# EDGAR Filing Document

**Accession Number:** 0001898391
**File Stem:** 0001898391-26-000039
**Filing Date:** 2026-3
**Character Count:** 1143632
**Document Hash:** 95eb1fb8b450b88d936f36dcae5c2aa3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001898391-26-000039.hdr.sgml**: 20260325

**ACCESSION NUMBER**: 0001898391-26-000039

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 110

**CONFORMED PERIOD OF REPORT**: 20260131

**FILED AS OF DATE**: 20260325

**DATE AS OF CHANGE**: 20260325

**EFFECTIVENESS DATE**: 20260325

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23762
- **FILM NUMBER:** 26788994

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

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

## Series and Classes Contracts Data

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

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

### Fidelity Hedged Equity Fund (Series ID: S000077302)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

**FORM N-CSR**

**CERTIFIED SHAREHOLDER REPORT OF REGISTERED**

**MANAGEMENT INVESTMENT COMPANIES**

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

<u>Fidelity Greenwood Street Trust</u>

(Exact name of registrant as specified in charter)

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

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

Nicole Macarchuk, Secretary

245 Summer St.

<u>Boston, Massachusetts 02210</u>

(Name and address of agent for service)

Registrant's telephone number, including area code:

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

---

| | |
|:---|:---|
| &nbsp;&nbsp;Date of fiscal year end: | &nbsp;&nbsp;January 31 |
| &nbsp;&nbsp;Date of reporting period: | &nbsp;&nbsp;January 31, 2026 |

---

Item 1.

<u>Reports to Stockholders</u>

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® SAI Convertible Arbitrage Fund<br> **Fidelity® SAI Convertible Arbitrage Fund : FSAWX** <br>|

---

This annual shareholder report contains information about Fidelity® SAI Convertible Arbitrage Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® SAI Convertible Arbitrage Fund  | $154  | 1.45% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund outperformed its benchmark, the BBG 3M t-bill Bellwether Index.

• Specifically, the portfolio benefited from its focus on strong credit quality issuers in the 2028-2030 maturity window.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

September 12, 2023 through January 31, 2026.

Initial investment of $10,000.

---

| | | | | |
|:---|:---|:---|:---|:---|
| Fidelity® SAI Convertible Arbitrage Fund<br>| $10000 | $10181<br>| $11293<br>| $12789<br>|
| Bloomberg U.S. 3-Month Treasury Bellwether Index<br>| $10000 | $10209<br>| $10743<br>| $11189<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10469<br>| $10685<br>| $11417<br>|
|  | 2023 | 2024 | 2025 | 2026 |

---

![](img125434_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Fidelity® SAI Convertible Arbitrage Fund | 13.25% | 10.85% |
| Bloomberg U.S. 3-Month Treasury Bellwether Index | 4.15%<br>| 4.82% |
| Bloomberg U.S. Aggregate Bond Index | 6.85%<br>| 5.70% |

---

**A** From September 12, 2023

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $1012409970<br>|
| Number of Holdings | 54<br>|
| Total Advisory Fee | $9341519<br>|
| Portfolio Turnover | 363%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 19.4 |
| Swaps | 405.1 |

---

---

| | |
|:---|:---|
| Swaps | 77.3 |
| Corporate Bonds | 6.7 |
| U.S. Treasury Obligations | 5.4 |
| Common Stocks | 5.2 |
| Futures Contracts | 3.7 |
| Domestic Equity Funds | 0.7 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img7521_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 77.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Corporate Bonds - 6.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| U.S. Treasury Obligations - 5.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 5.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Futures Contracts - 3.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 0.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 1.0 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 28.2<br>|
| Mastercard Inc Class A | 8.4<br>|
| Philip Morris International Inc | 7.9<br>|
| Citigroup Inc | 3.7<br>|
| Cable One Inc | 3.5<br>|
| MACOM Technology Solutions Holdings Inc | 3.2<br>|
| LCI Industries | 2.7<br>|
| DigitalOcean Holdings Inc | 2.5<br>|
| Broadcom Inc | 2.5<br>|
| Financial Select Sector SPDR ETF | 2.3<br>|
|  | 64.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img7521_20260131_2.jpg)<br>| ![](img125434_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912685.101 7521-TSRA-0426 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Fidelity® Risk Parity Fund<br> **Fidelity® Risk Parity Fund : FAPSX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Risk Parity Fund  | $67  | 0.60% |

---

**What affected the Fund's performance this period?**

• Risk assets largely achieved positive results for the 12 months ending January 31, 2026, boosted by healthy corporate fundamentals in several regions, a resilient global economy, robust corporate spending on artificial intelligence and dovish monetary policy from some global central banks.

• For the year, exposure to gold, along with overweight allocations in international equities in both developed and emerging markets, fueled the fund's strong relative performance. Gold posted an outsized advance during the past year, and stocks in international markets outperformed U.S. equities.

• The impact of foreign currency positioning meaningfully enhanced the gains of our international market positioning for U.S.-based investors, reflecting a weakening trend for the U.S. dollar throughout the period.

• Underweighting U.S. stocks provided a further boost for the year.

• Within fixed income, a sizable underweight allocation in investment-grade bonds proved highly advantageous this year. Conversely, exposure to Treasury Inflation-Protected Securities and certain higher-risk categories - including high-yield corporate credit and leveraged bank loans - detracted.

• As of January 31, from an active allocation standpoint, the fund was overweight equities and underweight fixed income. Within equities, the fund maintained a large overweight in international markets, both developed and emerging. In the U.S., the fund was slightly underweight, and the allocation is tilted toward small-cap stocks.

• The portfolio had a roughly equal-weight allocation in commodities at about 20% of assets, split about equally between gold and diversified commodities.

• At period end, roughly 9% of fund assets were allocated to investment-grade bonds - well below the 40% neutral weight in the secondary Composite benchmark. The portfolio's fixed-income assets are concentrated in Treasury Inflation-Protected Securities, high-yield corporate credit and emerging-markets debt.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

September 1, 2022 through January 31, 2026.

Initial investment of $10,000.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Fidelity® Risk Parity Fund<br>| $10000 | $10263<br>| $10335<br>| $11527<br>| $14241<br>|
| Fidelity Risk Parity Composite Index℠<br>| $10000 | $10485<br>| $11490<br>| $12980<br>| $15025<br>|
| Fidelity Risk Parity Custom Index℠<br>| $10000 | $10116<br>| $10265<br>| $10930<br>| $12679<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10732<br>| $12354<br>| $14962<br>| $18291<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125436_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Fidelity® Risk Parity Fund | 23.55% | 10.89% |
| Fidelity Risk Parity Composite Index℠ | 15.76%<br>| 12.65% |
| Fidelity Risk Parity Custom Index℠ | 16.00%<br>| 7.19% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 19.31% |

---

**A** From September 1, 2022

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $15745323<br>|
| Number of Holdings | 49<br>|
| Total Advisory Fee | $67091<br>|
| Portfolio Turnover | 51%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 8.2 |
| Swaps | 61.6 |

---

---

| | |
|:---|:---|
| Swaps | 36.3 |
| Fixed-Income Funds | 24.3 |
| Domestic Equity Funds | 19.9 |
| International Equity Funds | 10.3 |
| Futures Contracts | 4.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6513_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 36.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 24.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 10.3&nbsp;&nbsp;&nbsp;&nbsp;  |
| Futures Contracts - 4.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 20.0<br>|
| Fidelity Commodity Strategy Fund | 11.2<br>|
| iShares US Treasury Bond ETF | 9.9<br>|
| Fidelity Emerging Markets Index Fund | 9.7<br>|
| Fidelity Small Cap Value Index Fund | 8.3<br>|
| Fidelity International Index Fund | 7.8<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.4<br>|
| Fidelity Small Cap Index Fund | 5.5<br>|
| Fidelity Total Market Index Fund | 5.3<br>|
| US Treasury Bill | 4.0<br>|
|  | 89.1 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since February 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by April 1, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fund modified its principal investment strategies during the reporting period.

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6513_20260131_2.jpg)<br>| ![](img125436_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912651.101 6513-TSRA-0426 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Fidelity® Risk Parity Fund<br> **Fidelity Advisor® Risk Parity Fund Class Z : FAPZX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class Z  | $61  | 0.55% |

---

**What affected the Fund's performance this period?**

• Risk assets largely achieved positive results for the 12 months ending January 31, 2026, boosted by healthy corporate fundamentals in several regions, a resilient global economy, robust corporate spending on artificial intelligence and dovish monetary policy from some global central banks.

• For the year, exposure to gold, along with overweight allocations in international equities in both developed and emerging markets, fueled the fund's strong relative performance. Gold posted an outsized advance during the past year, and stocks in international markets outperformed U.S. equities.

• The impact of foreign currency positioning meaningfully enhanced the gains of our international market positioning for U.S.-based investors, reflecting a weakening trend for the U.S. dollar throughout the period.

• Underweighting U.S. stocks provided a further boost for the year.

• Within fixed income, a sizable underweight allocation in investment-grade bonds proved highly advantageous this year. Conversely, exposure to Treasury Inflation-Protected Securities and certain higher-risk categories - including high-yield corporate credit and leveraged bank loans - detracted.

• As of January 31, from an active allocation standpoint, the fund was overweight equities and underweight fixed income. Within equities, the fund maintained a large overweight in international markets, both developed and emerging. In the U.S., the fund was slightly underweight, and the allocation is tilted toward small-cap stocks.

• The portfolio had a roughly equal-weight allocation in commodities at about 20% of assets, split about equally between gold and diversified commodities.

• At period end, roughly 9% of fund assets were allocated to investment-grade bonds - well below the 40% neutral weight in the secondary Composite benchmark. The portfolio's fixed-income assets are concentrated in Treasury Inflation-Protected Securities, high-yield corporate credit and emerging-markets debt.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

July 7, 2022 through January 31, 2026.

Initial investment of $10,000.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Class Z<br>| $10000 | $10313<br>| $10385<br>| $11593<br>| $14329<br>|
| Fidelity Risk Parity Composite Index℠<br>| $10000 | $10461<br>| $11464<br>| $12951<br>| $14992<br>|
| Fidelity Risk Parity Custom Index℠<br>| $10000 | $10047<br>| $10195<br>| $10855<br>| $12593<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10775<br>| $12403<br>| $15022<br>| $18364<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125437_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class Z | 23.60% | 10.59% |
| Fidelity Risk Parity Composite Index℠ | 15.76%<br>| 12.00% |
| Fidelity Risk Parity Custom Index℠ | 16.00%<br>| 6.67% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 18.55% |

---

**A** From July 7, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $15745323<br>|
| Number of Holdings | 49<br>|
| Total Advisory Fee | $67091<br>|
| Portfolio Turnover | 51%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 8.2 |
| Swaps | 61.6 |

---

---

| | |
|:---|:---|
| Swaps | 36.3 |
| Fixed-Income Funds | 24.3 |
| Domestic Equity Funds | 19.9 |
| International Equity Funds | 10.3 |
| Futures Contracts | 4.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6513_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 36.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 24.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 10.3&nbsp;&nbsp;&nbsp;&nbsp;  |
| Futures Contracts - 4.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 20.0<br>|
| Fidelity Commodity Strategy Fund | 11.2<br>|
| iShares US Treasury Bond ETF | 9.9<br>|
| Fidelity Emerging Markets Index Fund | 9.7<br>|
| Fidelity Small Cap Value Index Fund | 8.3<br>|
| Fidelity International Index Fund | 7.8<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.4<br>|
| Fidelity Small Cap Index Fund | 5.5<br>|
| Fidelity Total Market Index Fund | 5.3<br>|
| US Treasury Bill | 4.0<br>|
|  | 89.1 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since February 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by April 1, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fund modified its principal investment strategies during the reporting period.

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6513_20260131_2.jpg)<br>| ![](img125437_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912656.101 6518-TSRA-0426 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Fidelity® Risk Parity Fund<br> **Fidelity Advisor® Risk Parity Fund Class M : FAPWX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $123  | 1.10% |

---

**What affected the Fund's performance this period?**

• Risk assets largely achieved positive results for the 12 months ending January 31, 2026, boosted by healthy corporate fundamentals in several regions, a resilient global economy, robust corporate spending on artificial intelligence and dovish monetary policy from some global central banks.

• For the year, exposure to gold, along with overweight allocations in international equities in both developed and emerging markets, fueled the fund's strong relative performance. Gold posted an outsized advance during the past year, and stocks in international markets outperformed U.S. equities.

• The impact of foreign currency positioning meaningfully enhanced the gains of our international market positioning for U.S.-based investors, reflecting a weakening trend for the U.S. dollar throughout the period.

• Underweighting U.S. stocks provided a further boost for the year.

• Within fixed income, a sizable underweight allocation in investment-grade bonds proved highly advantageous this year. Conversely, exposure to Treasury Inflation-Protected Securities and certain higher-risk categories - including high-yield corporate credit and leveraged bank loans - detracted.

• As of January 31, from an active allocation standpoint, the fund was overweight equities and underweight fixed income. Within equities, the fund maintained a large overweight in international markets, both developed and emerging. In the U.S., the fund was slightly underweight, and the allocation is tilted toward small-cap stocks.

• The portfolio had a roughly equal-weight allocation in commodities at about 20% of assets, split about equally between gold and diversified commodities.

• At period end, roughly 9% of fund assets were allocated to investment-grade bonds - well below the 40% neutral weight in the secondary Composite benchmark. The portfolio's fixed-income assets are concentrated in Treasury Inflation-Protected Securities, high-yield corporate credit and emerging-markets debt.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

July 7, 2022 through January 31, 2026.

Initial investment of $10,000 and the current sales charge was paid.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Class M<br>| $9650 | $9917<br>| $9932<br>| $11026<br>| $13562<br>|
| Fidelity Risk Parity Composite Index℠<br>| $10000 | $10461<br>| $11464<br>| $12951<br>| $14992<br>|
| Fidelity Risk Parity Custom Index℠<br>| $10000 | $10047<br>| $10195<br>| $10855<br>| $12593<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10775<br>| $12403<br>| $15022<br>| $18364<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125438_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class M (incl. 3.50% sales charge)  | 18.70% | 8.90% |
| Class M (without 3.50% sales charge) | 23.00% | 9.99% |
| Fidelity Risk Parity Composite Index℠ | 15.76%<br>| 12.00% |
| Fidelity Risk Parity Custom Index℠ | 16.00%<br>| 6.67% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 18.55% |

---

**A** From July 7, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $15745323<br>|
| Number of Holdings | 49<br>|
| Total Advisory Fee | $67091<br>|
| Portfolio Turnover | 51%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 8.2 |
| Swaps | 61.6 |

---

---

| | |
|:---|:---|
| Swaps | 36.3 |
| Fixed-Income Funds | 24.3 |
| Domestic Equity Funds | 19.9 |
| International Equity Funds | 10.3 |
| Futures Contracts | 4.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6513_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 36.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 24.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 10.3&nbsp;&nbsp;&nbsp;&nbsp;  |
| Futures Contracts - 4.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 20.0<br>|
| Fidelity Commodity Strategy Fund | 11.2<br>|
| iShares US Treasury Bond ETF | 9.9<br>|
| Fidelity Emerging Markets Index Fund | 9.7<br>|
| Fidelity Small Cap Value Index Fund | 8.3<br>|
| Fidelity International Index Fund | 7.8<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.4<br>|
| Fidelity Small Cap Index Fund | 5.5<br>|
| Fidelity Total Market Index Fund | 5.3<br>|
| US Treasury Bill | 4.0<br>|
|  | 89.1 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since February 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by April 1, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fund modified its principal investment strategies during the reporting period.

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6513_20260131_2.jpg)<br>| ![](img125438_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912654.101 6516-TSRA-0426 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Fidelity® Risk Parity Fund<br> **Fidelity Advisor® Risk Parity Fund Class I : FAPYX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $67  | 0.60% |

---

**What affected the Fund's performance this period?**

• Risk assets largely achieved positive results for the 12 months ending January 31, 2026, boosted by healthy corporate fundamentals in several regions, a resilient global economy, robust corporate spending on artificial intelligence and dovish monetary policy from some global central banks.

• For the year, exposure to gold, along with overweight allocations in international equities in both developed and emerging markets, fueled the fund's strong relative performance. Gold posted an outsized advance during the past year, and stocks in international markets outperformed U.S. equities.

• The impact of foreign currency positioning meaningfully enhanced the gains of our international market positioning for U.S.-based investors, reflecting a weakening trend for the U.S. dollar throughout the period.

• Underweighting U.S. stocks provided a further boost for the year.

• Within fixed income, a sizable underweight allocation in investment-grade bonds proved highly advantageous this year. Conversely, exposure to Treasury Inflation-Protected Securities and certain higher-risk categories - including high-yield corporate credit and leveraged bank loans - detracted.

• As of January 31, from an active allocation standpoint, the fund was overweight equities and underweight fixed income. Within equities, the fund maintained a large overweight in international markets, both developed and emerging. In the U.S., the fund was slightly underweight, and the allocation is tilted toward small-cap stocks.

• The portfolio had a roughly equal-weight allocation in commodities at about 20% of assets, split about equally between gold and diversified commodities.

• At period end, roughly 9% of fund assets were allocated to investment-grade bonds - well below the 40% neutral weight in the secondary Composite benchmark. The portfolio's fixed-income assets are concentrated in Treasury Inflation-Protected Securities, high-yield corporate credit and emerging-markets debt.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

July 7, 2022 through January 31, 2026.

Initial investment of $10,000.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Class I<br>| $10000 | $10302<br>| $10381<br>| $11570<br>| $14295<br>|
| Fidelity Risk Parity Composite Index℠<br>| $10000 | $10461<br>| $11464<br>| $12951<br>| $14992<br>|
| Fidelity Risk Parity Custom Index℠<br>| $10000 | $10047<br>| $10195<br>| $10855<br>| $12593<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10775<br>| $12403<br>| $15022<br>| $18364<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125439_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class I | 23.55% | 10.52% |
| Fidelity Risk Parity Composite Index℠ | 15.76%<br>| 12.00% |
| Fidelity Risk Parity Custom Index℠ | 16.00%<br>| 6.67% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 18.55% |

---

**A** From July 7, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $15745323<br>|
| Number of Holdings | 49<br>|
| Total Advisory Fee | $67091<br>|
| Portfolio Turnover | 51%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 8.2 |
| Swaps | 61.6 |

---

---

| | |
|:---|:---|
| Swaps | 36.3 |
| Fixed-Income Funds | 24.3 |
| Domestic Equity Funds | 19.9 |
| International Equity Funds | 10.3 |
| Futures Contracts | 4.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6513_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 36.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 24.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 10.3&nbsp;&nbsp;&nbsp;&nbsp;  |
| Futures Contracts - 4.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 20.0<br>|
| Fidelity Commodity Strategy Fund | 11.2<br>|
| iShares US Treasury Bond ETF | 9.9<br>|
| Fidelity Emerging Markets Index Fund | 9.7<br>|
| Fidelity Small Cap Value Index Fund | 8.3<br>|
| Fidelity International Index Fund | 7.8<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.4<br>|
| Fidelity Small Cap Index Fund | 5.5<br>|
| Fidelity Total Market Index Fund | 5.3<br>|
| US Treasury Bill | 4.0<br>|
|  | 89.1 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since February 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by April 1, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fund modified its principal investment strategies during the reporting period.

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6513_20260131_2.jpg)<br>| ![](img125439_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912655.101 6517-TSRA-0426 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Fidelity® Risk Parity Fund<br> **Fidelity Advisor® Risk Parity Fund Class C : FAPVX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $178  | 1.60% |

---

**What affected the Fund's performance this period?**

• Risk assets largely achieved positive results for the 12 months ending January 31, 2026, boosted by healthy corporate fundamentals in several regions, a resilient global economy, robust corporate spending on artificial intelligence and dovish monetary policy from some global central banks.

• For the year, exposure to gold, along with overweight allocations in international equities in both developed and emerging markets, fueled the fund's strong relative performance. Gold posted an outsized advance during the past year, and stocks in international markets outperformed U.S. equities.

• The impact of foreign currency positioning meaningfully enhanced the gains of our international market positioning for U.S.-based investors, reflecting a weakening trend for the U.S. dollar throughout the period.

• Underweighting U.S. stocks provided a further boost for the year.

• Within fixed income, a sizable underweight allocation in investment-grade bonds proved highly advantageous this year. Conversely, exposure to Treasury Inflation-Protected Securities and certain higher-risk categories - including high-yield corporate credit and leveraged bank loans - detracted.

• As of January 31, from an active allocation standpoint, the fund was overweight equities and underweight fixed income. Within equities, the fund maintained a large overweight in international markets, both developed and emerging. In the U.S., the fund was slightly underweight, and the allocation is tilted toward small-cap stocks.

• The portfolio had a roughly equal-weight allocation in commodities at about 20% of assets, split about equally between gold and diversified commodities.

• At period end, roughly 9% of fund assets were allocated to investment-grade bonds - well below the 40% neutral weight in the secondary Composite benchmark. The portfolio's fixed-income assets are concentrated in Treasury Inflation-Protected Securities, high-yield corporate credit and emerging-markets debt.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

July 7, 2022 through January 31, 2026.

Initial investment of $10,000.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Class C<br>| $10000 | $10252<br>| $10221<br>| $11277<br>| $13799<br>|
| Fidelity Risk Parity Composite Index℠<br>| $10000 | $10461<br>| $11464<br>| $12951<br>| $14992<br>|
| Fidelity Risk Parity Custom Index℠<br>| $10000 | $10047<br>| $10195<br>| $10855<br>| $12593<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10775<br>| $12403<br>| $15022<br>| $18364<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125440_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class C (incl. contingent deferred sales charge) | 21.36% | 9.43% |
| Class C | 22.36% | 9.43% |
| Fidelity Risk Parity Composite Index℠ | 15.76%<br>| 12.00% |
| Fidelity Risk Parity Custom Index℠ | 16.00%<br>| 6.67% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 18.55% |

---

**A** From July 7, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $15745323<br>|
| Number of Holdings | 49<br>|
| Total Advisory Fee | $67091<br>|
| Portfolio Turnover | 51%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 8.2 |
| Swaps | 61.6 |

---

---

| | |
|:---|:---|
| Swaps | 36.3 |
| Fixed-Income Funds | 24.3 |
| Domestic Equity Funds | 19.9 |
| International Equity Funds | 10.3 |
| Futures Contracts | 4.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6513_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 36.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 24.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 10.3&nbsp;&nbsp;&nbsp;&nbsp;  |
| Futures Contracts - 4.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 20.0<br>|
| Fidelity Commodity Strategy Fund | 11.2<br>|
| iShares US Treasury Bond ETF | 9.9<br>|
| Fidelity Emerging Markets Index Fund | 9.7<br>|
| Fidelity Small Cap Value Index Fund | 8.3<br>|
| Fidelity International Index Fund | 7.8<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.4<br>|
| Fidelity Small Cap Index Fund | 5.5<br>|
| Fidelity Total Market Index Fund | 5.3<br>|
| US Treasury Bill | 4.0<br>|
|  | 89.1 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since February 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by April 1, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fund modified its principal investment strategies during the reporting period.

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6513_20260131_2.jpg)<br>| ![](img125440_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912653.101 6515-TSRA-0426 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Fidelity® Risk Parity Fund<br> **Fidelity Advisor® Risk Parity Fund Class A : FAPUX** <br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Fidelity® Risk Parity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $95  | 0.85% |

---

**What affected the Fund's performance this period?**

• Risk assets largely achieved positive results for the 12 months ending January 31, 2026, boosted by healthy corporate fundamentals in several regions, a resilient global economy, robust corporate spending on artificial intelligence and dovish monetary policy from some global central banks.

• For the year, exposure to gold, along with overweight allocations in international equities in both developed and emerging markets, fueled the fund's strong relative performance. Gold posted an outsized advance during the past year, and stocks in international markets outperformed U.S. equities.

• The impact of foreign currency positioning meaningfully enhanced the gains of our international market positioning for U.S.-based investors, reflecting a weakening trend for the U.S. dollar throughout the period.

• Underweighting U.S. stocks provided a further boost for the year.

• Within fixed income, a sizable underweight allocation in investment-grade bonds proved highly advantageous this year. Conversely, exposure to Treasury Inflation-Protected Securities and certain higher-risk categories - including high-yield corporate credit and leveraged bank loans - detracted.

• As of January 31, from an active allocation standpoint, the fund was overweight equities and underweight fixed income. Within equities, the fund maintained a large overweight in international markets, both developed and emerging. In the U.S., the fund was slightly underweight, and the allocation is tilted toward small-cap stocks.

• The portfolio had a roughly equal-weight allocation in commodities at about 20% of assets, split about equally between gold and diversified commodities.

• At period end, roughly 9% of fund assets were allocated to investment-grade bonds - well below the 40% neutral weight in the secondary Composite benchmark. The portfolio's fixed-income assets are concentrated in Treasury Inflation-Protected Securities, high-yield corporate credit and emerging-markets debt.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

July 7, 2022 through January 31, 2026.

Initial investment of $10,000 and the current sales charge was paid.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Class A<br>| $9425 | $9698<br>| $9747<br>| $10836<br>| $13361<br>|
| Fidelity Risk Parity Composite Index℠<br>| $10000 | $10461<br>| $11464<br>| $12951<br>| $14992<br>|
| Fidelity Risk Parity Custom Index℠<br>| $10000 | $10047<br>| $10195<br>| $10855<br>| $12593<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10775<br>| $12403<br>| $15022<br>| $18364<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125441_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class A (incl. 5.75% sales charge)  | 16.22% | 8.45% |
| Class A (without 5.75% sales charge) | 23.31% | 10.26% |
| Fidelity Risk Parity Composite Index℠ | 15.76%<br>| 12.00% |
| Fidelity Risk Parity Custom Index℠ | 16.00%<br>| 6.67% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 18.55% |

---

**A** From July 7, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $15745323<br>|
| Number of Holdings | 49<br>|
| Total Advisory Fee | $67091<br>|
| Portfolio Turnover | 51%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 8.2 |
| Swaps | 61.6 |

---

---

| | |
|:---|:---|
| Swaps | 36.3 |
| Fixed-Income Funds | 24.3 |
| Domestic Equity Funds | 19.9 |
| International Equity Funds | 10.3 |
| Futures Contracts | 4.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 4.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6513_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 36.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Fixed-Income Funds - 24.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Domestic Equity Funds - 19.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| International Equity Funds - 10.3&nbsp;&nbsp;&nbsp;&nbsp;  |
| Futures Contracts - 4.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 4.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Fidelity Inflation-Protected Bond Index Fund | 20.0<br>|
| Fidelity Commodity Strategy Fund | 11.2<br>|
| iShares US Treasury Bond ETF | 9.9<br>|
| Fidelity Emerging Markets Index Fund | 9.7<br>|
| Fidelity Small Cap Value Index Fund | 8.3<br>|
| Fidelity International Index Fund | 7.8<br>|
| iShares J.P. Morgan EM Local Currency Bond ETF | 7.4<br>|
| Fidelity Small Cap Index Fund | 5.5<br>|
| Fidelity Total Market Index Fund | 5.3<br>|
| US Treasury Bill | 4.0<br>|
|  | 89.1 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since February 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by April 1, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

The fund modified its principal investment strategies during the reporting period.

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6513_20260131_2.jpg)<br>| ![](img125441_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912652.101 6514-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Hedged Equity Fund<br> **Fidelity® Hedged Equity Fund : FEQHX** <br>|

---

This annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Hedged Equity Fund  | $59  | 0.55% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund performed in line with its defensive orientation delivering strong returns with less volatility than the S&P 500® Index.

• The fund's relative underperformance of the S&P 500® Index was primarily due to the on-going cost of hedging the portfolio's downside risk during a period of strong appreciation for the broader market.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

September 1, 2022 through January 31, 2026.

Initial investment of $10,000.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Fidelity® Hedged Equity Fund<br>| $10000 | $9946<br>| $11360<br>| $13596<br>| $15392<br>|
| Cboe S&P 500 5% Put Protection Index (PPUT)<br>| $10000 | $10010<br>| $11492<br>| $13977<br>| $15790<br>|
| S&P 500® Index<br>| $10000 | $10346<br>| $12500<br>| $15797<br>| $18380<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125462_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Fidelity® Hedged Equity Fund | 13.21% | 13.44% |
| Cboe S&P 500 5% Put Protection Index (PPUT) | 12.97%<br>| 14.29% |
| S&P 500® Index | 16.35%<br>| 19.49% |

---

**A** From September 1, 2022

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $661922882<br>|
| Number of Holdings | 431<br>|
| Total Advisory Fee | $2437379<br>|
| Portfolio Turnover | 107%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 1.3 |

---

---

| | |
|:---|:---|
| Common Stocks | 94.5 |
| Domestic Equity Funds | 3.8 |
| Options | 1.3 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6875_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 94.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.5<br>|
| Apple Inc | 6.2<br>|
| Alphabet Inc Class A | 5.3<br>|
| Microsoft Corp | 5.3<br>|
| Amazon.com Inc | 4.1<br>|
| iShares Core S&P 500 ETF | 3.8<br>|
| Meta Platforms Inc Class A | 2.7<br>|
| Broadcom Inc | 2.7<br>|
| Tesla Inc | 2.0<br>|
| Berkshire Hathaway Inc Class B | 1.8<br>|
|  | 41.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6875_20260131_2.jpg)<br>| ![](img125462_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912671.101 6875-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Hedged Equity Fund<br> **Fidelity Advisor® Hedged Equity Fund Class Z : FEQZX** <br>|

---

This annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class Z  | $54  | 0.50% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund performed in line with its defensive orientation delivering strong returns with less volatility than the S&P 500® Index.

• The fund's relative underperformance of the S&P 500® Index was primarily due to the on-going cost of hedging the portfolio's downside risk during a period of strong appreciation for the broader market.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

September 1, 2022 through January 31, 2026.

Initial investment of $10,000.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Class Z<br>| $10000 | $9946<br>| $11368<br>| $13617<br>| $15417<br>|
| Cboe S&P 500 5% Put Protection Index (PPUT)<br>| $10000 | $10010<br>| $11492<br>| $13977<br>| $15790<br>|
| S&P 500® Index<br>| $10000 | $10346<br>| $12500<br>| $15797<br>| $18380<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125463_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class Z | 13.21% | 13.50% |
| Cboe S&P 500 5% Put Protection Index (PPUT) | 12.97%<br>| 14.29% |
| S&P 500® Index | 16.35%<br>| 19.49% |

---

**A** From September 1, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $661922882<br>|
| Number of Holdings | 431<br>|
| Total Advisory Fee | $2437379<br>|
| Portfolio Turnover | 107%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 1.3 |

---

---

| | |
|:---|:---|
| Common Stocks | 94.5 |
| Domestic Equity Funds | 3.8 |
| Options | 1.3 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6875_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 94.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.5<br>|
| Apple Inc | 6.2<br>|
| Alphabet Inc Class A | 5.3<br>|
| Microsoft Corp | 5.3<br>|
| Amazon.com Inc | 4.1<br>|
| iShares Core S&P 500 ETF | 3.8<br>|
| Meta Platforms Inc Class A | 2.7<br>|
| Broadcom Inc | 2.7<br>|
| Tesla Inc | 2.0<br>|
| Berkshire Hathaway Inc Class B | 1.8<br>|
|  | 41.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6875_20260131_2.jpg)<br>| ![](img125463_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912676.101 6880-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Hedged Equity Fund<br> **Fidelity Advisor® Hedged Equity Fund Class M : FEQNX** <br>|

---

This annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $112  | 1.05% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund performed in line with its defensive orientation delivering strong returns with less volatility than the S&P 500® Index.

• The fund's relative underperformance of the S&P 500® Index was primarily due to the on-going cost of hedging the portfolio's downside risk during a period of strong appreciation for the broader market.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

September 1, 2022 through January 31, 2026.

Initial investment of $10,000 and the current sales charge was paid.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Class M<br>| $9650 | $9582<br>| $10889<br>| $12966<br>| $14608<br>|
| Cboe S&P 500 5% Put Protection Index (PPUT)<br>| $10000 | $10010<br>| $11492<br>| $13977<br>| $15790<br>|
| S&P 500® Index<br>| $10000 | $10346<br>| $12500<br>| $15797<br>| $18380<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125464_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class M (incl. 3.50% sales charge)  | 8.72% | 11.72% |
| Class M (without 3.50% sales charge) | 12.67% | 12.89% |
| Cboe S&P 500 5% Put Protection Index (PPUT) | 12.97%<br>| 14.29% |
| S&P 500® Index | 16.35%<br>| 19.49% |

---

**A** From September 1, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $661922882<br>|
| Number of Holdings | 431<br>|
| Total Advisory Fee | $2437379<br>|
| Portfolio Turnover | 107%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 1.3 |

---

---

| | |
|:---|:---|
| Common Stocks | 94.5 |
| Domestic Equity Funds | 3.8 |
| Options | 1.3 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6875_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 94.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.5<br>|
| Apple Inc | 6.2<br>|
| Alphabet Inc Class A | 5.3<br>|
| Microsoft Corp | 5.3<br>|
| Amazon.com Inc | 4.1<br>|
| iShares Core S&P 500 ETF | 3.8<br>|
| Meta Platforms Inc Class A | 2.7<br>|
| Broadcom Inc | 2.7<br>|
| Tesla Inc | 2.0<br>|
| Berkshire Hathaway Inc Class B | 1.8<br>|
|  | 41.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6875_20260131_2.jpg)<br>| ![](img125464_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912674.101 6878-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Hedged Equity Fund<br> **Fidelity Advisor® Hedged Equity Fund Class I : FEQJX** <br>|

---

This annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $59  | 0.55% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund performed in line with its defensive orientation delivering strong returns with less volatility than the S&P 500® Index.

• The fund's relative underperformance of the S&P 500® Index was primarily due to the on-going cost of hedging the portfolio's downside risk during a period of strong appreciation for the broader market.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

September 1, 2022 through January 31, 2026.

Initial investment of $10,000.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Class I<br>| $10000 | $9946<br>| $11360<br>| $13606<br>| $15397<br>|
| Cboe S&P 500 5% Put Protection Index (PPUT)<br>| $10000 | $10010<br>| $11492<br>| $13977<br>| $15790<br>|
| S&P 500® Index<br>| $10000 | $10346<br>| $12500<br>| $15797<br>| $18380<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125465_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class I | 13.17% | 13.45% |
| Cboe S&P 500 5% Put Protection Index (PPUT) | 12.97%<br>| 14.29% |
| S&P 500® Index | 16.35%<br>| 19.49% |

---

**A** From September 1, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $661922882<br>|
| Number of Holdings | 431<br>|
| Total Advisory Fee | $2437379<br>|
| Portfolio Turnover | 107%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 1.3 |

---

---

| | |
|:---|:---|
| Common Stocks | 94.5 |
| Domestic Equity Funds | 3.8 |
| Options | 1.3 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6875_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 94.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.5<br>|
| Apple Inc | 6.2<br>|
| Alphabet Inc Class A | 5.3<br>|
| Microsoft Corp | 5.3<br>|
| Amazon.com Inc | 4.1<br>|
| iShares Core S&P 500 ETF | 3.8<br>|
| Meta Platforms Inc Class A | 2.7<br>|
| Broadcom Inc | 2.7<br>|
| Tesla Inc | 2.0<br>|
| Berkshire Hathaway Inc Class B | 1.8<br>|
|  | 41.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6875_20260131_2.jpg)<br>| ![](img125465_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912675.101 6879-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Hedged Equity Fund<br> **Fidelity Advisor® Hedged Equity Fund Class C : FEQDX** <br>|

---

This annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $164  | 1.55% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund performed in line with its defensive orientation delivering strong returns with less volatility than the S&P 500® Index.

• The fund's relative underperformance of the S&P 500® Index was primarily due to the on-going cost of hedging the portfolio's downside risk during a period of strong appreciation for the broader market.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

September 1, 2022 through January 31, 2026.

Initial investment of $10,000.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Class C<br>| $10000 | $9903<br>| $11203<br>| $13276<br>| $14879<br>|
| Cboe S&P 500 5% Put Protection Index (PPUT)<br>| $10000 | $10010<br>| $11492<br>| $13977<br>| $15790<br>|
| S&P 500® Index<br>| $10000 | $10346<br>| $12500<br>| $15797<br>| $18380<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125466_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class C (incl. contingent deferred sales charge) | 11.08% | 12.32% |
| Class C | 12.08% | 12.32% |
| Cboe S&P 500 5% Put Protection Index (PPUT) | 12.97%<br>| 14.29% |
| S&P 500® Index | 16.35%<br>| 19.49% |

---

**A** From September 1, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $661922882<br>|
| Number of Holdings | 431<br>|
| Total Advisory Fee | $2437379<br>|
| Portfolio Turnover | 107%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 1.3 |

---

---

| | |
|:---|:---|
| Common Stocks | 94.5 |
| Domestic Equity Funds | 3.8 |
| Options | 1.3 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6875_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 94.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.5<br>|
| Apple Inc | 6.2<br>|
| Alphabet Inc Class A | 5.3<br>|
| Microsoft Corp | 5.3<br>|
| Amazon.com Inc | 4.1<br>|
| iShares Core S&P 500 ETF | 3.8<br>|
| Meta Platforms Inc Class A | 2.7<br>|
| Broadcom Inc | 2.7<br>|
| Tesla Inc | 2.0<br>|
| Berkshire Hathaway Inc Class B | 1.8<br>|
|  | 41.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6875_20260131_2.jpg)<br>| ![](img125466_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912673.101 6877-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Hedged Equity Fund<br> **Fidelity Advisor® Hedged Equity Fund Class A : FEQAX** <br>|

---

This annual shareholder report contains information about Fidelity® Hedged Equity Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $85  | 0.80% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund performed in line with its defensive orientation delivering strong returns with less volatility than the S&P 500® Index.

• The fund's relative underperformance of the S&P 500® Index was primarily due to the on-going cost of hedging the portfolio's downside risk during a period of strong appreciation for the broader market.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

September 1, 2022 through January 31, 2026.

Initial investment of $10,000 and the current sales charge was paid.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| Class A<br>| $9425 | $9369<br>| $10676<br>| $12746<br>| $14384<br>|
| Cboe S&P 500 5% Put Protection Index (PPUT)<br>| $10000 | $10010<br>| $11492<br>| $13977<br>| $15790<br>|
| S&P 500® Index<br>| $10000 | $10346<br>| $12500<br>| $15797<br>| $18380<br>|
|  | 2022 | 2023 | 2024 | 2025 | 2026 |

---

![](img125467_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class A (incl. 5.75% sales charge)  | 6.36% | 11.22% |
| Class A (without 5.75% sales charge) | 12.85% | 13.16% |
| Cboe S&P 500 5% Put Protection Index (PPUT) | 12.97%<br>| 14.29% |
| S&P 500® Index | 16.35%<br>| 19.49% |

---

**A** From September 1, 2022

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $661922882<br>|
| Number of Holdings | 431<br>|
| Total Advisory Fee | $2437379<br>|
| Portfolio Turnover | 107%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Options | 1.3 |

---

---

| | |
|:---|:---|
| Common Stocks | 94.5 |
| Domestic Equity Funds | 3.8 |
| Options | 1.3 |
| Short-Term Investments and Net Other Assets (Liabilities) | 0.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img6875_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 94.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 3.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 0.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.5<br>|
| Apple Inc | 6.2<br>|
| Alphabet Inc Class A | 5.3<br>|
| Microsoft Corp | 5.3<br>|
| Amazon.com Inc | 4.1<br>|
| iShares Core S&P 500 ETF | 3.8<br>|
| Meta Platforms Inc Class A | 2.7<br>|
| Broadcom Inc | 2.7<br>|
| Tesla Inc | 2.0<br>|
| Berkshire Hathaway Inc Class B | 1.8<br>|
|  | 41.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img6875_20260131_2.jpg)<br>| ![](img125467_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9912672.101 6876-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity® Equity Market Neutral Fund : FEMNX** <br>|

---

This annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-8544 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Equity Market Neutral Fund  | $116  | 1.10% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund provided strong equity diversification, outperforming its primary benchmark, the BBG 3M t-bill Bellwether Index, with low equity correlation.

• The fund uses a systematic process that is combined with elements of fundamental review to curate the investment universe.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

June 25, 2024 through January 31, 2026.

Initial investment of $10,000.

---

| | | | |
|:---|:---|:---|:---|
| Fidelity® Equity Market Neutral Fund<br>| $10000 | $9810<br>| $10864<br>|
| Bloomberg U.S. 3-Month Treasury Bellwether Index<br>| $10000 | $10303<br>| $10731<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10908<br>| $13334<br>|
|  | 2024 | 2025 | 2026 |

---

![](img125471_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Fidelity® Equity Market Neutral Fund | 10.75% | 5.31% |
| Bloomberg U.S. 3-Month Treasury Bellwether Index | 4.15%<br>| 4.50% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 19.67% |

---

**A** From June 25, 2024

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $18440736<br>|
| Number of Holdings | 150<br>|
| Total Advisory Fee | $148219<br>|
| Portfolio Turnover | 59%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 118.5 |
| Forward Foreign Currency Contracts | 41.0 |

---

---

| | |
|:---|:---|
| Swaps | 45.6 |
| Common Stocks | 31.8 |
| Forward Foreign Currency Contracts | 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img7601_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 45.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 31.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) - 6.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 19.1<br>|
| SK Hynix Inc | 2.6<br>|
| Samsung Electronics Co Ltd | 2.4<br>|
| Standard Chartered PLC | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.0<br>|
| Industria de Diseno Textil SA | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Cognizant Technology Solutions Corp Class A | 1.9<br>|
| Bristol-Myers Squibb Co | 1.7<br>|
|  | 37.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img7601_20260131_2.jpg)<br>| ![](img125471_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916839.101 7601-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity Advisor® Equity Market Neutral Fund Class A : FEMLX** <br>|

---

This annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class A  | $142  | 1.35% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund provided strong equity diversification, outperforming its primary benchmark, the BBG 3M t-bill Bellwether Index, with low equity correlation.

• The fund uses a systematic process that is combined with elements of fundamental review to curate the investment universe.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

June 25, 2024 through January 31, 2026.

Initial investment of $10,000 and the current sales charge was paid.

