds;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not have a consulting or employment relationship with any of the Fidelity Funds' service providers that are not affiliated with Fidelity; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not retaliate against any employee or Covered Officer for reports of actual or potential misconduct, which are made in good faith.

With respect to other fact patterns, if a Covered Officer is in doubt, other potential conflict of interest situations should be described immediately to the Fidelity Ethics Office for resolution. Similarly, any questions a Covered Officer has generally regarding the application or interpretation of the Code should be directed to the Fidelity Ethics Office immediately.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**III.**

&nbsp;&nbsp;&nbsp;&nbsp;**Disclosure and Compliance**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should familiarize himself with the disclosure requirements generally applicable to the Fidelity Funds.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should not knowingly misrepresent, or cause others to misrepresent, facts about any Fidelity Fund to others, whether within or outside Fidelity, including to the Board and auditors, and to governmental regulators and self-regulatory organizations;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should, to the extent appropriate within his area of responsibility, consult with other officers and employees of the Fidelity Funds, FMR and the Fidelity service providers, and with the Board's Compliance Committee, with the goal of promoting full, fair, accurate, timely and understandable disclosure in the reports and documents the Fidelity Funds file with, or submit to, the SEC and in other public communications made by the Fidelity Funds; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**IV.**

&nbsp;&nbsp;&nbsp;&nbsp;**Reporting and Accountability**

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· upon receipt of the Code, and annually thereafter, submit to the Fidelity Ethics Office an acknowledgement stating that he or she has received, read, and understands the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· notify the Fidelity Ethics Office promptly if he or she knows of any violation of the Code. <u>Failure to do so is itself a violation of this Code</u>.

The Fidelity Ethics Office shall take all action it considers appropriate to investigate any actual or potential violations reported to it. Upon completion of the investigation, if necessary, the matter will be reviewed with senior management or other appropriate parties, and a determination will be made as to whether any action should be taken as detailed below. The Covered Officer will be informed of any action determined to be appropriate. The Fidelity Ethics Office will inform the Personal Trading Committee of all Code violations and actions taken in response. Without implied limitation, appropriate remedial, disciplinary or preventive action may include a written warning, a letter of censure, suspension, dismissal or, in the event of criminal or other serious violations of law, notification of the SEC or other appropriate law enforcement authorities.

Additionally, other legal remedies may be pursued.

The policies and procedures described in the Code do not create any obligations to any person or entity other than the Fidelity Funds. The Code is intended solely for the internal use by the Fidelity Funds and does not constitute a promise, contract or an admission by or on behalf of any Fidelity Fund as to any fact, circumstance, or legal conclusion. The Fidelity Funds, the Fidelity companies and the Fidelity Chief Ethics Officer retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**V.**

&nbsp;&nbsp;&nbsp;&nbsp;**Oversight**

Material violations of this Code will be reported promptly by FMR to the Board's Compliance Committee. In addition, at least once each year, FMR will provide a written report to the Board, which describes any issues arising under the Code since the last report to the Board, including, but not limited to, information about material violations of the Code and action taken in response to the material violations.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**VI.**

&nbsp;&nbsp;&nbsp;&nbsp;**Other Policies and Procedures**

This Code shall be the sole code of ethics adopted by the Fidelity Funds for purposes of Section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Other Fidelity policies or procedures that cover the behavior or activities of Covered Officers are separate requirements applying to the Covered Officers (and others), and are not part of this Code.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**VII.**

&nbsp;&nbsp;&nbsp;&nbsp;**Amendments**

Any material amendments or changes to this Code must be approved or ratified by a majority vote of the Board, including a majority of the Trustees who are not interested persons of the Fidelity Funds.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**VIII.**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Records and Confidentiality**

Records of any violation of the Code and of the actions taken as a result of such violations will be kept by the Fidelity Ethics Office. All reports and records prepared or maintained pursuant to this Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this Code, such matters shall not be disclosed to anyone other than the Fidelity Ethics Office, the Personal Trading Committee, the Board, appropriate personnel at the relevant Fidelity company or companies and the legal counsel of any or all of the foregoing.

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