# EDGAR Filing Document

**Accession Number:** 0001898391
**File Stem:** 0001752724-23-067438
**Filing Date:** 2023-3
**Character Count:** 17052
**Document Hash:** 8d4cfea442bac41b662467051a3abcc4
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-067438.hdr.sgml**: 20230327

**ACCESSION NUMBER**: 0001752724-23-067438

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20230131

**FILED AS OF DATE**: 20230327

**DATE AS OF CHANGE**: 20230327

**PERIOD START**: 20230131

**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:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23762
- **FILM NUMBER:** 23763520

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Fidelity Greenwood Street Trust

- **b. Investment Company Act file number:** 811-23762

- **c. CIK number of Registrant:** 0001898391

- **d. LEI of Registrant:** 549300467DYGTZIRI308

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

**Item A.2. Information about the Series.**

- **a. Name of Series:** Fidelity Risk Parity Fund

- **b. EDGAR series identifier (if any):** S000075414

- **c. LEI of Series:** 5493006VR3SHKBTZ0009

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-01-31

- **b. Date as of which information is reported:** 2023-01-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $12257292.55

**Total Liabilities:** $5023831.74

**Net Assets:** $7233460.81

**Amount of Assets Invested in Other Investment Companies:** $253570.25

**Cash Not Reported:** $9023.71

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 0.12970520 | **1-Year:** 0.00000000 | **5-Year:** 0.03241060 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.23024600 | **1-Year:** 0.00000000 | **5-Year:** 0.05756200 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000234496 | 0.82%                | -8.28%               | 0.26%                |
| Class ID C000234493 | 6.97%                | -2.66%               | 6.38%                |
| Class ID C000234492 | 5.88%                | -3.66%               | 5.38%                |
| Class ID C000234494 | 6.97%                | -2.66%               | 6.38%                |
| Class ID C000234495 | 6.89%                | -2.57%               | 6.41%                |
| Class ID C000234491 | 3.24%                | -6.11%               | 2.66%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6589.71                | $184674.55                                 |
| Month 2  | $-8851.83                | $-173499.37                                |
| Month 3  | $-17252.37               | $228075.26                                 |