---

| | | | |
|:---|:---|:---|:---|
| Class A<br>| $9425 | $9227<br>| $10192<br>|
| Bloomberg U.S. 3-Month Treasury Bellwether Index<br>| $10000 | $10303<br>| $10731<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10908<br>| $13334<br>|
|  | 2024 | 2025 | 2026 |

---

![](img125472_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class A (incl. 5.75% sales charge)  | 4.11% | 1.20% |
| Class A (without 5.75% sales charge) | 10.46% | 5.01% |
| Bloomberg U.S. 3-Month Treasury Bellwether Index | 4.15%<br>| 4.50% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 19.67% |

---

**A** From June 25, 2024

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $18440736<br>|
| Number of Holdings | 150<br>|
| Total Advisory Fee | $148219<br>|
| Portfolio Turnover | 59%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 118.5 |
| Forward Foreign Currency Contracts | 41.0 |

---

---

| | |
|:---|:---|
| Swaps | 45.6 |
| Common Stocks | 31.8 |
| Forward Foreign Currency Contracts | 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img7601_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 45.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 31.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) - 6.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 19.1<br>|
| SK Hynix Inc | 2.6<br>|
| Samsung Electronics Co Ltd | 2.4<br>|
| Standard Chartered PLC | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.0<br>|
| Industria de Diseno Textil SA | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Cognizant Technology Solutions Corp Class A | 1.9<br>|
| Bristol-Myers Squibb Co | 1.7<br>|
|  | 37.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img7601_20260131_2.jpg)<br>| ![](img125472_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916841.101 7619-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity Advisor® Equity Market Neutral Fund Class M : FEMOX** <br>|

---

This annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class M  | $168  | 1.60% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund provided strong equity diversification, outperforming its primary benchmark, the BBG 3M t-bill Bellwether Index, with low equity correlation.

• The fund uses a systematic process that is combined with elements of fundamental review to curate the investment universe.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

June 25, 2024 through January 31, 2026.

Initial investment of $10,000 and the current sales charge was paid.

---

| | | | |
|:---|:---|:---|:---|
| Class M<br>| $9650 | $9438<br>| $10397<br>|
| Bloomberg U.S. 3-Month Treasury Bellwether Index<br>| $10000 | $10303<br>| $10731<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10908<br>| $13334<br>|
|  | 2024 | 2025 | 2026 |

---

![](img125473_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class M (incl. 3.50% sales charge)  | 6.31% | 2.46% |
| Class M (without 3.50% sales charge) | 10.17% | 4.76% |
| Bloomberg U.S. 3-Month Treasury Bellwether Index | 4.15%<br>| 4.50% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 19.67% |

---

**A** From June 25, 2024

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $18440736<br>|
| Number of Holdings | 150<br>|
| Total Advisory Fee | $148219<br>|
| Portfolio Turnover | 59%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 118.5 |
| Forward Foreign Currency Contracts | 41.0 |

---

---

| | |
|:---|:---|
| Swaps | 45.6 |
| Common Stocks | 31.8 |
| Forward Foreign Currency Contracts | 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img7601_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 45.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 31.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) - 6.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 19.1<br>|
| SK Hynix Inc | 2.6<br>|
| Samsung Electronics Co Ltd | 2.4<br>|
| Standard Chartered PLC | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.0<br>|
| Industria de Diseno Textil SA | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Cognizant Technology Solutions Corp Class A | 1.9<br>|
| Bristol-Myers Squibb Co | 1.7<br>|
|  | 37.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img7601_20260131_2.jpg)<br>| ![](img125473_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916843.101 7620-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity Advisor® Equity Market Neutral Fund Class C : FEMQX** <br>|

---

This annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class C  | $220  | 2.10% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund provided strong equity diversification, outperforming its primary benchmark, the BBG 3M t-bill Bellwether Index, with low equity correlation.

• The fund uses a systematic process that is combined with elements of fundamental review to curate the investment universe.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

June 25, 2024 through January 31, 2026.

Initial investment of $10,000.

---

| | | | |
|:---|:---|:---|:---|
| Class C<br>| $10000 | $9750<br>| $10684<br>|
| Bloomberg U.S. 3-Month Treasury Bellwether Index<br>| $10000 | $10303<br>| $10731<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10908<br>| $13334<br>|
|  | 2024 | 2025 | 2026 |

---

![](img125474_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class C (incl. contingent deferred sales charge) | 8.58% | 4.22% |
| Class C | 9.58% | 4.22% |
| Bloomberg U.S. 3-Month Treasury Bellwether Index | 4.15%<br>| 4.50% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 19.67% |

---

**A** From June 25, 2024

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $18440736<br>|
| Number of Holdings | 150<br>|
| Total Advisory Fee | $148219<br>|
| Portfolio Turnover | 59%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 118.5 |
| Forward Foreign Currency Contracts | 41.0 |

---

---

| | |
|:---|:---|
| Swaps | 45.6 |
| Common Stocks | 31.8 |
| Forward Foreign Currency Contracts | 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img7601_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 45.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 31.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) - 6.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 19.1<br>|
| SK Hynix Inc | 2.6<br>|
| Samsung Electronics Co Ltd | 2.4<br>|
| Standard Chartered PLC | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.0<br>|
| Industria de Diseno Textil SA | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Cognizant Technology Solutions Corp Class A | 1.9<br>|
| Bristol-Myers Squibb Co | 1.7<br>|
|  | 37.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img7601_20260131_2.jpg)<br>| ![](img125474_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916845.101 7621-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity Advisor® Equity Market Neutral Fund Class I : FEMUX** <br>|

---

This annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class I  | $116  | 1.10% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund provided strong equity diversification, outperforming its primary benchmark, the BBG 3M t-bill Bellwether Index, with low equity correlation.

• The fund uses a systematic process that is combined with elements of fundamental review to curate the investment universe.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

June 25, 2024 through January 31, 2026.

Initial investment of $10,000.

---

| | | | |
|:---|:---|:---|:---|
| Class I<br>| $10000 | $9810<br>| $10864<br>|
| Bloomberg U.S. 3-Month Treasury Bellwether Index<br>| $10000 | $10303<br>| $10731<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10908<br>| $13334<br>|
|  | 2024 | 2025 | 2026 |

---

![](img125475_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class I | 10.75% | 5.31% |
| Bloomberg U.S. 3-Month Treasury Bellwether Index | 4.15%<br>| 4.50% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 19.67% |

---

**A** From June 25, 2024

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $18440736<br>|
| Number of Holdings | 150<br>|
| Total Advisory Fee | $148219<br>|
| Portfolio Turnover | 59%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 118.5 |
| Forward Foreign Currency Contracts | 41.0 |

---

---

| | |
|:---|:---|
| Swaps | 45.6 |
| Common Stocks | 31.8 |
| Forward Foreign Currency Contracts | 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img7601_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 45.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 31.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) - 6.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 19.1<br>|
| SK Hynix Inc | 2.6<br>|
| Samsung Electronics Co Ltd | 2.4<br>|
| Standard Chartered PLC | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.0<br>|
| Industria de Diseno Textil SA | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Cognizant Technology Solutions Corp Class A | 1.9<br>|
| Bristol-Myers Squibb Co | 1.7<br>|
|  | 37.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img7601_20260131_2.jpg)<br>| ![](img125475_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916847.101 7622-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Equity Market Neutral Fund<br> **Fidelity Advisor® Equity Market Neutral Fund Class Z : FEMWX** <br>|

---

This annual shareholder report contains information about Fidelity® Equity Market Neutral Fund for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-877-208-0098 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Class Z  | $111  | 1.05% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund provided strong equity diversification, outperforming its primary benchmark, the BBG 3M t-bill Bellwether Index, with low equity correlation.

• The fund uses a systematic process that is combined with elements of fundamental review to curate the investment universe.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

June 25, 2024 through January 31, 2026.

Initial investment of $10,000.

---

| | | | |
|:---|:---|:---|:---|
| Class Z<br>| $10000 | $9810<br>| $10874<br>|
| Bloomberg U.S. 3-Month Treasury Bellwether Index<br>| $10000 | $10303<br>| $10731<br>|
| MSCI ACWI (All Country World Index) Index<br>| $10000 | $10908<br>| $13334<br>|
|  | 2024 | 2025 | 2026 |

---

![](img125476_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** A |
| Class Z | 10.85% | 5.37% |
| Bloomberg U.S. 3-Month Treasury Bellwether Index | 4.15%<br>| 4.50% |
| MSCI ACWI (All Country World Index) Index | 22.25%<br>| 19.67% |

---

**A** From June 25, 2024

---

| |
|:---|
| Visit **institutional.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $18440736<br>|
| Number of Holdings | 150<br>|
| Total Advisory Fee | $148219<br>|
| Portfolio Turnover | 59%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 118.5 |
| Forward Foreign Currency Contracts | 41.0 |

---

---

| | |
|:---|:---|
| Swaps | 45.6 |
| Common Stocks | 31.8 |
| Forward Foreign Currency Contracts | 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.7 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img7601_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Swaps - 45.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Common Stocks - 31.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 15.9 |
| Short-Term Investments and Net Other Assets (Liabilities) - 6.7 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class | 19.1<br>|
| SK Hynix Inc | 2.6<br>|
| Samsung Electronics Co Ltd | 2.4<br>|
| Standard Chartered PLC | 2.2<br>|
| Taiwan Semiconductor Manufacturing Co Ltd | 2.1<br>|
| L3Harris Technologies Inc | 2.0<br>|
| Industria de Diseno Textil SA | 2.0<br>|
| Morgan Stanley | 1.9<br>|
| Cognizant Technology Solutions Corp Class A | 1.9<br>|
| Bristol-Myers Squibb Co | 1.7<br>|
|  | 37.9 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img7601_20260131_2.jpg)<br>| ![](img125476_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916849.101 7623-TSRA-0426 <br>|

---

---

| | |
|:---|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 | &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |
| Fidelity® Yield Enhanced Equity ETF<br> **Fidelity® Yield Enhanced Equity ETF : FYEE** <br> **Principal U.S. Listing Exchange :** **Cboe BZX Exchange, Inc.**<br>| &nbsp;&nbsp;&nbsp;&nbsp;This report describes changes to the Fund that occurred during the reporting period. |

---

This annual shareholder report contains information about Fidelity® Yield Enhanced Equity ETF for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Yield Enhanced Equity ETF  | $4  | 0.04% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund underperformed its S&P 500® index but outperformed the supplemental CBOE index.

• The fund trailed the former because part of the market's strong gain was slightly truncated by the portfolio's short call positions. However, due to the dynamic nature of the fund's short call ladder the fund did outpace the supplemental benchmark.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 9, 2024 through January 31, 2026.

Initial investment of $10,000.

---

| | | | |
|:---|:---|:---|:---|
| Fidelity® Yield Enhanced Equity ETF<br>| $10000 | $11578<br>| $13268<br>|
| Cboe S&P 500 2% OTM BuyWrite Index (BXY)<br>| $10000 | $11760<br>| $12920<br>|
| S&P 500® Index<br>| $10000 | $11718<br>| $13634<br>|
|  | 2024 | 2025 | 2026 |

---

![](img125477_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** |
| Fidelity® Yield Enhanced Equity ETF - NAV A  | 14.60% | 16.87% |
| Cboe S&P 500 2% OTM BuyWrite Index (BXY) A | 9.86%<br>| 15.17% |
| S&P 500® Index A | 16.35%<br>| 18.64% |

---

**A** From April 9, 2024

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $142557491<br>|
| Number of Holdings | 160<br>|
| Total Advisory Fee | $20466<br>|
| Portfolio Turnover | 90%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 2.0 |
| Options | (0.3) |

---

Common Stocks 96.3 <br> Futures Contracts 2.0 <br> Short-Term Investments and Net Other Assets (Liabilities) 2.1

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img7590_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 96.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Futures Contracts - 2.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 2.1 |
| Options - (0.4)% |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 7.9<br>|
| Apple Inc | 6.7<br>|
| Microsoft Corp | 5.1<br>|
| Amazon.com Inc | 4.4<br>|
| Broadcom Inc | 3.1<br>|
| Meta Platforms Inc Class A | 3.1<br>|
| Alphabet Inc Class A | 2.7<br>|
| Alphabet Inc Class C | 2.4<br>|
| Berkshire Hathaway Inc Class B | 2.1<br>|
| Eli Lilly & Co | 1.9<br>|
|  | 39.4 |

---

**How has the Fund changed?**

This is a summary of certain changes to the Fund since February 1, 2025. For more complete information, you may review the Fund's next prospectus, which we expect to be available by May 30, 2026 at **fundresearch.fidelity.com/prospectus/sec** or upon request at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

The fees associated with this class changed during the reporting year. The variations in class fees are primarily the result of the following changes: Operating expensesExpense reductions The fund added a contractual management fee waiver during the reporting period.

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img7590_20260131_2.jpg)<br>| ![](img125477_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916942.101 7590-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Dynamic Buffered Equity ETF<br> **Fidelity® Dynamic Buffered Equity ETF : FBUF** <br> **Principal U.S. Listing Exchange :** **Cboe BZX Exchange, Inc.**<br>|

---

This annual shareholder report contains information about Fidelity® Dynamic Buffered Equity ETF for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Dynamic Buffered Equity ETF  | $51  | 0.48% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund underperformed its benchmark, the S&P 500®, and outperformed the supplemental CBOE benchmark.

• The fund's proceeds from short call options did not generate enough revenue to fully offset the cost of purchasing downside protection, creating slight drag on performance.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 9, 2024 through January 31, 2026.

Initial investment of $10,000.

---

| | | | |
|:---|:---|:---|:---|
| Fidelity® Dynamic Buffered Equity ETF<br>| $10000 | $11169<br>| $12665<br>|
| Cboe S&P 500 95-110 Collar Index (CLL)<br>| $10000 | $11331<br>| $12162<br>|
| S&P 500® Index<br>| $10000 | $11718<br>| $13634<br>|
|  | 2024 | 2025 | 2026 |

---

![](img125478_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** |
| Fidelity® Dynamic Buffered Equity ETF - NAV A  | 13.39% | 13.91% |
| Cboe S&P 500 95-110 Collar Index (CLL) A | 7.34%<br>| 11.40% |
| S&P 500® Index A | 16.35%<br>| 18.64% |

---

**A** From April 9, 2024

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $18753565<br>|
| Number of Holdings | 158<br>|
| Total Advisory Fee | $57554<br>|
| Portfolio Turnover | 83%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 2.0 |
| Options | 0.2 |

---

---

| | |
|:---|:---|
| Common Stocks | 95.5 |
| Futures Contracts | 2.0 |
| Options | 0.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 2.4 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img7589_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 95.5&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Futures Contracts - 2.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 2.4 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 8.2<br>|
| Apple Inc | 6.9<br>|
| Microsoft Corp | 5.3<br>|
| Amazon.com Inc | 4.3<br>|
| Broadcom Inc | 3.1<br>|
| Meta Platforms Inc Class A | 2.9<br>|
| Alphabet Inc Class A | 2.8<br>|
| Alphabet Inc Class C | 2.4<br>|
| Berkshire Hathaway Inc Class B | 1.9<br>|
| JPMorgan Chase & Co | 1.8<br>|
|  | 39.6 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img7589_20260131_2.jpg)<br>| ![](img125478_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916940.101 7589-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Hedged Equity ETF<br> **Fidelity® Hedged Equity ETF : FHEQ** <br> **Principal U.S. Listing Exchange :** **Cboe BZX Exchange, Inc.**<br>|

---

This annual shareholder report contains information about Fidelity® Hedged Equity ETF for the period February 1, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Hedged Equity ETF  | $51  | 0.48% |

---

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund performed in line with its defensive orientation delivering strong returns with less volatility than the S&P 500® Index.

• The fund's relative underperformance of the S&P 500® Index was primarily due to the on-going cost of hedging the portfolio's downside risk during a period of strong appreciation for the broader market.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

April 9, 2024 through January 31, 2026.

Initial investment of $10,000.

---

| | | | |
|:---|:---|:---|:---|
| Fidelity® Hedged Equity ETF<br>| $10000 | $11205<br>| $12608<br>|
| Cboe S&P 500 5% Put Protection Index (PPUT)<br>| $10000 | $11342<br>| $12813<br>|
| S&P 500® Index<br>| $10000 | $11718<br>| $13634<br>|
|  | 2024 | 2025 | 2026 |

---

![](img125479_1.jpg)

**AVERAGE ANNUAL TOTAL RETURNS:**

---

| | | |
|:---|:---|:---|
|  | **1 Year** | **Life of Fund** |
| Fidelity® Hedged Equity ETF - NAV A  | 12.52% | 13.63% |
| Cboe S&P 500 5% Put Protection Index (PPUT) A | 12.97%<br>| 14.65% |
| S&P 500® Index A | 16.35%<br>| 18.64% |

---

**A** From April 9, 2024

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $832162166<br>|
| Number of Holdings | 156<br>|
| Total Advisory Fee | $2561879<br>|
| Portfolio Turnover | 88%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 0.8 |
| Options | 1.3 |

---

---

| | |
|:---|:---|
| Common Stocks | 96.3 |
| Options | 1.3 |
| Futures Contracts | 0.8 |
| Short-Term Investments and Net Other Assets (Liabilities) | 1.6 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img7588_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 96.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Options - 1.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Futures Contracts - 0.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 1.6 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| NVIDIA Corp | 8.0<br>|
| Apple Inc | 6.5<br>|
| Microsoft Corp | 5.0<br>|
| Amazon.com Inc | 4.3<br>|
| Broadcom Inc | 3.0<br>|
| Meta Platforms Inc Class A | 3.0<br>|
| Alphabet Inc Class A | 2.8<br>|
| Alphabet Inc Class C | 2.6<br>|
| Berkshire Hathaway Inc Class B | 1.9<br>|
| Eli Lilly & Co | 1.7<br>|
|  | 38.8 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img7588_20260131_2.jpg)<br>| ![](img125479_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9916938.101 7588-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® Managed Futures ETF<br> **Fidelity® Managed Futures ETF : FFUT** <br> **Principal U.S. Listing Exchange :** **NASDAQ/NMS Global Market**<br>|

---

This annual shareholder report contains information about Fidelity® Managed Futures ETF for the period June 3, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-FIDELITY or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® Managed Futures ETF A | $57  | 0.80% |

---

A Expenses for the full reporting period would be higher.

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund outperformed its benchmark, the BBG 3M t-bill Bellwether Index, since its inception on June 3, 2025.

• The fund is structured to provide strong diversification away from equities but also seeks to generate appealing returns during periods of equity market strength.

• The strategy also incorporates tools that allow selective tilts within asset classes to enhance performance, while preserving its defensive beta characteristics.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

June 3, 2025 through January 31, 2026.

Initial investment of $10,000.

---

| | | |
|:---|:---|:---|
| Fidelity® Managed Futures ETF<br>| $10000 | $11301<br>|
| Bloomberg U.S. 3-Month Treasury Bellwether Index<br>| $10000 | $10271<br>|
| SG Trend Index<br>| $10000 | $12051<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10515<br>|
|  | 2025 | 2026 |

---

![](img125481_1.jpg)

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $235760130<br>|
| Number of Holdings | 365<br>|
| Total Advisory Fee | $701601<br>|
| Portfolio Turnover | 1%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 1060.1 |
| Swaps | 166.2 |
| Forward Foreign Currency Contracts | 240.3 |

---

---

| | |
|:---|:---|
| Futures Contracts | 67.7 |
| Forward Foreign Currency Contracts | 15.3 |
| Swaps | 10.6 |
| Domestic Equity Funds | 0.2 |
| Common Stocks | 0.2 |
| Short-Term Investments and Net Other Assets (Liabilities) | 6.0 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img9044_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Futures Contracts - 67.7&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 15.3 |
| Swaps - 10.6&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 6.0 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 50.1<br>|
| NVIDIA Corp | 2.8<br>|
| iShares Core S&P 500 ETF | 2.6<br>|
|  | 55.5 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img9044_20260131_2.jpg)<br>| ![](img125481_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9919366.100 9044-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® SAI Merger Arbitrage Fund<br> **Fidelity® SAI Merger Arbitrage Fund : FMADX** <br>|

---

This annual shareholder report contains information about Fidelity® SAI Merger Arbitrage Fund for the period June 17, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® SAI Merger Arbitrage Fund A | $71  | 1.10% |

---

A Expenses for the full reporting period would be higher.

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund outperformed its benchmark, the BBG 3M t-bill Bellwether Index, since its inception on June 17, 2025.

• A stabilizing regulatory environment in 2025 led to both a surge in deal volume and increased deal size, setting the stage for merger arbitrage investing, which the fund was able to capitalize on across various sectors.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

June 17, 2025 through January 31, 2026.

Initial investment of $10,000.

---

| | | |
|:---|:---|:---|
| Fidelity® SAI Merger Arbitrage Fund<br>| $10000 | $10480<br>|
| Bloomberg U.S. 3-Month Treasury Bellwether Index<br>| $10000 | $10255<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10445<br>|
|  | 2025 | 2026 |

---

![](img125482_1.jpg)

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $410084530<br>|
| Number of Holdings | 39<br>|
| Total Advisory Fee | $1270951<br>|
| Portfolio Turnover | 110%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Swaps | 61.9 |
| Options | 0.0 |

---

---

| | |
|:---|:---|
| Common Stocks | 49.4 |
| Swaps | 38.2 |
| Domestic Equity Funds | 2.3 |
| Options | 0.0 |
| Short-Term Investments and Net Other Assets (Liabilities) | 10.1 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img9007_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Common Stocks - 49.4&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Swaps - 38.2&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 2.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Options - 0.0&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 10.1 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 11.2<br>|
| Chart Industries Inc | 10.9<br>|
| Electronic Arts Inc | 9.0<br>|
| Mastercard Inc Class A | 8.9<br>|
| Confluent Inc Class A | 8.4<br>|
| Exact Sciences Corp | 5.9<br>|
| Warner Bros Discovery Inc | 4.7<br>|
| Dayforce Inc | 3.1<br>|
| Sealed Air Corp | 2.9<br>|
| Avidity Biosciences Inc | 2.7<br>|
|  | 67.7 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img9007_20260131_2.jpg)<br>| ![](img125482_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9918582.100 9007-TSRA-0426 <br>|

---

---

| |
|:---|
| **ANNUAL SHAREHOLDER REPORT \|** AS OF JANUARY 31, 2026 |
| Fidelity® SAI Managed Futures Fund<br> **Fidelity® SAI Managed Futures Fund : FMFLX** <br>|

---

This annual shareholder report contains information about Fidelity® SAI Managed Futures Fund for the period June 17, 2025 to January 31, 2026. You can find additional information about the Fund at **fundresearch.fidelity.com/prospectus/sec**. You can also request this information by contacting us at 1-800-544-3455 or by sending an e-mail to fidfunddocuments@fidelity.com.

**What were your Fund costs for the last year?**

(based on hypothetical $10,000 investment)

**FUND COST (PREVIOUS YEAR)**

---

| | | |
|:---|:---|:---|
|  | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment**  |
| Fidelity® SAI Managed Futures Fund A | $70  | 1.05% |

---

A Expenses for the full reporting period would be higher.

**What affected the Fund's performance this period?**

• U.S. stocks achieved a strong gain for the 12 months ending January 31, 2026, extending a historically fast rebound that began in early April, bolstered by strong corporate fundamentals, a resilient economy and, beginning in September, the Federal Reserve's first interest-rate reductions since December 2024.

• Against this backdrop, the fund outperformed its benchmark, the BBG 3M t-bill Bellwether Index, since its inception on June 17, 2025, while providing meaningful equity diversification.

• The fund utilizes a systematic trend-following approach that seeks long-term capital appreciation through disciplined long-short investing across asset classes.

• The strategy is based on fast-moving trend signals and entails additional risk controls that allows the strategy to quickly adapt to changing market conditions.

**How did the Fund perform over the life of Fund?**

**CUMULATIVE PERFORMANCE**

June 17, 2025 through January 31, 2026.

Initial investment of $10,000.

---

| | | |
|:---|:---|:---|
| Fidelity® SAI Managed Futures Fund<br>| $10000 | $11263<br>|
| SG Trend Index<br>| $10000 | $12006<br>|
| Bloomberg U.S. 3-Month Treasury Bellwether Index<br>| $10000 | $10255<br>|
| Bloomberg U.S. Aggregate Bond Index<br>| $10000 | $10445<br>|
|  | 2025 | 2026 |

---

![](img125483_1.jpg)

---

| |
|:---|
| Visit **www.fidelity.com** for more recent performance information. <br>|
| *The Fund's past performance is not a good predictor of the Fund's future performance.* The graph does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.<br>|

---

**Key Fund Statistics**

(as of January 31, 2026)

---

| | |
|:---|:---|
| **KEY FACTS**<br>|  |
| Fund Size | $178701800<br>|
| Number of Holdings | 324<br>|
| Total Advisory Fee | $666440<br>|
| Portfolio Turnover | 0%<br>|

---

**What did the Fund invest in?** (as of January 31, 2026)

---

| | |
|:---|:---|
| **DERIVATIVE EXPOSURE**<br> **(% of Fund's net assets)** |  |
| Futures Contracts | 513.2 |
| Swaps | 115.6 |
| Forward Foreign Currency Contracts | 173.2 |

---

---

| | |
|:---|:---|
| Futures Contracts | 56.8 |
| Forward Foreign Currency Contracts | 19.3 |
| Swaps | 12.9 |
| Domestic Equity Funds | 0.3 |
| Common Stocks | 0.1 |
| Short-Term Investments and Net Other Assets (Liabilities) | 10.6 |

---

---

| |
|:---|
| **ASSET ALLOCATION (% of Fund's total exposure)** |
| ![](img9036_20260131_AA.jpg) <br>|

---

---

| |
|:---|
| Futures Contracts - 56.8&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Forward Foreign Currency Contracts - 19.3 |
| Swaps - 12.9&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; |
| Domestic Equity Funds - 0.3&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Common Stocks - 0.1&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;  |
| Short-Term Investments and Net Other Assets (Liabilities) - 10.6 |

---

---

| | |
|:---|:---|
| **TOP HOLDINGS**<br>**(% of Fund's net assets)**  |  |
| US Treasury Bill | 49.5<br>|
| iShares Core S&P 500 ETF | 3.5<br>|
| NVIDIA Corp | 1.4<br>|
|  | 54.4 |

---

---

| | | |
|:---|:---|:---|
| Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. | Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners.© 2026 FMR LLC. All rights reserved. |
| ![](img9036_20260131_2.jpg)<br>| ![](img125483_3.jpg) | For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit **fundresearch.fidelity.com/prospectus/sec**<br> 1.9918617.100 9036-TSRA-0426 <br>|

---

Item 2.

<u>Code of Ethics</u>

As of the end of the period, January 31, 2026, 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>

&nbsp;&nbsp;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 Dynamic Buffered Equity ETF, Fidelity Equity Market Neutral Fund, Fidelity Hedged Equity ETF, Fidelity Hedged Equity Fund, Fidelity Managed Futures ETF, Fidelity Risk Parity Fund, Fidelity SAI Convertible Arbitrage Fund, Fidelity SAI Managed Futures Fund, Fidelity SAI Merger Arbitrage Fund, and Fidelity Yield Enhanced Equity ETF (the "Funds"):<br>

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

**<u>January 31, 2026 Fees</u><sup>A,C</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;**Audit Fees** | &nbsp;&nbsp;**Audit-Related Fees** | &nbsp;&nbsp;**Tax Fees** | &nbsp;&nbsp;**All Other Fees** |
| &nbsp;&nbsp;Fidelity Dynamic Buffered Equity ETF | &nbsp;&nbsp;$40400  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$7500  | &nbsp;&nbsp;$1000  |
| &nbsp;&nbsp;Fidelity Equity Market Neutral Fund | &nbsp;&nbsp;$72600  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$9600  | &nbsp;&nbsp;$1700  |
| &nbsp;&nbsp;Fidelity Hedged Equity ETF | &nbsp;&nbsp;$40900  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$7500  | &nbsp;&nbsp;$1000  |
| &nbsp;&nbsp;Fidelity Hedged Equity Fund | &nbsp;&nbsp;$53200  | &nbsp;&nbsp;$-  | &nbsp;&nbsp;$10000  | &nbsp;&nbsp;$1400  |
| &nbsp;&nbsp;Fidelity Managed Futures ETF | &nbsp;&nbsp;$31600  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$7300  | &nbsp;&nbsp;$-  |
| &nbsp;&nbsp;Fidelity Risk Parity Fund | &nbsp;&nbsp;$87200  | &nbsp;&nbsp;$-  | &nbsp;&nbsp;$9600  | &nbsp;&nbsp;$2200  |
| &nbsp;&nbsp;Fidelity SAI Convertible Arbitrage Fund | &nbsp;&nbsp;$87700  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$9600  | &nbsp;&nbsp;$2200  |
| &nbsp;&nbsp;Fidelity SAI Managed Futures Fund | &nbsp;&nbsp;$44200  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$11800  | &nbsp;&nbsp;$-  |
| &nbsp;&nbsp;Fidelity SAI Merger Arbitrage Fund | &nbsp;&nbsp;$40300  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$9300  | &nbsp;&nbsp;$-  |
| &nbsp;&nbsp;Fidelity Yield Enhanced Equity ETF | &nbsp;&nbsp;$39200  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$7500  | &nbsp;&nbsp;$1000  |

---

**<u>January 31, 2025 Fees</u><sup>A,B,C</sup>**

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | &nbsp;&nbsp;**Audit Fees** | &nbsp;&nbsp;**Audit-Related Fees** | &nbsp;&nbsp;**Tax Fees** | &nbsp;&nbsp;**All Other Fees** |
| &nbsp;&nbsp;Fidelity Dynamic Buffered Equity ETF | &nbsp;&nbsp;$34100  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$7500  | &nbsp;&nbsp;$1600  |
| &nbsp;&nbsp;Fidelity Equity Market Neutral Fund | &nbsp;&nbsp;$63600  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$9600  | &nbsp;&nbsp;$2100  |
| &nbsp;&nbsp;Fidelity Hedged Equity ETF | &nbsp;&nbsp;$35400  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$7500  | &nbsp;&nbsp;$1600  |
| &nbsp;&nbsp;Fidelity Hedged Equity Fund | &nbsp;&nbsp;$54200  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$10800  | &nbsp;&nbsp;$3100  |
| &nbsp;&nbsp;Fidelity Managed Futures ETF | &nbsp;&nbsp;$-  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$-  | &nbsp;&nbsp;$-  |
| &nbsp;&nbsp;Fidelity Risk Parity Fund | &nbsp;&nbsp;$87400  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$15000  | &nbsp;&nbsp;$4700  |
| &nbsp;&nbsp;Fidelity SAI Convertible Arbitrage Fund | &nbsp;&nbsp;$88500  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$10400  | &nbsp;&nbsp;$4200  |
| &nbsp;&nbsp;Fidelity SAI Managed Futures Fund | &nbsp;&nbsp;$-  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$-  | &nbsp;&nbsp;$-  |
| &nbsp;&nbsp;Fidelity SAI Merger Arbitrage Fund | &nbsp;&nbsp;$-  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$-  | &nbsp;&nbsp;$-  |
| &nbsp;&nbsp;Fidelity Yield Enhanced Equity ETF | &nbsp;&nbsp;$34100  | &nbsp;&nbsp;$- | &nbsp;&nbsp;$7500  | &nbsp;&nbsp;$1600  |

---

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

<sup>B</sup> Fidelity Dynamic Buffered Equity ETF, Fidelity Hedged Equity ETF, and Fidelity Yield Enhanced Equity ETF commenced operations on April 9, 2024. Fidelity Equity Market Neutral Fund commenced operations on June 25, 2024.

<sup>C</sup> Fidelity Managed Futures ETF commenced operations on June 3, 2025. Fidelity SAI Managed Futures Fund and Fidelity SAI Merger Arbitrage Fund commenced operations on June 17, 2025.

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>**

---

| | | |
|:---|:---|:---|
|  | &nbsp;&nbsp;**<u>January 31, 2026</u><sup>A,C</sup>** | &nbsp;&nbsp;**<u>January 31, 2025</u><sup>A,B,C</sup>** |
| &nbsp;&nbsp;Audit-Related Fees | &nbsp;&nbsp;$154800 | &nbsp;&nbsp;$125000 |
| &nbsp;&nbsp;Tax Fees | &nbsp;&nbsp;$- | &nbsp;&nbsp;$- |
| &nbsp;&nbsp;All Other Fees | &nbsp;&nbsp;$1520400 | &nbsp;&nbsp;$2444500 |

---

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

<sup>B</sup> May include amounts billed prior to the Fidelity Dynamic Buffered Equity ETF, Fidelity Equity Market Neutral Fund, Fidelity Hedged Equity ETF, and Fidelity Yield Enhanced Equity ETF's commencement of operations.

<sup>C</sup> May include amounts billed prior to Fidelity Managed Futures ETF, Fidelity SAI Managed Futures Fund, and Fidelity SAI Merger Arbitrage 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:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**<u>Billed By</u>** | &nbsp;&nbsp;**<u>January 31, 2026</u><sup>A,C</sup>** | &nbsp;&nbsp;**<u>January 31, 2025</u><sup>A,B,C</sup>** |
| &nbsp;&nbsp;Deloitte Entities | &nbsp;&nbsp;$4362800  | &nbsp;&nbsp;$2892000  |

---

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

<sup>B</sup> May include amounts billed prior to the Fidelity Dynamic Buffered Equity ETF, Fidelity Equity Market Neutral Fund, Fidelity Hedged Equity ETF, and Fidelity Yield Enhanced Equity ETF's commencement of operations.

<sup>C</sup> May include amounts billed prior to Fidelity Managed Futures ETF, Fidelity SAI Managed Futures Fund, and Fidelity SAI Merger Arbitrage 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).

The Registrant has not retained, for the preparation of the audit report on the financial statements included in the Form N-CSR, a registered public accounting firm that has a branch or office that is located in a foreign jurisdiction and that the Public Company Accounting Oversight Board (the "PCAOB") has determined that the PCAOB is unable to inspect or investigate completely because of a position taken by an authority in the foreign jurisdiction.

The Registrant is not a "foreign issuer," as defined in 17 CFR 240.3b-4.

Item 5.

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

The Audit Committee is a separately-designated standing audit committee in accordance with Section 3(a)(58)(A) of the Securities Exchange Act of 1934. As of January 31, 2026, the members of the Audit Committee were Jennifer M. Birmingham, Matthew J. Conti, Thomas F. Flannery, and Tara C. Kenney.

Item 6.

<u>Investments</u>

(a) Not applicable.

(b) Not applicable.

Item 7.

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

**Fidelity® Risk Parity Fund**

**Annual Report**

**January 31, 2026**

Includes Fidelity and Fidelity Advisor share classes

![](img125401_1.jpg)

![](img125401_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7Consolidated_RPF-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Risk Parity Fund](#Sub_Sec_Fund_6513_RPF-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Consolidated Financial Statements](#Sub_Sec_NotestoFinancialStatements6513_RPF-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_RPF-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_RPF-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_RPF-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_RPF-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_RPF-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_RPF-ANN)** |

---

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

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

The MSCI indexes are the exclusive property of MSCI Inc. ("MSCI"). MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates and have been licensed for use for certain purposes by Fidelity. The financial products referred to herein are not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such financial products or any index on which such financial products are based. The prospectus contains a more detailed description of the limited relationship MSCI has with Fidelity and any relevant financial products. No purchaser, seller or holder of this product, or any other person or entity, should use or refer to any MSCI trade name, trademark or service mark to sponsor, endorse, market or promote this product without first contacting MSCI to determine whether MSCI's permission is required. Under no circumstances may any person or entity claim any affiliation with MSCI without the prior written permission of MSCI.

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.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® Risk Parity Fund**

**Consolidated Schedule of Investments January 31, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 33.8%** | &nbsp;&nbsp;**Domestic Equity Funds - 33.8%** | &nbsp;&nbsp;**Domestic Equity Funds - 33.8%** |
|  | Shares | Value ($)<br>|
| Fidelity Commodity Strategy Fund (b) | 15953 | 1763459 |
| Fidelity Real Estate Index Fund (b) | 32752 | 542698 |
| Fidelity Small Cap Index Fund (b) | 26465 | 862489 |
| Fidelity Small Cap Value Index Fund (b) | 43241 | 1302863 |
| Fidelity Total Market Index Fund (b) | 4375 | 830248 |
| iShares Gold Trust ETF (g) | 198 | 18058 |
| <br> **TOTAL DOMESTIC EQUITY FUNDS**<br> (Cost $4,521,820) |  | **5319815** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Fixed-Income Funds - 41.2%** | &nbsp;&nbsp;**Fixed-Income Funds - 41.2%** | &nbsp;&nbsp;**Fixed-Income Funds - 41.2%** |
|  | Shares | Value ($)<br>|
| Fidelity Inflation-Protected Bond Index Fund (b) | 343371 | 3145283 |
| Fidelity International Bond Index Fund (b) | 29575 | 272686 |
| Fidelity Long-Term Treasury Bond Index Fund (b) | 20128 | 186186 |
| Invesco Senior Loan ETF  | 3932 | 81550 |
| iShares iBoxx $ High Yield Corporate Bond ETF  | 788 | 63923 |
| iShares J.P. Morgan EM Local Currency Bond ETF  | 27606 | 1168838 |
| iShares JP Morgan USD Emerging Markets Bond ETF  | 239 | 23082 |
| iShares US Treasury Bond ETF  | 67318 | 1550670 |
| <br> **TOTAL FIXED-INCOME FUNDS**<br> (Cost $6,332,077) |  | **6492218** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**International Equity Funds - 17.5%** | &nbsp;&nbsp;**International Equity Funds - 17.5%** | &nbsp;&nbsp;**International Equity Funds - 17.5%** |
|  | Shares | Value ($)<br>|
| Fidelity Emerging Markets Index Fund (b) | 103063 | 1525327 |
| Fidelity International Index Fund (b) | 19206 | 1226088 |
| <br> **TOTAL INTERNATIONAL EQUITY FUNDS**<br> (Cost $2,165,053) |  | **2751415** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 4.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.0%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 4.0%** |
|  | Yield (%) (c) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 3/5/2026  | 3.66 | 260000 | 259193 |
| US Treasury Bills 0% 4/9/2026 (d)(e) | 3.55 | 380000 | 377502 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $636,672) |  |  | **636695** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.7%** | &nbsp;&nbsp;**Money Market Funds - 2.7%** | &nbsp;&nbsp;**Money Market Funds - 2.7%** | &nbsp;&nbsp;**Money Market Funds - 2.7%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (f)<br>(Cost $418,936)<br>| 3.70 | 418852 | **418936** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.2%**<br> (Cost $14,074,558)<br>| <br>**15619079** |
| **NET OTHER ASSETS (LIABILITIES) - 0.8%**  | **126244** |
| **NET ASSETS - 100.0%** | **15745323** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Equity Contracts |  |  |  |  |
| ICE MSCI EAFE Index Contracts (United States) | 3 | 3/2026 | 455520 | 22358 |
| ICE MSCI Emerging Markets Index Contracts (United States) | 11 | 3/2026 | 836440 | 74308 |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **96666** |
| The notional amount of long futures as a percentage of Net Assets is 8.2%. | The notional amount of long futures as a percentage of Net Assets is 8.2%. | The notional amount of long futures as a percentage of Net Assets is 8.2%. | The notional amount of long futures as a percentage of Net Assets is 8.2%. | The notional amount of long futures as a percentage of Net Assets is 8.2%. |

---

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Pay/<br> Receive<br> Reference | Reference<br> Payment<br> Frequency | Financing<br> Rate | Financing<br> Frequency | Counterparty | Maturity<br> Date | Units | Notional<br> Amount | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| Invesco Senior Loan ETF | Receives | Monthly | U.S. SOFR Index minus 10 basis points | Monthly | Goldman Sachs International | 2/2026 | 1872 | 39331 | (614) | 0 | (614) |
| Invesco Senior Loan ETF | Receives | Monthly | U.S. SOFR Index minus 20 basis points | Monthly | Morgan Stanley Capital Services LLC | 4/2026 | 9516 | 199931 | (3108) | 0 | (3108) |
| Invesco Senior Loan ETF | Receives | Monthly | U.S. SOFR Index minus 75 basis points | Monthly | BNP Paribas SA | 2/2026 | 20983 | 440853 | (6665) | 0 | (6665) |
| Invesco Senior Loan ETF | Receives | Monthly | U.S. SOFR Index minus 85 basis points | Monthly | BNP Paribas SA | 3/2026 | 22250 | 467473 | (7031) | 0 | (7031) |
| Invesco Senior Loan ETF | Receives | Monthly | U.S. SOFR Index minus 65 basis points | Monthly | BNP Paribas SA | 4/2026 | 56594 | 1191275 | (19899) | 0 | (19899) |
| Invesco Senior Loan ETF | Receives | Monthly | U.S. SOFR Index minus 125 basis points | Monthly | BNP Paribas SA | 4/2026 | 4099 | 86364 | (1472) | 0 | (1472) |
| iShares JP Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. SOFR Index minus 15 basis points | Monthly | Morgan Stanley Capital Services LLC | 5/2026 | 1049 | 101019 | 18 | 0 | 18 |
| iShares JP Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. SOFR Index minus 15 basis points | Monthly | Goldman Sachs International | 6/2026 | 266 | 25616 | 4 | 0 | 4 |
| iShares JP Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. SOFR Index plus 25 basis points | Monthly | Morgan Stanley Capital Services LLC | 4/2026 | 873 | 84070 | (12) | 0 | (12) |
| iShares JP Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. SOFR Index plus 25 basis points | Monthly | BNP Paribas SA | 5/2026 | 6208 | 597830 | (82) | 0 | (82) |
| iShares JP Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. SOFR Index minus 10 basis points | Monthly | Goldman Sachs International | 1/2027 | 1034 | 99574 | 44 | 0 | 44 |
| iShares JP Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. SOFR Index minus 5 basis points | Monthly | Goldman Sachs International | 1/2027 | 378 | 36299 | 132 | 0 | 132 |
| iShares 20+ Year Treasury Bond ETF | Receives | Monthly | U.S. SOFR Index plus 25 basis points | Monthly | BNP Paribas SA | 6/2026 | 1741 | 151519 | (287) | 0 | (287) |
| iShares 20+ Year Treasury Bond ETF | Receives | Monthly | U.S. SOFR Index plus 35 basis points | Monthly | BNP Paribas SA | 7/2026 | 3115 | 271159 | (503) | 0 | (503) |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. SOFR Index minus 40 basis points | Monthly | Morgan Stanley Capital Services LLC | 2/2026 | 386 | 31139 | 95 | 0 | 95 |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. SOFR Index minus 15 basis points | Monthly | Morgan Stanley Capital Services LLC | 4/2026 | 741 | 59776 | 170 | 0 | 170 |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. SOFR Index minus 20 basis points | Monthly | Morgan Stanley Capital Services LLC | 5/2026 | 6212 | 501122 | 1445 | 0 | 1445 |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. SOFR Index minus 25 basis points | Monthly | Morgan Stanley Capital Services LLC | 6/2026 | 4092 | 330102 | 965 | 0 | 965 |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. SOFR Index plus 0 basis points | Monthly | Goldman Sachs International | 7/2026 | 17040 | 1374949 | 3847 | 0 | 3847 |
| iShares iBoxx $ High Yield Corporate Bond ETF | Receives | Monthly | U.S. SOFR Index minus 10 basis points | Monthly | BNP Paribas SA | 7/2026 | 1185 | 95937 | (8) | 0 | (8) |
| iShares TIPS Bond ETF | Receives | Monthly | U.S. SOFR Index plus 40 basis points | Monthly | Goldman Sachs International | 6/2026 | 4235 | 465257 | 1155 | 0 | 1155 |
| iShares TIPS Bond ETF | Receives | Monthly | U.S. SOFR Index plus 40 basis points | Monthly | Goldman Sachs International | 9/2026 | 1640 | 180170 | 447 | 0 | 447 |
| iShares TIPS Bond ETF | Receives | Monthly | U.S. SOFR Index plus 40 basis points | Monthly | Goldman Sachs International | 10/2026 | 3253 | 357375 | 887 | 0 | 887 |
| iShares TIPS Bond ETF | Receives | Monthly | U.S. SOFR Index plus 40 basis points | Monthly | Goldman Sachs International | 5/2026 | 7630 | 838232 | 2081 | 0 | 2081 |
| iShares TIPS Bond ETF | Receives | Monthly | U.S. SOFR Index plus 40 basis points | Monthly | Goldman Sachs International | 7/2026 | 2890 | 317552 | 842 | 0 | 842 |
| SPDR Gold Shares | Receives | Monthly | U.S. SOFR Index plus 30 basis points | Monthly | Goldman Sachs International | 2/2026 | 247 | 98375 | 11224 | 0 | 11224 |
| SPDR Gold Shares | Receives | Monthly | U.S. SOFR Index plus 40 basis points | Monthly | Goldman Sachs International | 7/2026 | 3102 | 1235465 | 141293 | 0 | 141293 |
| SPDR Gold Shares | Receives | Monthly | U.S. SOFR Index plus 40 basis points | Monthly | Goldman Sachs International | 7/2026 | 112 | 46089 | 3636 | 0 | 3636 |
| **TOTAL RETURN SWAPS** |  |  |  |  |  |  |  |  | **128604** | **0** | **128604** |

---

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

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

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

(b) Affiliated fund.

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

(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $59,606.

(e) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $305,975.

(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.

(g) Non-income producing.

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 690581 | 2366939 | 2638620 | 34605 | 36 | - | 418936 | 418852 | 0.0% |
| Total | 690581 | 2366939 | 2638620 | 34605 | 36 | - | 418936 |  |  |

---

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

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

**Affiliated Underlying Funds**

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period |
| Fidelity Commodity Strategy Fund | 847761 | 993247 | 296752 | 42000 | (2621) | 221824 | 1763459 | 15953 |
| Fidelity Emerging Markets Index Fund | 289903 | 1168806 | 204869 | 27264 | 2153 | 269334 | 1525327 | 103063 |
| Fidelity Inflation-Protected Bond Index Fund | 2547233 | 2279243 | 1727919 | 115421 | (4075) | 53689 | 3145283 | 343371 |
| Fidelity International Bond Index Fund | 102532 | 536873 | 369103 | 2686 | (254) | 2638 | 272686 | 29575 |
| Fidelity International Index Fund | 534207 | 791662 | 316510 | 31142 | 4958 | 211771 | 1226088 | 19206 |
| Fidelity Long-Term Treasury Bond Index Fund | 166603 | 379812 | 360427 | 5861 | (6922) | 7120 | 186186 | 20128 |
| Fidelity Real Estate Index Fund | 270323 | 310718 | 44955 | 11510 | (482) | 7094 | 542698 | 32752 |
| Fidelity Small Cap Index Fund | 413044 | 442481 | 101568 | 7974 | (810) | 109342 | 862489 | 26465 |
| Fidelity Small Cap Value Index Fund | 610975 | 675970 | 157208 | 22633 | (468) | 173594 | 1302863 | 43241 |
| Fidelity Total Market Index Fund | 659054 | 732670 | 598172 | 7643 | 69434 | (32738) | 830248 | 4375 |
|  | 6441635 | 8311482 | 4177483 | 274134 | 60913 | 1023668 | 11657327 |  |

---

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

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

**Investment Valuation**

The following is a summary of the inputs used, as of January 31, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Consolidated Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Domestic Equity Funds** | 5319815 | 5319815 | - | - |
|  **Fixed-Income Funds** | 6492218 | 6492218 | - | - |
|  **International Equity Funds** | 2751415 | 2751415 | - | - |
|  **U.S. Treasury Obligations** | 636695 | - | 636695 | - |
|  **Money Market Funds** | 418936 | 418936 | - | - |
| **Total Investments in Securities:** | 15619079 | 14982384 | 636695 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 96666 | 96666 | - | - |
| Swaps | 168285 | - | 168285 | - |
| Total Assets | 264951 | 96666 | 168285 | - |
|  **Liabilities** |  |  |  |  |
| Swaps | (39681) | - | (39681) | - |
| Total Liabilities | (39681) | - | (39681) | - |
| **Total Derivative Instruments:** | 225270 | 96666 | 128604 | - |

---

**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, 2026. 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)  | 156153 | - |
| **Total Commodity Risk**  | 156153 | - |
| **Credit Risk** |  |  |
| Swaps (a)  | 6720 | (38891) |
| **Total Credit Risk**  | 6720 | (38891) |
| **Equity Risk** |  |  |
| Futures Contracts (b)  | 96666 | - |
| **Total Equity Risk**  | 96666 | - |
| **Interest Rate Risk** |  |  |
| Swaps (a)  | 5412 | (790) |
| **Total Interest Rate Risk**  | 5412 | (790) |
| **Total Value of Derivatives** | 264951 | (39681) |

---

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

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

The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Counterparty** | **Value of**<br> **Derivative**<br> **Assets ($)** | **Value of**<br> **Derivative**<br> **Liabilities ($)** | <br> **Collateral**<br> **Received**(a) **($)** | <br> **Collateral**<br> **Pledged**(a) **($)** | <br>**Net**(b) **($)** |
| BNP Paribas SA | - | (35947) | - | - | (35947) |
| Goldman Sachs International | 165592 | (614) | - | - | 164978 |
| Morgan Stanley Capital Services LLC | 2693 | (3120) | - | - | (427) |
| Total | $168285 | $(39681) | $- | $- | $128604 |

---

*(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** |
| **As of January 31, 2026** | **As of January 31, 2026** | **As of January 31, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $3,422,218) | $3542816 |  |
| Fidelity Central Funds (cost $418,936) | 418936 |  |
| Other affiliated issuers (cost $10,233,404) | 11657327 |  |
| Total Investment in Securities (cost $14,074,558) |  | $15619079 |
| Cash |  | 28838 |
| Receivable for fund shares sold |  | 48176 |
| Distributions receivable from Fidelity Central Funds |  | 1776 |
| Bi-lateral OTC swaps, at value |  | 168285 |
| Receivable from investment adviser for expense reductions |  | 497 |
| Other receivables |  | 12427 |
| **Total assets** |  | 15879078 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $48009 |  |
| Payable for fund shares redeemed | 3 |  |
| Bi-lateral OTC swaps, at value | 39681 |  |
| Accrued management fee | 7464 |  |
| Distribution and service plan fees payable | 2230 |  |
| Payable for daily variation margin on futures contracts | 24175 |  |
| Other payables and accrued expenses | 12193 |  |
| **Total liabilities** |  | 133755 |
| **Net Assets**  |  | $15745323 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $13780515 |
| Total accumulated earnings (loss) |  | 1964808 |
| **Net Assets** |  | $15745323 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($1,695,767 ÷ 145,695 shares)(a) |  | $11.64 |
| Maximum offering price per share (100/94.25 of $11.64) |  | $12.35 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($1,860,797 ÷ 159,915 shares)(a) |  | $11.64 |
| Maximum offering price per share (100/96.50 of $11.64) |  | $12.06 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($1,358,725 ÷ 116,517 shares)(a) |  | $11.66 |
| **Fidelity Risk Parity Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($7,852,639 ÷ 680,006 shares) |  | $11.55 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,573,352 ÷ 135,251 shares) |  | $11.63 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,404,043 ÷ 120,643 shares) |  | $11.64 |
| *(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** |
| <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** |
| **Investment Income** |  |  |
| Dividends: |  |  |
| Unaffiliated issuers |  | $59126 |
| Affiliated issuers |  | 271248 |
| Interest  |  | 7648 |
| Income from Fidelity Central Funds  |  | 34605 |
| **Total income** |  | 372627 |
| **Expenses** |  |  |
| Management fee | $67091 |  |
| Distribution and service plan fees | 23408 |  |
| Independent trustees' fees and expenses | 4099 |  |
| Total expenses before reductions | 94598 |  |
| Expense reductions | (5010) |  |
| Total expenses after reductions |  | 89588 |
| **Net Investment income (loss)** |  | 283039 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 3323 |  |
| Fidelity Central Funds | 36 |  |
| Other affiliated issuers | 60913 |  |
| Futures contracts | 205392 |  |
| Swaps | 636224 |  |
| Capital gain distributions from underlying funds: |  |  |
| Affiliated issuers | 2886 |  |
| Total net realized gain (loss) |  | 908774 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers | 112315 |  |
| Affiliated issuers  | 1023668 |  |
| Futures contracts | 105851 |  |
| Swaps | 80580 |  |
| Total change in net unrealized appreciation (depreciation) |  | 1322414 |
| **Net gain (loss)** |  | 2231188 |
| **Net increase (decrease) in net assets resulting from operations** |  | $2514227 |

---

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Changes in Net Assets** | **Consolidated Statement of Changes in Net Assets** | **Consolidated Statement of Changes in Net Assets** |
|  | **Year ended**<br> **January 31, 2026** | **Year ended**<br> **January 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $283039 | $193295 |
| &nbsp;&nbsp;Net realized gain (loss) | 908774<br>| 254442<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 1322414 | 382391<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 2514227<br>| 830128<br>|
| Distributions to shareholders | (608566)<br>| (366124)<br>|
| Share transactions - net increase (decrease) | 5489205<br>| 296319<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 7394866<br>| 760323<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 8350457 | 7590134<br>|
| &nbsp;&nbsp;End of period | $15745323 | $8350457 |

---

**Consolidated Financial Highlights** 

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.93 | $9.35 | $9.64 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .26  | .24  | .25  | .86  |
| Net realized and unrealized gain (loss)  | 2.00  | .79  | (.22)  | (.60)  |
| Total from investment operations  | 2.26  | 1.03  | .03  | .26  |
| Distributions from net investment income  | (.55)  | (.45)  | (.32)  | (.62)  |
| Total distributions  | (.55)  | (.45)  | (.32)  | (.62)  |
| Net asset value, end of period  | $11.64 | $9.93 | $9.35 | $9.64 |
| **Total Return** D,E,F | 23.31% <br>| 11.17%  | .50%  | 2.90%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | .89%  | .89%  | .95%  | 2.40% I |
| Expenses net of fee waivers, if any  | .85% <br>| .85%  | .85%  | .85% I |
| Expenses net of all reductions, if any  | .84%  | .83%  | .84%  | .84% I |
| Net investment income (loss)  | 2.46%  | 2.41%  | 2.74%  | 15.39% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1696 | $1134 | $1015 | $1009 |
| Portfolio turnover rate J | 51% <br>| 82%  | 84%  | 163% I |

---

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

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

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

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

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

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

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

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

I*Annualized.*

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.93 | $9.35 | $9.64 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .23  | .21  | .23  | .84  |
| Net realized and unrealized gain (loss)  | 2.00  | .80  | (.23)  | (.60)  |
| Total from investment operations  | 2.23  | 1.01  | - D  | .24  |
| Distributions from net investment income  | (.52)  | (.43)  | (.29)  | (.60)  |
| Total distributions  | (.52)  | (.43)  | (.29)  | (.60)  |
| Net asset value, end of period  | $11.64 | $9.93 | $9.35 | $9.64 |
| **Total Return** E,F,G | 23.00% <br>| 11.01%  | .15%  | 2.77%  |
| **Ratios to Average Net Assets** C,H,I |  |  |  |  |
| Expenses before reductions  | 1.13%  | 1.14%  | 1.20%  | 2.65% J |
| Expenses net of fee waivers, if any  | 1.10% <br>| 1.10%  | 1.10%  | 1.10% J |
| Expenses net of all reductions, if any  | 1.09%  | 1.08%  | 1.09%  | 1.09% J |
| Net investment income (loss)  | 2.21%  | 2.16%  | 2.49%  | 15.09% J |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1861 | $1128 | $1013 | $1008 |
| Portfolio turnover rate K | 51% <br>| 82%  | 84%  | 163% J |

---

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

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

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

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

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

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

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

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

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

J*Annualized.*

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.95 | $9.37 | $9.64 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .18  | .16  | .18  | .82  |
| Net realized and unrealized gain (loss)  | 2.00  | .79  | (.22)  | (.60)  |
| Total from investment operations  | 2.18  | .95  | (.04)  | .22  |
| Distributions from net investment income  | (.47)  | (.37)  | (.23)  | (.58)  |
| Total distributions  | (.47)  | (.37)  | (.23)  | (.58)  |
| Net asset value, end of period  | $11.66 | $9.95 | $9.37 | $9.64 |
| **Total Return** D,E,F | 22.36% <br>| 10.34%  | (.30)%  | 2.52%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | 1.64%  | 1.64%  | 1.70%  | 3.15% I |
| Expenses net of fee waivers, if any  | 1.60% <br>| 1.60%  | 1.60%  | 1.60% I |
| Expenses net of all reductions, if any  | 1.59%  | 1.58%  | 1.59%  | 1.59% I |
| Net investment income (loss)  | 1.71%  | 1.66%  | 1.99%  | 14.60% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1359 | $1111 | $1002 | $1008 |
| Portfolio turnover rate J | 51% <br>| 82%  | 84%  | 163% I |

---

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

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

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

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

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

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

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

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

I*Annualized.*

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

**Fidelity® Risk Parity Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.87 | $9.29 | $9.60 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .29  | .26  | .27  | .27  |
| Net realized and unrealized gain (loss)  | 1.98  | .79  | (.22)  | (.04)  |
| Total from investment operations  | 2.27  | 1.05  | .05  | .23  |
| Distributions from net investment income  | (.59)  | (.47)  | (.36)  | (.63)  |
| Total distributions  | (.59)  | (.47)  | (.36)  | (.63)  |
| Net asset value, end of period  | $11.55 | $9.87 | $9.29 | $9.60 |
| **Total Return** D,E | 23.55% <br>| 11.54%  | .70%  | 2.63%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .63%  | .64%  | .70%  | 1.26% H |
| Expenses net of fee waivers, if any  | .60% <br>| .60%  | .60%  | .60% H |
| Expenses net of all reductions, if any  | .59%  | .58%  | .59%  | .58% H |
| Net investment income (loss)  | 2.71%  | 2.66%  | 2.98%  | 7.06% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $7853 | $2593 | $2403 | $2036 |
| Portfolio turnover rate I | 51% <br>| 82%  | 84%  | 163% H |

---

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

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

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

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

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

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

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

H*Annualized.*

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.92 | $9.34 | $9.64 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .29  | .26  | .27  | .88  |
| Net realized and unrealized gain (loss)  | 1.99  | .79  | (.21)  | (.61)  |
| Total from investment operations  | 2.28  | 1.05  | .06  | .27  |
| Distributions from net investment income  | (.57)  | (.47)  | (.36)  | (.63)  |
| Total distributions  | (.57)  | (.47)  | (.36)  | (.63)  |
| Net asset value, end of period  | $11.63 | $9.92 | $9.34 | $9.64 |
| **Total Return** D,E | 23.55% <br>| 11.45%  | .76%  | 3.02%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .64%  | .64%  | .70%  | 2.18% H |
| Expenses net of fee waivers, if any  | .60% <br>| .60%  | .60%  | .60% H |
| Expenses net of all reductions, if any  | .59%  | .58%  | .59%  | .59% H |
| Net investment income (loss)  | 2.71%  | 2.66%  | 2.99%  | 15.81% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1573 | $1250 | $1139 | $1141 |
| Portfolio turnover rate I | 51% <br>| 82%  | 84%  | 163% H |

---

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

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

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

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

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

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

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

H*Annualized.*

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

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $9.93 | $9.34 | $9.65 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .29  | .27  | .28  | .97  |
| Net realized and unrealized gain (loss)  | 2.00  | .80  | (.23)  | (.69)  |
| Total from investment operations  | 2.29  | 1.07  | .05  | .28  |
| Distributions from net investment income  | (.58)  | (.48)  | (.36)  | (.63)  |
| Total distributions  | (.58)  | (.48)  | (.36)  | (.63)  |
| Net asset value, end of period  | $11.64 | $9.93 | $9.34 | $9.65 |
| **Total Return** D,E | 23.60% <br>| 11.63%  | .70%  | 3.13%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .59%  | .59%  | .65%  | 2.23% H |
| Expenses net of fee waivers, if any  | .55% <br>| .55%  | .55%  | .55% H |
| Expenses net of all reductions, if any  | .54%  | .53%  | .54%  | .54% H |
| Net investment income (loss)  | 2.76%  | 2.71%  | 3.04%  | 17.34% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $1404 | $1136 | $1018 | $1011 |
| Portfolio turnover rate I | 51% <br>| 82%  | 84%  | 163% H |

---

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

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

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

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

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

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

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

H*Annualized.*

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

**Notes to Consolidated Financial Statements**

For the period ended January 31, 2026

**1. Organization.**

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

**2. Consolidated Subsidiary.**

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Subsidiary Name** | **Net Assets of Subsidiary ($)** | **% of Fund's Total Assets** |
| **Fidelity Risk Parity Fund** | Fidelity Risk Parity Cayman Ltd. | 620320 | 3.9 |

---

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

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

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

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

---

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

---

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

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

**4. Significant Accounting Policies.**

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

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

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

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

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

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

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

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2026 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. 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. 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, 2026, 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.

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

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

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

Book-tax differences are primarily due to the short-term gain distributions from the underlying mutual funds or exchange-traded funds (ETFs), 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**  | $1522688 |
| **Gross unrealized depreciation**  | <u>(54127)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$1468561</u> |
| **Tax Cost**  | <u>$14150518</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$562963</u> |
| **Capital loss carryforward**  | <u>$(66716)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$1468562</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 | $(66716) |
| Long-term | <u>-</u> |
| **Total capital loss carryforward** | <u>$(66716)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **January 31, 2026** | **January 31, 2025** |
| **Ordinary Income**  | $608566 | $366124 |

---

**5. Derivative Instruments.**

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

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

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

---

| | |
|:---|:---|
| Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.<br>|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<br>|
| Equity Risk  | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Consolidated Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. 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>450055</u> | <u>117502</u> |
| **Total Commodity Risk** | <u>450055</u> | <u>117502</u> |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>194420</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(41722)</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>194420</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(41722)</u> |
| **Equity Risk** |  |  |
| Futures Contracts | <u>205392</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>105851</u> |
| **Total Equity Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>205392</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>105851</u> |
| **Interest Rate Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>(8251)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4800</u> |
| **Total Interest Rate Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>(8251)</u> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4800</u> |
| Totals | &nbsp;&nbsp;&nbsp;&nbsp; <u>841616</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>186431</u> |

---

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

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

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

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

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Risk Parity Fund** | 1113443 |

---

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

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

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

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

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

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Risk Parity Fund** | 6688727 |

---

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

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

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Risk Parity Fund** | 11072504 | 5221415 |

---

**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% | 3427 | 3060 |
| **Class M** | .25% | .25% | 7940 | 6060 |
| **Class C** | .75% | .25% | <u>12041</u> | <u>11981</u> |
|  |  |  | <u>23408</u> | <u>21101</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** | 511 |
| **Class M** | <u>15</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>526</u> |

---

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

---

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

---

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

**8. Committed Line of Credit.**

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

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

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

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

**9. Expense Reductions.**

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through May 31, 2027. 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% | 491 |
| **Class M** | 1.10% | 550 |
| **Class C** | 1.60% | 438 |
| **Fidelity Risk Parity Fund** | .60% | 1652 |
| **Class I** | .60% | 500 |
| **Class Z** | .55% | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>449</u> |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>4080</u> |

---

In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's expenses by $930.

**10. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Year ended** <br> **January 31, 2026** | **Year ended**<br> **January 31, 2025** |
| **Fidelity Risk Parity Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $70822 | $48922 |
| Class M | 73097 | 52423 |
| Class C | 52469 | 40415 |
| Fidelity Risk Parity Fund | 272032 | 114985 |
| Class I | 73510 | 57105 |
| Class Z | <u>66636</u> | <u>52274</u> |
| Total  | <u>$608566</u> | <u>$366124</u> |

---

**11. Share Transactions.**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares** | **Shares** | **Dollars** | **Dollars** |
|  | **Year ended** <br> **January 31, 2026**  | **Year ended**<br> **January 31, 2025** | **Year ended** <br> **January 31, 2026**  | **Year ended**<br> **January 31, 2025** |
| **Fidelity Risk Parity Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 25036 | 491 | $264062 | $4850 |
| Reinvestment of distributions  | 6597 | 5093 | 70822 | 48921 |
| Shares redeemed | <u>(64)</u> | <u>(39)</u> | <u>(709)</u> | <u>(396)</u> |
| Net increase (decrease) | <u>31569</u> | <u>5545</u> | <u>$334175</u> | <u>$53375</u> |
| **Class M** |  |  |  |  |
| Shares sold | 39535 | 17293 | $391909 | $176928 |
| Reinvestment of distributions  | 6796 | 5454 | 73097 | 52423 |
| Shares redeemed | <u>-</u> | <u>(17502)</u> | <u>-</u> | <u>(173321)</u> |
| Net increase (decrease) | <u>46331</u> | <u>5245</u> | <u>$465006</u> | <u>$56030</u> |
| **Class C** |  |  |  |  |
| Shares sold | 806 | 508 | $8000 | $4791 |
| Reinvestment of distributions  | 4927 | 4198 | 52469 | 40415 |
| Shares redeemed | <u>(806)</u> | <u>(137)</u> | <u>(8230)</u> | <u>(1338)</u> |
| Net increase (decrease) | <u>4927</u> | <u>4569</u> | <u>$52239</u> | <u>$43868</u> |
| **Fidelity Risk Parity Fund** |  |  |  |  |
| Shares sold | 545975 | 73878 | $5807669 | $733505 |
| Reinvestment of distributions  | 13916 | 3225 | 151802 | 30792 |
| Shares redeemed | <u>(142718)</u> | <u>(72962)</u> | <u>(1485195)</u> | <u>(711130)</u> |
| Net increase (decrease) | <u>417173</u> | <u>4141</u> | <u>$4474276</u> | <u>$53167</u> |
| **Class I** |  |  |  |  |
| Shares sold | 11567 | - | $115006 | $- |
| Reinvestment of distributions  | 6869 | 5951 | 73510 | 57105 |
| Shares redeemed | <u>(9146)</u> | <u>(2000)</u> | <u>(91643)</u> | <u>(19500)</u> |
| Net increase (decrease) | <u>9290</u> | <u>3951</u> | <u>$96873</u> | <u>$37605</u> |
| **Class Z** |  |  |  |  |
| Shares sold | - | - | $4 | $- |
| Reinvestment of distributions  | 6229 | 5447 | 66636 | 52274 |
| Shares redeemed | <u>-</u> | <u>-</u> | <u>(4)</u> | <u>-</u> |
| Net increase (decrease) | <u>6229</u> | <u>5447</u> | <u>$66636</u> | <u>$52274</u> |

---

**12. Other.**

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

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

---

| | |
|:---|:---|
| **Fund** | **Affiliated %**  |
| Fidelity Risk Parity Fund | 44 |

---

**13. Risk and Uncertainties.**

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

**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, 2026, the related consolidated statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the three years in the period then ended and for the period from July 7, 2022 (commencement of operations) through January 31, 2023, and the related notes (collectively referred to as the "financial statements and financial highlights"). 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, 2026, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and 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 audits. 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 audits 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 audits, 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 audits 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 audits 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, 2026, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

March 17, 2026

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

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

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

A total of 14.85% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $162,996 of distributions paid in the calendar year 2025 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $187,671 of distributions paid during the fiscal year ended 2026 as qualifying to be taxed as section 163(j) interest dividends.

Class A designates 0% and 5%; Class M designates 0% and 6%; Class C designates 0% and 7%; Fidelity Risk Parity Fund designates 0% and 5%; Class I designates 0% and 5%; and Class Z designates 0% and 5% of the dividends distributed in March 2025 and December 2025, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

Class A designates 0.09% and 13.97%; Class M designates 0.09% and 14.99%; Class C designates 0.09% and 17.70%; Fidelity Risk Parity Fund designates 0.09% and 12.75%; Class I designates 0.09% and 13.28%; and Class Z designates 0.09% and 13.11% of the dividends distributed in March 2025 and December 2025, respectively during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

Class A designates 0.50% and 3.33%; Class M designates 0.51% and 3.58%; Class C designates 0.52% and 4.22%; Fidelity Risk Parity Fund designates 0.50% and 3.04%; Class I designates 0.50% and 3.17%; and Class Z designates 0.50% and 3.13% of the dividends distributed in March 2025 and December 2025, respectively during the fiscal year as a section 199A dividend.

The amounts per share which represent income derived from sources within, and taxes paid to, foreign countries or possessions of the United States are as follows:

---

| | | | |
|:---|:---|:---|:---|
|  | **Pay Date** | **Income**  | **Taxes** |
| **Insert Fund Name** |  |  |  |
| Class A | 12/31/25 | $0.0649 | $0.0035 |
| Class M | 12/31/25 | $0.0605 | $0.0035 |
| Class C | 12/31/25 | $0.0512 | $0.0035 |
| Fidelity Risk Parity Fund | 12/31/25 | $0.0711 | $0.0035 |
| Class I | 12/31/25 | $0.0683 | $0.0035 |
| Class Z | 12/31/25 | $0.0692 | $0.0035 |

---

The fund will notify shareholders in January 2027 of amounts for use in preparing 2026 income tax returns.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

**Fidelity Risk Parity Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FDS and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts.

At its November 2025 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio of a representative class of the fund; (iii) the total costs of the services provided by and the profits realized by FDS and its affiliates (Fidelity) from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor and the factors may have been weighed differently by individual Trustees.

**Nature, Extent, and Quality of Services Provided.** The Board considered staffing as it relates to the fund, including the backgrounds and experience of investment personnel of the Investment Advisers, and also considered the Investment Advisers' implementation of the fund's investment program.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' staff, such as size, education, experience, and resources, as well as the Investment Advisers' approach to training and managing investment personnel. The Board noted 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 the Investment Advisers' investment professionals have sufficient access to 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, and to transmit new information and research conclusions rapidly. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, 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 and pricing and bookkeeping 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 also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending under a separate agreement.

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 Board took into account discussions that occur with representatives of the Investment Advisers, and reports that it receives, at Board meetings throughout the year, relating to fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considered annualized return information for the fund for different time periods, measured against an appropriate index (benchmark index). The Board also considered information about performance attribution. In its ongoing evaluation of fund investment performance, the Board gives particular attention to information indicating changes in performance of the funds over different time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.

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 its review of the fund's management fee and the total expense ratio of a representative class (the retail class), the Board considered the fund's class-level unitary management fees rate as well as other fund or class expenses, as applicable, such as fund-paid 12b-1 fees. The Board noted that differences among the classes' net expenses are the result of separate arrangements for class level services and/or waivers of certain expenses (if any). It is not the result of any difference in advisory or custodial fees or other expenses related to the management of a fund's assets, which do not vary by class. The Board noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) of the retail class of the fund relative to funds and classes within the total peer group; and (ii) total expense comparisons of the retail class of the fund relative to the total peer group.

The information provided to the Board indicated that the management fee rate and total expense ratio of the retail class of the fund ranked below the competitive median of the total peer group for the 12-month period ended March 31, 2025.

<u>Other Contractual Arrangements</u>. The Board further considered that FDS has contractually agreed to reimburse Class A, Class M, Class C, Class I, Class Z and the retail class of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets, exceed 0.85%, 1.10%, 1.60%, 0.60%, 0.55% and 0.60% through May 31, 2026.

<u>Fees Charged to Other Fidelity Clients</u>. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity other than the fund, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review, the Board concluded that the management fee of each class of the fund is fair and reasonable in light of the services that the fund receives and the other factors considered. Further based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds the Board oversees. The Board noted that the profitability information reflects the relatively small size of the funds overseen by the Board and their short history.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each Fidelity fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Board reviews any significant changes from the prior year's methodologies.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist.

The Board considered the costs of the services provided by and the lack of meaningful operating margins realized by Fidelity in connection with the operation of the funds overseen by the Board and was satisfied that the profitability was not excessive.

**Economies of Scale.** The Board will consider economies of scale when there is sufficient operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee had been set initially 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.

**Conclusion.** 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 and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances, and that the fund's Advisory Contracts should be approved through November 30, 2026.

![](img125401_4.jpg)<br>

1.9906092.103 RPF-ANN-0426

**Fidelity® Hedged Equity Fund**

**Annual Report**

**January 31, 2026**

Includes Fidelity and Fidelity Advisor share classes

![](img125402_1.jpg)

![](img125402_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_FHE-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Hedged Equity Fund](#Sub_Sec_Fund_6875_FHE-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements6875_FHE-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_FHE-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_FHE-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_FHE-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_FHE-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_FHE-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_FHE-ANN)** |

---

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.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® Hedged Equity Fund**