**Designated Index Information**

- **Index Name:** Fidelity Risk Parity Composite Index

- **Index Identifier:** 76627765

### Schedule of Portfolio Investments

| Name                                     | Title                                          | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GOLDMAN SACHS INTERNATIONAL              | GLD 7/3/2023 FDS ETRS                          | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DO               | CORP              | GB        |      2959 | NC      | $22863.59     | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust              | Fidelity Emerging Markets Index Fund           | CUSIP: 316146331<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |     16813 | NS      | $172164.75    | 2.38%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL              | LEMB 7/3/2023 FDS ETRS                         | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DO               | CORP              | GB        |      9717 | NC      | $11255.13     | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust              | FIDELITY SMALL CAP VALUE INDEX FUND            | CUSIP: 31635T773<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |     23663 | NS      | $556087.71    | 7.69%             |  |  |  | No            |                  1 | On Loan: No      |
| INVESCO S and P SMALLCAP 600 REVENUE ETF | Invesco Senior Loan ETF                        | CUSIP: 46138G508<br>LEI: 549300INXEJOUVOV7Z07 | Long             | EC               | RF                | US        |      8752 | NS      | $184754.72    | 2.55%             |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                | UST BILLS 0% 02/02/2023                        | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    324000 | PA      | $323964.07    | 4.48%             | 2023-02-02      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                              | GOVT 11/1/2023 FDS ETRS                        | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DO               | CORP              | FR        |     33362 | NC      | $-1597.37     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Oxford Street Trust             | Fidelity Commodity Strategy Fund               | CUSIP: 31634R307<br>LEI: Z2ZIGDKL3355UQRAKY22 | Long             | EC               | RF                | US        |     12815 | NS      | $1314817.52   | 18.18%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                    | GOVT 8/1/2023 FDS ETRS                         | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DO               | CORP              | US        |      2796 | NC      | $1130.02      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES CORE TOTAL USD BOND MARKET ETF   | iShares JP Morgan USD Em Mkts Bd ETF           | CUSIP: 464288281<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |       440 | NS      | $38680.40     | 0.53%             |  |  |  | No            |                  1 | On Loan: No      |
| SPDR GOLD TR                             | SPDR Gold Shares                               | CUSIP: 78463V107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       635 | NS      | $113925.35    | 1.57%             |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                | UST BILLS 0% 04/27/2023                        | CUSIP: 912796YV5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $9893.82      | 0.14%             | 2023-04-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                              | BKLN 7/03/2023 FDS BNP -75 BF 0                | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DO               | CORP              | FR        |     49223 | NC      | $15398.13     | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust              | Fidelity Small Cap Index Fund                  | CUSIP: 316146182<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |     15557 | NS      | $370735.01    | 5.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Salem Street Trust              | Fidelity Long-Term Treasury Bond Index Fund    | CUSIP: 31635V232<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |     58695 | NS      | $635672.23    | 8.79%             |  |  |  | No            |                  1 | On Loan: No      |
| ISHARES CORE TOTAL USD BOND MARKET ETF   | iShares US Treasury Bond ETF                   | CUSIP: 46429B267<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |      2315 | NS      | $54008.95     | 0.75%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL              | TIP 7/3/2023 FDS ETRS                          | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DO               | CORP              | GB        |     16211 | NC      | $23396.68     | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Salem Street Trust              | Fidelity Real Estate Index Fund                | CUSIP: 316146232<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |     14822 | NS      | $237896.28    | 3.29%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                    | TLT 7/3/2023 FDS ETRS                          | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DO               | CORP              | US        |       777 | NC      | $4158.71      | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC      | HYG 6/28/2023 FDS ETRS                         | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DO               | CORP              | US        |      8707 | NC      | $40471.06     | 0.56%             |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Concord Street Trust            | Fidelity International Index Fund              | CUSIP: 315911727<br>LEI: EEX0N4ID1C226M44VF22 | Long             | EC               | RF                | US        |     18657 | NS      | $833792.23    | 11.53%            |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Revere Street Trust             | Fidelity Cash Central Fund                     | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |   1336360 | NS      | $1336627.17   | 18.48%            |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                | UST BILLS 0% 02/16/2023                        | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $9982.09      | 0.14%             | 2023-02-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL              | GOVT 7/3/2023 FDS ETRS                         | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DO               | CORP              | GB        |       790 | NC      | $318.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL              | GLD 8/1/2023 FDS ETRS                          | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DO               | CORP              | GB        |        68 | NC      | $524.96       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES CORE TOTAL USD BOND MARKET ETF   | ISHARES IBOXX HIGH YLD CORP ETF                | CUSIP: 464288513<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |      2717 | NS      | $207388.61    | 2.87%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Salem Street Trust              | Fidelity Inflation-Protected Bond Index Fund   | CUSIP: 31635T104<br>LEI: S4W85DGKOEJ24DPRB829 | Long             | EC               | RF                | US        |     48224 | NS      | $443657.97    | 6.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Concord Street Trust            | FIDELITY TOTAL MARKET INDEX FUNDFIDELITY ADV   | CUSIP: 315911693<br>LEI: EEX0N4ID1C226M44VF22 | Long             | EC               | RF                | US        |      1561 | NS      | $176997.29    | 2.45%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                           | MSCI EAFE FUT MAR23 MFSH3                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |         2 | NC      | $13367.22     | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| ISHARES INC                              | iShares J.P. Morgan EM Local Currency Bond ETF | CUSIP: 464286517<br>LEI: 549300X7CW3B8850WA94 | Long             | EC               | RF                | US        |      2199 | NS      | $79032.06     | 1.09%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL              | EMB 7/3/2023 FDS ETRS                          | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DO               | CORP              | GB        |      2240 | NC      | $6500.33      | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC      | EMB 11/1/2023 FDS ETRS                         | CUSIP: N/A<br>LEI: I7331LVCZKQKX5T7XV54       | N/A              | DO               | CORP              | US        |       568 | NC      | $1512.64      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                              | GOVT 11/01/23 FDS BNP 10 BF 0                  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | Long             | DO               | CORP              | FR        |      4431 | NC      | $215.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC              | S and P500 EMINI FUT MAR23 ESH3                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        -2 | NC      | $-8972.60     | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                   | US 10YR NOTE FUT (CBT)MAR23 TYH3               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |         3 | NC      | $5735.87      | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-02

**Name of Applicant:** Heather Bonner

**Signature:** Heather Bonner

**Name of Signer:** Heather Bonner

**Title:** President and Treasurer