**Schedule of Investments January 31, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 94.5%** | &nbsp;&nbsp;**Common Stocks - 94.5%** | &nbsp;&nbsp;**Common Stocks - 94.5%** |
|  | Shares | Value ($)<br>|
| AUSTRALIA - 0.1%  |  |  |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| Anglogold Ashanti Plc  | 4818 | 447448 |
| BERMUDA - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Insurance - 0.0% |  |  |
| RenaissanceRe Holdings Ltd  | 877 | 247051 |
| BRAZIL - 0.0%  |  |  |
| Financials - 0.0% |  |  |
| Banks - 0.0% |  |  |
| NU Holdings Ltd/Cayman Islands Class A (a) | 13827 | 245429 |
| Capital Markets - 0.0% |  |  |
| XP Inc Class A  | 3615 | 70529 |
| TOTAL BRAZIL |  | 315958 |
| CANADA - 0.3%  |  |  |
| Consumer Discretionary - 0.1% |  |  |
| Hotels, Restaurants & Leisure - 0.1% |  |  |
| Restaurant Brands International Inc (United States)  | 6360 | 426056 |
| Financials - 0.2% |  |  |
| Capital Markets - 0.2% |  |  |
| Brookfield Asset Management Ltd Class A (United States)  | 10952 | 544425 |
| Industrials - 0.0% |  |  |
| Commercial Services & Supplies - 0.0% |  |  |
| RB Global Inc (United States)  | 2420 | 274839 |
| TOTAL CANADA |  | 1245320 |
| FINLAND - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Amer Sports Inc (a) | 3464 | 126886 |
| GERMANY - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Birkenstock Holding Plc (a) | 2731 | 103123 |
| KOREA (SOUTH) - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Broadline Retail - 0.0% |  |  |
| Coupang Inc Class A (a) | 11591 | 233675 |
| MEXICO - 0.1%  |  |  |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| Southern Copper Corp  | 3478 | 661933 |
| SWEDEN - 0.0%  |  |  |
| Consumer Discretionary - 0.0% |  |  |
| Automobile Components - 0.0% |  |  |
| Autoliv Inc  | 1806 | 218959 |
| THAILAND - 0.0%  |  |  |
| Information Technology - 0.0% |  |  |
| Electronic Equipment, Instruments & Components - 0.0% |  |  |
| Fabrinet (a) | 226 | 110613 |
| UNITED KINGDOM - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| TechnipFMC PLC  | 3281 | 182817 |
| UNITED STATES - 94.0%  |  |  |
| Communication Services - 10.0% |  |  |
| Diversified Telecommunication Services - 0.6% |  |  |
| AT&T Inc  | 144454 | 3786139 |
| Entertainment - 1.4% |  |  |
| Liberty Media Corp-Liberty Formula One Class A (a) | 1770 | 141051 |
| Netflix Inc (a) | 54607 | 4559139 |
| ROBLOX Corp Class A (a) | 1626 | 106926 |
| Roku Inc Class A (a) | 1125 | 107100 |
| Spotify Technology SA (a) | 621 | 310717 |
| Walt Disney Co/The  | 29343 | 3309890 |
| Warner Bros Discovery Inc (a) | 30392 | 836996 |
| Warner Music Group Corp Class A  | 2584 | 77468 |
|  |  | 9449287 |
| Interactive Media & Services - 8.0% |  |  |
| Alphabet Inc Class A  | 102947 | 34796086 |
| Meta Platforms Inc Class A  | 24578 | 17610137 |
| Pinterest Inc Class A (a) | 7948 | 175889 |
| Reddit Inc Class A (a) | 565 | 101853 |
|  |  | 52683965 |
| Media - 0.0% |  |  |
| EchoStar Corp Class A (a) | 1018 | 115258 |
| New York Times Co/The Class A  | 1394 | 102194 |
|  |  | 217452 |
| TOTAL COMMUNICATION SERVICES |  | 66136843 |
| Consumer Discretionary - 9.4% |  |  |
| Automobile Components - 0.0% |  |  |
| BorgWarner Inc  | 3649 | 173000 |
| Lear Corp  | 905 | 105966 |
|  |  | 278966 |
| Automobiles - 2.0% |  |  |
| Rivian Automotive Inc Class A (a) | 6657 | 98191 |
| Tesla Inc (a) | 30693 | 13210574 |
|  |  | 13308765 |
| Broadline Retail - 4.1% |  |  |
| Amazon.com Inc (a) | 109742 | 26261261 |
| Distributors - 0.0% |  |  |
| LKQ Corp  | 3782 | 124238 |
| Diversified Consumer Services - 0.1% |  |  |
| ADT Inc  | 16383 | 131064 |
| H&R Block Inc  | 2691 | 106160 |
| Service Corp International/US  | 2273 | 182817 |
|  |  | 420041 |
| Hotels, Restaurants & Leisure - 1.5% |  |  |
| Aramark  | 8467 | 325895 |
| Boyd Gaming Corp  | 3132 | 264779 |
| Caesars Entertainment Inc (a) | 5267 | 109027 |
| Choice Hotels International Inc (b) | 770 | 79156 |
| Churchill Downs Inc  | 1773 | 174392 |
| Domino's Pizza Inc  | 1786 | 732849 |
| DoorDash Inc Class A (a) | 6066 | 1241225 |
| DraftKings Inc Class A (a) | 6106 | 167976 |
| Flutter Entertainment PLC (a) | 1950 | 322043 |
| Hilton Worldwide Holdings Inc  | 8835 | 2637336 |
| Hyatt Hotels Corp Class A (b) | 1706 | 266767 |
| Planet Fitness Inc Class A (a) | 1009 | 91859 |
| Starbucks Corp  | 23841 | 2192180 |
| Texas Roadhouse Inc  | 2251 | 404865 |
| Vail Resorts Inc  | 405 | 53893 |
| Viking Holdings Ltd (a) | 6332 | 456854 |
| Wingstop Inc  | 357 | 94759 |
| Wyndham Hotels & Resorts Inc  | 2095 | 152495 |
|  |  | 9768350 |
| Household Durables - 0.2% |  |  |
| Mohawk Industries Inc (a) | 1044 | 123589 |
| SharkNinja Inc (a) | 738 | 87232 |
| Somnigroup International Inc  | 4552 | 399893 |
| Toll Brothers Inc  | 3790 | 547617 |
| TopBuild Corp (a) | 204 | 95482 |
| Whirlpool Corp  | 684 | 54713 |
|  |  | 1308526 |
| Leisure Products - 0.0% |  |  |
| Brunswick Corp/DE  | 1596 | 128031 |
| Mattel Inc (a) | 7158 | 149531 |
|  |  | 277562 |
| Specialty Retail - 1.5% |  |  |
| AutoNation Inc (a) | 522 | 107000 |
| Bath & Body Works Inc  | 1641 | 35774 |
| Burlington Stores Inc (a) | 613 | 181362 |
| CarMax Inc (a) | 3436 | 153039 |
| Carvana Co Class A (a) | 1957 | 784972 |
| Chewy Inc Class A (a) | 2354 | 68525 |
| Dick's Sporting Goods Inc  | 1256 | 253712 |
| Five Below Inc (a) | 689 | 132040 |
| Floor & Decor Holdings Inc Class A (a) | 1217 | 80273 |
| Gap Inc/The  | 4514 | 126302 |
| Home Depot Inc/The  | 15527 | 5816259 |
| Lithia Motors Inc Class A  | 420 | 135845 |
| Murphy USA Inc  | 400 | 169004 |
| Penske Automotive Group Inc (b) | 488 | 76514 |
| Ross Stores Inc  | 10933 | 2062510 |
|  |  | 10183131 |
| Textiles, Apparel & Luxury Goods - 0.0% |  |  |
| Crocs Inc (a) | 1328 | 111446 |
| VF Corp  | 7285 | 142713 |
|  |  | 254159 |
| TOTAL CONSUMER DISCRETIONARY |  | 62184999 |
| Consumer Staples - 5.1% |  |  |
| Beverages - 0.0% |  |  |
| Constellation Brands Inc Class A  | 6069 | 951011 |
| Consumer Staples Distribution & Retail - 2.1% |  |  |
| Casey's General Stores Inc  | 186 | 112809 |
| Costco Wholesale Corp  | 6626 | 6230097 |
| Walmart Inc  | 62179 | 7408006 |
|  |  | 13750912 |
| Food Products - 0.6% |  |  |
| General Mills Inc  | 39566 | 1830323 |
| Ingredion Inc  | 1114 | 131563 |
| Kraft Heinz Co/The  | 69907 | 1659592 |
| Pilgrim's Pride Corp  | 2842 | 123258 |
| Post Holdings Inc (a) | 360 | 36832 |
|  |  | 3781568 |
| Household Products - 1.3% |  |  |
| Colgate-Palmolive Co  | 28437 | 2567577 |
| Procter & Gamble Co/The  | 37870 | 5747530 |
|  |  | 8315107 |
| Tobacco - 1.1% |  |  |
| Altria Group Inc  | 45248 | 2804923 |
| Philip Morris International Inc  | 24258 | 4352856 |
|  |  | 7157779 |
| TOTAL CONSUMER STAPLES |  | 33956377 |
| Energy - 2.8% |  |  |
| Energy Equipment & Services - 0.3% |  |  |
| SLB Ltd  | 42401 | 2051360 |
| Oil, Gas & Consumable Fuels - 2.5% |  |  |
| Antero Midstream Corp  | 9240 | 173897 |
| Antero Resources Corp (a) | 6012 | 218656 |
| Cheniere Energy Inc  | 3253 | 688075 |
| CNX Resources Corp (a)(b) | 3021 | 117215 |
| Diamondback Energy Inc  | 9562 | 1567690 |
| DT Midstream Inc  | 2634 | 331937 |
| Exxon Mobil Corp  | 59633 | 8432107 |
| HF Sinclair Corp  | 2690 | 139853 |
| Marathon Petroleum Corp  | 8564 | 1508891 |
| Murphy Oil Corp  | 3204 | 96408 |
| Occidental Petroleum Corp  | 41647 | 1890358 |
| Ovintiv Inc  | 11988 | 521118 |
| Permian Resources Holdings Inc/DE Class A  | 26064 | 420412 |
| Range Resources Corp  | 4487 | 169833 |
| Viper Energy Inc Class A  | 5207 | 220464 |
|  |  | 16496914 |
| TOTAL ENERGY |  | 18548274 |
| Financials - 12.2% |  |  |
| Banks - 3.2% |  |  |
| Bank of America Corp  | 105859 | 5631699 |
| Comerica Inc  | 1330 | 117931 |
| First Citizens BancShares Inc/NC Class A  | 86 | 177983 |
| JPMorgan Chase & Co  | 34932 | 10685349 |
| Wells Fargo & Co  | 47961 | 4339991 |
|  |  | 20952953 |
| Capital Markets - 2.6% |  |  |
| Affiliated Managers Group Inc  | 755 | 236383 |
| Ameriprise Financial Inc  | 4341 | 2288532 |
| Blue Owl Capital Inc Class A  | 10373 | 141488 |
| Carlyle Group Inc/The  | 4820 | 283320 |
| Charles Schwab Corp/The  | 34008 | 3534112 |
| Coinbase Global Inc Class A (a) | 3142 | 611873 |
| Evercore Inc Class A  | 988 | 349031 |
| Hamilton Lane Inc Class A  | 863 | 121890 |
| Houlihan Lokey Inc Class A  | 2491 | 419285 |
| Janus Henderson Group PLC  | 2090 | 100592 |
| Jefferies Financial Group Inc  | 3890 | 237990 |
| LPL Financial Holdings Inc  | 727 | 264992 |
| MarketAxess Holdings Inc  | 508 | 85969 |
| Morningstar Inc  | 1174 | 237254 |
| Nasdaq Inc  | 23560 | 2282728 |
| Northern Trust Corp  | 9696 | 1448873 |
| Robinhood Markets Inc Class A (a) | 11469 | 1140936 |
| SEI Investments Co  | 4452 | 391108 |
| State Street Corp  | 14348 | 1877579 |
| Stifel Financial Corp  | 3914 | 482596 |
| TPG Inc Class A  | 1739 | 102444 |
| Tradeweb Markets Inc Class A  | 3002 | 309416 |
|  |  | 16948391 |
| Consumer Finance - 0.3% |  |  |
| Ally Financial Inc  | 5981 | 252877 |
| Credit Acceptance Corp (a) | 250 | 124560 |
| OneMain Holdings Inc  | 2154 | 141173 |
| SLM Corp  | 3506 | 95188 |
| SoFi Technologies Inc Class A (a) | 8510 | 194113 |
| Synchrony Financial  | 15600 | 1133028 |
|  |  | 1940939 |
| Financial Services - 4.0% |  |  |
| Affirm Holdings Inc Class A (a) | 666 | 40159 |
| Berkshire Hathaway Inc Class B (a) | 23252 | 11173284 |
| Corebridge Financial Inc  | 6429 | 198206 |
| Equitable Holdings Inc  | 8989 | 417090 |
| Mastercard Inc Class A  | 12159 | 6551148 |
| MGIC Investment Corp  | 3280 | 88297 |
| Rocket Cos Inc Class A  | 6858 | 122964 |
| Toast Inc Class A (a) | 5718 | 177887 |
| Visa Inc Class A  | 23651 | 7611601 |
| Voya Financial Inc  | 2301 | 176395 |
|  |  | 26557031 |
| Insurance - 1.9% |  |  |
| AFLAC Inc  | 17981 | 1994992 |
| American Financial Group Inc/OH  | 1408 | 183420 |
| Arch Capital Group Ltd (a) | 17975 | 1726319 |
| Brown & Brown Inc  | 15000 | 1081500 |
| CNA Financial Corp (b) | 2223 | 106393 |
| Fidelity National Financial Inc  | 2621 | 142556 |
| Hartford Insurance Group Inc/The  | 16781 | 2266442 |
| Kinsale Capital Group Inc  | 308 | 121931 |
| Loews Corp  | 16165 | 1706539 |
| Markel Group Inc (a) | 300 | 612192 |
| Old Republic International Corp  | 7946 | 311245 |
| Prudential Financial Inc  | 17513 | 1945869 |
| Reinsurance Group of America Inc  | 825 | 167269 |
|  |  | 12366667 |
| Mortgage Real Estate Investment Trusts (REITs) - 0.2% |  |  |
| AGNC Investment Corp (b) | 30350 | 345990 |
| Annaly Capital Management Inc  | 25495 | 586640 |
| Rithm Capital Corp  | 21464 | 234816 |
| Starwood Property Trust Inc  | 19762 | 354333 |
|  |  | 1521779 |
| TOTAL FINANCIALS |  | 80287760 |
| Health Care - 8.7% |  |  |
| Biotechnology - 1.9% |  |  |
| AbbVie Inc  | 23118 | 5155546 |
| Alnylam Pharmaceuticals Inc (a) | 424 | 143337 |
| Amgen Inc  | 9138 | 3124099 |
| BioMarin Pharmaceutical Inc (a) | 3521 | 199077 |
| Exact Sciences Corp (a) | 627 | 64167 |
| Exelixis Inc (a) | 2285 | 94508 |
| Gilead Sciences Inc  | 20625 | 2927719 |
| Halozyme Therapeutics Inc (a) | 1465 | 105055 |
| Insmed Inc (a) | 583 | 91455 |
| Ionis Pharmaceuticals Inc (a) | 1162 | 96063 |
| Natera Inc (a) | 898 | 207564 |
| Neurocrine Biosciences Inc (a) | 549 | 74697 |
| Roivant Sciences Ltd (a) | 8094 | 174992 |
| United Therapeutics Corp (a) | 508 | 238501 |
|  |  | 12696780 |
| Health Care Equipment & Supplies - 1.5% |  |  |
| Baxter International Inc  | 27136 | 544620 |
| Becton Dickinson & Co  | 8922 | 1815449 |
| Globus Medical Inc Class A (a) | 3065 | 277934 |
| Intuitive Surgical Inc (a) | 5185 | 2614381 |
| Masimo Corp (a) | 633 | 86929 |
| Medtronic PLC  | 33196 | 3417860 |
| Penumbra Inc (a) | 858 | 307310 |
| Teleflex Inc  | 1046 | 109171 |
| Zimmer Biomet Holdings Inc  | 10525 | 916412 |
|  |  | 10090066 |
| Health Care Providers & Services - 1.3% |  |  |
| Chemed Corp  | 316 | 134976 |
| CVS Health Corp  | 20439 | 1523114 |
| Encompass Health Corp  | 2966 | 280376 |
| Ensign Group Inc/The  | 1337 | 229509 |
| HCA Healthcare Inc  | 4781 | 2334419 |
| HealthEquity Inc (a) | 967 | 82843 |
| Option Care Health Inc (a) | 3850 | 130900 |
| Tenet Healthcare Corp (a) | 1406 | 266128 |
| UnitedHealth Group Inc  | 12843 | 3685042 |
|  |  | 8667307 |
| Health Care Technology - 0.1% |  |  |
| Doximity Inc Class A (a) | 1333 | 49947 |
| Veeva Systems Inc Class A (a) | 1591 | 324437 |
|  |  | 374384 |
| Life Sciences Tools & Services - 0.5% |  |  |
| Avantor Inc (a) | 8118 | 88649 |
| Bio-Rad Laboratories Inc Class A (a) | 516 | 151549 |
| Bruker Corp  | 1532 | 67852 |
| Danaher Corp  | 12284 | 2688845 |
| Illumina Inc (a) | 1405 | 203458 |
| Medpace Holdings Inc (a) | 402 | 234157 |
| Repligen Corp (a) | 652 | 97389 |
|  |  | 3531899 |
| Pharmaceuticals - 3.4% |  |  |
| Corcept Therapeutics Inc (a) | 1372 | 54702 |
| Elanco Animal Health Inc (a) | 4839 | 116523 |
| Eli Lilly & Co  | 9028 | 9363390 |
| Jazz Pharmaceuticals PLC (a) | 1178 | 193769 |
| Johnson & Johnson  | 34382 | 7813310 |
| Merck & Co Inc  | 37225 | 4104801 |
| Royalty Pharma PLC Class A  | 9818 | 409214 |
|  |  | 22055709 |
| TOTAL HEALTH CARE |  | 57416145 |
| Industrials - 7.9% |  |  |
| Aerospace & Defense - 2.2% |  |  |
| ATI Inc (a) | 1013 | 121864 |
| Boeing Co (a) | 10866 | 2539602 |
| BWX Technologies Inc  | 776 | 159414 |
| Carpenter Technology Corp  | 324 | 102976 |
| Curtiss-Wright Corp  | 702 | 460996 |
| GE Aerospace  | 15296 | 4692660 |
| HEICO Corp  | 1643 | 543685 |
| Kratos Defense & Security Solutions Inc (a) | 1118 | 115165 |
| L3Harris Technologies Inc  | 6383 | 2188412 |
| Lockheed Martin Corp  | 4334 | 2748709 |
| Rocket Lab Corp  | 1575 | 126110 |
| StandardAero Inc (a) | 3885 | 120008 |
| Woodward Inc  | 1089 | 346128 |
|  |  | 14265729 |
| Air Freight & Logistics - 0.3% |  |  |
| United Parcel Service Inc Class B  | 21013 | 2232001 |
| Building Products - 0.4% |  |  |
| Advanced Drainage Systems Inc  | 1048 | 159338 |
| Armstrong World Industries Inc  | 1289 | 236841 |
| Carlisle Cos Inc  | 960 | 327254 |
| Fortune Brands Innovations Inc  | 4369 | 236363 |
| Masco Corp  | 16615 | 1098085 |
| Owens Corning  | 2051 | 245792 |
| Simpson Manufacturing Co Inc  | 699 | 123569 |
|  |  | 2427242 |
| Commercial Services & Supplies - 0.8% |  |  |
| Cintas Corp  | 12976 | 2483477 |
| Clean Harbors Inc (a) | 730 | 189734 |
| MSA Safety Inc  | 729 | 129142 |
| Republic Services Inc  | 10554 | 2270060 |
| Tetra Tech Inc  | 2921 | 110005 |
|  |  | 5182418 |
| Construction & Engineering - 0.2% |  |  |
| AECOM  | 1646 | 158724 |
| API Group Corp (a) | 5839 | 242727 |
| Dycom Industries Inc (a) | 353 | 128630 |
| MasTec Inc (a) | 1533 | 368656 |
| Valmont Industries Inc  | 290 | 129212 |
|  |  | 1027949 |
| Electrical Equipment - 0.5% |  |  |
| Acuity Inc  | 481 | 148744 |
| GE Vernova Inc  | 3623 | 2631639 |
| nVent Electric PLC  | 3252 | 365070 |
| Regal Rexnord Corp  | 728 | 117572 |
| Vertiv Holdings Co Class A  | 1836 | 341826 |
|  |  | 3604851 |
| Ground Transportation - 0.6% |  |  |
| JB Hunt Transport Services Inc  | 4197 | 850816 |
| Knight-Swift Transportation Holdings Inc  | 3823 | 210647 |
| Lyft Inc Class A (a) | 4013 | 67699 |
| Ryder System Inc  | 579 | 110751 |
| Saia Inc (a) | 348 | 116535 |
| U-Haul Holding Co Class N  | 2371 | 121656 |
| Uber Technologies Inc (a) | 30563 | 2446569 |
| XPO Inc (a) | 1013 | 150035 |
|  |  | 4074708 |
| Industrial Conglomerates - 0.5% |  |  |
| Honeywell International Inc  | 15698 | 3571609 |
| Machinery - 1.7% |  |  |
| AGCO Corp (b) | 1495 | 169548 |
| Allison Transmission Holdings Inc  | 2460 | 267402 |
| Caterpillar Inc  | 7838 | 5152388 |
| CNH Industrial NV Class A  | 41036 | 441547 |
| Crane Co  | 556 | 101548 |
| Donaldson Co Inc  | 2703 | 275544 |
| Dover Corp  | 9152 | 1844036 |
| Flowserve Corp  | 1490 | 116444 |
| Graco Inc  | 7322 | 639430 |
| IDEX Corp  | 5540 | 1099967 |
| ITT Inc  | 2636 | 480543 |
| Lincoln Electric Holdings Inc  | 598 | 158679 |
| Middleby Corp/The (a) | 424 | 62400 |
| Mueller Industries Inc  | 1049 | 142811 |
| Oshkosh Corp  | 631 | 90750 |
| RBC Bearings Inc (a) | 240 | 119921 |
| Toro Co/The  | 2506 | 229299 |
| Watts Water Technologies Inc Class A  | 434 | 129901 |
|  |  | 11522158 |
| Passenger Airlines - 0.1% |  |  |
| Alaska Air Group Inc (a) | 7046 | 358148 |
| American Airlines Group Inc (a) | 33197 | 441520 |
|  |  | 799668 |
| Professional Services - 0.4% |  |  |
| Booz Allen Hamilton Holding Corp Class A  | 1998 | 176663 |
| Broadridge Financial Solutions Inc  | 6232 | 1228390 |
| CACI International Inc (a) | 232 | 143975 |
| Parsons Corp (a) | 885 | 62002 |
| Paylocity Holding Corp (a) | 1239 | 167240 |
| SS&C Technologies Holdings Inc  | 6329 | 518282 |
| TransUnion  | 3132 | 247491 |
| UL Solutions Inc Class A  | 1556 | 109278 |
|  |  | 2653321 |
| Trading Companies & Distributors - 0.2% |  |  |
| Applied Industrial Technologies Inc  | 532 | 138538 |
| Core & Main Inc Class A (a) | 1871 | 99837 |
| Ferguson Enterprises Inc  | 2271 | 573337 |
| Watsco Inc  | 363 | 140281 |
| Wesco International Inc  | 481 | 139216 |
|  |  | 1091209 |
| TOTAL INDUSTRIALS |  | 52452863 |
| Information Technology - 31.9% |  |  |
| Communications Equipment - 0.9% |  |  |
| Cisco Systems Inc  | 66810 | 5232559 |
| F5 Inc (a) | 2090 | 576025 |
| Lumentum Holdings Inc (a) | 325 | 127348 |
| Ubiquiti Inc  | 249 | 137304 |
|  |  | 6073236 |
| Electronic Equipment, Instruments & Components - 0.8% |  |  |
| Amphenol Corp Class A  | 24245 | 3493220 |
| Arrow Electronics Inc (a) | 1184 | 156868 |
| Avnet Inc  | 1578 | 98451 |
| Cognex Corp  | 3179 | 123154 |
| Coherent Corp (a) | 909 | 192872 |
| Flex Ltd (a) | 5762 | 363236 |
| Ralliant Corp (b) | 2412 | 127764 |
| TD SYNNEX Corp  | 2084 | 330668 |
| Vontier Corp  | 3263 | 122363 |
|  |  | 5008596 |
| IT Services - 0.9% |  |  |
| Amdocs Ltd  | 3078 | 252211 |
| Cloudflare Inc Class A (a) | 1975 | 350266 |
| GoDaddy Inc Class A (a) | 5986 | 601713 |
| IBM Corporation  | 13579 | 4164679 |
| Kyndryl Holdings Inc (a) | 4401 | 101223 |
| MongoDB Inc Class A (a) | 314 | 116598 |
| Okta Inc Class A (a) | 1789 | 151135 |
| Snowflake Inc (a) | 1403 | 270358 |
| Twilio Inc Class A (a) | 1617 | 194784 |
|  |  | 6202967 |
| Semiconductors & Semiconductor Equipment - 14.3% |  |  |
| Advanced Micro Devices Inc (a) | 19437 | 4601321 |
| Amkor Technology Inc  | 5804 | 280507 |
| Astera Labs Inc (a) | 698 | 105132 |
| Broadcom Inc  | 51613 | 17099387 |
| Enphase Energy Inc (a) | 3849 | 142336 |
| Entegris Inc  | 2924 | 345237 |
| GlobalFoundries Inc (a) | 4238 | 178844 |
| Intel Corp (a) | 54170 | 2517280 |
| Lam Research Corp  | 23479 | 5481407 |
| Lattice Semiconductor Corp (a) | 1323 | 106528 |
| MACOM Technology Solutions Holdings Inc (a) | 630 | 138008 |
| Marvell Technology Inc  | 3811 | 300764 |
| Micron Technology Inc  | 13177 | 5466874 |
| MKS Inc  | 2564 | 603591 |
| NVIDIA Corp  | 257685 | 49251334 |
| Onto Innovation Inc (a) | 1576 | 318431 |
| Qnity Electronics Inc  | 14538 | 1398265 |
| Qorvo Inc (a) | 1460 | 114041 |
| QUALCOMM Inc  | 17585 | 2665710 |
| Texas Instruments Inc (b) | 14328 | 3088400 |
|  |  | 94203397 |
| Software - 8.6% |  |  |
| Adobe Inc (a) | 7427 | 2177968 |
| Appfolio Inc Class A (a) | 464 | 88104 |
| AppLovin Corp Class A (a) | 3213 | 1520102 |
| Atlassian Corp Class A (a) | 1050 | 124089 |
| Bentley Systems Inc Class B (b) | 2701 | 94859 |
| Crowdstrike Holdings Inc Class A (a) | 3814 | 1683519 |
| Docusign Inc (a) | 2975 | 156307 |
| Dropbox Inc Class A (a) | 5363 | 136649 |
| Dynatrace Inc (a) | 5685 | 216542 |
| Guidewire Software Inc (a) | 696 | 97969 |
| HubSpot Inc (a) | 640 | 179200 |
| Intuit Inc  | 4612 | 2301019 |
| Manhattan Associates Inc (a) | 1093 | 165054 |
| Microsoft Corp  | 80175 | 34498501 |
| Nutanix Inc Class A (a) | 2523 | 99230 |
| Oracle Corp  | 20557 | 3383271 |
| Palantir Technologies Inc Class A (a) | 26351 | 3862793 |
| Palo Alto Networks Inc (a) | 11053 | 1956049 |
| Pegasystems Inc  | 1962 | 85720 |
| Procore Technologies Inc (a) | 1479 | 83549 |
| Salesforce Inc  | 14926 | 3168641 |
| Samsara Inc Class A (a) | 2456 | 68890 |
| Strategy Inc Class A (a) | 261 | 39073 |
| UiPath Inc Class A (a)(b) | 6632 | 83497 |
| Unity Software Inc (a) | 2759 | 80287 |
| Zoom Communications Inc Class A (a) | 4321 | 397964 |
| Zscaler Inc (a) | 995 | 199010 |
|  |  | 56947856 |
| Technology Hardware, Storage & Peripherals - 6.4% |  |  |
| Apple Inc  | 156735 | 40669598 |
| Dell Technologies Inc Class C  | 5721 | 654711 |
| Sandisk Corp/DE  | 1658 | 955423 |
|  |  | 42279732 |
| TOTAL INFORMATION TECHNOLOGY |  | 210715784 |
| Materials - 1.8% |  |  |
| Chemicals - 1.0% |  |  |
| Axalta Coating Systems Ltd (a) | 3908 | 131231 |
| Eastman Chemical Co  | 1616 | 112021 |
| Linde PLC  | 8942 | 4086226 |
| PPG Industries Inc  | 15330 | 1772608 |
| RPM International Inc  | 3785 | 404844 |
| Solstice Advanced Materials Inc  | 2291 | 141515 |
| Westlake Corp  | 1184 | 93914 |
|  |  | 6742359 |
| Construction Materials - 0.3% |  |  |
| Vulcan Materials Co  | 7322 | 2200554 |
| Containers & Packaging - 0.2% |  |  |
| AptarGroup Inc  | 1990 | 248650 |
| Avery Dennison Corp  | 4729 | 877277 |
| Crown Holdings Inc  | 3167 | 331522 |
| Graphic Packaging Holding CO  | 7120 | 104307 |
|  |  | 1561756 |
| Metals & Mining - 0.3% |  |  |
| Alcoa Corp  | 1933 | 109814 |
| Commercial Metals Co  | 1808 | 138981 |
| Hecla Mining Co  | 7222 | 162639 |
| MP Materials Corp (a) | 1546 | 90858 |
| Reliance Inc  | 1329 | 437906 |
| Royal Gold Inc  | 2780 | 732002 |
|  |  | 1672200 |
| TOTAL MATERIALS |  | 12176869 |
| Real Estate - 1.8% |  |  |
| Diversified REITs - 0.1% |  |  |
| WP Carey Inc  | 7753 | 540772 |
| Health Care REITs - 0.0% |  |  |
| Omega Healthcare Investors Inc  | 6492 | 284869 |
| Industrial REITs - 0.1% |  |  |
| EastGroup Properties Inc  | 1637 | 297345 |
| First Industrial Realty Trust Inc  | 1775 | 103003 |
| Lineage Inc  | 1149 | 41030 |
| Rexford Industrial Realty Inc  | 4032 | 163417 |
| STAG Industrial Inc Class A  | 4627 | 173559 |
|  |  | 778354 |
| Office REITs - 0.0% |  |  |
| Vornado Realty Trust  | 1995 | 63600 |
| Real Estate Management & Development - 0.0% |  |  |
| Jones Lang LaSalle Inc (a) | 730 | 261274 |
| Zillow Group Inc Class A (a) | 1083 | 67406 |
|  |  | 328680 |
| Residential REITs - 0.7% |  |  |
| American Homes 4 Rent Class A  | 11038 | 345710 |
| AvalonBay Communities Inc  | 11631 | 2066480 |
| Equity LifeStyle Properties Inc  | 6006 | 379399 |
| Mid-America Apartment Communities Inc  | 9183 | 1233277 |
| Sun Communities Inc  | 2940 | 374644 |
|  |  | 4399510 |
| Retail REITs - 0.7% |  |  |
| Agree Realty Corp  | 4192 | 302788 |
| Brixmor Property Group Inc  | 6029 | 161517 |
| Federal Realty Investment Trust  | 10269 | 1038812 |
| NNN REIT Inc  | 6815 | 283981 |
| Realty Income Corp  | 41660 | 2547926 |
|  |  | 4335024 |
| Specialized REITs - 0.2% |  |  |
| CubeSmart  | 5319 | 199622 |
| Gaming and Leisure Properties Inc  | 10359 | 463565 |
| Lamar Advertising Co Class A  | 3102 | 398018 |
|  |  | 1061205 |
| TOTAL REAL ESTATE |  | 11792014 |
| Utilities - 2.4% |  |  |
| Electric Utilities - 1.1% |  |  |
| Constellation Energy Corp  | 4155 | 1166225 |
| Exelon Corp  | 54337 | 2433211 |
| NextEra Energy Inc  | 34179 | 3004335 |
| OGE Energy Corp  | 6724 | 293704 |
| TXNM Energy Inc  | 2045 | 120491 |
|  |  | 7017966 |
| Gas Utilities - 0.0% |  |  |
| National Fuel Gas Co  | 1060 | 88775 |
| UGI Corp  | 2946 | 118164 |
|  |  | 206939 |
| Independent Power and Renewable Electricity Producers - 0.0% |  |  |
| Talen Energy Corp (a) | 255 | 88832 |
| Multi-Utilities - 1.3% |  |  |
| Ameren Corp  | 21189 | 2188401 |
| CMS Energy Corp  | 28758 | 2055909 |
| DTE Energy Co  | 15826 | 2126698 |
| NiSource Inc  | 47039 | 2083357 |
|  |  | 8454365 |
| Water Utilities - 0.0% |  |  |
| Essential Utilities Inc  | 3180 | 123352 |
| TOTAL UTILITIES |  | 15891454 |
| TOTAL UNITED STATES |  | 621559382 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $482,211,031) |  | <br> **625453165** |

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| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 3.8%** | &nbsp;&nbsp;**Domestic Equity Funds - 3.8%** | &nbsp;&nbsp;**Domestic Equity Funds - 3.8%** |
|  | Shares | Value ($)<br>|
| iShares Core S&P 500 ETF <br>(Cost $23,971,378)<br>| 36527 | **25387361** |

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---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.3%** | &nbsp;&nbsp;**Money Market Funds - 1.3%** | &nbsp;&nbsp;**Money Market Funds - 1.3%** | &nbsp;&nbsp;**Money Market Funds - 1.3%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (c) | 3.70 | 4243354 | 4244203 |
| Fidelity Securities Lending Cash Central Fund (c)(d) | 3.70 | 4267512 | 4267939 |
| <br> **TOTAL MONEY MARKET FUNDS**<br> (Cost $8,512,142) |  |  | **8512142** |

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 1.3%** | **Purchased Options - 1.3%** | **Purchased Options - 1.3%** | **Purchased Options - 1.3%** | **Purchased Options - 1.3%** | **Purchased Options - 1.3%** | **Purchased Options - 1.3%** |
|  | Counterparty | Number<br> of Contracts | Notional Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Put Options |  |  |  |  |  |  |
| S&P 500 Index | Chicago Board Options Exchange | 314 | 217885542 | 6650 | 4/2026 | 3160410 |
| S&P 500 Index | Chicago Board Options Exchange | 276 | 191517228 | 4450 | 12/2026 | 1319280 |
| S&P 500 Index | Chicago Board Options Exchange | 260 | 180414780 | 6400 | 2/2026 | 273000 |
| S&P 500 Index | Chicago Board Options Exchange | 249 | 172781847 | 6550 | 3/2026 | 1358295 |
| S&P 500 Index | Chicago Board Options Exchange | 313 | 217191639 | 4200 | 11/2026 | 1120540 |
| S&P 500 Index | Chicago Board Options Exchange | 236 | 163761108 | 4600 | 1/2027 | 1371160 |
|  |  |  |  |  |  | **8602685** |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $13,026,024) |  |  |  |  |  | **8602685** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 100.9%**<br> (Cost $527,720,575)<br>| <br>**667955353** |
| **NET OTHER ASSETS (LIABILITIES) - (0.9)%**  | **(6032471)** |
| **NET ASSETS - 100.0%** | **661922882** |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Non-income producing.

(b) Security or a portion of the security is on loan at period end.

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

(d) Investment made with cash collateral received from securities on loan.

**Affiliated Central Funds**

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

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 4792215 | 270431214 | 270978960 | 127667 | (266) | - | 4244203 | 4243354 | 0.0% |
| Fidelity Securities Lending Cash Central Fund | 313325 | 31977143 | 28022493 | 3904 | (36) | - | 4267939 | 4267512 | 0.0% |
| Total | 5105540 | 302408357 | 299001453 | 131571 | (302) | - | 8512142 |  |  |

---

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

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

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

**Investment Valuation**

The following is a summary of the inputs used, as of January 31, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 66136843 | 66136843 | - | - |
| Consumer Discretionary | 63293698 | 63293698 | - | - |
| Consumer Staples | 33956377 | 33956377 | - | - |
| Energy | 18731091 | 18731091 | - | - |
| Financials | 81395194 | 81395194 | - | - |
| Health Care | 57416145 | 57416145 | - | - |
| Industrials | 52727702 | 52727702 | - | - |
| Information Technology | 210826397 | 210826397 | - | - |
| Materials | 13286250 | 13286250 | - | - |
| Real Estate | 11792014 | 11792014 | - | - |
| Utilities | 15891454 | 15891454 | - | - |
|  **Domestic Equity Funds** | 25387361 | 25387361 | - | - |
|  **Money Market Funds** | 8512142 | 8512142 | - | - |
|  **Purchased Options** | 8602685 | 8602685 | - | - |
| **Total Investments in Securities:** | 667955353 | 667955353 | - | - |

---

**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, 2026. 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)  | 8602685 | - |
| **Total Equity Risk**  | 8602685 | - |
| **Total Value of Derivatives** | 8602685 | - |

---

(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** |
| **As of January 31, 2026** | **As of January 31, 2026** | **As of January 31, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $4,115,234) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $519,208,433) | $659443211 |  |
| Fidelity Central Funds (cost $8,512,142) | 8512142 |  |
| Total Investment in Securities (cost $527,720,575) |  | $667955353 |
| Receivable for fund shares sold |  | 1105804 |
| Dividends receivable |  | 330487 |
| Distributions receivable from Fidelity Central Funds |  | 11679 |
| Receivable from investment adviser for expense reductions |  | 21004 |
| **Total assets** |  | 669424327 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $2641133 |  |
| Payable for fund shares redeemed | 291117 |  |
| Accrued management fee | 292511 |  |
| Distribution and service plan fees payable | 8709 |  |
| Collateral on securities loaned | 4267975 |  |
| **Total liabilities** |  | 7501445 |
| **Net Assets**  |  | $661922882 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $542425843 |
| Total accumulated earnings (loss) |  | 119497039 |
| **Net Assets** |  | $661922882 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($13,238,578 ÷ 883,047 shares)(a) |  | $14.99 |
| Maximum offering price per share (100/94.25 of $14.99) |  | $15.90 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($2,124,060 ÷ 141,364 shares)(a) |  | $15.03 |
| Maximum offering price per share (100/96.50 of $15.03) |  | $15.58 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($6,932,526 ÷ 466,882 shares)(a) |  | $14.85 |
| **Fidelity Hedged Equity Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($282,408,012 ÷ 18,750,188 shares) |  | $15.06 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($313,292,797 ÷ 20,889,966 shares) |  | $15.00 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($43,926,909 ÷ 2,923,668 shares) |  | $15.02 |
| *(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** |
| <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** |
| **Investment Income** |  |  |
| Dividends  |  | $5290631 |
| Income from Fidelity Central Funds (including $3,904 from security lending)  |  | 131571 |
| **Total income** |  | 5422202 |
| **Expenses** |  |  |
| Management fee | $2437379 |  |
| Distribution and service plan fees | 59556 |  |
| Independent trustees' fees and expenses | 158389 |  |
| Interest | 10126 |  |
| Total expenses before reductions | 2665450 |  |
| Expense reductions | (162497) |  |
| Total expenses after reductions |  | 2502953 |
| **Net Investment income (loss)** |  | 2919249 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (9024206) |  |
| Fidelity Central Funds | (302) |  |
| Foreign currency transactions | (7) |  |
| Total net realized gain (loss) |  | (9024515) |
| Change in net unrealized appreciation (depreciation) on investment securities  |  | 64560964 |
| **Net gain (loss)** |  | 55536449 |
| **Net increase (decrease) in net assets resulting from operations** |  | $58455698 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **January 31, 2026** | **Year ended**<br> **January 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $2919249 | $2104056 |
| &nbsp;&nbsp;Net realized gain (loss) | (9024515)<br>| (6797591)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 64560964 | 49700232<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 58455698<br>| 45006697<br>|
| Distributions to shareholders | (3009692)<br>| (2098818)<br>|
| Share transactions - net increase (decrease) | 262129329<br>| 77453591<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 317575335<br>| 120361470<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 344347547 | 223986077<br>|
| &nbsp;&nbsp;End of period | $661922882 | $344347547 |

---

**Financial Highlights** 

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.35 | $11.24 | $9.91 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .06  | .07  | .08  | .04  |
| Net realized and unrealized gain (loss)  | 1.66  | 2.11  | 1.30  | (.10)  |
| Total from investment operations  | 1.72  | 2.18  | 1.38  | (.06)  |
| Distributions from net investment income  | (.08)  | (.07)  | (.05)  | (.03)  |
| Total distributions  | (.08)  | (.07)  | (.05)  | (.03)  |
| Net asset value, end of period  | $14.99 | $13.35 | $11.24 | $9.91 |
| **Total Return** D,E,F | 12.85% <br>| 19.39%  | 13.95%  | (.59)%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | .84%  | .84%  | .89%  | 1.34% I |
| Expenses net of fee waivers, if any  | .80% <br>| .80%  | .80%  | .80% I |
| Expenses net of all reductions, if any  | .80%  | .80%  | .80%  | .79% I |
| Net investment income (loss)  | .42%  | .54%  | .81%  | .90% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $13239 | $2393 | $1292 | $1317 |
| Portfolio turnover rate J | 107% <br>| 56%  | 38%  | 21% K |

---

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

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

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

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

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

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

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

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

I*Annualized.*

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

K*Amount not annualized.*

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.35 | $11.23 | $9.91 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .02  | .04  | .06  | .03  |
| Net realized and unrealized gain (loss)  | 1.67  | 2.10  | 1.29  | (.10)  |
| Total from investment operations  | 1.69  | 2.14  | 1.35  | (.07)  |
| Distributions from net investment income  | (.01)  | (.02)  | (.03)  | (.02)  |
| Total distributions  | (.01)  | (.02)  | (.03)  | (.02)  |
| Net asset value, end of period  | $15.03 | $13.35 | $11.23 | $9.91 |
| **Total Return** D,E,F | 12.67% <br>| 19.07%  | 13.64%  | (.71)%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |  |
| Expenses before reductions  | 1.09%  | 1.09%  | 1.14%  | 1.54% I |
| Expenses net of fee waivers, if any  | 1.05% <br>| 1.05%  | 1.05%  | 1.05% I |
| Expenses net of all reductions, if any  | 1.05%  | 1.05%  | 1.05%  | 1.04% I |
| Net investment income (loss)  | .17%  | .29%  | .56%  | .65% I |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $2124 | $834 | $645 | $509 |
| Portfolio turnover rate J | 107% <br>| 56%  | 38%  | 21% K |

---

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

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

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

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

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

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

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

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

I*Annualized.*

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

K*Amount not annualized.*

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.25 | $11.20 | $9.90 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | (.05)  | (.03)  | .01  | .01  |
| Net realized and unrealized gain (loss)  | 1.65  | 2.10  | 1.29  | (.11)  |
| Total from investment operations  | 1.60  | 2.07  | 1.30  | (.10)  |
| Distributions from net investment income  | -  | (.02)  | -  | - D |
| Total distributions  | -  | (.02)  | -  | - D |
| Net asset value, end of period  | $14.85 | $13.25 | $11.20 | $9.90 |
| **Total Return** E,F,G | 12.08% <br>| 18.50%  | 13.13%  | (.97)%  |
| **Ratios to Average Net Assets** C,H,I |  |  |  |  |
| Expenses before reductions  | 1.58%  | 1.59%  | 1.64%  | 2.04% J |
| Expenses net of fee waivers, if any  | 1.55% <br>| 1.55%  | 1.55%  | 1.55% J |
| Expenses net of all reductions, if any  | 1.55%  | 1.54%  | 1.55%  | 1.54% J |
| Net investment income (loss)  | (.33)%  | (.21)%  | .06%  | .15% J |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $6933 | $1931 | $678 | $526 |
| Portfolio turnover rate K | 107% <br>| 56%  | 38%  | 21% L |

---

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

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

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

D*Amount represents less than .005%.*

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

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

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

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

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

J*Annualized.*

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

L*Amount not annualized.*

**Fidelity® Hedged Equity Fund** <br>

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.36 | $11.23 | $9.91 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .09  | .10  | .11  | .05  |
| Net realized and unrealized gain (loss)  | 1.67  | 2.11  | 1.30  | (.10)  |
| Total from investment operations  | 1.76  | 2.21  | 1.41  | (.05)  |
| Distributions from net investment income  | (.06)  | (.08)  | (.09)  | (.04)  |
| Total distributions  | (.06)  | (.08)  | (.09)  | (.04)  |
| Net asset value, end of period  | $15.06 | $13.36 | $11.23 | $9.91 |
| **Total Return** D,E | 13.21% <br>| 19.69%  | 14.22%  | (.54)%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .59%  | .59%  | .61%  | 1.12% H |
| Expenses net of fee waivers, if any  | .55% <br>| .55%  | .55%  | .55% H |
| Expenses net of all reductions, if any  | .55%  | .55%  | .55%  | .54% H |
| Net investment income (loss)  | .66%  | .79%  | 1.06%  | 1.15% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $282408 | $211131 | $219076 | $46678 |
| Portfolio turnover rate I | 107% <br>| 56%  | 38%  | 21% J |

---

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

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

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

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

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

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

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

H*Annualized.*

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

J*Amount not annualized.*

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.33 | $11.23 | $9.91 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .09  | .10  | .11  | .05  |
| Net realized and unrealized gain (loss)  | 1.66  | 2.12  | 1.30  | (.10)  |
| Total from investment operations  | 1.75  | 2.22  | 1.41  | (.05)  |
| Distributions from net investment income  | (.08)  | (.12)  | (.09)  | (.04)  |
| Total distributions  | (.08)  | (.12)  | (.09)  | (.04)  |
| Net asset value, end of period  | $15.00 | $13.33 | $11.23 | $9.91 |
| **Total Return** D,E | 13.17% <br>| 19.77%  | 14.22%  | (.54)%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .59%  | .60%  | .63%  | 1.04% H |
| Expenses net of fee waivers, if any  | .55% <br>| .55%  | .55%  | .55% H |
| Expenses net of all reductions, if any  | .55%  | .54%  | .55%  | .55% H |
| Net investment income (loss)  | .66%  | .79%  | 1.06%  | 1.15% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $313293 | $69997 | $984 | $497 |
| Portfolio turnover rate I | 107% <br>| 56%  | 38%  | 21% J |

---

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

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

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

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

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

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

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

H*Annualized.*

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

J*Amount not annualized.*

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024**  | **2023** A |
| **Selected Per-Share Data**  |  |  |  |  |
| Net asset value, beginning of period  | $13.34 | $11.24 | $9.91 | $10.00 |
| Income from Investment Operations  |  |  |  |  |
| Net investment income (loss) B,C | .10  | .11  | .12  | .05  |
| Net realized and unrealized gain (loss)  | 1.66  | 2.11  | 1.29  | (.10)  |
| Total from investment operations  | 1.76  | 2.22  | 1.41  | (.05)  |
| Distributions from net investment income  | (.08)  | (.12)  | (.08)  | (.04)  |
| Total distributions  | (.08)  | (.12)  | (.08)  | (.04)  |
| Net asset value, end of period  | $15.02 | $13.34 | $11.24 | $9.91 |
| **Total Return** D,E | 13.21% <br>| 19.79%  | 14.30%  | (.54)%  |
| **Ratios to Average Net Assets** C,F,G |  |  |  |  |
| Expenses before reductions  | .54%  | .53%  | .59%  | 1.01% H |
| Expenses net of fee waivers, if any  | .50% <br>| .50%  | .50%  | .50% H |
| Expenses net of all reductions, if any  | .50%  | .50%  | .50%  | .50% H |
| Net investment income (loss)  | .71%  | .84%  | 1.11%  | 1.20% H |
| **Supplemental Data** |  |  |  |  |
| Net assets, end of period (000 omitted) | $43927 | $58062 | $1311 | $720 |
| Portfolio turnover rate I | 107% <br>| 56%  | 38%  | 21% J |

---

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

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

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

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

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

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

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

H*Annualized.*

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

J*Amount not annualized.*

**Notes to Financial Statements**

For the period ended January 31, 2026

**1. Organization.**

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

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

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

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

---

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

---

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

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

**3. Significant Accounting Policies.**

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

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

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

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

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

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

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

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2026 is included at the end of the Fund's Schedule of Investments.

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

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

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

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

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

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of January 31, 2026, 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

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

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $155879643 |
| **Gross unrealized depreciation**  | <u>(16239325)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$139640318</u> |
| **Tax Cost**  | <u>$532738374</u> |

---

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

---

| | |
|:---|:---|
| **Capital loss carryforward**  | <u>$(18880755)</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$138377795</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 | $(7793627) |
| Long-term | <u>(11087128)</u> |
| **Total capital loss carryforward** | <u>$(18880755)</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **January 31, 2026** | **January 31, 2025** |
| **Ordinary Income**  | $3009692 | $2098818 |

---

**4. Derivative Instruments.**

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

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

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

---

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

---

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

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

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

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

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

---

| | | |
|:---|:---|:---|
|  | **Type** | **Average Notional Amount ($)** |
| **Fidelity Hedged Equity Fund** | Purchased Options | 809582800 |

---

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.

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| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Hedged Equity Fund** | 769364578 | 469367991 |

---

**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:

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| | |
|:---|:---|
|  | **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:

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| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee** | **Service Fee** | **Total Fees ($)** | **Retained by FDC ($)** |
| **Class A**  | - % | .25% | 14950 | 3930 |
| **Class M** | .25% | .25% | 6798 | 3480 |
| **Class C** | .75% | .25% | <u>37808</u> | <u>29263</u> |
|  |  |  | <u>59556</u> | <u>36673</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** | 16840 |
| **Class M** | 2434 |
| **Class C**A | <u>250</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp; <u>19524</u> |

---

*A When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.*

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

---

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

---

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

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

---

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

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| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Fidelity Hedged Equity Fund** | 152076 | 31113 | 2414 |

---

**7. Committed Line of Credit.**

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

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

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

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

**8. Security Lending.** 

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

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| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Hedged Equity Fund** | 381 | - | - |

---

**9. Bank Borrowings.**

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

---

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

---

**10. Expense Reductions.** 

The investment adviser contractually agreed to reimburse expenses of each class to the extent annual operating expenses exceeded certain levels of class-level average net assets as noted in the table below. This reimbursement will remain in place through May 31, 2027. 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% | 2226 |
| **Class M** | 1.05% | 480 |
| **Class C** | 1.55% | 1337 |
| **Fidelity Hedged Equity Fund** | .55% | 86482 |
| **Class I** | .55% | 58615 |
| **Class Z** | .50% | &nbsp;&nbsp;&nbsp;&nbsp; <u>11079</u> |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; <u>160219</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 $2,278.

**11. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | | |
|:---|:---|:---|
|  | **Year ended** <br> **January 31, 2026** | **Year ended**<br> **January 31, 2025** |
| **Fidelity Hedged Equity Fund** |  |  |
| **Distributions to shareholders** |  |  |
| Class A | $57638 | $10574 |
| Class M | 1186 | 1288 |
| Class C | - | 2676 |
| Fidelity Hedged Equity Fund | 1186134 | 1503041 |
| Class I | 1542312 | 87037 |
| Class Z | <u>222422</u> | <u>494202</u> |
| Total  | <u>$3009692</u> | <u>$2098818</u> |

---

**12. Share Transactions.**

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Shares** | **Shares** | **Dollars** | **Dollars** |
|  | **Year ended** <br> **January 31, 2026**  | **Year ended**<br> **January 31, 2025** | **Year ended** <br> **January 31, 2026**  | **Year ended**<br> **January 31, 2025** |
| **Fidelity Hedged Equity Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 775697 | 92260 | $11155115 | $1183010 |
| Reinvestment of distributions  | 3839 | 796 | 56964 | 10574 |
| Shares redeemed | <u>(75822)</u> | <u>(28729)</u> | <u>(1080371)</u> | <u>(347342)</u> |
| Net increase (decrease) | <u>703714</u> | <u>64327</u> | <u>$10131708</u> | <u>$846242</u> |
| **Class M** |  |  |  |  |
| Shares sold | 108495 | 5145 | $1546706 | $66329 |
| Reinvestment of distributions  | 79 | 97 | 1176 | 1288 |
| Shares redeemed | <u>(29666)</u> | <u>(206)</u> | <u>(440095)</u> | <u>(2701)</u> |
| Net increase (decrease) | <u>78908</u> | <u>5036</u> | <u>$1107787</u> | <u>$64916</u> |
| **Class C** |  |  |  |  |
| Shares sold | 357047 | 90564 | $5029844 | $1161130 |
| Reinvestment of distributions  | - | 203 | - | 2676 |
| Shares redeemed | <u>(35880)</u> | <u>(5608)</u> | <u>(500985)</u> | <u>(72315)</u> |
| Net increase (decrease) | <u>321167</u> | <u>85159</u> | <u>$4528859</u> | <u>$1091491</u> |
| **Fidelity Hedged Equity Fund** |  |  |  |  |
| Shares sold | 10947018 | 2636035 | $147634095 | $33147611 |
| Reinvestment of distributions  | 77603 | 109935 | 1157055 | 1455813 |
| Shares redeemed | <u>(8072891)</u> | <u>(6448266)</u> | <u>(111004546)</u> | <u>(82438467)</u> |
| Net increase (decrease) | <u>2951730</u> | <u>(3702296)</u> | <u>$37786604</u> | <u>$(47835043)</u> |
| **Class I** |  |  |  |  |
| Shares sold | 23991167 | 5333559 | $331760602 | $70665074 |
| Reinvestment of distributions  | 100320 | 6561 | 1488750 | 86998 |
| Shares redeemed | <u>(8453043)</u> | <u>(176214)</u> | <u>(110217731)</u> | <u>(2293762)</u> |
| Net increase (decrease) | <u>15638444</u> | <u>5163906</u> | <u>$223031621</u> | <u>$68458310</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 2747207 | 6067949 | $39249016 | $79008322 |
| Reinvestment of distributions  | 12922 | 30933 | 192144 | 410740 |
| Shares redeemed | <u>(4188978)</u> | <u>(1862935)</u> | <u>(53898410)</u> | <u>(24591387)</u> |
| Net increase (decrease) | <u>(1428849)</u> | <u>4235947</u> | <u>$(14457250)</u> | <u>$54827675</u> |

---

**13. Other.**

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

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

---

| | |
|:---|:---|
|  | **VIP Funds Manager 60% Portfolio** |
| Fidelity Hedged Equity Fund | 15% |

---

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 | 31% |

---

**14. Risk and Uncertainties.**

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

**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, 2026, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the three years in the period then ended and for the period from September 1, 2022 (commencement of operations) through January 31, 2023, and the related notes (collectively referred to as the "financial statements and financial highlights"). 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, 2026, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and 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 audits. 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 audits 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 audits, 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 audits 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 audits 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, 2026, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

March 17, 2026

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

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

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

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

Class A, Class M, Retail Class, Class I and Class Z designate 100% of the dividends distributed 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 2027 of amounts for use in preparing 2026 income tax returns.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

**Fidelity Hedged Equity Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FDS and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts.

At its November 2025 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio of a representative class of the fund; (iii) the total costs of the services provided by and the profits realized by FDS and its affiliates (Fidelity) from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor and the factors may have been weighed differently by individual Trustees.

**Nature, Extent, and Quality of Services Provided.** The Board considered staffing as it relates to the fund, including the backgrounds and experience of investment personnel of the Investment Advisers, and also considered the Investment Advisers' implementation of the fund's investment program.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' staff, such as size, education, experience, and resources, as well as the Investment Advisers' approach to training and managing investment personnel. The Board noted 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 the Investment Advisers' investment professionals have sufficient access to 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, and to transmit new information and research conclusions rapidly. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, 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 and pricing and bookkeeping 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 also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending under a separate agreement.

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 Board took into account discussions that occur with representatives of the Investment Advisers, and reports that it receives, at Board meetings throughout the year, relating to fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considered annualized return information for the fund for different time periods, measured against an appropriate index (benchmark index). The Board also considered information about performance attribution. In its ongoing evaluation of fund investment performance, the Board gives particular attention to information indicating changes in performance of the funds over different time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.

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 its review of the fund's management fee and the total expense ratio of a representative class (the retail class), the Board considered the fund's class-level unitary management fees rate as well as other fund or class expenses, as applicable, such as fund-paid 12b-1 fees. The Board noted that differences among the classes' net expenses are the result of separate arrangements for class level services and/or waivers of certain expenses (if any). It is not the result of any difference in advisory or custodial fees or other expenses related to the management of a fund's assets, which do not vary by class. The Board noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) of the retail class of the fund relative to funds and classes within the total peer group; and (ii) total expense comparisons of the retail class of the fund relative to the total peer group.

The information provided to the Board indicated that the management fee rate and total expense ratio of the retail class of the fund ranked below the competitive median of the total peer group for the 12-month period ended March 31, 2025.

<u>Other Contractual Arrangements</u>. The Board further considered that FDS has contractually agreed to reimburse Class A, Class M, Class C, Class I, Class Z and the retail class of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets, exceed 0.80%, 1.05%, 1.55%, 0.55%, 0.50% and 0.55% through May 31, 2026.

<u>Fees Charged to Other Fidelity Clients</u>. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity other than the fund, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review, the Board concluded that the management fee of each class of the fund is fair and reasonable in light of the services that the fund receives and the other factors considered. Further based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds the Board oversees. The Board noted that the profitability information reflects the relatively small size of the funds overseen by the Board and their short history.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each Fidelity fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Board reviews any significant changes from the prior year's methodologies.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist.

The Board considered the costs of the services provided by and the lack of meaningful operating margins realized by Fidelity in connection with the operation of the funds overseen by the Board and was satisfied that the profitability was not excessive.

**Economies of Scale.** The Board will consider economies of scale when there is sufficient operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee had been set initially 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.

**Conclusion.** 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 and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances, and that the fund's Advisory Contracts should be approved through November 30, 2026.

![](img125402_4.jpg)<br>

1.9905820.103 FHE-ANN-0426

**Fidelity® SAI Convertible Arbitrage Fund**

**Annual Report**

**January 31, 2026**

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

![](img125404_1.jpg)

![](img125404_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_SCA-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® SAI Convertible Arbitrage Fund](#Sub_Sec_Fund_7521_SCA-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements7521_SCA-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SCA-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SCA-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SCA-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SCA-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SCA-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SCA-ANN)** |

---

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® SAI Convertible Arbitrage Fund**

**Schedule of Investments January 31, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 27.5%** | &nbsp;&nbsp;**Common Stocks - 27.5%** | &nbsp;&nbsp;**Common Stocks - 27.5%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 27.5%  |  |  |
| Consumer Staples - 8.4% |  |  |
| Consumer Staples Distribution & Retail - 0.5% |  |  |
| Costco Wholesale Corp  | 6000 | 5641500 |
| Tobacco - 7.9% |  |  |
| Philip Morris International Inc  | 445000 | 79850800 |
| TOTAL CONSUMER STAPLES |  | 85492300 |
| Financials - 12.9% |  |  |
| Banks - 3.7% |  |  |
| Citigroup Inc  | 325000 | 37605750 |
| Capital Markets - 0.8% |  |  |
| Morgan Stanley  | 41700 | 7622760 |
| Financial Services - 8.4% |  |  |
| Mastercard Inc Class A  | 157600 | 84913304 |
| TOTAL FINANCIALS |  | 130141814 |
| Health Care - 0.7% |  |  |
| Biotechnology - 0.7% |  |  |
| AbbVie Inc  | 32000 | 7136320 |
| Industrials - 0.1% |  |  |
| Aerospace & Defense - 0.1% |  |  |
| Voyager Technologies Inc Class A  | 28700 | 876211 |
| Information Technology - 5.4% |  |  |
| Semiconductors & Semiconductor Equipment - 4.0% |  |  |
| Broadcom Inc  | 75000 | 24847500 |
| NVIDIA Corp  | 80000 | 15290400 |
|  |  | 40137900 |
| Software - 1.4% |  |  |
| Microsoft Corp  | 24000 | 10326960 |
| Oracle Corp  | 25900 | 4262622 |
|  |  | 14589582 |
| TOTAL INFORMATION TECHNOLOGY |  | 54727482 |
| TOTAL UNITED STATES |  | 278374127 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $241,397,652) |  | <br> **278374127** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Convertible Corporate Bonds - 35.0%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 35.0%** | &nbsp;&nbsp;**Convertible Corporate Bonds - 35.0%** |
|  | Principal<br> Amount (a)<br>| Value ($)<br>|
| CANADA - 1.3%  |  |  |
| Energy - 1.3% |  |  |
| Oil, Gas & Consumable Fuels - 1.3% |  |  |
| Denison Mines Corp 4.25% 9/15/2031 (b) | 7500000 | 12708750 |
| NETHERLANDS - 0.2%  |  |  |
| Information Technology - 0.2% |  |  |
| Software - 0.2% |  |  |
| Nebius Group NV 2.75% 9/15/2032 (b) | 2800000 | 2721600 |
| UNITED STATES - 33.5%  |  |  |
| Communication Services - 3.5% |  |  |
| Media - 3.5% |  |  |
| Cable One Inc 0% 3/15/2026 (c) | 35921000 | 35292383 |
| Consumer Discretionary - 8.1% |  |  |
| Automobile Components - 2.7% |  |  |
| LCI Industries 3% 3/1/2030 (b) | 20000000 | 27140000 |
| Hotels, Restaurants & Leisure - 3.7% |  |  |
| Airbnb Inc 0% 3/15/2026 (c) | 21500000 | 21360250 |
| Cheesecake Factory Inc/The 2% 3/15/2030 (b) | 11861000 | 12489633 |
| Cracker Barrel Old Country Store Inc 1.75% 9/15/2030 (b) | 4225000 | 3361490 |
|  |  | 37211373 |
| Leisure Products - 1.7% |  |  |
| Peloton Interactive Inc 0% 2/15/2026 (d) | 17700000 | 17655710 |
| TOTAL CONSUMER DISCRETIONARY |  | 82007083 |
| Energy - 0.2% |  |  |
| Oil, Gas & Consumable Fuels - 0.2% |  |  |
| Northern Oil & Gas Inc 3.625% 4/15/2029 (b) | 2500000 | 2529124 |
| Financials - 4.4% |  |  |
| Capital Markets - 1.8% |  |  |
| Coinbase Global Inc 0% 10/1/2032 (b)(c) | 9500000 | 8050367 |
| Coinbase Global Inc 0.5% 6/1/2026  | 10000000 | 9880990 |
| Galaxy Digital Holdings LP 3% 12/15/2026 (b) | 500000 | 575500 |
|  |  | 18506857 |
| Consumer Finance - 0.8% |  |  |
| Upstart Holdings Inc 0% 2/15/2032 (b)(c) | 10000000 | 7962500 |
| Financial Services - 1.8% |  |  |
| Euronet Worldwide Inc 0.625% 10/1/2030 (b) | 20520000 | 18378225 |
| TOTAL FINANCIALS |  | 44847582 |
| Health Care - 2.0% |  |  |
| Biotechnology - 1.6% |  |  |
| Alnylam Pharmaceuticals Inc 1% 9/15/2027  | 8500000 | 11080066 |
| Cytokinetics Inc 1.75% 10/1/2031 (b) | 3920000 | 4946550 |
|  |  | 16026616 |
| Health Care Technology - 0.4% |  |  |
| Evolent Health Inc 4.5% 8/15/2031 (b) | 7200000 | 4567500 |
| TOTAL HEALTH CARE |  | 20594116 |
| Industrials - 3.9% |  |  |
| Commercial Services & Supplies - 2.1% |  |  |
| Pitney Bowes Inc 1.5% 8/15/2030 (b) | 17500000 | 17298750 |
| Tetra Tech Inc 2.25% 8/15/2028  | 3000000 | 3477000 |
|  |  | 20775750 |
| Electrical Equipment - 1.8% |  |  |
| Enovix Corp 4.75% 9/15/2030 (b) | 20000000 | 18622469 |
| TOTAL INDUSTRIALS |  | 39398219 |
| Information Technology - 8.9% |  |  |
| Electronic Equipment, Instruments & Components - 0.7% |  |  |
| Advanced Energy Industries Inc 2.5% 9/15/2028  | 3900000 | 7579650 |
| IT Services - 2.5% |  |  |
| DigitalOcean Holdings Inc 0% 12/1/2026 (c) | 15000000 | 14505000 |
| DigitalOcean Holdings Inc 0% 8/15/2030 (b)(c) | 6600000 | 10441200 |
|  |  | 24946200 |
| Semiconductors & Semiconductor Equipment - 3.2% |  |  |
| MACOM Technology Solutions Holdings Inc 0.25% 3/15/2026  | 12100000 | 32223261 |
| Software - 2.5% |  |  |
| BlackLine Inc 1% 6/1/2029  | 5000000 | 4964000 |
| Box Inc 1.5% 9/15/2029  | 3000000 | 2830500 |
| RingCentral Inc 0% 3/15/2026 (d) | 6000000 | 5964000 |
| Uber Technologies Inc 0% 5/15/2028 (b)(c) | 6500000 | 6467500 |
| Unity Software Inc 0% 11/15/2026 (c) | 5172000 | 4990980 |
|  |  | 25216980 |
| TOTAL INFORMATION TECHNOLOGY |  | 89966091 |
| Real Estate - 1.3% |  |  |
| Real Estate Management & Development - 1.3% |  |  |
| Compass Inc 0.25% 4/15/2031 (b) | 11998000 | 12912883 |
| Utilities - 1.2% |  |  |
| Electric Utilities - 0.3% |  |  |
| Southern Co/The 3.25% 6/15/2028 (b) | 3267000 | 3268633 |
| Independent Power and Renewable Electricity Producers - 0.9% |  |  |
| XPLR Infrastructure LP 2.5% 6/15/2026 (b) | 8750000 | 8586375 |
| TOTAL UTILITIES |  | 11855008 |
| TOTAL UNITED STATES |  | 339402489 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS**<br> (Cost $346,597,262) |  | <br> **354832839** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 3.7%** | &nbsp;&nbsp;**Domestic Equity Funds - 3.7%** | &nbsp;&nbsp;**Domestic Equity Funds - 3.7%** |
|  | Shares | Value ($)<br>|
| Financial Select Sector SPDR ETF  | 438300 | 23422752 |
| iShares Core S&P 500 ETF  | 20700 | 14387121 |
| <br> **TOTAL DOMESTIC EQUITY FUNDS**<br> (Cost $33,589,856) |  | **37809873** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 28.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 28.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 28.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 28.2%** |
|  | Yield (%) (e) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 2/5/2026 (f) | 3.82 | 85000000 | 84974557 |
| US Treasury Bills 0% 3/5/2026 (f)(g) | 3.67 | 116500000 | 116138424 |
| US Treasury Bills 0% 4/9/2026 (f) | 3.54 to 3.57 | 85000000 | 84441337 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $285,532,008) |  |  | **285554318** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 5.4%** | &nbsp;&nbsp;**Money Market Funds - 5.4%** | &nbsp;&nbsp;**Money Market Funds - 5.4%** | &nbsp;&nbsp;**Money Market Funds - 5.4%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (h)<br>(Cost $54,311,952)<br>| 3.70 | 54301092 | **54311952** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.8%**<br> (Cost $961,428,730)<br>| <br>**1010883109** |
| **NET OTHER ASSETS (LIABILITIES) - 0.2%**  | **1526861** |
| **NET ASSETS - 100.0%** | **1012409970** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| SHORT |  |  |  |  |
| Interest Rate Contracts |  |  |  |  |
| CBOT 2Y US Treasury Notes Contracts (United States) | 621 | 3/2026 | 129449391 | 178441 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 611 | 3/2026 | 66536945 | 343066 |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **521507** |
| The notional amount of short futures as a percentage of Net Assets is 19.4%. | The notional amount of short futures as a percentage of Net Assets is 19.4%. | The notional amount of short futures as a percentage of Net Assets is 19.4%. | The notional amount of short futures as a percentage of Net Assets is 19.4%. | The notional amount of short futures as a percentage of Net Assets is 19.4%. |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index ranging from 3.64% to 3.65% plus or minus a specified spread ranging from (0.5)% to 0.55% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | Bank of Montreal | 10/2026 | 2444167203 | 4362803 | (896369) | 3466434 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Convertible Corporate Bonds** |  |  |  |  |  |  |
| UNITED STATES -731.8%  |  |  |  |  |  |  |
| **Communication Services - (18.1)%**  |  |  |  |  |  |  |
| **Entertainment - (13.0)%**  |  |  |  |  |  |  |
| Liberty Live Holdings Inc 2.375% 9/30/2053 (1)  |  |  |  | 152500 | 22449694 | 81825 |
| Live Nation Entertainment Inc 3.125% 1/15/2029  |  |  |  | 100000 | 14730757 | (84411) |
| Liberty Media Corp-Liberty Formula One 2.25% 8/15/2027  |  |  |  | 161500 | 18879350 | (448970) |
|  |  |  |  |  | 56059801 | (451556) |
| **Interactive Media & Services - (4.3)%**  |  |  |  |  |  |  |
| Snap Inc 0.5% 5/1/2030  |  |  |  | 100000 | 8624521 | (270026) |
| Match Group Financeco 3 Inc 2% 1/15/2030 (1)  |  |  |  | 265000 | 23872796 | 120699 |
|  |  |  |  |  | 32497317 | (149327) |
| **Media - (0.8)%**  |  |  |  |  |  |  |
| Cable One Inc 0% 3/15/2026  |  |  |  | 30000 | 2947500 | (29247) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | 91504618 | (630130) |
| **Utilities - 33.8%**  |  |  |  |  |  |  |
| **Multi-Utilities - 7.2%**  |  |  |  |  |  |  |
| WEC Energy Group Inc 4.375% 6/1/2029  |  |  |  | 125000 | 15072339 | 250354 |
| **Electric Utilities - 1.9%**  |  |  |  |  |  |  |
| Southern Co/The 3.25% 6/15/2028 (1)  |  |  |  | 161330 | 16209520 | 66008 |
| **Gas Utilities - 24.7%**  |  |  |  |  |  |  |
| UGI Corp 5% 6/1/2028  |  |  |  | 90000 | 13679750 | 856100 |
| TOTAL UTILITIES |  |  |  |  | 44961609 | 1172462 |
| **Health Care - 16.5%**  |  |  |  |  |  |  |
| **Biotechnology - 19.6%**  |  |  |  |  |  |  |
| Mirum Pharmaceuticals Inc 4% 5/1/2029  |  |  |  | 20000 | 6627722 | 687056 |
| Exact Sciences Corp 2% 3/1/2030 (1)  |  |  |  | 135000 | 18874200 | 41835 |
| Halozyme Therapeutics Inc 1% 8/15/2028  |  |  |  | 60000 | 8352833 | (48094) |
|  |  |  |  |  | 33854755 | 680797 |
| **Pharmaceuticals - (3.1)%**  |  |  |  |  |  |  |
| Zoetis Inc 0.25% 6/15/2029 (1)  |  |  |  | 400000 | 40912222 | 14844 |
| Ligand Pharmaceuticals Inc 0.75% 10/1/2030 (1)  |  |  |  | 110400 | 13206200 | (132425) |
| BofA Finance LLC 0.6% 5/25/2027  |  |  |  | 235000 | 26228742 | 11672 |
|  |  |  |  |  | 80347164 | (105909) |
| TOTAL HEALTH CARE |  |  |  |  | 114201919 | 574888 |
| **Consumer Staples - 10.1%**  |  |  |  |  |  |  |
| **Consumer Staples Distribution & Retail - (11.3)%**  |  |  |  |  |  |  |
| Chefs' Warehouse Inc/The 2.375% 12/15/2028  |  |  |  | 110000 | 16926808 | (393189) |
| **Food Products - 21.4%**  |  |  |  |  |  |  |
| Freshpet Inc 3% 4/1/2028  |  |  |  | 165000 | 20576875 | 743215 |
| TOTAL CONSUMER STAPLES |  |  |  |  | 37503683 | 350026 |
| **Energy - (58.5)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (58.5)%**  |  |  |  |  |  |  |
| Peabody Energy Corp 3.25% 3/1/2028  |  |  |  | 25000 | 4916580 | (33539) |
| Green Plains Inc 2.25% 3/15/2027  |  |  |  | 50000 | 4849313 | (1820) |
| Centrus Energy Corp 0% 8/15/2032 (1)  |  |  |  | 165000 | 23817750 | (1989570) |
|  |  |  |  |  | 33583643 | (2024929) |
| TOTAL ENERGY |  |  |  |  | 33583643 | (2024929) |
| **Real Estate - 0.0%**  |  |  |  |  |  |  |
| **Health Care REITs - 0.0%**  |  |  |  |  |  |  |
| Welltower OP LLC 2.75% 5/15/2028 (1)  |  |  |  | 180000 | 35880875 | (95900) |
| Ventas Realty LP 3.75% 6/1/2026  |  |  |  | 65000 | 9245302 | 96308 |
|  |  |  |  |  | 45126177 | 408 |
| TOTAL REAL ESTATE |  |  |  |  | 45126177 | 408 |
| **Financials - (108.3)%**  |  |  |  |  |  |  |
| **Capital Markets - (105.2)%**  |  |  |  |  |  |  |
| Galaxy Digital Holdings LP 3% 12/15/2026 (1)  |  |  |  | 250000 | 28872917 | (1142667) |
| Galaxy Digital Holdings LP 2.5% 12/1/2029 (1)  |  |  |  | 37500 | 5621085 | (418073) |
| Coinbase Global Inc 0.25% 4/1/2030  |  |  |  | 100000 | 9747180 | (914812) |
| Galaxy Digital Holdings LP 0.5% 5/1/2031 (1)  |  |  |  | 225000 | 19334687 | (1167050) |
|  |  |  |  |  | 63575869 | (3642602) |
| **Financial Services - (3.1)%**  |  |  |  |  |  |  |
| Global Payments Inc 1.5% 3/1/2031  |  |  |  | 190000 | 16925042 | (106216) |
| TOTAL FINANCIALS |  |  |  |  | 80500911 | (3748818) |
| **Materials - (362.5)%**  |  |  |  |  |  |  |
| **Metals & Mining - (362.5)%**  |  |  |  |  |  |  |
| MP Materials Corp 3% 3/1/2030 (1)  |  |  |  | 315000 | 90076875 | (11949105) |
| Century Aluminum Co 2.75% 5/1/2028  |  |  |  | 37500 | 9134818 | (615854) |
|  |  |  |  |  | 99211693 | (12564959) |
| TOTAL MATERIALS |  |  |  |  | 99211693 | (12564959) |
| **Industrials - (45.0)%**  |  |  |  |  |  |  |
| **Commercial Services & Supplies - 6.5%**  |  |  |  |  |  |  |
| Tetra Tech Inc 2.25% 8/15/2028  |  |  |  | 153000 | 17892394 | 224222 |
| **Ground Transportation - (64.9)%**  |  |  |  |  |  |  |
| Uber Technologies Inc 0.875% 12/1/2028  |  |  |  | 240000 | 30780320 | (1147930) |
| Lyft Inc 0.625% 3/1/2029  |  |  |  | 200000 | 22580431 | (1103644) |
|  |  |  |  |  | 53360751 | (2251574) |
| **Construction & Engineering - 22.8%**  |  |  |  |  |  |  |
| Fluor Corp 1.125% 8/15/2029  |  |  |  | 185000 | 22918147 | 791934 |
| **Machinery - (9.4)%**  |  |  |  |  |  |  |
| JBT Marel Corp 0.25% 5/15/2026  |  |  |  | 241000 | 24621397 | (327195) |
| TOTAL INDUSTRIALS |  |  |  |  | 118792689 | (1562613) |
| **Consumer Discretionary - 0.7%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - (16.0)%**  |  |  |  |  |  |  |
| Airbnb Inc 0% 3/15/2026  |  |  |  | 75000 | 7451250 | 48592 |
| Marriott Vacations Worldwide Corp 3.25% 12/15/2027  |  |  |  | 125000 | 12059288 | 59831 |
| Cracker Barrel Old Country Store Inc 1.75% 9/15/2030 (1)  |  |  |  | 125000 | 10084385 | (294630) |
| DraftKings Holdings Inc 0% 3/15/2028  |  |  |  | 217500 | 19695264 | (281067) |
| DoorDash Inc 0% 5/15/2030 (1)  |  |  |  | 100000 | 10005000 | (88300) |
|  |  |  |  |  | 59295187 | (555574) |
| **Specialty Retail - 17.2%**  |  |  |  |  |  |  |
| GameStop Corp 0% 4/1/2030 (1)  |  |  |  | 235000 | 25357664 | 1249014 |
| Burlington Stores Inc 1.25% 12/15/2027  |  |  |  | 192630 | 29185987 | (650546) |
|  |  |  |  |  | 54543651 | 598468 |
| **Broadline Retail - 0.8%**  |  |  |  |  |  |  |
| Etsy Inc 0.125% 9/1/2027  |  |  |  | 55000 | 5115000 | 27500 |
| **Automobiles - (1.3)%**  |  |  |  |  |  |  |
| Ford Motor Co 0% 3/15/2026  |  |  |  | 215000 | 22747000 | (46655) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 141700838 | 23739 |
| **Information Technology - 1263.1%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - (19.3)%**  |  |  |  |  |  |  |
| Penguin Solutions Inc 2% 8/15/2030  |  |  |  | 82500 | 8633854 | (109817) |
| Microchip Technology Inc 0.75% 6/1/2030  |  |  |  | 90000 | 9261561 | 141973 |
| ON Semiconductor Corp 0% 5/1/2027  |  |  |  | 300000 | 37862668 | (701028) |
|  |  |  |  |  | 55758083 | (668872) |
| **Electronic Equipment, Instruments & Components - 1.9%**  |  |  |  |  |  |  |
| Itron Inc 1.375% 7/15/2030  |  |  |  | 45000 | 4784172 | 65615 |
| **Software - (24.5)%**  |  |  |  |  |  |  |
| Box Inc 1.5% 9/15/2029  |  |  |  | 95000 | 9017479 | (94091) |
| BlackLine Inc 1% 6/1/2029  |  |  |  | 100000 | 9944944 | (437994) |
| CyberArk Software Ltd 0% 6/15/2030 (1)  |  |  |  | 115000 | 12103750 | (331660) |
| Vertex Inc 0.75% 5/1/2029  |  |  |  | 47200 | 4426396 | (52230) |
| Progress Software Corp 1% 4/15/2026  |  |  |  | 45000 | 4475125 | 64883 |
|  |  |  |  |  | 39967694 | (851092) |
| **Communications Equipment - 247.4%**  |  |  |  |  |  |  |
| Lumentum Holdings Inc 1.5% 12/15/2029  |  |  |  | 122920 | 69455762 | 8576538 |
| **IT Services - (56.7)%**  |  |  |  |  |  |  |
| Snowflake Inc 0% 10/1/2029  |  |  |  | 475000 | 66832500 | (3559650) |
| Akamai Technologies Inc 0.375% 9/1/2027  |  |  |  | 250000 | 26561955 | 596377 |
| Akamai Technologies Inc 1.125% 2/15/2029  |  |  |  | 432500 | 45592825 | 1036914 |
| Okta Inc 0.375% 6/15/2026  |  |  |  | 96500 | 9485849 | (39559) |
|  |  |  |  |  | 148473129 | (1965918) |
| **Technology Hardware, Storage & Peripherals - 1114.3%**  |  |  |  |  |  |  |
| Western Digital Corp 3% 11/15/2028  |  |  |  | 314070 | 208835253 | 19677774 |
| Seagate HDD Cayman 3.5% 6/1/2028  |  |  |  | 177270 | 88177299 | 18946007 |
|  |  |  |  |  | 297012552 | 38623781 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 615451392 | 43780052 |
| TOTAL UNITED STATES |  |  |  |  | 1422539172 | 25370126 |
| NETHERLANDS -(13.6)%  |  |  |  |  |  |  |
| **Information Technology - (13.6)%**  |  |  |  |  |  |  |
| **Software - (13.6)%**  |  |  |  |  |  |  |
| Nebius Group NV 2.75% 9/15/2032 (1)  |  |  |  | 47000 | 4617587 | (472387) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 4617587 | (472387) |
| TOTAL NETHERLANDS |  |  |  |  | 4617587 | (472387) |
| INDIA -(15.8)%  |  |  |  |  |  |  |
| **Consumer Discretionary - (15.8)%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - (15.8)%**  |  |  |  |  |  |  |
| MakeMyTrip Ltd 0% 2/15/2028  |  |  |  | 20000 | 3356000 | (548920) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 3356000 | (548920) |
| TOTAL INDIA |  |  |  |  | 3356000 | (548920) |
| DENMARK -14.6%  |  |  |  |  |  |  |
| **Health Care - 14.6%**  |  |  |  |  |  |  |
| **Biotechnology - 14.6%**  |  |  |  |  |  |  |
| Ascendis Pharma A/S 2.25% 4/1/2028  |  |  |  | 95820 | 14225078 | 507440 |
| TOTAL HEALTH CARE |  |  |  |  | 14225078 | 507440 |
| TOTAL DENMARK |  |  |  |  | 14225078 | 507440 |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS** |  |  |  |  | **1444737837** | <br> **24856259** |
| **TOTAL LONG** |  |  |  |  | **1444737837** | **24856259** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -(617.2)%  |  |  |  |  |  |  |
| **Communication Services - 22.6%**  |  |  |  |  |  |  |
| **Entertainment - 15.0%**  |  |  |  |  |  |  |
| Live Nation Entertainment Inc (2)  |  |  |  | (205400) | (29875430) | 57512 |
| Liberty Media Corp-Liberty Formula One Class C (2)  |  |  |  | (132559) | (11535284) | 461305 |
|  |  |  |  |  | (41410714) | 518817 |
| **Interactive Media & Services - 7.6%**  |  |  |  |  |  |  |
| Match Group Inc  |  |  |  | (88800) | (2766120) | 39960 |
| Snap Inc Class A (2)  |  |  |  | (266000) | (1843380) | 220780 |
|  |  |  |  |  | (4609500) | 260740 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (46020214) | 779557 |
| **Utilities - (27.9)%**  |  |  |  |  |  |  |
| **Multi-Utilities - (6.4)%**  |  |  |  |  |  |  |
| WEC Energy Group Inc  |  |  |  | (88000) | (9738960) | (220880) |
| **Electric Utilities - (0.6)%**  |  |  |  |  |  |  |
| Southern Co/The  |  |  |  | (39400) | (3518814) | (20882) |
| **Gas Utilities - (20.9)%**  |  |  |  |  |  |  |
| UGI Corp  |  |  |  | (275000) | (11030250) | (723250) |
| TOTAL UTILITIES |  |  |  |  | (24288024) | (965012) |
| **Health Care - (8.7)%**  |  |  |  |  |  |  |
| **Biotechnology - (17.6)%**  |  |  |  |  |  |  |
| Exact Sciences Corp (2)  |  |  |  | (90000) | (9210600) | 0 |
| Mirum Pharmaceuticals Inc (2)  |  |  |  | (56800) | (5862896) | (619120) |
| Halozyme Therapeutics Inc (2)  |  |  |  | (83000) | (5951930) | 9130 |
|  |  |  |  |  | (21025426) | (609990) |
| **Pharmaceuticals - 8.9%**  |  |  |  |  |  |  |
| Merck & Co Inc  |  |  |  | (120000) | (13232400) | 84000 |
| Zoetis Inc Class A  |  |  |  | (148400) | (18523288) | 68264 |
| Ligand Pharmaceuticals Inc (2)  |  |  |  | (39600) | (7607160) | 157608 |
|  |  |  |  |  | (39362848) | 309872 |
| TOTAL HEALTH CARE |  |  |  |  | (60388274) | (300118) |
| **Energy - 55.1%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - 55.1%**  |  |  |  |  |  |  |
| Peabody Energy Corp  |  |  |  | (117000) | (4125420) | 93600 |
| Green Plains Inc (2)  |  |  |  | (55000) | (630300) | 8250 |
| Centrus Energy Corp Class A (2)  |  |  |  | (65000) | (18088200) | 1808300 |
|  |  |  |  |  | (22843920) | 1910150 |
| TOTAL ENERGY |  |  |  |  | (22843920) | 1910150 |
| **Consumer Staples - (13.8)%**  |  |  |  |  |  |  |
| **Consumer Staples Distribution & Retail - 9.6%**  |  |  |  |  |  |  |
| Chefs' Warehouse Inc/The (2)  |  |  |  | (202400) | (12730960) | 333960 |
| **Food Products - (23.4)%**  |  |  |  |  |  |  |
| Freshpet Inc (2)  |  |  |  | (125700) | (8761290) | (809508) |
| TOTAL CONSUMER STAPLES |  |  |  |  | (21492250) | (475548) |
| **Real Estate - (3.5)%**  |  |  |  |  |  |  |
| **Health Care REITs - (3.5)%**  |  |  |  |  |  |  |
| Ventas Inc  |  |  |  | (116000) | (9009720) | (87000) |
| Welltower Inc  |  |  |  | (184400) | (34733584) | (33192) |
|  |  |  |  |  | (43743304) | (120192) |
| TOTAL REAL ESTATE |  |  |  |  | (43743304) | (120192) |
| **Financials - 101.2%**  |  |  |  |  |  |  |
| **Capital Markets - 96.8%**  |  |  |  |  |  |  |
| Coinbase Global Inc Class A (2)  |  |  |  | (21600) | (4206384) | 892593 |
| Galaxy Digital Inc Class A  |  |  |  | (640504) | (18100643) | 2463808 |
|  |  |  |  |  | (22307027) | 3356401 |
| **Financial Services - 4.4%**  |  |  |  |  |  |  |
| Global Payments Inc  |  |  |  | (47000) | (3371780) | 152750 |
| TOTAL FINANCIALS |  |  |  |  | (25678807) | 3509151 |
| **Materials - 332.2%**  |  |  |  |  |  |  |
| **Metals & Mining - 332.2%**  |  |  |  |  |  |  |
| Century Aluminum Co (2)  |  |  |  | (197000) | (8930010) | 622520 |
| MP Materials Corp (2)  |  |  |  | (1373600) | (80726472) | 10892648 |
|  |  |  |  |  | (89656482) | 11515168 |
| TOTAL MATERIALS |  |  |  |  | (89656482) | 11515168 |
| **Industrials - 49.8%**  |  |  |  |  |  |  |
| **Commercial Services & Supplies - 2.8%**  |  |  |  |  |  |  |
| Pitney Bowes Inc  |  |  |  | (785700) | (8194851) | 243567 |
| Tetra Tech Inc  |  |  |  | (299300) | (11271638) | (146657) |
|  |  |  |  |  | (19466489) | 96910 |
| **Construction & Engineering - (22.3)%**  |  |  |  |  |  |  |
| Fluor Corp (2)  |  |  |  | (281571) | (13005764) | (774320) |
| **Ground Transportation - 66.9%**  |  |  |  |  |  |  |
| Uber Technologies Inc (2)  |  |  |  | (228600) | (18299430) | 989838 |
| Lyft Inc Class A (2)  |  |  |  | (660000) | (11134200) | 1326600 |
|  |  |  |  |  | (29433630) | 2316438 |
| **Machinery - 2.4%**  |  |  |  |  |  |  |
| JBT Marel Corp  |  |  |  | (57200) | (8998132) | 82444 |
| TOTAL INDUSTRIALS |  |  |  |  | (70904015) | 1721472 |
| **Consumer Discretionary - 26.0%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 48.9%**  |  |  |  |  |  |  |
| Cheesecake Factory Inc/The  |  |  |  | (50700) | (2938572) | 141453 |
| Cracker Barrel Old Country Store Inc  |  |  |  | (146600) | (4415592) | 964628 |
| DoorDash Inc Class A (2)  |  |  |  | (24000) | (4910880) | 131760 |
| DraftKings Inc Class A (2)  |  |  |  | (57500) | (1581825) | 457125 |
|  |  |  |  |  | (13846869) | 1694966 |
| **Broadline Retail - 0.9%**  |  |  |  |  |  |  |
| Etsy Inc (2)  |  |  |  | (3000) | (158880) | 32010 |
| **Specialty Retail - (22.1)%**  |  |  |  |  |  |  |
| GameStop Corp Class A (2)  |  |  |  | (546700) | (13055196) | (1377684) |
| Burlington Stores Inc (2)  |  |  |  | (82000) | (24260520) | 611054 |
|  |  |  |  |  | (37315716) | (766630) |
| **Automobiles - (1.7)%**  |  |  |  |  |  |  |
| Ford Motor Co  |  |  |  | (1134000) | (15739920) | (58554) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (67061385) | 901792 |
| **Information Technology - (1150.2)%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - 29.6%**  |  |  |  |  |  |  |
| Microchip Technology Inc  |  |  |  | (27300) | (2072616) | 29999 |
| ON Semiconductor Corp (2)  |  |  |  | (407500) | (24405175) | 841335 |
| Penguin Solutions Inc (2)  |  |  |  | (212100) | (4074441) | 169680 |
| MACOM Technology Solutions Holdings Inc (2)  |  |  |  | (130744) | (28640781) | (16997) |
|  |  |  |  |  | (59193013) | 1024017 |
| **Electronic Equipment, Instruments & Components - 1.3%**  |  |  |  |  |  |  |
| Itron Inc (2)  |  |  |  | (24200) | (2397736) | 44286 |
| **Software - 30.5%**  |  |  |  |  |  |  |
| BlackLine Inc (2)  |  |  |  | (84700) | (3936009) | 504812 |
| Vertex Inc Class A (2)  |  |  |  | (70000) | (1298500) | 32200 |
| Box Inc Class A (2)  |  |  |  | (124600) | (3158610) | 152012 |
| Progress Software Corp (2)  |  |  |  | (4000) | (163680) | 0 |
| CyberArk Software Ltd (2)  |  |  |  | (16100) | (6936363) | 367402 |
|  |  |  |  |  | (15493162) | 1056426 |
| **Communications Equipment - (242.4)%**  |  |  |  |  |  |  |
| Lumentum Holdings Inc (2)  |  |  |  | (175000) | (68572000) | (8401631) |
| **Technology Hardware, Storage & Peripherals - (1068.3)%**  |  |  |  |  |  |  |
| Western Digital Corp  |  |  |  | (805800) | (201635334) | (19032594) |
| Seagate Technology Holdings PLC  |  |  |  | (206000) | (83984140) | (17998220) |
|  |  |  |  |  | (285619474) | (37030814) |
| **IT Services - 99.1%**  |  |  |  |  |  |  |
| Akamai Technologies Inc (2)  |  |  |  | (311400) | (30252510) | (424197) |
| Okta Inc Class A (2)  |  |  |  | (3000) | (253440) | 22380 |
| Snowflake Inc (2)  |  |  |  | (255100) | (49157770) | 3836704 |
|  |  |  |  |  | (79663720) | 3434887 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (510939105) | (39872829) |
| TOTAL UNITED STATES |  |  |  |  | (983015780) | (21396409) |
| NETHERLANDS -22.9%  |  |  |  |  |  |  |
| **Information Technology - 22.9%**  |  |  |  |  |  |  |
| **Software - 22.9%**  |  |  |  |  |  |  |
| Nebius Group NV Class A (2)  |  |  |  | (42400) | (3612056) | 792668 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (3612056) | 792668 |
| TOTAL NETHERLANDS |  |  |  |  | (3612056) | 792668 |
| INDIA -16.9%  |  |  |  |  |  |  |
| **Consumer Discretionary - 16.9%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 16.9%**  |  |  |  |  |  |  |
| MakeMyTrip Ltd (2)  |  |  |  | (49000) | (3056620) | 585060 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (3056620) | 585060 |
| TOTAL INDIA |  |  |  |  | (3056620) | 585060 |
| DENMARK -(13.7)%  |  |  |  |  |  |  |
| **Health Care - (13.7)%**  |  |  |  |  |  |  |
| **Biotechnology - (13.7)%**  |  |  |  |  |  |  |
| Ascendis Pharma A/S ADR (2)  |  |  |  | (43100) | (9744910) | (474775) |
| TOTAL HEALTH CARE |  |  |  |  | (9744910) | (474775) |
| TOTAL DENMARK |  |  |  |  | (9744910) | (474775) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(999429366)** | <br> **(20493456)** |
| **TOTAL SHORT** |  |  |  |  | **(999429366)** | **(20493456)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **445308471** | **4362803** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index of 3.63% plus or minus a specified spread ranging from (0.5)% to 0.82% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | BNP Paribas SA | 3/2026 - 4/2031 | 1656646172 | 4327617 | 756013 | 5083630 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Convertible Corporate Bonds** |  |  |  |  |  |  |
| CANADA -23.2%  |  |  |  |  |  |  |
| **Materials - 23.2%**  |  |  |  |  |  |  |
| **Metals & Mining - 23.2%**  |  |  |  |  |  |  |
| B2Gold Corp 2.75% 2/1/2030 (1)  |  |  |  | 16000000 | 27514054 | 1178022 |
| TOTAL MATERIALS |  |  |  |  | 27514054 | 1178022 |
| TOTAL CANADA |  |  |  |  | 27514054 | 1178022 |
| UNITED STATES -39.2%  |  |  |  |  |  |  |
| **Communication Services - (2.9)%**  |  |  |  |  |  |  |
| **Entertainment - (2.9)%**  |  |  |  |  |  |  |
| Sphere Entertainment Co 3.5% 12/1/2028  |  |  |  | 8000000 | 22095444 | (147602) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | 22095444 | (147602) |
| **Utilities - 13.3%**  |  |  |  |  |  |  |
| **Electric Utilities - 13.3%**  |  |  |  |  |  |  |
| NextEra Energy Capital Holdings Inc 3% 3/1/2027  |  |  |  | 10000000 | 13410833 | 678600 |
| TOTAL UTILITIES |  |  |  |  | 13410833 | 678600 |
| **Health Care - 12.5%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - (15.6)%**  |  |  |  |  |  |  |
| TransMedics Group Inc 1.5% 6/1/2028  |  |  |  | 7500000 | 11991272 | (688821) |
| Merit Medical Systems Inc 3% 2/1/2029 (1)  |  |  |  | 12732000 | 14712887 | (107631) |
|  |  |  |  |  | 26704159 | (796452) |
| **Biotechnology - 39.7%**  |  |  |  |  |  |  |
| Alnylam Pharmaceuticals Inc 1% 9/15/2027  |  |  |  | 15818000 | 20679546 | (1066114) |
| Mirum Pharmaceuticals Inc 4% 5/1/2029  |  |  |  | 9800000 | 32475839 | 3084949 |
|  |  |  |  |  | 53155385 | 2018835 |
| **Life Sciences Tools & Services - (7.7)%**  |  |  |  |  |  |  |
| Repligen Corp 1% 12/15/2028  |  |  |  | 11500000 | 12197663 | (390873) |
| **Pharmaceuticals - (3.9)%**  |  |  |  |  |  |  |
| Ligand Pharmaceuticals Inc 0.75% 10/1/2030 (1)  |  |  |  | 11140000 | 13325163 | (197337) |
| TOTAL HEALTH CARE |  |  |  |  | 105382370 | 634173 |
| **Energy - (0.2)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (0.2)%**  |  |  |  |  |  |  |
| World Kinect Corp 3.25% 7/1/2028  |  |  |  | 25000000 | 28362465 | (574508) |
| Northern Oil & Gas Inc 3.625% 4/15/2029 (1)  |  |  |  | 15000000 | 15336363 | 564408 |
|  |  |  |  |  | 43698828 | (10100) |
| TOTAL ENERGY |  |  |  |  | 43698828 | (10100) |
| **Consumer Staples - 5.7%**  |  |  |  |  |  |  |
| **Food Products - 5.7%**  |  |  |  |  |  |  |
| Freshpet Inc 3% 4/1/2028  |  |  |  | 6000000 | 7482500 | 290624 |
| TOTAL CONSUMER STAPLES |  |  |  |  | 7482500 | 290624 |
| **Real Estate - (7.4)%**  |  |  |  |  |  |  |
| **Real Estate Management & Development - (7.4)%**  |  |  |  |  |  |  |
| Compass Inc 0.25% 4/15/2031 (1)  |  |  |  | 18832000 | 20271005 | (374369) |
| TOTAL REAL ESTATE |  |  |  |  | 20271005 | (374369) |
| **Financials - (45.2)%**  |  |  |  |  |  |  |
| **Capital Markets - (44.8)%**  |  |  |  |  |  |  |
| Galaxy Digital Holdings LP 3% 12/15/2026 (1)  |  |  |  | 20000000 | 23098333 | (1367781) |
| Galaxy Digital Holdings LP 2.5% 12/1/2029 (1)  |  |  |  | 10250000 | 15364300 | (911947) |
|  |  |  |  |  | 38462633 | (2279728) |
| **Consumer Finance - (0.4)%**  |  |  |  |  |  |  |
| EZCORP Inc 3.75% 12/15/2029 (1)  |  |  |  | 22994000 | 46606443 | (19032) |
| TOTAL FINANCIALS |  |  |  |  | 85069076 | (2298760) |
| **Industrials - 4.0%**  |  |  |  |  |  |  |
| **Construction & Engineering - (3.2)%**  |  |  |  |  |  |  |
| Granite Construction Inc 3.25% 6/15/2030  |  |  |  | 44930000 | 74954160 | 8044 |
| Granite Construction Inc 3.75% 5/15/2028  |  |  |  | 17140000 | 45575617 | (170407) |
|  |  |  |  |  | 120529777 | (162363) |
| **Ground Transportation - (2.2)%**  |  |  |  |  |  |  |
| Uber Technologies Inc 0.875% 12/1/2028  |  |  |  | 2500000 | 3206283 | (113325) |
| **Machinery - 9.4%**  |  |  |  |  |  |  |
| Greenbrier Cos Inc/The 2.875% 4/15/2028  |  |  |  | 23250000 | 26431649 | 477752 |
| TOTAL INDUSTRIALS |  |  |  |  | 150167709 | 202064 |
| **Consumer Discretionary - 21.4%**  |  |  |  |  |  |  |
| **Diversified Consumer Services - 21.4%**  |  |  |  |  |  |  |
| Stride Inc 1.125% 9/1/2027  |  |  |  | 5000000 | 8408594 | 1085504 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 8408594 | 1085504 |
| **Information Technology - 38.0%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - 14.8%**  |  |  |  |  |  |  |
| MKS Inc 1.25% 6/1/2030  |  |  |  | 10000000 | 16840609 | 753153 |
| **Electronic Equipment, Instruments & Components - (52.9)%**  |  |  |  |  |  |  |
| Advanced Energy Industries Inc 2.5% 9/15/2028  |  |  |  | 21524000 | 42036671 | (207487) |
| OSI Systems Inc 2.25% 8/1/2029  |  |  |  | 13400000 | 19698838 | (2482211) |
|  |  |  |  |  | 61735509 | (2689698) |
| **Software - 26.0%**  |  |  |  |  |  |  |
| Box Inc 1.5% 9/15/2029  |  |  |  | 4500000 | 4271437 | (13842) |
| BlackLine Inc 1% 6/1/2029  |  |  |  | 3750000 | 3729354 | (175369) |
| InterDigital Inc 3.5% 6/1/2027  |  |  |  | 13472000 | 56999096 | 2786730 |
| Tyler Technologies Inc 0.25% 3/15/2026  |  |  |  | 11617000 | 11558350 | (71418) |
| Uber Technologies Inc 0% 5/15/2028 (1)  |  |  |  | 10000000 | 9950000 | (279052) |
| Nutanix Inc 0.25% 10/1/2027  |  |  |  | 13250000 | 13645384 | (923394) |
|  |  |  |  |  | 100153621 | 1323655 |
| **Technology Hardware, Storage & Peripherals - 41.9%**  |  |  |  |  |  |  |
| Western Digital Corp 3% 11/15/2028  |  |  |  | 2900000 | 19283033 | 2129347 |
| **IT Services - 8.2%**  |  |  |  |  |  |  |
| Akamai Technologies Inc 0.375% 9/1/2027  |  |  |  | 12500000 | 13280977 | 415338 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 211293749 | 1931795 |
| TOTAL UNITED STATES |  |  |  |  | 667280108 | 1991929 |
| ISRAEL -(9.6)%  |  |  |  |  |  |  |
| **Information Technology - (9.6)%**  |  |  |  |  |  |  |
| **Software - (9.6)%**  |  |  |  |  |  |  |
| Check Point Software Technologies Ltd 0% 12/15/2030 (1)  |  |  |  | 34000000 | 33659505 | (487371) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 33659505 | (487371) |
| TOTAL ISRAEL |  |  |  |  | 33659505 | (487371) |
| <br> **TOTAL CONVERTIBLE CORPORATE BONDS** |  |  |  |  | **728453667** | <br> **2682580** |
| **TOTAL LONG** |  |  |  |  | **728453667** | **2682580** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
| **Domestic Equity Funds** |  |  |  |  |  |  |
|  iShares Core S&P 500 ETF |  |  |  | (20700) | (14387121) | 6003 |
|  Financial Select Sector SPDR ETF |  |  |  | (438300) | (23422752) | 407619 |
| <br> **TOTAL DOMESTIC EQUITY FUNDS** |  |  |  |  | **(37809873)** | **413622** |
|  **Common Stocks** |  |  |  |  |  |  |
| CANADA -(39.6)%  |  |  |  |  |  |  |
| **Energy - (16.7)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (16.7)%**  |  |  |  |  |  |  |
| Denison Mines Corp (2)  |  |  |  | (2314800) | (9166608) | (850624) |
| TOTAL ENERGY |  |  |  |  | (9166608) | (850624) |
| **Materials - (22.9)%**  |  |  |  |  |  |  |
| **Metals & Mining - (22.9)%**  |  |  |  |  |  |  |
| B2Gold Corp  |  |  |  | (4315200) | (21144480) | (1165104) |
| TOTAL MATERIALS |  |  |  |  | (21144480) | (1165104) |
| TOTAL CANADA |  |  |  |  | (30311088) | (2015728) |
| UNITED STATES -51.5%  |  |  |  |  |  |  |
| **Communication Services - 3.8%**  |  |  |  |  |  |  |
| **Entertainment - 3.8%**  |  |  |  |  |  |  |
| Sphere Entertainment Co Class A (2)  |  |  |  | (210000) | (20057100) | 195300 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (20057100) | 195300 |
| **Utilities - (13.2)%**  |  |  |  |  |  |  |
| **Electric Utilities - (13.2)%**  |  |  |  |  |  |  |
| NextEra Energy Inc  |  |  |  | (117400) | (10319460) | (670354) |
| TOTAL UTILITIES |  |  |  |  | (10319460) | (670354) |
| **Health Care - (9.5)%**  |  |  |  |  |  |  |
| **Biotechnology - (36.3)%**  |  |  |  |  |  |  |
| AbbVie Inc  |  |  |  | (32000) | (7136320) | (200320) |
| Mirum Pharmaceuticals Inc (2)  |  |  |  | (284700) | (29386734) | (3103230) |
| Cytokinetics Inc (2)  |  |  |  | (43000) | (2717170) | 10535 |
| Alnylam Pharmaceuticals Inc (2)  |  |  |  | (68000) | (22988080) | 1441600 |
|  |  |  |  |  | (62228304) | (1851415) |
| **Health Care Technology - 5.5%**  |  |  |  |  |  |  |
| Evolent Health Inc Class A (2)  |  |  |  | (383100) | (1229751) | 279663 |
| **Health Care Equipment & Supplies - 11.0%**  |  |  |  |  |  |  |
| Merit Medical Systems Inc (2)  |  |  |  | (94900) | (7695441) | (59003) |
| TransMedics Group Inc (2)  |  |  |  | (64000) | (8574400) | 621760 |
|  |  |  |  |  | (16269841) | 562757 |
| **Life Sciences Tools & Services - 6.8%**  |  |  |  |  |  |  |
| Repligen Corp (2)  |  |  |  | (28000) | (4182360) | 344960 |
| **Pharmaceuticals - 3.5%**  |  |  |  |  |  |  |
| Ligand Pharmaceuticals Inc (2)  |  |  |  | (44700) | (8586870) | 177906 |
| TOTAL HEALTH CARE |  |  |  |  | (92497126) | (486129) |
| **Consumer Staples - (65.6)%**  |  |  |  |  |  |  |
| **Tobacco - (60.2)%**  |  |  |  |  |  |  |
| Philip Morris International Inc  |  |  |  | (445000) | (79850800) | (3061600) |
| **Consumer Staples Distribution & Retail - 1.9%**  |  |  |  |  |  |  |
| Costco Wholesale Corp  |  |  |  | (6000) | (5641500) | 99000 |
| **Food Products - (7.3)%**  |  |  |  |  |  |  |
| Freshpet Inc (2)  |  |  |  | (58000) | (4042600) | (373520) |
| TOTAL CONSUMER STAPLES |  |  |  |  | (89534900) | (3336120) |
| **Energy - (0.7)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (0.7)%**  |  |  |  |  |  |  |
| Northern Oil & Gas Inc  |  |  |  | (253900) | (6347500) | (619516) |
| World Kinect Corp  |  |  |  | (510000) | (13724100) | 586500 |
|  |  |  |  |  | (20071600) | (33016) |
| TOTAL ENERGY |  |  |  |  | (20071600) | (33016) |
| **Real Estate - 6.8%**  |  |  |  |  |  |  |
| **Real Estate Management & Development - 6.8%**  |  |  |  |  |  |  |
| Compass Inc Class A (2)  |  |  |  | (1373800) | (17199976) | 347896 |
| TOTAL REAL ESTATE |  |  |  |  | (17199976) | 347896 |
| **Financials - 128.5%**  |  |  |  |  |  |  |
| **Capital Markets - 83.3%**  |  |  |  |  |  |  |
| Morgan Stanley  |  |  |  | (41700) | (7622760) | 351531 |
| Coinbase Global Inc Class A (2)  |  |  |  | (18100) | (3524794) | 806174 |
| Galaxy Digital Inc Class A  |  |  |  | (824100) | (23289066) | 3073893 |
|  |  |  |  |  | (34436620) | 4231598 |
| **Financial Services - 15.2%**  |  |  |  |  |  |  |
| Mastercard Inc Class A  |  |  |  | (157600) | (84913304) | 608336 |
| Euronet Worldwide Inc (2)  |  |  |  | (87900) | (6369234) | 163476 |
|  |  |  |  |  | (91282538) | 771812 |
| **Banks - 11.2%**  |  |  |  |  |  |  |
| Citigroup Inc  |  |  |  | (325000) | (37605750) | 568750 |
| **Consumer Finance - 18.8%**  |  |  |  |  |  |  |
| Upstart Holdings Inc (2)  |  |  |  | (91000) | (3571750) | 788060 |
| EZCORP Inc Class A (2)  |  |  |  | (1862300) | (39946335) | 167607 |
|  |  |  |  |  | (43518085) | 955667 |
| TOTAL FINANCIALS |  |  |  |  | (206842993) | 6527827 |
| **Industrials - 34.7%**  |  |  |  |  |  |  |
| **Electrical Equipment - 31.7%**  |  |  |  |  |  |  |
| Enovix Corp Class B (2)  |  |  |  | (1341200) | (8878744) | 1609440 |
| **Construction & Engineering - 4.0%**  |  |  |  |  |  |  |
| Granite Construction Inc  |  |  |  | (846800) | (102242632) | 203232 |
| **Ground Transportation - 3.5%**  |  |  |  |  |  |  |
| Uber Technologies Inc (2)  |  |  |  | (40800) | (3266040) | 176664 |
| **Machinery - (4.5)%**  |  |  |  |  |  |  |
| Greenbrier Cos Inc/The  |  |  |  | (186300) | (9393246) | (231012) |
| TOTAL INDUSTRIALS |  |  |  |  | (123780662) | 1758324 |
| **Consumer Discretionary - (18.1)%**  |  |  |  |  |  |  |
| **Automobile Components - 2.8%**  |  |  |  |  |  |  |
| LCI Industries  |  |  |  | (137200) | (20125868) | 144060 |
| **Hotels, Restaurants & Leisure - 3.5%**  |  |  |  |  |  |  |
| Cheesecake Factory Inc/The  |  |  |  | (62900) | (3645684) | 175491 |
| **Diversified Consumer Services - (24.4)%**  |  |  |  |  |  |  |
| Stride Inc (2)  |  |  |  | (83900) | (7097940) | (1242559) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (30869492) | (923008) |
| **Information Technology - (15.2)%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - (2.3)%**  |  |  |  |  |  |  |
| MKS Inc  |  |  |  | (53800) | (12665058) | (670348) |
| NVIDIA Corp  |  |  |  | (80000) | (15290400) | (326400) |
| Broadcom Inc  |  |  |  | (75000) | (24847500) | 879000 |
|  |  |  |  |  | (52802958) | (117748) |
| **Electronic Equipment, Instruments & Components - 53.9%**  |  |  |  |  |  |  |
| Advanced Energy Industries Inc  |  |  |  | (171000) | (43666560) | 389216 |
| OSI Systems Inc (2)  |  |  |  | (57800) | (14458092) | 2350148 |
|  |  |  |  |  | (58124652) | 2739364 |
| **Software - 9.3%**  |  |  |  |  |  |  |
| InterDigital Inc  |  |  |  | (174300) | (56898492) | (2790543) |
| Microsoft Corp  |  |  |  | (24000) | (10326960) | 632880 |
| Oracle Corp  |  |  |  | (25900) | (4262622) | 654493 |
| BlackLine Inc (2)  |  |  |  | (66000) | (3067020) | 393360 |
| Nutanix Inc Class A (2)  |  |  |  | (110200) | (4334166) | 1029268 |
| Box Inc Class A (2)  |  |  |  | (104100) | (2638935) | 127002 |
| Aurora Innovation Inc Class A (2)  |  |  |  | (1164700) | (4891740) | 430939 |
|  |  |  |  |  | (86419935) | 477399 |
| **Technology Hardware, Storage & Peripherals - (64.0)%**  |  |  |  |  |  |  |
| Western Digital Corp  |  |  |  | (93900) | (23496597) | (2641407) |
| Seagate Technology Holdings PLC  |  |  |  | (7000) | (2853830) | (611590) |
|  |  |  |  |  | (26350427) | (3252997) |
| **IT Services - (12.1)%**  |  |  |  |  |  |  |
| Akamai Technologies Inc (2)  |  |  |  | (48400) | (4702060) | (316642) |
| DigitalOcean Holdings Inc (2)  |  |  |  | (142600) | (7878650) | (297762) |
|  |  |  |  |  | (12580710) | (614404) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (236278682) | (768386) |
| TOTAL UNITED STATES |  |  |  |  | (847451991) | 2612334 |
| ISRAEL -12.5%  |  |  |  |  |  |  |
| **Information Technology - 12.5%**  |  |  |  |  |  |  |
| **Software - 12.5%**  |  |  |  |  |  |  |
| Check Point Software Technologies Ltd (2)  |  |  |  | (70300) | (12619553) | 634809 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (12619553) | 634809 |
| TOTAL ISRAEL |  |  |  |  | (12619553) | 634809 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(890382632)** | <br> **1231415** |
| **TOTAL SHORT** |  |  |  |  | **(928192505)** | **1645037** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(199738838)** | **4327617** |

---

(1) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $183,029,049 or 18.1% of net assets.

(2) Non-income producing.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Pay/<br> Receive<br> Reference | Reference<br> Payment<br> Frequency | Financing<br> Rate | Financing<br> Frequency | Counterparty | Maturity<br> Date | Units | Notional<br> Amount | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| Voyager Technologies Inc Class A | Pay | Monthly | U.S. Overnight Bank Funding Rate | Monthly | JPMorgan Chase Bank NA | 5/2026 | 28700 | 845502 | (29084) | 0 | (29084) |
| **TOTAL RETURN SWAPS** |  |  |  |  |  |  |  |  | **(29084)** | **0** | **(29084)** |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

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

(b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $183,029,049 or 18.1% of net assets.

(c) Zero coupon bond which is issued at a discount.

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

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

(f) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $245,657,668.

(g) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $1,565,127.

(h) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 1939811 | 867508282 | 815136260 | 1516366 | 119 | - | 54311952 | 54301092 | 0.1% |
| Total | 1939811 | 867508282 | 815136260 | 1516366 | 119 | - | 54311952 |  |  |

---

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, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Consumer Staples | 85492300 | 85492300 | - | - |
| Financials | 130141814 | 130141814 | - | - |
| Health Care | 7136320 | 7136320 | - | - |
| Industrials | 876211 | 876211 | - | - |
| Information Technology | 54727482 | 54727482 | - | - |
|  **Convertible Corporate Bonds** |  |  |  |  |
| Communication Services | 35292383 | - | 35292383 | - |
| Consumer Discretionary | 82007083 | - | 82007083 | - |
| Energy | 15237874 | - | 15237874 | - |
| Financials | 44847582 | - | 44847582 | - |
| Health Care | 20594116 | - | 20594116 | - |
| Industrials | 39398219 | - | 39398219 | - |
| Information Technology | 92687691 | - | 92687691 | - |
| Real Estate | 12912883 | - | 12912883 | - |
| Utilities | 11855008 | - | 11855008 | - |
|  **Domestic Equity Funds** | 37809873 | 37809873 | - | - |
|  **U.S. Treasury Obligations** | 285554318 | - | 285554318 | - |
|  **Money Market Funds** | 54311952 | 54311952 | - | - |
| **Total Investments in Securities:** | 1010883109 | 370495952 | 640387157 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 521507 | 521507 | - | - |
| Swaps | 8550064 | - | 8550064 | - |
| Total Assets | 9071571 | 521507 | 8550064 | - |
|  **Liabilities** |  |  |  |  |
| Swaps | (29084) | - | (29084) | - |
| Total Liabilities | (29084) | - | (29084) | - |
| **Total Derivative Instruments:** | 9042487 | 521507 | 8520980 | - |

---

**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, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Swaps (a)  | 8550064 | (29084) |
| **Total Equity Risk**  | 8550064 | (29084) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (b)  | 521507 | - |
| **Total Interest Rate Risk**  | 521507 | - |
| **Total Value of Derivatives** | 9071571 | (29084) |

---

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

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

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of January 31, 2026** | **As of January 31, 2026** | **As of January 31, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $907,116,778) | $956571157 |  |
| Fidelity Central Funds (cost $54,311,952) | 54311952 |  |
| Total Investment in Securities (cost $961,428,730) |  | $1010883109 |
| Receivable for investments sold |  | 14734102 |
| Dividends receivable |  | 241971 |
| Interest receivable |  | 1495947 |
| Distributions receivable from Fidelity Central Funds |  | 197440 |
| Bi-lateral OTC swaps, at value |  | 8550064 |
| Prepaid expenses |  | 53939 |
| Receivable from investment adviser for expense reductions |  | 32730 |
| **Total assets** |  | 1036189302 |
| **Liabilities** |  |  |
| Payable to custodian bank | $3358 |  |
| Payable for investments purchased  | 22391875 |  |
| Bi-lateral OTC swaps, at value | 29084 |  |
| Accrued management fee | 1133840 |  |
| Payable for daily variation margin on futures contracts | 38656 |  |
| Other payables and accrued expenses | 182519 |  |
| **Total liabilities** |  | 23779332 |
| **Net Assets**  |  | $1012409970 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $996065751 |
| Total accumulated earnings (loss) |  | 16344219 |
| **Net Assets** |  | $1012409970 |
| **Net Asset Value**, offering price and redemption price per share ($1,012,409,970 ÷ 92,345,754 shares) |  | $10.96 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** |
| **Investment Income** |  |  |
| Dividends  |  | $2338677 |
| Interest  |  | 16031719 |
| Income from Fidelity Central Funds  |  | 1516366 |
| **Total income** |  | 19886762 |
| **Expenses** |  |  |
| Management fee | $9341519 |  |
| Custodian fees and expenses | 20288 |  |
| Independent trustees' fees and expenses | 230672 |  |
| Registration fees | 104584 |  |
| Audit fees | 132715 |  |
| Legal | 50469 |  |
| Interest | 9846 |  |
| Miscellaneous | 43887 |  |
| Total expenses before reductions | 9933980 |  |
| Expense reductions | (233682) |  |
| Total expenses after reductions |  | 9700298 |
| **Net Investment income (loss)** |  | 10186464 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 72030071 |  |
| Fidelity Central Funds | 119 |  |
| Foreign currency transactions | (19761) |  |
| Futures contracts | (889586) |  |
| Swaps | (34335883) |  |
| Written options | 160878 |  |
| Total net realized gain (loss) |  | 36945838 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 31678021 |  |
| Futures contracts | 435113 |  |
| Swaps | 5493927 |  |
| Total change in net unrealized appreciation (depreciation) |  | 37607061 |
| **Net gain (loss)** |  | 74552899 |
| **Net increase (decrease) in net assets resulting from operations** |  | $84739363 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **January 31, 2026** | **Year ended**<br> **January 31, 2025** |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $10186464 | $5920678 |
| &nbsp;&nbsp;Net realized gain (loss) | 36945838<br>| 149298<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 37607061 | 19136773<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 84739363<br>| 25206749<br>|
| Distributions to shareholders | (75766031)<br>| (19659575)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 500031917 | 250000000 |
| Reinvestment of distributions | 75766031<br>| 19659575<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (33) | - |
| **Net increase (decrease) in net assets resulting from share transactions** | 575797915<br>| 269659575<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 584771247<br>| 275206749<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 427638723 | 152431974<br>|
| &nbsp;&nbsp;End of period | $1012409970 | $427638723 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 44980985 | 23401233 |
| Issued in reinvestment of distributions | 7056448<br>| 1876440<br>|
| &nbsp;&nbsp;Redeemed | (3) | - |
| &nbsp;&nbsp;Net increase (decrease) | 52037430 | 25277673 |

---

**Financial Highlights** 

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

---

| | | | |
|:---|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025**  | **2024** A  |
| **Selected Per-Share Data**  |  |  |  |
| Net asset value, beginning of period  | $10.61 | $10.14 | $10.00 |
| Income from Investment Operations  |  |  |  |
| Net investment income (loss) B,C | .17  | .25  | .13  |
| Net realized and unrealized gain (loss)  | 1.20  | .84  | .05  |
| Total from investment operations  | 1.37  | 1.09  | .18  |
| Distributions from net investment income  | (1.02)  | (.62)  | (.04)  |
| Distributions from net realized gain  | -  | -  | (.01)  |
| Total distributions  | (1.02)  | (.62)  | (.04) D |
| Net asset value, end of period  | $10.96 | $10.61 | $10.14 |
| **Total Return** E,F | 13.25% <br>| 10.92%  | 1.81%  |
| **Ratios to Average Net Assets** C,G,H |  |  |  |
| Expenses before reductions  | 1.48%  | 1.54%  | 1.61% I,J |
| Expenses net of fee waivers, if any  | 1.45% <br>| 1.45%  | 1.45% I |
| Expenses net of all reductions, if any  | 1.45%  | 1.45%  | 1.45% I |
| Net investment income (loss)  | 1.52%  | 2.38%  | 3.39% I |
| **Supplemental Data** |  |  |  |
| Net assets, end of period (000 omitted) | $1012410 | $427639 | $152432 |
| Portfolio turnover rate K | 363% <br>| 345%  | 71% L |

---

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

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

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

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

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

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

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

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

I*Annualized.*

J*Audit fees are not annualized.*

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

L*Amount not annualized.*

**Notes to Financial Statements**

For the period ended January 31, 2026

**1. Organization.**

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

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

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

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

---

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

---

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

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

**3. Significant Accounting Policies.**

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

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

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

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

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

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

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

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

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

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

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2026 is included at the end of the Fund's Schedule of Investments.

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

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

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

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

**Expenses.** Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying 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, 2026, 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

Capital accounts within the 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, foreign currency transactions, contingent interest, certain conversion ratio adjustments, and certain mark to market elections.

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

---

| | |
|:---|:---|
| **Gross unrealized appreciation**  | $- |
| **Gross unrealized depreciation**  | <u>-</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$-</u> |
| **Tax Cost**  | <u>$1010883109</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$16344219</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$-</u> |

---

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
|  | **January 31, 2026** | **January 31, 2025** |
| **Ordinary Income**  | $75766031 | $19659575 |

---

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

**4. Derivative Instruments.**

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

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

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

---

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

---

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

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

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

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity SAI Convertible Arbitrage Fund** |  |  |
| **Equity Risk** |  |  |
| Written Options | 160878 | - |
| Swaps | <u>(34335883)</u> | <u>5493927</u> |
| **Total Equity Risk** | <u>(34175005)</u> | <u>5493927</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | <u>(889586)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>435113</u> |
| **Total Interest Rate Risk** | <u>(889586)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>435113</u> |
| Totals | <u>(35064591)</u> | <u>5929040</u> |

---

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

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

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

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

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Convertible Arbitrage Fund** | 148569384 |

---

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

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

Exchange-traded written covered call options were used to manage exposure to the market. When a fund writes a covered call option, a fund holds the underlying instrument which must be delivered to the holder upon the exercise of the option.

Upon entering into a written options contract, a fund will receive a premium. Premiums received are reflected as a liability on the Statement of Assets and Liabilities. Options are valued daily and any unrealized appreciation (depreciation) is reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When a written option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining the gain or loss realized on that investment. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction are greater or less than the premium received. When an option expires, gains and losses are realized to the extent of premiums received. The net realized gain (loss) on closed and expired written options and the change in net unrealized appreciation (depreciation) on written options are presented in the Statement of Operations.

Writing call options tends to decrease exposure to the underlying instrument and risk of loss is the change in value in excess of the premium received.

Any open options at period end are presented in the Schedule of Investments under the caption "Written Options".

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

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

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

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

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Convertible Arbitrage Fund** | 2317060633 |

---

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

The Fund enters into total return basket swap contracts to obtain exposure to a portfolio of long and/or short positions in order to create and adjust the fund's investment exposure, to enhance total return, to hedge risks, to manage certain investment risk, and to manage volatility. The Fund has the ability to trade in and out of the long and short positions within the swap and receives the economic benefits and risks equivalent to direct investments in these positions.

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

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity SAI Convertible Arbitrage Fund** | 1633553894 | 1404106329 |

---

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

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of 1.40% of the Fund's average net assets.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Borrower or Lender** | **Average Loan Balance ($)** | **Weighted Average Interest Rate** | **Interest Expense ($)**  |
| **Fidelity SAI Convertible Arbitrage Fund**  | Borrower | 15581000 | 4.55% | 9846 |

---

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Fidelity SAI Convertible Arbitrage Fund** | - | 863590 | 44590 |

---

**Other.** During the period, the investment adviser reimbursed the Fund for certain losses as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity SAI Convertible Arbitrage Fund** | 19761 |

---

**7. Committed Line of Credit.**

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

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.

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

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

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity SAI Convertible Arbitrage Fund** | 454 |

---

**8. Expense Reductions.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded 1.45% of average net assets. This reimbursement will remain in place through May 31, 2027. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $233,682.

**9. Other.**

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

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

---

| | | |
|:---|:---|:---|
|  | **Strategic Advisers Alternatives Fund** | **Strategic Advisers Fidelity Alternatives Fund** |
| **Fidelity SAI Convertible Arbitrage Fund** | 48% | 52% |

---

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

---

| | |
|:---|:---|
| **Fund**  | **% of shares held** |
| **Fidelity SAI Convertible Arbitrage Fund** | 100% |

---

**10. Risk and Uncertainties.**

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

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Greenwood Street Trust and the Shareholders of Fidelity SAI Convertible Arbitrage Fund:

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

We have audited the accompanying statement of assets and liabilities of Fidelity SAI Convertible Arbitrage Fund (the "Fund"), a fund of Fidelity Greenwood Street Trust, including the schedule of investments, as of January 31, 2026, the related statement of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the two years in the period then ended and for the period from September 12, 2023 (commencement of operations) through January 31, 2024, and the related notes (collectively referred to as the "financial statements and financial highlights"). 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, 2026, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the two years in the period then ended and for the period from September 12, 2023 (commencement of operations) through January 31, 2024, 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 audits. 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 audits 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 audits, 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 audits 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 audits 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, 2026, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

March 18, 2026

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

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

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

A total of 9.43% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $72,659,369 of distributions paid during the fiscal year ended 2026 as qualifying to be taxed as section 163(j) interest dividends.

The fund will notify shareholders in January 2027 of amounts for use in preparing 2026 income tax returns.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

**Fidelity SAI Convertible Arbitrage Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements (together, the Advisory Contracts) for the fund. FDS and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts.

At its November 2025 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio; (iii) the total costs of the services provided by and the profits realized by FDS and its affiliates (Fidelity) from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor and the factors may have been weighed differently by individual Trustees.

**Nature, Extent, and Quality of Services Provided.** The Board considered staffing as it relates to the fund, including the backgrounds and experience of investment personnel of the Investment Advisers, and also considered the Investment Advisers' implementation of the fund's investment program.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' staff, such as size, education, experience, and resources, as well as the Investment Advisers' approach to training and managing investment personnel. The Board noted 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 the Investment Advisers' investment professionals have sufficient access to 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, and to transmit new information and research conclusions rapidly. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, 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 and pricing and bookkeeping 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 also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending under a separate agreement.

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 Board took into account discussions that occur with representatives of the Investment Advisers, and reports that it receives, at Board meetings throughout the year, relating to fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considered annualized return information for the fund for different time periods, measured against an appropriate index (benchmark index). The Board also considered information about performance attribution. In its ongoing evaluation of fund investment performance, the Board gives particular attention to information indicating changes in performance of the funds over different time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.

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 its review of the fund's management fee and the total expense ratio, the Board considered the fund's management fee rate as well as other fund expenses. The Board noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to funds and classes within the total peer group; and (ii) total expense comparisons of the fund relative to the total peer group.

The information provided to the Board indicated that the fund's management fee rate ranked above the competitive median of the total peer group for the 12-month period ended March 31, 2025. Further, the information provided to the Board indicated that the total expense ratio of the fund ranked above the competitive median of the total peer group for the 12-month period ended March 31, 2025. The Board noted that there are limited mutual fund competitors with a comparable strategy, a strategy which includes two to four times leverage and expected volatility and return expectations that are higher than mutual funds in the same Morningstar category. The Board further noted that Fidelity believes that the fund's total expenses are reasonable given the fund's strategy aligns more closely with strategies of hedge funds that tend to charge higher fees.

<u>Other Contractual Arrangements</u>. The Board further considered that FDS has contractually agreed to reimburse the fund to the extent that total operating expenses, with certain exceptions, as a percentage of its average net assets, exceed 1.45% through May 31, 2026.

<u>Fees Charged to Other Fidelity Clients</u>. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity other than the fund, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered. Further based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds the Board oversees. The Board noted that the profitability information reflects the relatively small size of the funds overseen by the Board and their short history.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each Fidelity fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Board reviews any significant changes from the prior year's methodologies.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist.

The Board considered the costs of the services provided by and the lack of meaningful operating margins realized by Fidelity in connection with the operation of the funds overseen by the Board and was satisfied that the profitability was not excessive.

**Economies of Scale.** The Board will consider economies of scale when there is sufficient operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee had been set initially 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.

**Conclusion.** 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 and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances, and that the fund's Advisory Contracts should be approved through November 30, 2026.

![](img125404_4.jpg)<br>

1.9909697.102 SCA-ANN-0426

**Fidelity® Dynamic Buffered Equity ETF**

**Fidelity® Hedged Equity ETF**

**Fidelity® Yield Enhanced Equity ETF**

**Annual Report**

**January 31, 2026**

![](img125406_1.jpg)

![](img125406_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_HBE-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Dynamic Buffered Equity ETF](#Sub_Sec_Fund_7589_HBE-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Hedged Equity ETF](#Sub_Sec_Fund_7588_HBE-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Yield Enhanced Equity ETF](#Sub_Sec_Fund_7590_HBE-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements7589_HBE-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_HBE-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_HBE-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_HBE-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_HBE-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_HBE-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_HBE-ANN)** |

---

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® Dynamic Buffered Equity ETF**

**Schedule of Investments January 31, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 97.0%** | &nbsp;&nbsp;**Common Stocks - 97.0%** | &nbsp;&nbsp;**Common Stocks - 97.0%** |
|  | Shares | Value ($)<br>|
| MEXICO - 0.2%  |  |  |
| Materials - 0.2% |  |  |
| Metals & Mining - 0.2% |  |  |
| Southern Copper Corp  | 158 | 30071 |
| UNITED KINGDOM - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| TechnipFMC PLC  | 258 | 14375 |
| UNITED STATES - 96.8%  |  |  |
| Communication Services - 11.7% |  |  |
| Diversified Telecommunication Services - 1.7% |  |  |
| AT&T Inc  | 5822 | 152595 |
| Comcast Corp Class A  | 3516 | 104601 |
| Verizon Communications Inc  | 1248 | 55561 |
|  |  | 312757 |
| Entertainment - 1.4% |  |  |
| Electronic Arts Inc  | 313 | 63827 |
| Netflix Inc (a) | 1957 | 163390 |
| Roku Inc Class A (a) | 345 | 32844 |
| Warner Bros Discovery Inc (a) | 115 | 3167 |
|  |  | 263228 |
| Interactive Media & Services - 8.1% |  |  |
| Alphabet Inc Class A  | 1563 | 528294 |
| Alphabet Inc Class C  | 1330 | 450245 |
| Meta Platforms Inc Class A  | 747 | 535225 |
|  |  | 1513764 |
| Media - 0.0% |  |  |
| Versant Media Group Inc Class A  | 133 | 4333 |
| Wireless Telecommunication Services - 0.5% |  |  |
| T-Mobile US Inc  | 522 | 102944 |
| TOTAL COMMUNICATION SERVICES |  | 2197026 |
| Consumer Discretionary - 10.3% |  |  |
| Automobile Components - 0.1% |  |  |
| BorgWarner Inc  | 566 | 26834 |
| Automobiles - 2.8% |  |  |
| Ford Motor Co  | 7184 | 99714 |
| General Motors Co  | 1456 | 122304 |
| Tesla Inc (a) | 666 | 286653 |
|  |  | 508671 |
| Broadline Retail - 4.3% |  |  |
| Amazon.com Inc (a) | 3316 | 793519 |
| Hotels, Restaurants & Leisure - 1.4% |  |  |
| Airbnb Inc Class A (a) | 858 | 110999 |
| Booking Holdings Inc  | 26 | 130048 |
| Expedia Group Inc Class A  | 77 | 20393 |
| Wendy's Co/The  | 947 | 7377 |
|  |  | 268817 |
| Specialty Retail - 1.6% |  |  |
| Abercrombie & Fitch Co Class A (a) | 20 | 1952 |
| Gap Inc/The  | 2597 | 72664 |
| Home Depot Inc/The  | 122 | 45700 |
| Ross Stores Inc  | 195 | 36787 |
| TJX Cos Inc/The  | 975 | 146065 |
|  |  | 303168 |
| Textiles, Apparel & Luxury Goods - 0.1% |  |  |
| NIKE Inc Class B  | 352 | 21757 |
| TOTAL CONSUMER DISCRETIONARY |  | 1922766 |
| Consumer Staples - 2.9% |  |  |
| Beverages - 0.5% |  |  |
| Monster Beverage Corp (a) | 160 | 12922 |
| PepsiCo Inc  | 513 | 78812 |
|  |  | 91734 |
| Consumer Staples Distribution & Retail - 1.2% |  |  |
| Costco Wholesale Corp  | 60 | 56415 |
| Walmart Inc  | 1454 | 173230 |
|  |  | 229645 |
| Household Products - 0.7% |  |  |
| Procter & Gamble Co/The  | 895 | 135834 |
| Tobacco - 0.5% |  |  |
| Philip Morris International Inc  | 471 | 84516 |
| TOTAL CONSUMER STAPLES |  | 541729 |
| Energy - 2.7% |  |  |
| Oil, Gas & Consumable Fuels - 2.7% |  |  |
| Cheniere Energy Inc  | 302 | 63879 |
| Chevron Corp  | 160 | 28304 |
| ConocoPhillips  | 828 | 86302 |
| Devon Energy Corp  | 822 | 33053 |
| EOG Resources Inc  | 1013 | 113588 |
| Exxon Mobil Corp  | 1109 | 156813 |
| Kinder Morgan Inc  | 871 | 26556 |
| TOTAL ENERGY |  | 508495 |
| Financials - 13.2% |  |  |
| Banks - 3.3% |  |  |
| Bank of America Corp (b) | 2938 | 156302 |
| JPMorgan Chase & Co (b) | 1084 | 331585 |
| US Bancorp (b) | 2260 | 126808 |
|  |  | 614695 |
| Capital Markets - 3.4% |  |  |
| Bank of New York Mellon Corp/The (b) | 1009 | 120999 |
| Blackrock Inc  | 50 | 55947 |
| Charles Schwab Corp/The (b) | 1465 | 152243 |
| CME Group Inc Class A (b) | 205 | 59257 |
| Morgan Stanley (b) | 879 | 160682 |
| S&P Global Inc  | 108 | 57001 |
| SEI Investments Co  | 291 | 25564 |
|  |  | 631693 |
| Consumer Finance - 0.7% |  |  |
| American Express Co  | 222 | 78182 |
| Capital One Financial Corp  | 319 | 69838 |
|  |  | 148020 |
| Financial Services - 4.2% |  |  |
| Berkshire Hathaway Inc Class B (a)(b) | 749 | 359917 |
| Fiserv Inc (a) | 1195 | 76157 |
| Mastercard Inc Class A (b) | 420 | 226292 |
| PayPal Holdings Inc  | 324 | 17072 |
| Visa Inc Class A (b) | 325 | 104595 |
|  |  | 784033 |
| Insurance - 1.6% |  |  |
| Allstate Corp/The  | 360 | 71636 |
| Loews Corp  | 178 | 18791 |
| Progressive Corp/The (b) | 538 | 111905 |
| Travelers Companies Inc/The (b) | 346 | 98440 |
|  |  | 300772 |
| TOTAL FINANCIALS |  | 2479213 |
| Health Care - 8.6% |  |  |
| Biotechnology - 2.7% |  |  |
| AbbVie Inc (b) | 950 | 211860 |
| Exelixis Inc (a) | 1578 | 65266 |
| Gilead Sciences Inc (b) | 1105 | 156855 |
| Incyte Corp (a)(b) | 694 | 69449 |
| PTC Therapeutics Inc (a) | 154 | 11631 |
|  |  | 515061 |
| Health Care Equipment & Supplies - 0.7% |  |  |
| Boston Scientific Corp (a)(b) | 1334 | 124769 |
| Health Care Providers & Services - 0.9% |  |  |
| Alignment Healthcare Inc (a) | 384 | 8652 |
| Elevance Health Inc  | 48 | 16596 |
| Guardant Health Inc (a) | 93 | 10606 |
| Option Care Health Inc (a)(b) | 1852 | 62968 |
| Tenet Healthcare Corp (a) | 1 | 188 |
| UnitedHealth Group Inc (b) | 260 | 74602 |
|  |  | 173612 |
| Health Care Technology - 0.2% |  |  |
| Veeva Systems Inc Class A (a) | 202 | 41192 |
| Life Sciences Tools & Services - 0.6% |  |  |
| Illumina Inc (a)(b) | 474 | 68640 |
| Medpace Holdings Inc (a) | 82 | 47763 |
|  |  | 116403 |
| Pharmaceuticals - 3.5% |  |  |
| Bristol-Myers Squibb Co (b) | 2436 | 134102 |
| Eli Lilly & Co (b) | 285 | 295588 |
| Johnson & Johnson (b) | 373 | 84764 |
| Merck & Co Inc  | 515 | 56789 |
| Viatris Inc (b) | 5881 | 76982 |
|  |  | 648225 |
| TOTAL HEALTH CARE |  | 1619262 |
| Industrials - 9.9% |  |  |
| Aerospace & Defense - 2.4% |  |  |
| GE Aerospace  | 636 | 195118 |
| General Dynamics Corp  | 114 | 40024 |
| HEICO Corp  | 154 | 50960 |
| Lockheed Martin Corp  | 225 | 142700 |
| Northrop Grumman Corp  | 23 | 15922 |
|  |  | 444724 |
| Building Products - 1.8% |  |  |
| Allegion plc  | 470 | 77733 |
| Carrier Global Corp  | 558 | 33246 |
| Johnson Controls International plc  | 978 | 116636 |
| Trane Technologies PLC  | 277 | 116501 |
|  |  | 344116 |
| Commercial Services & Supplies - 0.9% |  |  |
| Cintas Corp  | 572 | 109475 |
| Waste Management Inc  | 296 | 65783 |
|  |  | 175258 |
| Construction & Engineering - 0.9% |  |  |
| Comfort Systems USA Inc  | 49 | 55963 |
| Tutor Perini Corp  | 414 | 32660 |
| Valmont Industries Inc  | 175 | 77973 |
|  |  | 166596 |
| Electrical Equipment - 1.3% |  |  |
| Acuity Inc  | 52 | 16080 |
| AMETEK Inc  | 519 | 116246 |
| Rockwell Automation Inc  | 246 | 103726 |
|  |  | 236052 |
| Ground Transportation - 1.3% |  |  |
| CSX Corp  | 1770 | 66835 |
| Lyft Inc Class A (a) | 2646 | 44638 |
| Norfolk Southern Corp  | 7 | 2039 |
| Uber Technologies Inc (a) | 1692 | 135445 |
|  |  | 248957 |
| Industrial Conglomerates - 0.8% |  |  |
| Honeywell International Inc  | 643 | 146295 |
| Machinery - 0.2% |  |  |
| Caterpillar Inc  | 53 | 34840 |
| Trading Companies & Distributors - 0.3% |  |  |
| Applied Industrial Technologies Inc  | 53 | 13802 |
| Ferguson Enterprises Inc  | 110 | 27771 |
| Rush Enterprises Inc Class A  | 281 | 18037 |
|  |  | 59610 |
| TOTAL INDUSTRIALS |  | 1856448 |
| Information Technology - 33.6% |  |  |
| Communications Equipment - 1.1% |  |  |
| Cisco Systems Inc  | 2114 | 165569 |
| Motorola Solutions Inc  | 123 | 49512 |
|  |  | 215081 |
| Electronic Equipment, Instruments & Components - 1.4% |  |  |
| Amphenol Corp Class A  | 990 | 142639 |
| Itron Inc (a) | 4 | 396 |
| Keysight Technologies Inc (a) | 244 | 52785 |
| Zebra Technologies Corp Class A (a) | 294 | 69084 |
|  |  | 264904 |
| Semiconductors & Semiconductor Equipment - 14.9% |  |  |
| Advanced Micro Devices Inc (a) | 424 | 100374 |
| Analog Devices Inc  | 343 | 106632 |
| Broadcom Inc  | 1732 | 573812 |
| Cirrus Logic Inc (a) | 420 | 54743 |
| Intel Corp (a) | 1850 | 85970 |
| Lam Research Corp  | 93 | 21711 |
| Micron Technology Inc  | 323 | 134006 |
| NVIDIA Corp (b) | 8032 | 1535156 |
| Qorvo Inc (a) | 511 | 39914 |
| QUALCOMM Inc  | 932 | 141282 |
|  |  | 2793600 |
| Software - 8.7% |  |  |
| Adobe Inc (a) | 443 | 129910 |
| Alarm.com Holdings Inc (a) | 1105 | 53902 |
| Atlassian Corp Class A (a) | 151 | 17845 |
| Fortinet Inc (a) | 1370 | 111326 |
| Microsoft Corp (b) | 2286 | 983643 |
| Palantir Technologies Inc Class A (a) | 475 | 69630 |
| Salesforce Inc (b) | 652 | 138413 |
| Tenable Holdings Inc (a) | 1635 | 36068 |
| Zoom Communications Inc Class A (a) | 907 | 83535 |
|  |  | 1624272 |
| Technology Hardware, Storage & Peripherals - 7.5% |  |  |
| Apple Inc (b) | 4959 | 1286762 |
| NetApp Inc  | 78 | 7515 |
| Western Digital Corp  | 467 | 116857 |
|  |  | 1411134 |
| TOTAL INFORMATION TECHNOLOGY |  | 6308991 |
| Materials - 1.1% |  |  |
| Chemicals - 0.2% |  |  |
| Ecolab Inc  | 121 | 34121 |
| Metals & Mining - 0.9% |  |  |
| Commercial Metals Co  | 1271 | 97702 |
| Newmont Corp  | 272 | 30559 |
| Nucor Corp  | 196 | 34833 |
|  |  | 163094 |
| TOTAL MATERIALS |  | 197215 |
| Real Estate - 1.9% |  |  |
| Health Care REITs - 0.7% |  |  |
| Welltower Inc  | 680 | 128085 |
| Real Estate Management & Development - 0.1% |  |  |
| Compass Inc Class A (a) | 1213 | 15186 |
| Retail REITs - 0.6% |  |  |
| Simon Property Group Inc  | 580 | 110960 |
| Specialized REITs - 0.5% |  |  |
| Outfront Media Inc  | 208 | 5059 |
| VICI Properties Inc  | 3293 | 92467 |
|  |  | 97526 |
| TOTAL REAL ESTATE |  | 351757 |
| Utilities - 0.9% |  |  |
| Electric Utilities - 0.7% |  |  |
| NextEra Energy Inc  | 1231 | 108205 |
| NRG Energy Inc  | 195 | 29763 |
|  |  | 137968 |
| Multi-Utilities - 0.2% |  |  |
| Sempra  | 389 | 33847 |
| TOTAL UTILITIES |  | 171815 |
| TOTAL UNITED STATES |  | 18154717 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $15,512,822) |  | <br> **18199163** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 2.1%** | &nbsp;&nbsp;**Money Market Funds - 2.1%** | &nbsp;&nbsp;**Money Market Funds - 2.1%** | &nbsp;&nbsp;**Money Market Funds - 2.1%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (c)<br>(Cost $384,613)<br>| 3.70 | 384536 | **384613** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 0.5%** | **Purchased Options - 0.5%** | **Purchased Options - 0.5%** | **Purchased Options - 0.5%** | **Purchased Options - 0.5%** | **Purchased Options - 0.5%** | **Purchased Options - 0.5%** |
|  | Counterparty | Number<br> of Contracts | Notional Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Put Options |  |  |  |  |  |  |
| Mini SPX Index | Chicago Board Options Exchange | 65 | 4510350 | 665 | 4/2026 | 65910 |
| Mini SPX Index | Chicago Board Options Exchange | 53 | 3677670 | 640 | 2/2026 | 5963 |
| Mini SPX Index | Chicago Board Options Exchange | 52 | 3608280 | 655 | 3/2026 | 28990 |
|  |  |  |  |  |  | **100863** |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $184,190) |  |  |  |  |  | **100863** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.6%**<br> (Cost $16,081,624)<br>| <br>**18684639** |
| **NET OTHER ASSETS (LIABILITIES) - 0.4%**  | **68926** |
| **NET ASSETS - 100.0%** | **18753565** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Equity Contracts |  |  |  |  |
| CME E-Mini S&P 500 Index Contracts (United States) | 11 | 3/2026 | 383116 | 5516 |
| The notional amount of long futures as a percentage of Net Assets is 2.0%. | The notional amount of long futures as a percentage of Net Assets is 2.0%. | The notional amount of long futures as a percentage of Net Assets is 2.0%. | The notional amount of long futures as a percentage of Net Assets is 2.0%. | The notional amount of long futures as a percentage of Net Assets is 2.0%. |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** |
|  | Counterparty | Number<br> of Contracts | Notional<br> Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Call Options |  |  |  |  |  |  |
| Mini SPX Index | Chicago Board Options Exchange | 66 | 4579740 | 709.00 | 2/2026 | (1650) |
| Mini SPX Index | Chicago Board Options Exchange | 63 | 4371570 | 710.00 | 2/2026 | (6962) |
| Mini SPX Index | Chicago Board Options Exchange | 65 | 4510350 | 704.00 | 2/2026 | (27593) |
| Mini SPX Index | Chicago Board Options Exchange | 68 | 4718520 | 707.00 | 2/2026 | (31654) |
|  |  |  |  |  |  | (67859) |
| **TOTAL WRITTEN OPTIONS** |  |  |  |  |  | **(67859)** |

---

**Legend**

(a) Non-income producing.

(b) Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $3,461,764.

(c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 73486 | 3234445 | 2923312 | 6143 | (6) | - | 384613 | 384536 | 0.0% |
| Total | 73486 | 3234445 | 2923312 | 6143 | (6) | - | 384613 |  |  |

---

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, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 2197026 | 2197026 | - | - |
| Consumer Discretionary | 1922766 | 1922766 | - | - |
| Consumer Staples | 541729 | 541729 | - | - |
| Energy | 522870 | 522870 | - | - |
| Financials | 2479213 | 2479213 | - | - |
| Health Care | 1619262 | 1619262 | - | - |
| Industrials | 1856448 | 1856448 | - | - |
| Information Technology | 6308991 | 6308991 | - | - |
| Materials | 227286 | 227286 | - | - |
| Real Estate | 351757 | 351757 | - | - |
| Utilities | 171815 | 171815 | - | - |
|  **Money Market Funds** | 384613 | 384613 | - | - |
|  **Purchased Options** | 100863 | 100863 | - | - |
| **Total Investments in Securities:** | 18684639 | 18684639 | - | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 5516 | 5516 | - | - |
| Total Assets | 5516 | 5516 | - | - |
|  **Liabilities** |  |  |  |  |
| Written Options | (67859) | (67859) | - | - |
| Total Liabilities | (67859) | (67859) | - | - |
| **Total Derivative Instruments:** | (62343) | (62343) | - | - |

---

**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, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 5516 | - |
| Purchased Options (b)  | 100863 | - |
| Written Options (c)  | - | (67859) |
| **Total Equity Risk**  | 106379 | (67859) |
| **Total Value of Derivatives** | 106379 | (67859) |

---

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

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

(c)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

**Fidelity® Dynamic Buffered Equity ETF**

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of January 31, 2026** | **As of January 31, 2026** | **As of January 31, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $15,697,011) | $18300026 |  |
| Fidelity Central Funds (cost $384,613) | 384613 |  |
| Total Investment in Securities (cost $16,081,624) |  | $18684639 |
| Segregated cash with brokers for derivative instruments |  | 70436 |
| Receivable for investments sold |  | 350855 |
| Receivable for fund shares sold |  | 781971 |
| Dividends receivable |  | 12445 |
| Distributions receivable from Fidelity Central Funds |  | 1629 |
| Receivable from investment adviser for expense reductions |  | 576 |
| **Total assets** |  | 19902551 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $288161 |  |
| Payable for fund shares redeemed | 781433 |  |
| Accrued management fee | 7251 |  |
| Payable for daily variation margin on futures contracts | 4282 |  |
| Written options, at value (premium received $106,266) | 67859 |  |
| **Total liabilities** |  | 1148986 |
| **Net Assets**  |  | $18753565 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $16233990 |
| Total accumulated earnings (loss) |  | 2519575 |
| **Net Assets** |  | $18753565 |
| **Net Asset Value**, offering price and redemption price per share ($18,753,565 ÷ 600,000 shares) |  | $31.26 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** |
| **Investment Income** |  |  |
| Dividends  |  | $141625 |
| Interest  |  | 473 |
| Income from Fidelity Central Funds  |  | 6143 |
| **Total income** |  | 148241 |
| **Expenses** |  |  |
| Management fee | $57554 |  |
| Independent trustees' fees and expenses | 4381 |  |
| Total expenses before reductions | 61935 |  |
| Expense reductions | (5108) |  |
| Total expenses after reductions |  | 56827 |
| **Net Investment income (loss)** |  | 91414 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 80583 |  |
| Redemptions in-kind | (59855) |  |
| Fidelity Central Funds | (6) |  |
| Futures contracts | 18750 |  |
| Written options | (56998) |  |
| Total net realized gain (loss) |  | (17526) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 1543762 |  |
| Futures contracts | 5516 |  |
| Written options | 42063 |  |
| Total change in net unrealized appreciation (depreciation) |  | 1591341 |
| **Net gain (loss)** |  | 1573815 |
| **Net increase (decrease) in net assets resulting from operations** |  | $1665229 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **January 31, 2026** | **For the period April 9, 2024 (commencement of operations) through January 31, 2025**  |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $91414 | $51065 |
| &nbsp;&nbsp;Net realized gain (loss) | (17526)<br>| (210141)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 1591341 | 1055597<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 1665229<br>| 896521<br>|
| Distributions to shareholders | (82150)<br>| (45950)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 16529448 | 9561790 |
| &nbsp;&nbsp;Cost of shares redeemed | (9074814) | (696509) |
| **Net increase (decrease) in net assets resulting from share transactions** | 7454634<br>| 8865281<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 9037713<br>| 9715852<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 9715852 | -<br>|
| &nbsp;&nbsp;End of period | $18753565 | $9715852 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 575000 | 375000 |
| &nbsp;&nbsp;Redeemed | (325000) | (25000) |
| &nbsp;&nbsp;Net increase (decrease) | 250000 | 350000 |

---

**Financial Highlights** 

**Fidelity® Dynamic Buffered Equity ETF** <br>

---

| | | |
|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $27.76 | $24.99 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .22  | .17  |
| Net realized and unrealized gain (loss)  | 3.48  | 2.75  |
| Total from investment operations  | 3.70  | 2.92  |
| Distributions from net investment income  | (.20)  | (.15)  |
| Total distributions  | (.20)  | (.15)  |
| Net asset value, end of period  | $31.26 | $27.76 |
| **Total Return** D,E,F | 13.39% <br>| 11.69%  |
| **Ratios to Average Net Assets** C,G,H |  |  |
| Expenses before reductions  | .52%  | .52% I |
| Expenses net of fee waivers, if any  | .48% <br>| .48% I |
| Expenses net of all reductions, if any  | .47%  | .48% I |
| Net investment income (loss)  | .76%  | .81% I |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $18754 | $9716 |
| Portfolio turnover rate J,K | 83% <br>| 98% I |

---

A*For the period April 9, 2024 (commencement of operations) through January 31, 2025.*

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

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

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

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

F*Based on net asset value.*

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

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

I*Annualized.*

J*Portfolio turnover rate excludes securities received or delivered in-kind.*

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

**Fidelity® Hedged Equity ETF**

**Schedule of Investments January 31, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 97.1%** | &nbsp;&nbsp;**Common Stocks - 97.1%** | &nbsp;&nbsp;**Common Stocks - 97.1%** |
|  | Shares | Value ($)<br>|
| MEXICO - 0.2%  |  |  |
| Materials - 0.2% |  |  |
| Metals & Mining - 0.2% |  |  |
| Southern Copper Corp  | 8865 | 1687187 |
| UNITED KINGDOM - 0.0%  |  |  |
| Energy - 0.0% |  |  |
| Energy Equipment & Services - 0.0% |  |  |
| TechnipFMC PLC  | 3708 | 206609 |
| UNITED STATES - 96.9%  |  |  |
| Communication Services - 11.9% |  |  |
| Diversified Telecommunication Services - 1.4% |  |  |
| AT&T Inc  | 259121 | 6791561 |
| Comcast Corp Class A  | 163973 | 4878197 |
| Verizon Communications Inc  | 44 | 1959 |
|  |  | 11671717 |
| Entertainment - 1.5% |  |  |
| Electronic Arts Inc  | 14347 | 2925640 |
| Netflix Inc (a) | 91865 | 7669809 |
| Roku Inc Class A (a) | 16228 | 1544906 |
| Warner Bros Discovery Inc (a) | 5085 | 140041 |
|  |  | 12280396 |
| Interactive Media & Services - 8.4% |  |  |
| Alphabet Inc Class A  | 68470 | 23142861 |
| Alphabet Inc Class C  | 64551 | 21852450 |
| Meta Platforms Inc Class A  | 35028 | 25097562 |
|  |  | 70092873 |
| Media - 0.0% |  |  |
| Versant Media Group Inc Class A  | 6318 | 205840 |
| Wireless Telecommunication Services - 0.6% |  |  |
| T-Mobile US Inc  | 24188 | 4770115 |
| TOTAL COMMUNICATION SERVICES |  | 99020941 |
| Consumer Discretionary - 10.0% |  |  |
| Automobile Components - 0.0% |  |  |
| BorgWarner Inc  | 160 | 7586 |
| Automobiles - 2.7% |  |  |
| Ford Motor Co  | 309068 | 4289864 |
| General Motors Co  | 64427 | 5411868 |
| Tesla Inc (a) | 29201 | 12568402 |
|  |  | 22270134 |
| Broadline Retail - 4.3% |  |  |
| Amazon.com Inc (a) | 149193 | 35701885 |
| Hotels, Restaurants & Leisure - 1.3% |  |  |
| Airbnb Inc Class A (a) | 38047 | 4922140 |
| Booking Holdings Inc  | 1193 | 5967195 |
| Wendy's Co/The (b) | 41030 | 319624 |
|  |  | 11208959 |
| Specialty Retail - 1.7% |  |  |
| Abercrombie & Fitch Co Class A (a) | 895 | 87379 |
| Bath & Body Works Inc  | 4023 | 87701 |
| Gap Inc/The  | 73815 | 2065344 |
| Home Depot Inc/The  | 6297 | 2358793 |
| Ross Stores Inc  | 16499 | 3112536 |
| TJX Cos Inc/The  | 42225 | 6325728 |
|  |  | 14037481 |
| TOTAL CONSUMER DISCRETIONARY |  | 83226045 |
| Consumer Staples - 2.9% |  |  |
| Beverages - 0.4% |  |  |
| PepsiCo Inc  | 23820 | 3659466 |
| Consumer Staples Distribution & Retail - 1.3% |  |  |
| Costco Wholesale Corp  | 2179 | 2048804 |
| Walmart Inc  | 66998 | 7982142 |
|  |  | 10030946 |
| Household Products - 0.7% |  |  |
| Procter & Gamble Co/The  | 40932 | 6212250 |
| Tobacco - 0.5% |  |  |
| Philip Morris International Inc  | 23890 | 4286822 |
| TOTAL CONSUMER STAPLES |  | 24189484 |
| Energy - 3.0% |  |  |
| Oil, Gas & Consumable Fuels - 3.0% |  |  |
| Cheniere Energy Inc  | 15226 | 3220604 |
| Chevron Corp  | 5691 | 1006737 |
| ConocoPhillips  | 48195 | 5023365 |
| Devon Energy Corp  | 66139 | 2659449 |
| EOG Resources Inc  | 46164 | 5176369 |
| Exxon Mobil Corp  | 53344 | 7542842 |
| TOTAL ENERGY |  | 24629366 |
| Financials - 13.6% |  |  |
| Banks - 3.8% |  |  |
| Bank of America Corp  | 156673 | 8335004 |
| JPMorgan Chase & Co  | 44648 | 13657377 |
| US Bancorp  | 99727 | 5595682 |
| Wells Fargo & Co  | 45609 | 4127158 |
|  |  | 31715221 |
| Capital Markets - 3.2% |  |  |
| Bank of New York Mellon Corp/The  | 44639 | 5353109 |
| Charles Schwab Corp/The  | 65093 | 6764465 |
| CME Group Inc Class A  | 6 | 1734 |
| Goldman Sachs Group Inc/The  | 3791 | 3546139 |
| Morgan Stanley  | 39368 | 7196471 |
| S&P Global Inc  | 6717 | 3545165 |
|  |  | 26407083 |
| Consumer Finance - 0.9% |  |  |
| American Express Co  | 9152 | 3223060 |
| Capital One Financial Corp  | 19700 | 4312921 |
|  |  | 7535981 |
| Financial Services - 4.2% |  |  |
| Berkshire Hathaway Inc Class B (a) | 33248 | 15976661 |
| Fiserv Inc (a) | 64925 | 4137670 |
| Mastercard Inc Class A  | 18635 | 10040352 |
| Visa Inc Class A  | 15382 | 4950389 |
|  |  | 35105072 |
| Insurance - 1.5% |  |  |
| Allstate Corp/The  | 16246 | 3232792 |
| Progressive Corp/The  | 25593 | 5323344 |
| Travelers Companies Inc/The  | 14222 | 4046301 |
|  |  | 12602437 |
| TOTAL FINANCIALS |  | 113365794 |
| Health Care - 8.5% |  |  |
| Biotechnology - 2.7% |  |  |
| AbbVie Inc  | 42277 | 9428194 |
| Exelixis Inc (a) | 67682 | 2799328 |
| Gilead Sciences Inc  | 48877 | 6938090 |
| Incyte Corp (a) | 30505 | 3052635 |
| PTC Therapeutics Inc (a) | 2214 | 167223 |
|  |  | 22385470 |
| Health Care Equipment & Supplies - 1.1% |  |  |
| Abbott Laboratories  | 32487 | 3550829 |
| Boston Scientific Corp (a) | 59388 | 5554560 |
|  |  | 9105389 |
| Health Care Providers & Services - 0.8% |  |  |
| Alignment Healthcare Inc (a) | 9311 | 209777 |
| Guardant Health Inc (a) | 1499 | 170946 |
| Option Care Health Inc (a) | 58881 | 2001954 |
| UnitedHealth Group Inc  | 13804 | 3960782 |
|  |  | 6343459 |
| Health Care Technology - 0.2% |  |  |
| Veeva Systems Inc Class A (a) | 10055 | 2050415 |
| Life Sciences Tools & Services - 0.6% |  |  |
| Illumina Inc (a) | 18529 | 2683185 |
| Medpace Holdings Inc (a) | 3486 | 2030525 |
|  |  | 4713710 |
| Pharmaceuticals - 3.1% |  |  |
| Bristol-Myers Squibb Co  | 107108 | 5896295 |
| Eli Lilly & Co  | 13829 | 14342748 |
| Johnson & Johnson  | 14313 | 3252629 |
| Merck & Co Inc  | 21 | 2316 |
| Viatris Inc  | 184191 | 2411060 |
|  |  | 25905048 |
| TOTAL HEALTH CARE |  | 70503491 |
| Industrials - 10.2% |  |  |
| Aerospace & Defense - 2.6% |  |  |
| GE Aerospace  | 28297 | 8681237 |
| General Dynamics Corp  | 14 | 4915 |
| HEICO Corp  | 4325 | 1431186 |
| Lockheed Martin Corp  | 9633 | 6109441 |
| Northrop Grumman Corp  | 1 | 692 |
| RTX Corp  | 27682 | 5562144 |
|  |  | 21789615 |
| Building Products - 1.7% |  |  |
| Allegion plc  | 21657 | 3581851 |
| Armstrong World Industries Inc  | 584 | 107304 |
| Johnson Controls International plc  | 42569 | 5076779 |
| Trane Technologies PLC  | 13012 | 5472587 |
|  |  | 14238521 |
| Commercial Services & Supplies - 1.0% |  |  |
| Cintas Corp  | 25598 | 4899202 |
| Waste Management Inc  | 16368 | 3637624 |
|  |  | 8536826 |
| Construction & Engineering - 1.0% |  |  |
| Comfort Systems USA Inc  | 3269 | 3733525 |
| Tutor Perini Corp  | 12786 | 1008687 |
| Valmont Industries Inc  | 8073 | 3597006 |
|  |  | 8339218 |
| Electrical Equipment - 1.7% |  |  |
| Acuity Inc  | 2392 | 739702 |
| AMETEK Inc  | 22645 | 5072027 |
| Eaton Corp PLC  | 9973 | 3504712 |
| Rockwell Automation Inc  | 11499 | 4848553 |
|  |  | 14164994 |
| Ground Transportation - 1.0% |  |  |
| CSX Corp  | 43 | 1624 |
| Lyft Inc Class A (a) | 114181 | 1926233 |
| Norfolk Southern Corp  | 328 | 95527 |
| Uber Technologies Inc (a) | 77599 | 6211800 |
|  |  | 8235184 |
| Industrial Conglomerates - 0.8% |  |  |
| Honeywell International Inc  | 28403 | 6462251 |
| Machinery - 0.1% |  |  |
| Caterpillar Inc  | 1424 | 936080 |
| Trading Companies & Distributors - 0.3% |  |  |
| Applied Industrial Technologies Inc  | 388 | 101039 |
| Ferguson Enterprises Inc  | 7643 | 1929552 |
| Rush Enterprises Inc Class A  | 7815 | 501645 |
|  |  | 2532236 |
| TOTAL INDUSTRIALS |  | 85234925 |
| Information Technology - 33.2% |  |  |
| Communications Equipment - 1.1% |  |  |
| Arista Networks Inc (a) | 20482 | 2903119 |
| Cisco Systems Inc  | 84984 | 6655947 |
|  |  | 9559066 |
| Electronic Equipment, Instruments & Components - 1.1% |  |  |
| Amphenol Corp Class A  | 25737 | 3708187 |
| Itron Inc (a) | 1 | 99 |
| Keysight Technologies Inc (a) | 9369 | 2026796 |
| Zebra Technologies Corp Class A (a) | 13476 | 3166590 |
|  |  | 8901672 |
| IT Services - 0.0% |  |  |
| Okta Inc Class A (a) | 28 | 2365 |
| Semiconductors & Semiconductor Equipment - 15.1% |  |  |
| Advanced Micro Devices Inc (a) | 19569 | 4632569 |
| Analog Devices Inc  | 17718 | 5508172 |
| Applied Materials Inc  | 8140 | 2623685 |
| Broadcom Inc  | 75767 | 25101607 |
| Cirrus Logic Inc (a) | 19861 | 2588683 |
| Intel Corp (a) | 59956 | 2786155 |
| Lam Research Corp  | 14157 | 3305093 |
| Micron Technology Inc  | 12442 | 5161937 |
| NVIDIA Corp  | 343404 | 65634807 |
| Qorvo Inc (a) | 12765 | 997074 |
| QUALCOMM Inc  | 41236 | 6250965 |
|  |  | 124590747 |
| Software - 8.5% |  |  |
| Adobe Inc (a) | 19608 | 5750047 |
| Alarm.com Holdings Inc (a) | 45695 | 2229002 |
| Atlassian Corp Class A (a) | 9146 | 1080874 |
| Docusign Inc (a) | 10 | 525 |
| Fortinet Inc (a) | 58521 | 4755416 |
| Microsoft Corp  | 96329 | 41449406 |
| Palantir Technologies Inc Class A (a) | 22716 | 3329938 |
| Salesforce Inc  | 29304 | 6220947 |
| Tenable Holdings Inc (a) | 69256 | 1527787 |
| Teradata Corp (a) | 2 | 57 |
| Zoom Communications Inc Class A (a) | 47929 | 4414261 |
|  |  | 70758260 |
| Technology Hardware, Storage & Peripherals - 7.4% |  |  |
| Apple Inc  | 207513 | 53845474 |
| NetApp Inc  | 27918 | 2689899 |
| Western Digital Corp  | 20684 | 5175757 |
|  |  | 61711130 |
| TOTAL INFORMATION TECHNOLOGY |  | 275523240 |
| Materials - 0.8% |  |  |
| Metals & Mining - 0.8% |  |  |
| Commercial Metals Co  | 55768 | 4286886 |
| Nucor Corp  | 12850 | 2283702 |
| TOTAL MATERIALS |  | 6570588 |
| Real Estate - 1.9% |  |  |
| Health Care REITs - 0.7% |  |  |
| Welltower Inc  | 30036 | 5657582 |
| Real Estate Management & Development - 0.0% |  |  |
| Compass Inc Class A (a) | 63845 | 799339 |
| Retail REITs - 0.6% |  |  |
| Simon Property Group Inc  | 25810 | 4937711 |
| Specialized REITs - 0.6% |  |  |
| Lamar Advertising Co Class A  | 2014 | 258416 |
| Outfront Media Inc  | 3048 | 74127 |
| VICI Properties Inc  | 157218 | 4414682 |
|  |  | 4747225 |
| TOTAL REAL ESTATE |  | 16141857 |
| Utilities - 0.9% |  |  |
| Electric Utilities - 0.9% |  |  |
| NextEra Energy Inc  | 58918 | 5178893 |
| OGE Energy Corp  | 2 | 87 |
| Southern Co/The  | 23608 | 2108430 |
| TOTAL UTILITIES |  | 7287410 |
| TOTAL UNITED STATES |  | 805693141 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $692,032,514) |  | <br> **807586937** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 1.5%** | &nbsp;&nbsp;**Money Market Funds - 1.5%** | &nbsp;&nbsp;**Money Market Funds - 1.5%** | &nbsp;&nbsp;**Money Market Funds - 1.5%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (c)<br>(Cost $12,818,029)<br>| 3.70 | 12815466 | **12818029** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 1.3%** | **Purchased Options - 1.3%** | **Purchased Options - 1.3%** | **Purchased Options - 1.3%** | **Purchased Options - 1.3%** | **Purchased Options - 1.3%** | **Purchased Options - 1.3%** |
|  | Counterparty | Number<br> of Contracts | Notional Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Put Options |  |  |  |  |  |  |
| S&P 500 Index | Chicago Board Options Exchange | 390 | 270622170 | 6650 | 4/2026 | 3925350 |
| S&P 500 Index | Chicago Board Options Exchange | 354 | 245641662 | 4450 | 12/2026 | 1692120 |
| S&P 500 Index | Chicago Board Options Exchange | 326 | 226212378 | 6400 | 2/2026 | 342300 |
| S&P 500 Index | Chicago Board Options Exchange | 314 | 217885542 | 6550 | 3/2026 | 1712870 |
| S&P 500 Index | Chicago Board Options Exchange | 387 | 268540461 | 4200 | 11/2026 | 1385460 |
| S&P 500 Index | Chicago Board Options Exchange | 297 | 206089191 | 4600 | 1/2027 | 1725570 |
|  |  |  |  |  |  | **10783670** |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $16,041,936) |  |  |  |  |  | **10783670** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.9%**<br> (Cost $720,892,479)<br>| <br>**831188636** |
| **NET OTHER ASSETS (LIABILITIES) - 0.1%**  | **973530** |
| **NET ASSETS - 100.0%** | **832162166** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Equity Contracts |  |  |  |  |
| CME E-Mini S&P 500 Index Contracts (United States) | 19 | 3/2026 | 6617463 | 177846 |
| The notional amount of long futures as a percentage of Net Assets is 0.8%. | The notional amount of long futures as a percentage of Net Assets is 0.8%. | The notional amount of long futures as a percentage of Net Assets is 0.8%. | The notional amount of long futures as a percentage of Net Assets is 0.8%. | The notional amount of long futures as a percentage of Net Assets is 0.8%. |

---

**Legend**

(a) Non-income producing.

(b) Security or a portion of the security is on loan at period end.

(c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, 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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 3025306 | 113350499 | 103557404 | 295440 | (372) | - | 12818029 | 12815466 | 0.0% |
| Fidelity Securities Lending Cash Central Fund | - | 5748056 | 5748056 | 160 | - | - | - | - | 0.0% |
| Total | 3025306 | 119098555 | 109305460 | 295600 | (372) | - | 12818029 |  |  |

---

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

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

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

**Investment Valuation**

The following is a summary of the inputs used, as of January 31, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 99020941 | 99020941 | - | - |
| Consumer Discretionary | 83226045 | 83226045 | - | - |
| Consumer Staples | 24189484 | 24189484 | - | - |
| Energy | 24835975 | 24835975 | - | - |
| Financials | 113365794 | 113365794 | - | - |
| Health Care | 70503491 | 70503491 | - | - |
| Industrials | 85234925 | 85234925 | - | - |
| Information Technology | 275523240 | 275523240 | - | - |
| Materials | 8257775 | 8257775 | - | - |
| Real Estate | 16141857 | 16141857 | - | - |
| Utilities | 7287410 | 7287410 | - | - |
|  **Money Market Funds** | 12818029 | 12818029 | - | - |
|  **Purchased Options** | 10783670 | 10783670 | - | - |
| **Total Investments in Securities:** | 831188636 | 831188636 | - | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 177846 | 177846 | - | - |
| Total Assets | 177846 | 177846 | - | - |
| **Total Derivative Instruments:** | 177846 | 177846 | - | - |

---

**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, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 177846 | - |
| Purchased Options (b)  | 10783670 | - |
| **Total Equity Risk**  | 10961516 | - |
| **Total Value of Derivatives** | 10961516 | - |

---

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

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

**Fidelity® Hedged Equity ETF**

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of January 31, 2026** | **As of January 31, 2026** | **As of January 31, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value (including securities loaned of $170,601) - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $708,074,450) | $818370607 |  |
| Fidelity Central Funds (cost $12,818,029) | 12818029 |  |
| Total Investment in Securities (cost $720,892,479) |  | $831188636 |
| Segregated cash with brokers for derivative instruments |  | 431699 |
| Receivable for investments sold |  | 16315544 |
| Receivable for fund shares sold |  | 778583 |
| Dividends receivable |  | 526096 |
| Distributions receivable from Fidelity Central Funds |  | 54179 |
| Receivable from investment adviser for expense reductions |  | 25272 |
| **Total assets** |  | 849320009 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $16811955 |  |
| Accrued management fee | 320238 |  |
| Payable for daily variation margin on futures contracts | 25650 |  |
| **Total liabilities** |  | 17157843 |
| **Net Assets**  |  | $832162166 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $741198334 |
| Total accumulated earnings (loss) |  | 90963832 |
| **Net Assets** |  | $832162166 |
| **Net Asset Value**, offering price and redemption price per share ($832,162,166 ÷ 26,725,000 shares) |  | $31.14 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** |
| **Investment Income** |  |  |
| Dividends  |  | $6155725 |
| Interest  |  | 10444 |
| Income from Fidelity Central Funds (including $160 from security lending)  |  | 295600 |
| **Total income** |  | 6461769 |
| **Expenses** |  |  |
| Management fee | $2561879 |  |
| Independent trustees' fees and expenses | 191601 |  |
| Total expenses before reductions | 2753480 |  |
| Expense reductions | (199977) |  |
| Total expenses after reductions |  | 2553503 |
| **Net Investment income (loss)** |  | 3908266 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (10774890) |  |
| Redemptions in-kind | 14198950 |  |
| Fidelity Central Funds | (372) |  |
| Futures contracts | 565966 |  |
| Total net realized gain (loss) |  | 3989654 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 66960567 |  |
| Futures contracts | 185834 |  |
| Total change in net unrealized appreciation (depreciation) |  | 67146401 |
| **Net gain (loss)** |  | 71136055 |
| **Net increase (decrease) in net assets resulting from operations** |  | $75044321 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **January 31, 2026** | **For the period April 9, 2024 (commencement of operations) through January 31, 2025**  |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $3908266 | $2579984 |
| &nbsp;&nbsp;Net realized gain (loss) | 3989654<br>| 982715<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 67146401 | 43327602<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 75044321<br>| 46890301<br>|
| Distributions to shareholders | (3497000)<br>| (2372250)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 588580556 | 555757291 |
| &nbsp;&nbsp;Cost of shares redeemed | (218074378) | (210166675) |
| **Net increase (decrease) in net assets resulting from share transactions** | 370506178<br>| 345590616<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 442053499<br>| 390108667<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 390108667 | -<br>|
| &nbsp;&nbsp;End of period | $832162166 | $390108667 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 20375000 | 21775000 |
| &nbsp;&nbsp;Redeemed | (7650000) | (7775000) |
| &nbsp;&nbsp;Net increase (decrease) | 12725000 | 14000000 |

---

**Financial Highlights** 

**Fidelity® Hedged Equity ETF** <br>

---

| | | |
|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $27.86 | $24.99 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .21  | .17  |
| Net realized and unrealized gain (loss)  | 3.26  | 2.84  |
| Total from investment operations  | 3.47  | 3.01  |
| Distributions from net investment income  | (.19)  | (.14)  |
| Total distributions  | (.19)  | (.14)  |
| Net asset value, end of period  | $31.14 | $27.86 |
| **Total Return** D,E,F | 12.52% <br>| 12.05%  |
| **Ratios to Average Net Assets** C,G,H |  |  |
| Expenses before reductions  | .52%  | .52% I |
| Expenses net of fee waivers, if any  | .48% <br>| .48% I |
| Expenses net of all reductions, if any  | .48%  | .48% I |
| Net investment income (loss)  | .73%  | .79% I |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $832162 | $390109 |
| Portfolio turnover rate J,K | 88% <br>| 86% I |

---

A*For the period April 9, 2024 (commencement of operations) through January 31, 2025.*

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

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

D*Based on net asset value.*

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

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

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

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

I*Annualized.*

J*Portfolio turnover rate excludes securities received or delivered in-kind.*

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

**Fidelity® Yield Enhanced Equity ETF**

**Schedule of Investments January 31, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 97.9%** | &nbsp;&nbsp;**Common Stocks - 97.9%** | &nbsp;&nbsp;**Common Stocks - 97.9%** |
|  | Shares | Value ($)<br>|
| MEXICO - 0.1%  |  |  |
| Materials - 0.1% |  |  |
| Metals & Mining - 0.1% |  |  |
| Southern Copper Corp  | 565 | 107531 |
| UNITED KINGDOM - 0.1%  |  |  |
| Energy - 0.1% |  |  |
| Energy Equipment & Services - 0.1% |  |  |
| TechnipFMC PLC  | 2631 | 146599 |
| UNITED STATES - 97.7%  |  |  |
| Communication Services - 11.9% |  |  |
| Diversified Telecommunication Services - 1.6% |  |  |
| AT&T Inc  | 45083 | 1181625 |
| Comcast Corp Class A  | 23629 | 702963 |
| Verizon Communications Inc  | 9906 | 441015 |
|  |  | 2325603 |
| Entertainment - 1.4% |  |  |
| Electronic Arts Inc  | 3754 | 765516 |
| Netflix Inc (b) | 12900 | 1077021 |
| ROBLOX Corp Class A (b) | 14 | 920 |
| Roku Inc Class A (b) | 1045 | 99484 |
| Spotify Technology SA (b) | 202 | 101071 |
| Warner Bros Discovery Inc (b) | 760 | 20930 |
|  |  | 2064942 |
| Interactive Media & Services - 8.2% |  |  |
| Alphabet Inc Class A  | 11529 | 3896803 |
| Alphabet Inc Class C  | 10007 | 3387670 |
| Meta Platforms Inc Class A  | 6078 | 4354887 |
|  |  | 11639360 |
| Wireless Telecommunication Services - 0.7% |  |  |
| T-Mobile US Inc  | 4834 | 953313 |
| TOTAL COMMUNICATION SERVICES |  | 16983218 |
| Consumer Discretionary - 10.1% |  |  |
| Automobile Components - 0.0% |  |  |
| BorgWarner Inc  | 3133 | 148536 |
| Automobiles - 2.7% |  |  |
| Ford Motor Co  | 52565 | 729602 |
| General Motors Co  | 10318 | 866712 |
| Tesla Inc (b) | 5074 | 2183901 |
|  |  | 3780215 |
| Broadline Retail - 4.4% |  |  |
| Amazon.com Inc (b)(c) | 26099 | 6245491 |
| Diversified Consumer Services - 0.0% |  |  |
| ADT Inc  | 20 | 159 |
| Hotels, Restaurants & Leisure - 1.5% |  |  |
| Airbnb Inc Class A (b) | 6530 | 844786 |
| Booking Holdings Inc  | 203 | 1015374 |
| Expedia Group Inc Class A  | 900 | 238356 |
| Global Business Travel Group I Class A (b) | 28 | 191 |
| Wendy's Co/The  | 6725 | 52388 |
|  |  | 2151095 |
| Specialty Retail - 1.5% |  |  |
| Abercrombie & Fitch Co Class A (b) | 245 | 23919 |
| Gap Inc/The  | 13776 | 385452 |
| Home Depot Inc/The  | 862 | 322897 |
| Ross Stores Inc  | 1442 | 272033 |
| TJX Cos Inc/The  | 7216 | 1081030 |
|  |  | 2085331 |
| TOTAL CONSUMER DISCRETIONARY |  | 14410827 |
| Consumer Staples - 2.9% |  |  |
| Beverages - 0.3% |  |  |
| PepsiCo Inc  | 3170 | 487007 |
| Consumer Staples Distribution & Retail - 1.4% |  |  |
| Costco Wholesale Corp  | 480 | 451320 |
| Maplebear Inc (b) | 684 | 25417 |
| Walmart Inc  | 11807 | 1406686 |
|  |  | 1883423 |
| Food Products - 0.0% |  |  |
| Cal-Maine Foods Inc  | 425 | 35500 |
| Household Products - 0.7% |  |  |
| Procter & Gamble Co/The  | 6906 | 1048124 |
| Tobacco - 0.5% |  |  |
| Philip Morris International Inc  | 3772 | 676848 |
| TOTAL CONSUMER STAPLES |  | 4130902 |
| Energy - 2.6% |  |  |
| Oil, Gas & Consumable Fuels - 2.6% |  |  |
| Cheniere Energy Inc  | 2257 | 477401 |
| Chevron Corp  | 769 | 136035 |
| ConocoPhillips  | 6169 | 642995 |
| EOG Resources Inc  | 7921 | 888182 |
| Exxon Mobil Corp  | 7999 | 1131059 |
| Kinder Morgan Inc  | 7395 | 225474 |
| Occidental Petroleum Corp  | 3539 | 160635 |
| TOTAL ENERGY |  | 3661781 |
| Financials - 13.7% |  |  |
| Banks - 3.3% |  |  |
| Bank of America Corp (c) | 26726 | 1421823 |
| JPMorgan Chase & Co (c) | 7576 | 2317423 |
| US Bancorp (c) | 17120 | 960603 |
|  |  | 4699849 |
| Capital Markets - 3.4% |  |  |
| Bank of New York Mellon Corp/The (c) | 7598 | 911152 |
| Blackrock Inc  | 390 | 436387 |
| Charles Schwab Corp/The (c) | 11238 | 1167853 |
| CME Group Inc Class A (c) | 1610 | 465387 |
| Morgan Stanley (c) | 6788 | 1240846 |
| S&P Global Inc  | 853 | 450205 |
| SEI Investments Co  | 2374 | 208555 |
|  |  | 4880385 |
| Consumer Finance - 1.2% |  |  |
| American Express Co  | 1586 | 558542 |
| Capital One Financial Corp (c) | 4029 | 882069 |
| Synchrony Financial (c) | 3708 | 269312 |
|  |  | 1709923 |
| Financial Services - 4.3% |  |  |
| Berkshire Hathaway Inc Class B (b)(c) | 5788 | 2781308 |
| Fiserv Inc (b) | 8396 | 535077 |
| Mastercard Inc Class A (c) | 3220 | 1734904 |
| PayPal Holdings Inc  | 4003 | 210918 |
| Visa Inc Class A (c) | 2402 | 773036 |
|  |  | 6035243 |
| Insurance - 1.5% |  |  |
| Allstate Corp/The (c) | 2777 | 552595 |
| Progressive Corp/The (c) | 4164 | 866112 |
| Travelers Companies Inc/The (c) | 2649 | 753667 |
|  |  | 2172374 |
| TOTAL FINANCIALS |  | 19497774 |
| Health Care - 8.5% |  |  |
| Biotechnology - 2.5% |  |  |
| AbbVie Inc (c) | 7346 | 1638232 |
| Exelixis Inc (b) | 5386 | 222765 |
| Gilead Sciences Inc (c) | 7900 | 1121405 |
| Incyte Corp (b)(c) | 4982 | 498549 |
| PTC Therapeutics Inc (b) | 1063 | 80288 |
|  |  | 3561239 |
| Health Care Equipment & Supplies - 0.7% |  |  |
| Boston Scientific Corp (b)(c) | 10309 | 964201 |
| Health Care Providers & Services - 0.9% |  |  |
| Alignment Healthcare Inc (b) | 3636 | 81919 |
| Elevance Health Inc (c) | 689 | 238215 |
| Guardant Health Inc (b) | 191 | 21781 |
| Option Care Health Inc (b)(c) | 10458 | 355572 |
| UnitedHealth Group Inc (c) | 1874 | 537707 |
|  |  | 1235194 |
| Health Care Technology - 0.2% |  |  |
| Veeva Systems Inc Class A (b)(c) | 1610 | 328311 |
| Life Sciences Tools & Services - 0.6% |  |  |
| Illumina Inc (b) | 3211 | 464985 |
| Medpace Holdings Inc (b)(c) | 645 | 375700 |
|  |  | 840685 |
| Pharmaceuticals - 3.6% |  |  |
| Bristol-Myers Squibb Co (c) | 18476 | 1017104 |
| Eli Lilly & Co (c) | 2554 | 2648881 |
| Johnson & Johnson (c) | 2284 | 519039 |
| Merck & Co Inc (c) | 3407 | 375690 |
| Viatris Inc (c) | 46537 | 609169 |
|  |  | 5169883 |
| TOTAL HEALTH CARE |  | 12099513 |
| Industrials - 10.4% |  |  |
| Aerospace & Defense - 3.0% |  |  |
| GE Aerospace  | 4864 | 1492227 |
| HEICO Corp  | 1501 | 496695 |
| Lockheed Martin Corp  | 1717 | 1088956 |
| RTX Corp  | 5746 | 1154544 |
|  |  | 4232422 |
| Building Products - 1.8% |  |  |
| Allegion plc  | 2771 | 458296 |
| Carrier Global Corp  | 7940 | 473065 |
| Johnson Controls International plc  | 5412 | 645435 |
| Trane Technologies PLC  | 2196 | 923594 |
|  |  | 2500390 |
| Commercial Services & Supplies - 1.1% |  |  |
| Cintas Corp  | 4384 | 839054 |
| Waste Management Inc  | 3262 | 724947 |
|  |  | 1564001 |
| Construction & Engineering - 0.8% |  |  |
| Comfort Systems USA Inc  | 482 | 550492 |
| Valmont Industries Inc  | 1214 | 540910 |
|  |  | 1091402 |
| Electrical Equipment - 1.2% |  |  |
| Acuity Inc  | 425 | 131427 |
| AMETEK Inc  | 3530 | 790649 |
| Rockwell Automation Inc  | 1980 | 834867 |
|  |  | 1756943 |
| Ground Transportation - 1.3% |  |  |
| CSX Corp  | 8870 | 334931 |
| Lyft Inc Class A (b) | 28391 | 478956 |
| Norfolk Southern Corp  | 34 | 9902 |
| Uber Technologies Inc (b) | 12504 | 1000946 |
|  |  | 1824735 |
| Industrial Conglomerates - 0.8% |  |  |
| Honeywell International Inc  | 4790 | 1089821 |
| Machinery - 0.0% |  |  |
| Caterpillar Inc  | 280 | 184060 |
| Trading Companies & Distributors - 0.4% |  |  |
| Applied Industrial Technologies Inc  | 392 | 102081 |
| Ferguson Enterprises Inc  | 1261 | 318352 |
| Rush Enterprises Inc Class A  | 2231 | 143208 |
|  |  | 563641 |
| TOTAL INDUSTRIALS |  | 14807415 |
| Information Technology - 33.5% |  |  |
| Communications Equipment - 0.9% |  |  |
| Cisco Systems Inc  | 18174 | 1423388 |
| Electronic Equipment, Instruments & Components - 1.3% |  |  |
| Amphenol Corp Class A  | 6933 | 998907 |
| Itron Inc (b) | 82 | 8124 |
| Keysight Technologies Inc (b) | 1404 | 303727 |
| Zebra Technologies Corp Class A (b) | 2207 | 518601 |
|  |  | 1829359 |
| Semiconductors & Semiconductor Equipment - 15.2% |  |  |
| Advanced Micro Devices Inc (b) | 867 | 205245 |
| Analog Devices Inc  | 2649 | 823521 |
| Broadcom Inc  | 13240 | 4386412 |
| Cirrus Logic Inc (b) | 3262 | 425169 |
| Intel Corp (b) | 13917 | 646723 |
| Lam Research Corp  | 5016 | 1171035 |
| Micron Technology Inc  | 3629 | 1505600 |
| NVIDIA Corp (c) | 59009 | 11278390 |
| Qorvo Inc (b) | 1470 | 114822 |
| QUALCOMM Inc  | 7124 | 1079927 |
|  |  | 21636844 |
| Software - 8.6% |  |  |
| Adobe Inc (b) | 3388 | 993531 |
| Alarm.com Holdings Inc (b) | 8698 | 424288 |
| Atlassian Corp Class A (b) | 1083 | 127989 |
| Docusign Inc (b) | 1403 | 73714 |
| Fortinet Inc (b) | 10133 | 823408 |
| Microsoft Corp (c) | 16923 | 7281798 |
| Palantir Technologies Inc Class A (b) | 3800 | 557042 |
| Salesforce Inc (c) | 5514 | 1170567 |
| Tenable Holdings Inc (b) | 12366 | 272794 |
| Teradata Corp (b) | 42 | 1198 |
| Zoom Communications Inc Class A (b) | 5134 | 472841 |
|  |  | 12199170 |
| Technology Hardware, Storage & Peripherals - 7.5% |  |  |
| Apple Inc (c) | 36609 | 9499303 |
| NetApp Inc  | 2981 | 287219 |
| Western Digital Corp  | 3573 | 894072 |
|  |  | 10680594 |
| TOTAL INFORMATION TECHNOLOGY |  | 47769355 |
| Materials - 1.4% |  |  |
| Chemicals - 0.5% |  |  |
| Ecolab Inc  | 2849 | 803389 |
| Metals & Mining - 0.9% |  |  |
| Commercial Metals Co  | 9638 | 740874 |
| Newmont Corp  | 1581 | 177625 |
| Nucor Corp  | 1835 | 326116 |
|  |  | 1244615 |
| TOTAL MATERIALS |  | 2048004 |
| Real Estate - 1.9% |  |  |
| Health Care REITs - 0.7% |  |  |
| Welltower Inc  | 5142 | 968547 |
| Real Estate Management & Development - 0.0% |  |  |
| Compass Inc Class A (b) | 2166 | 27118 |
| Retail REITs - 0.6% |  |  |
| Simon Property Group Inc  | 4223 | 807902 |
| Specialized REITs - 0.6% |  |  |
| Lamar Advertising Co Class A  | 517 | 66336 |
| Outfront Media Inc  | 3203 | 77897 |
| VICI Properties Inc  | 25494 | 715872 |
|  |  | 860105 |
| TOTAL REAL ESTATE |  | 2663672 |
| Utilities - 0.8% |  |  |
| Electric Utilities - 0.6% |  |  |
| NextEra Energy Inc  | 9310 | 818349 |
| NRG Energy Inc  | 689 | 105162 |
|  |  | 923511 |
| Multi-Utilities - 0.2% |  |  |
| Sempra  | 3626 | 315497 |
| TOTAL UTILITIES |  | 1239008 |
| TOTAL UNITED STATES |  | 139311469 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $132,159,310) |  | <br> **139565599** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 0.2%** |
|  | Yield (%) (d) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 2/26/2026 (e) | 3.71 to 3.75 | 40000 | 39903 |
| US Treasury Bills 0% 3/19/2026 (e) | 3.56 | 160000 | 159275 |
| US Treasury Bills 0% 4/16/2026 (e) | 3.60 | 70000 | 69490 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $268,661) |  |  | **268668** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 3.4%** | &nbsp;&nbsp;**Money Market Funds - 3.4%** | &nbsp;&nbsp;**Money Market Funds - 3.4%** | &nbsp;&nbsp;**Money Market Funds - 3.4%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (f)<br>(Cost $4,907,986)<br>| 3.70 | 4907004 | **4907986** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 101.5%**<br> (Cost $137,335,957)<br>| <br>**144742253** |
| **NET OTHER ASSETS (LIABILITIES) - (1.5)%**  | **(2184762)** |
| **NET ASSETS - 100.0%** | **142557491** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Equity Contracts |  |  |  |  |
| CME E-Mini S&P 500 Index Contracts (United States) | 82 | 3/2026 | 2855958 | 54942 |
| The notional amount of long futures as a percentage of Net Assets is 2.0%. | The notional amount of long futures as a percentage of Net Assets is 2.0%. | The notional amount of long futures as a percentage of Net Assets is 2.0%. | The notional amount of long futures as a percentage of Net Assets is 2.0%. | The notional amount of long futures as a percentage of Net Assets is 2.0%. |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** | **Written Options** |
|  | Counterparty | Number<br> of Contracts | Notional<br> Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Call Options |  |  |  |  |  |  |
| S&P 500 Index | Chicago Board Options Exchange | 49 | 34001247 | 7090.00 | 2/2026 | (12250) |
| S&P 500 Index | Chicago Board Options Exchange | 49 | 34001247 | 7100.00 | 2/2026 | (53900) |
| S&P 500 Index | Chicago Board Options Exchange | 50 | 34695150 | 7040.00 | 2/2026 | (200750) |
| S&P 500 Index | Chicago Board Options Exchange | 49 | 34001247 | 7070.00 | 2/2026 | (228340) |
|  |  |  |  |  |  | (495240) |
| **TOTAL WRITTEN OPTIONS** |  |  |  |  |  | **(495240)** |

---

**Legend**

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

(b) Non-income producing.

(c) Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $27,357,595.

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

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $258,692.

(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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | 88824 | 26231991 | 21413279 | 44687 | 450 | - | 4907986 | 4907004 | 0.0% |
| Total | 88824 | 26231991 | 21413279 | 44687 | 450 | - | 4907986 |  |  |

---

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, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 16983218 | 16983218 | - | - |
| Consumer Discretionary | 14410827 | 14410827 | - | - |
| Consumer Staples | 4130902 | 4130902 | - | - |
| Energy | 3808380 | 3808380 | - | - |
| Financials | 19497774 | 19497774 | - | - |
| Health Care | 12099513 | 12099513 | - | - |
| Industrials | 14807415 | 14807415 | - | - |
| Information Technology | 47769355 | 47769355 | - | - |
| Materials | 2155535 | 2155535 | - | - |
| Real Estate | 2663672 | 2663672 | - | - |
| Utilities | 1239008 | 1239008 | - | - |
|  **U.S. Treasury Obligations** | 268668 | - | 268668 | - |
|  **Money Market Funds** | 4907986 | 4907986 | - | - |
| **Total Investments in Securities:** | 144742253 | 144473585 | 268668 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 54942 | 54942 | - | - |
| Total Assets | 54942 | 54942 | - | - |
|  **Liabilities** |  |  |  |  |
| Written Options | (495240) | (495240) | - | - |
| Total Liabilities | (495240) | (495240) | - | - |
| **Total Derivative Instruments:** | (440298) | (440298) | - | - |

---

**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, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 54942 | - |
| Written Options (b)  | - | (495240) |
| **Total Equity Risk**  | 54942 | (495240) |
| **Total Value of Derivatives** | 54942 | (495240) |

---

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

(b)Gross value is presented in the Statement of Assets and Liabilities in the written options, at value line-item.

**Fidelity® Yield Enhanced Equity ETF**

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of January 31, 2026** | **As of January 31, 2026** | **As of January 31, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $132,427,971) | $139834267 |  |
| Fidelity Central Funds (cost $4,907,986) | 4907986 |  |
| Total Investment in Securities (cost $137,335,957) |  | $144742253 |
| Receivable for investments sold |  | 1878874 |
| Dividends receivable |  | 91288 |
| Distributions receivable from Fidelity Central Funds |  | 12751 |
| Receivable from investment adviser for expense reductions |  | 4285 |
| **Total assets** |  | 146729451 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $3662154 |  |
| Payable for daily variation margin on futures contracts | 14566 |  |
| Written options, at value (premium received $792,880) | 495240 |  |
| **Total liabilities** |  | 4171960 |
| **Net Assets**  |  | $142557491 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $135180452 |
| Total accumulated earnings (loss) |  | 7377039 |
| **Net Assets** |  | $142557491 |
| **Net Asset Value**, offering price and redemption price per share ($142,557,491 ÷ 4,900,000 shares) |  | $29.09 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** |
| **Investment Income** |  |  |
| Dividends  |  | $542390 |
| Interest  |  | 4196 |
| Income from Fidelity Central Funds  |  | 44687 |
| **Total income** |  | 591273 |
| **Expenses** |  |  |
| Management fee | $132089 |  |
| Independent trustees' fees and expenses | 12321 |  |
| Total expenses before reductions | 144410 |  |
| Expense reductions | (125353) |  |
| Total expenses after reductions |  | 19057 |
| **Net Investment income (loss)** |  | 572216 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (569780) |  |
| Redemptions in-kind | 317320 |  |
| Fidelity Central Funds | 450 |  |
| Futures contracts | 77312 |  |
| Written options | 1606879 |  |
| Total net realized gain (loss) |  | 1432181 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 6556701 |  |
| Futures contracts | 54942 |  |
| Written options | 295406 |  |
| Total change in net unrealized appreciation (depreciation) |  | 6907049 |
| **Net gain (loss)** |  | 8339230 |
| **Net increase (decrease) in net assets resulting from operations** |  | $8911446 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **January 31, 2026** | **For the period April 9, 2024 (commencement of operations) through January 31, 2025**  |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $572216 | $50642 |
| &nbsp;&nbsp;Net realized gain (loss) | 1432181<br>| 1564<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 6907049 | 851829<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 8911446<br>| 904035<br>|
| Distributions to shareholders | (2370327)<br>| (67422)<br>|
| Distributions to shareholders from tax return of capital | (1472423)<br>| (272653)<br>|
| **Total Distributions** | (3842750)<br>| (340075)<br>|
| Share transactions |  |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 141867373 | 7650172 |
| &nbsp;&nbsp;Cost of shares redeemed | (12592710) | - |
| **Net increase (decrease) in net assets resulting from share transactions** | 129274663<br>| 7650172<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 134343359<br>| 8214132<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 8214132 | -<br>|
| &nbsp;&nbsp;End of period | $142557491 | $8214132 |
| **Other Information** |  |  |
| Shares |  |  |
| &nbsp;&nbsp;Sold | 5050000 | 300000 |
| &nbsp;&nbsp;Redeemed | (450000) | - |
| &nbsp;&nbsp;Net increase (decrease) | 4600000 | 300000 |

---

**Financial Highlights** 

**Fidelity® Yield Enhanced Equity ETF** <br>

---

| | | |
|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $27.38 | $24.99 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .34  | .21  |
| Net realized and unrealized gain (loss)  | 3.40  | 3.64  |
| Total from investment operations  | 3.74  | 3.85  |
| Distributions from net investment income  | (.90) D | (.22) D |
| Distributions from net realized gain  | (.35) D | (.07) D |
| Distributions from tax return of capital  | (.78) | (1.17) |
| Total distributions  | (2.03)  | (1.46)  |
| Net asset value, end of period  | $29.09 | $27.38 |
| **Total Return** E,F,G | 14.60% <br>| 15.78%  |
| **Ratios to Average Net Assets** C,H,I |  |  |
| Expenses before reductions  | .31%  | .32% J |
| Expenses net of fee waivers, if any  | .04% <br>| .28% J |
| Expenses net of all reductions, if any  | .04%  | .27% J |
| Net investment income (loss)  | 1.21%  | 1.02% J |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $142557 | $8214 |
| Portfolio turnover rate K,L | 90% <br>| 101% J |

---

A*For the period April 9, 2024 (commencement of operations) through January 31, 2025.*

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

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

D*The amount shown reflects reclassifications related to book to tax differences that were made in the year shown.*

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

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

G*Based on net asset value.*

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

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

J*Annualized.*

K*Portfolio turnover rate excludes securities received or delivered in-kind.*

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

**Notes to Financial Statements**

For the period ended January 31, 2026

**1. Organization.**

Fidelity Dynamic Buffered Equity ETF, Fidelity Hedged Equity ETF and Fidelity Yield Enhanced Equity ETF (the Funds) are exchange-traded funds of Fidelity Greenwood Street Trust (the Trust) and are authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.

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

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

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

---

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

---

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

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

**3. Significant Accounting Policies.**

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

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

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

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

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

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

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

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

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

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

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2026 is included at the end of each Fund's Schedule of Investments.

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

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

**Income Tax Information and Distributions to Shareholders.** Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of January 31, 2026, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each 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. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Realized gain or loss resulting from in-kind redemptions is not taxable to the Funds and is not distributed to shareholders of the Funds.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences resulted in distribution reclassifications for the period ended January 31, 2026.

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

Book-tax differences are primarily due to futures contracts, options, redemptions in-kind, capital loss carryforwards and losses deferred due to wash sales.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Tax cost ($)** | **Gross unrealized appreciation ($)** | **Gross unrealized depreciation ($)** | **Net unrealized appreciation (depreciation) ($)** |
| **Fidelity Dynamic Buffered Equity ETF**  | 15978770 | 3070223 | (387293) | 2682930 |
| **Fidelity Hedged Equity ETF** | 721036761 | 133720903 | (18310762) | 115410141 |
| **Fidelity Yield Enhanced Equity ETF**  | 136572334 | 11525860 | (4148821) | 7377039 |

---

For the applicable period(s) ended January 31, 2026 and January 31, 2025, Fidelity Yield Enhanced Equity ETF distributions exceeded the aggregate amount of taxable income and net realized gains resulting in a return of capital for tax purposes. This was due to reductions in taxable income available for distribution after certain distributions had been made.

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

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| | | | |
|:---|:---|:---|:---|
|  | **Undistributed ordinary income ($)** | **Capital loss carryforward ($)** | **Net unrealized appreciation (depreciation) on securities and other investments ($)** |
| **Fidelity Dynamic Buffered Equity ETF**  | 14366 | (177721) | 2682930 |
| **Fidelity Hedged Equity ETF** | 617975 | (25064284) | 115410141 |
| **Fidelity Yield Enhanced Equity ETF**  | - | - | 7377039 |

---

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Short-term ($)** | **Long-term ($)** | **Total capital loss carryforward ($)** |
| **Fidelity Dynamic Buffered Equity ETF**  | - | (177721) | (177721) |
| **Fidelity Hedged Equity ETF** | (6653410) | (18410874) | (25064284) |

---

The tax character of distributions paid was as follows:

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| | | | | |
|:---|:---|:---|:---|:---|
| **January 31, 2026** |  |  |  |  |
|  | **Ordinary Income ($)** | **Long-term Capital Gains ($)** | **Tax Return of Capital ($)** | **Total ($)** |
| **Fidelity Dynamic Buffered Equity ETF**  | 82150 | - | - | 82150 |
| **Fidelity Hedged Equity ETF** | 3497000 | - | - | 3497000 |
| **Fidelity Yield Enhanced Equity ETF**  | 1128963 | 1241364 | 1472423 | 3842750 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| **January 31, 2025A** |  |  |  |  |
|  | **Ordinary Income ($)** | **Long-term Capital Gains ($)** | **Tax Return of Capital ($)** | **Total ($)** |
| **Fidelity Dynamic Buffered Equity ETF**  | 45950 | - | - | 45950 |
| **Fidelity Hedged Equity ETF** | 2372250 | - | - | 2372250 |
| **Fidelity Yield Enhanced Equity ETF**  | 67422 | - | 272653 | 340075 |

---

*A For the period April 9, 2024 (commencement of operations) through January 31, 2025.*

**4. Derivative Instruments.**

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

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

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

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

---

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

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

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

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| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss) ($)** | **Change in Net Unrealized Appreciation (Depreciation) ($)** |
| **Fidelity Dynamic Buffered Equity ETF** |  |  |
| **Equity Risk** |  |  |
| Futures Contracts | 18750 | 5516 |
| Purchased Options | (129652) | (27949) |
| Written Options | &nbsp;&nbsp;&nbsp;&nbsp; <u>(56998)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>42063</u> |
| **Total Equity Risk** | <u>(167900)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>19630</u> |
| Totals | <u>(167900)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>19630</u> |
| **Fidelity Hedged Equity ETF** |  |  |
| **Equity Risk** |  |  |
| Futures Contracts | 565966 | 185834 |
| Purchased Options | <u>(20621269)</u> | <u>(1644551)</u> |
| **Total Equity Risk** | <u>(20055303)</u> | <u>(1458717)</u> |
| Totals | <u>(20055303)</u> | <u>(1458717)</u> |
| **Fidelity Yield Enhanced Equity ETF** |  |  |
| **Equity Risk** |  |  |
| Futures Contracts | 77312 | 54942 |
| Written Options | <u>1606879</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>295406</u> |
| **Total Equity Risk** | <u>1684191</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>350348</u> |
| Totals | <u>1684191</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>350348</u> |

---

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

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

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

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

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

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

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

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

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| | | |
|:---|:---|:---|
|  | **Type** | **Average Notional Amount ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | Purchased Options | 7767620 |
| **Fidelity Dynamic Buffered Equity ETF** | Written Options | 11941355 |
| **Fidelity Hedged Equity ETF** | Purchased Options | 984510226 |
| **Fidelity Yield Enhanced Equity ETF** | Written Options | 50797684 |

---

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, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

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| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | 11604472 | 9293177 |
| **Fidelity Hedged Equity ETF** | 479319409 | 421886901 |
| **Fidelity Yield Enhanced Equity ETF** | 52812801 | 35122093 |

---

Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.

---

| | | |
|:---|:---|:---|
|  | **In-Kind Subscriptions ($)** | **In-Kind Redemptions ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | 11373041 | 6849851 |
| **Fidelity Hedged Equity ETF** | 484648567 | 209131835 |
| **Fidelity Yield Enhanced Equity ETF** | 117989027 | 10571142 |

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

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) provides the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of each Fund's average net assets as noted in the table below. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

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| | |
|:---|:---|
|  | **Fee Rate** |
| **Fidelity Dynamic Buffered Equity ETF** | .48% |
| **Fidelity Hedged Equity ETF** | .48% |
| **Fidelity Yield Enhanced Equity ETF** | .28% |

---

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

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| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | 95 |
| **Fidelity Hedged Equity ETF** | 3366 |
| **Fidelity Yield Enhanced Equity ETF** | 104 |

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

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| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | 510107 | 136265 | 3370 |
| **Fidelity Hedged Equity ETF** | 11804814 | 9056927 | 1286864 |
| **Fidelity Yield Enhanced Equity ETF** | 1392387 | 718933 | (22313) |

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**7. Security Lending.** 

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

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| | | | |
|:---|:---|:---|:---|
|  | **Total Security Lending Fees Paid to NFS ($)** | **Security Lending Income From Securities Loaned to NFS ($)** | **Value of Securities Loaned to NFS at Period End ($)** |
| **Fidelity Hedged Equity ETF** | 14 | - | - |

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At period end, the value of any non-cash collateral is presented below. Non-cash collateral is held by a third-party bank for the benefit of a fund and the borrower. A fund is not permitted to sell or re-pledge non-cash collateral except in the event of borrower default, and therefore it is not included in the Schedule of Investments or Statement of Assets and Liabilities.

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| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Hedged Equity ETF** | 172450 |

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**8. Expense Reductions.** 

Effective September 1, 2025, the investment adviser has contractually agreed to waive Fidelity Yield Enhanced Equity ETF's management fee on the first $250 million of assets. During the period, this waiver reduced management fee as presented in the table below.

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| | | |
|:---|:---|:---|
|  | **Expiration Date** | **Waiver ($)** |
| **Fidelity Yield Enhanced Equity ETF** | August 31, 2026 | 111623 |

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The investment adviser contractually agreed to reimburse expenses of each Fund to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. This reimbursement will remain in place through May 31, 2027. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following Funds were in reimbursement during the period:

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| | | |
|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** |
| **Fidelity Dynamic Buffered Equity ETF** | .48% | 4503 |
| **Fidelity Hedged Equity ETF** | .48% | 195110 |
| **Fidelity Yield Enhanced Equity ETF** | .28% | 13170 |

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Through arrangements with each applicable Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.

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| | |
|:---|:---|
|  | **Custodian credits ($)** |
| **Fidelity Dynamic Buffered Equity ETF**  | 605 |
| **Fidelity Hedged Equity ETF**  | 4867 |
| **Fidelity Yield Enhanced Equity ETF**  | 560 |

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**9. Share Transactions.**

Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities to a fund and redemption proceeds are paid with a basket of securities from a fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.

**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.

**11. Risk and Uncertainties.**

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

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Greenwood Street Trust and the Shareholders of Fidelity Dynamic Buffered Equity ETF, Fidelity Hedged Equity ETF, and Fidelity Yield Enhanced Equity ETF:

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

We have audited the accompanying statements of assets and liabilities of Fidelity Dynamic Buffered Equity ETF, Fidelity Hedged Equity ETF, and Fidelity Yield Enhanced Equity ETF (the "Funds"), each a fund of Fidelity Greenwood Street Trust, including the schedules of investments, as of January 31, 2026, the related statements of operations for the year then ended, and the statements of changes in net assets and financial highlights for the year then ended and for the period from April 9, 2024 (commencement of operations) through January 31, 2025, and the related notes (collectively referred to as the "financial statements and financial highlights"). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of January 31, 2026, and the results of their operations for the year then ended, and the changes in their net assets and the financial highlights for the year then ended and for the period from April 9, 2024 (commencement of operations) through January 31, 2025, 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 Funds' management. Our responsibility is to express an opinion on the Funds' financial statements and financial highlights based on our audits. 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 Funds 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 audits 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 Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, 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 Funds' internal control over financial reporting. Accordingly, we express no such opinion.

Our audits 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 audits 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, 2026, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

March 17, 2026

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

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

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

The funds hereby designate as capital gain dividend the amounts noted below for the taxable year ended January 31, 2026, or, if subsequently determined to be different, the net capital gain of such year:

---

| | |
|:---|:---|
| **Fidelity Yield Enhanced Equity ETF** | $1241363 |

---

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

---

| | |
|:---|:---|
| **Fidelity Dynamic Buffered Equity ETF** |  |
| March 2025 | 100% |
| June 2025 | 100% |
| September 2025 | 100% |
| December 2025 | 100% |
| <br> **Fidelity Hedged Equity ETF** |  |
| March 2025 | 100% |
| June 2025 | 100% |
| September 2025 | 100% |
| December 2025 | 100% |
| <br> **Fidelity Yield Enhanced Equity ETF** |  |
| March 2025 | 30% |
| June 2025 | 30% |
| September 2025 | 30% |
| December 2025 | 30% |

---

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

---

| | |
|:---|:---|
| **Fidelity Dynamic Buffered Equity ETF** |  |
| March 2025 | 100% |
| June 2025 | 100% |
| September 2025 | 100% |
| December 2025 | 100% |
| <br> **Fidelity Hedged Equity ETF** |  |
| March 2025 | 100% |
| June 2025 | 100% |
| September 2025 | 100% |
| December 2025 | 100% |
| <br> **Fidelity Yield Enhanced Equity ETF** |  |
| March 2025 | 30.11% |
| June 2025 | 30.11% |
| September 2025 | 30.11% |
| December 2025 | 30.11% |

---

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

---

| | |
|:---|:---|
| <br> **Fidelity Yield Enhanced Equity ETF** |  |
| March 2025 | 1.87% |
| June 2025 | 1.87% |
| September 2025 | 1.87% |
| December 2025 | 1.87% |

---

The funds hereby designate the amounts noted below as distributions paid during the fiscal year ended 2026 as qualifying to be taxed as section 163(j) interest dividends:

---

| | |
|:---|:---|
| **Fidelity Yield Enhanced Equity ETF** | $33408 |

---

The funds will notify shareholders in January 2027 of amounts for use in preparing 2026 income tax returns.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

**Board Approval of Investment Advisory Contracts**

**Fidelity Dynamic Buffered Equity ETF**

**Fidelity Hedged Equity ETF**

**Fidelity Yield Enhanced Equity ETF**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of each fund's management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements (together, the Advisory Contracts) for each fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of each fund's Advisory Contracts, including the services and support provided to each fund and its shareholders. The Board requests and receives information related to the annual consideration of the renewal of each fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts.

At its November 2025 meeting, the Board unanimously determined to renew each fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to each fund and its shareholders (including the investment performance of each fund); (ii) the competitiveness relative to peer funds of each fund's management fee and the total expense ratio; (iii) the total costs of the services provided by and the profits realized by FDS and its affiliates (Fidelity) from its relationships with each fund; and (iv) the extent to which, if any, economies of scale exist and are realized as each fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor and the factors may have been weighed differently by individual Trustees.

**Nature, Extent, and Quality of Services Provided**. The Board considered staffing as it relates to each fund, including the backgrounds and experience of investment personnel of the Investment Advisers, and also considered the Investment Advisers' implementation of each fund's investment program.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' staff, such as size, education, experience, and resources, as well as the Investment Advisers' approach to recruiting, training, managing, and compensating investment personnel. The Board noted that Fidelity's analysts have extensive resources, tools, and capabilities that allow them to conduct quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that the Investment Advisers' investment professionals have sufficient access to 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, and to transmit new information and research conclusions rapidly. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, 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 and pricing and bookkeeping services for each fund. The Board also considered the nature and extent of the supervision of third-party service providers, principally State Street Bank and Trust Company, each fund's transfer agent and custodian, and pricing vendors; The Board also considered each fund's securities lending activities and any payments made to Fidelity relating to securities lending under a separate agreement.

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 Board took into account discussions that occur with representatives of the Investment Advisers, and reports that it receives, at Board meetings throughout the year, relating to fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considered annualized return information for each fund for different time periods, measured against an appropriate index (benchmark index). The Board also considered information about performance attribution. In its ongoing evaluation of fund investment performance, the Board gives particular attention to information indicating changes in performance of the funds over different time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.

Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to each fund under the Advisory Contracts should benefit the shareholders of each fund.

**Competitiveness of Management Fee and Total Expense Ratio.** In its review of each fund's management fee and total expense ratio, the Board considered the fund's all-inclusive (subject to certain limited exceptions) fee rate. The Board also considered other expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees, paid by FDS under the all-inclusive arrangement. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for each fund.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) of each fund relative to the funds and classes in the total peer group; and (ii) total expense comparisons of each fund relative to funds and classes in the total peer group.

The information provided to the Board indicated that the management fee rate and total expense ratio of each fund ranked below the competitive median of the total peer group for the 12-month period ended March 31, 2025.

<u>Other Contractual Arrangements</u>. The Board further considered that FDS has contractually agreed to reimburse Fidelity Dynamic Buffered Equity ETF, Fidelity Hedged Equity ETF, and Fidelity Yield Enhanced Equity ETF to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets, exceed 0.48%, 0.48%, and 0.28%, respectively, through May 31, 2026.

The Board also noted that, effective September 1, 2025, the Adviser has contractually agreed to waive Fidelity Yield Enhanced Equity ETF's management fee on the first $250 million of the fund's assets through August 31, 2026.

<u>Fees Charged to Other Fidelity Clients</u>. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity other than the funds, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review, the Board concluded that each fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered. Further, based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that each fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and servicing each fund's shareholders. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds the Board oversees. The Board noted that the profitability information reflects the relatively small size of the funds overseen by the Board and their short history.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with each fund. Fidelity calculates profitability information for each Fidelity fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Board reviews any significant changes from the prior year's methodologies.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist.

The Board considered the costs of the services provided by and the lack of meaningful operating margins realized by Fidelity in connection with the operation of the funds overseen by the Board and was satisfied that the profitability was not excessive.

**Economies of Scale.** The Board will consider economies of scale when there is sufficient operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee had been set initially at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that each fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.

**Conclusion.** Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances, and that each fund's Advisory Contracts should be approved through November 30, 2026.

![](img125406_4.jpg)<br>

1.9911147.101 HBE-ANN-0426

**Fidelity® Equity Market Neutral Fund**

**Annual Report**

**January 31, 2026**

Includes Fidelity and Fidelity Advisor share classes

![](img125407_1.jpg)

![](img125407_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_EMN-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Equity Market Neutral Fund](#Sub_Sec_Fund_7601_EMN-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements7601_EMN-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_EMN-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_EMN-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_EMN-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_EMN-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_EMN-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_EMN-ANN)** |

---

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.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® Equity Market Neutral Fund**

**Schedule of Investments January 31, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 82.6%** | &nbsp;&nbsp;**Common Stocks - 82.6%** | &nbsp;&nbsp;**Common Stocks - 82.6%** |
|  | Shares | Value ($)<br>|
| AUSTRALIA - 3.0%  |  |  |
| Materials - 3.0% |  |  |
| Chemicals - 1.3% |  |  |
| Orica Ltd  | 13482 | 241464 |
| Metals & Mining - 1.7% |  |  |
| BHP Group Ltd (United Kingdom)  | 9247 | 320757 |
| TOTAL AUSTRALIA |  | 562221 |
| BERMUDA - 1.2%  |  |  |
| Financials - 1.2% |  |  |
| Insurance - 1.2% |  |  |
| RenaissanceRe Holdings Ltd  | 786 | 221416 |
| CANADA - 4.2%  |  |  |
| Consumer Discretionary - 1.3% |  |  |
| Automobile Components - 0.7% |  |  |
| Magna International Inc  | 2343 | 119779 |
| Specialty Retail - 0.6% |  |  |
| Aritzia Inc Subordinate Voting Shares (a) | 1454 | 114609 |
| TOTAL CONSUMER DISCRETIONARY |  | 234388 |
| Financials - 1.7% |  |  |
| Banks - 1.7% |  |  |
| Royal Bank of Canada  | 1884 | 313693 |
| Materials - 1.2% |  |  |
| Containers & Packaging - 1.2% |  |  |
| CCL Industries Inc Class B  | 3825 | 230514 |
| TOTAL CANADA |  | 778595 |
| CHINA - 2.8%  |  |  |
| Consumer Discretionary - 0.9% |  |  |
| Broadline Retail - 0.9% |  |  |
| PDD Holdings Inc Class A ADR (a) | 1709 | 172694 |
| Industrials - 0.5% |  |  |
| Ground Transportation - 0.5% |  |  |
| Full Truck Alliance Co Ltd ADR  | 9368 | 92743 |
| Real Estate - 1.4% |  |  |
| Real Estate Management & Development - 1.4% |  |  |
| China Overseas Land & Investment Ltd  | 140000 | 251610 |
| TOTAL CHINA |  | 517047 |
| FINLAND - 1.1%  |  |  |
| Industrials - 1.1% |  |  |
| Machinery - 1.1% |  |  |
| Kone Oyj B Shares  | 2829 | 203280 |
| FRANCE - 4.7%  |  |  |
| Energy - 1.0% |  |  |
| Oil, Gas & Consumable Fuels - 1.0% |  |  |
| TotalEnergies SE  | 2496 | 180920 |
| Financials - 2.4% |  |  |
| Banks - 1.3% |  |  |
| BNP Paribas SA  | 2210 | 238974 |
| Insurance - 1.1% |  |  |
| SCOR SE  | 6274 | 204514 |
| TOTAL FINANCIALS |  | 443488 |
| Industrials - 0.8% |  |  |
| Building Products - 0.8% |  |  |
| Cie de Saint-Gobain SA  | 1488 | 146874 |
| Materials - 0.5% |  |  |
| Chemicals - 0.5% |  |  |
| Air Liquide SA  | 473 | 88575 |
| TOTAL FRANCE |  | 859857 |
| GERMANY - 1.5%  |  |  |
| Health Care - 1.5% |  |  |
| Health Care Providers & Services - 1.5% |  |  |
| Fresenius SE & Co KGaA  | 5071 | 283775 |
| IRELAND - 0.7%  |  |  |
| Industrials - 0.7% |  |  |
| Building Products - 0.7% |  |  |
| Kingspan Group PLC  | 1449 | 126242 |
| ITALY - 1.7%  |  |  |
| Consumer Discretionary - 0.4% |  |  |
| Household Durables - 0.4% |  |  |
| De' Longhi SpA  | 1787 | 78798 |
| Financials - 1.3% |  |  |
| Financial Services - 1.3% |  |  |
| Nexi SpA (b)(c) | 55897 | 238858 |
| TOTAL ITALY |  | 317656 |
| JAPAN - 1.9%  |  |  |
| Consumer Discretionary - 0.7% |  |  |
| Automobile Components - 0.7% |  |  |
| Nifco Inc/Japan  | 3900 | 121062 |
| Consumer Staples - 1.2% |  |  |
| Household Products - 1.2% |  |  |
| Lion Corp  | 21000 | 224845 |
| TOTAL JAPAN |  | 345907 |
| KOREA (SOUTH) - 5.8%  |  |  |
| Communication Services - 0.8% |  |  |
| Diversified Telecommunication Services - 0.8% |  |  |
| KT Corp  | 3779 | 148343 |
| Information Technology - 5.0% |  |  |
| Semiconductors & Semiconductor Equipment - 2.6% |  |  |
| SK Hynix Inc  | 758 | 474949 |
| Technology Hardware, Storage & Peripherals - 2.4% |  |  |
| Samsung Electronics Co Ltd  | 3933 | 435123 |
| TOTAL INFORMATION TECHNOLOGY |  | 910072 |
| TOTAL KOREA (SOUTH) |  | 1058415 |
| NORWAY - 1.4%  |  |  |
| Financials - 1.4% |  |  |
| Insurance - 1.4% |  |  |
| Storebrand ASA A Shares  | 15252 | 266857 |
| SPAIN - 2.8%  |  |  |
| Consumer Discretionary - 2.0% |  |  |
| Specialty Retail - 2.0% |  |  |
| Industria de Diseno Textil SA  | 5555 | 361465 |
| Industrials - 0.8% |  |  |
| Machinery - 0.8% |  |  |
| Fluidra SA  | 5626 | 163518 |
| TOTAL SPAIN |  | 524983 |
| SWEDEN - 1.1%  |  |  |
| Consumer Discretionary - 1.1% |  |  |
| Automobile Components - 1.1% |  |  |
| Autoliv Inc  | 1707 | 206957 |
| SWITZERLAND - 2.1%  |  |  |
| Consumer Discretionary - 1.6% |  |  |
| Textiles, Apparel & Luxury Goods - 1.6% |  |  |
| Cie Financiere Richemont SA Series A  | 1561 | 303005 |
| Materials - 0.5% |  |  |
| Chemicals - 0.5% |  |  |
| DSM-Firmenich AG  | 1119 | 88237 |
| TOTAL SWITZERLAND |  | 391242 |
| TAIWAN - 2.6%  |  |  |
| Communication Services - 0.5% |  |  |
| Wireless Telecommunication Services - 0.5% |  |  |
| Far EasTone Telecommunications Co Ltd  | 34000 | 95650 |
| Information Technology - 2.1% |  |  |
| Semiconductors & Semiconductor Equipment - 2.1% |  |  |
| Taiwan Semiconductor Manufacturing Co Ltd  | 7000 | 385907 |
| TOTAL TAIWAN |  | 481557 |
| THAILAND - 1.5%  |  |  |
| Consumer Staples - 1.5% |  |  |
| Consumer Staples Distribution & Retail - 1.5% |  |  |
| CP ALL PCL  | 196800 | 271341 |
| UNITED KINGDOM - 5.4%  |  |  |
| Communication Services - 0.8% |  |  |
| Interactive Media & Services - 0.8% |  |  |
| Autotrader Group PLC (b)(c) | 18934 | 139571 |
| Financials - 2.2% |  |  |
| Banks - 2.2% |  |  |
| Standard Chartered PLC  | 15181 | 388428 |
| Health Care - 1.2% |  |  |
| Health Care Equipment & Supplies - 1.2% |  |  |
| Convatec Group PLC (b)(c) | 70325 | 221327 |
| Industrials - 1.2% |  |  |
| Professional Services - 1.2% |  |  |
| RELX PLC  | 6302 | 223419 |
| TOTAL UNITED KINGDOM |  | 972745 |
| UNITED STATES - 37.1%  |  |  |
| Communication Services - 1.6% |  |  |
| Interactive Media & Services - 1.6% |  |  |
| Meta Platforms Inc Class A  | 405 | 290183 |
| Consumer Discretionary - 4.1% |  |  |
| Automobile Components - 0.7% |  |  |
| LCI Industries  | 938 | 137595 |
| Hotels, Restaurants & Leisure - 2.2% |  |  |
| Carnival Corp (a) | 3411 | 102398 |
| Expedia Group Inc Class A  | 1141 | 302183 |
|  |  | 404581 |
| Specialty Retail - 1.2% |  |  |
| Floor & Decor Holdings Inc Class A (a) | 3331 | 219713 |
| TOTAL CONSUMER DISCRETIONARY |  | 761889 |
| Consumer Staples - 2.3% |  |  |
| Consumer Staples Distribution & Retail - 2.3% |  |  |
| Dollar General Corp  | 1414 | 202810 |
| Dollar Tree Inc (a) | 1937 | 227772 |
| TOTAL CONSUMER STAPLES |  | 430582 |
| Energy - 0.8% |  |  |
| Energy Equipment & Services - 0.8% |  |  |
| Valaris Ltd (a) | 2547 | 147038 |
| Financials - 9.5% |  |  |
| Banks - 5.2% |  |  |
| Comerica Inc  | 1526 | 135310 |
| JPMorgan Chase & Co  | 816 | 249606 |
| Wells Fargo & Co  | 3001 | 271561 |
| Zions Bancorp NA  | 4962 | 297274 |
|  |  | 953751 |
| Capital Markets - 3.2% |  |  |
| Morgan Stanley  | 1915 | 350062 |
| Tradeweb Markets Inc Class A  | 2329 | 240050 |
|  |  | 590112 |
| Financial Services - 1.1% |  |  |
| Apollo Global Management Inc  | 1457 | 196025 |
| TOTAL FINANCIALS |  | 1739888 |
| Health Care - 4.2% |  |  |
| Health Care Equipment & Supplies - 2.5% |  |  |
| Boston Scientific Corp (a) | 3040 | 284332 |
| Insulet Corp (a) | 682 | 174462 |
|  |  | 458794 |
| Pharmaceuticals - 1.7% |  |  |
| Bristol-Myers Squibb Co  | 5861 | 322648 |
| TOTAL HEALTH CARE |  | 781442 |
| Industrials - 4.9% |  |  |
| Aerospace & Defense - 2.0% |  |  |
| L3Harris Technologies Inc  | 1087 | 372678 |
| Air Freight & Logistics - 1.4% |  |  |
| FedEx Corp  | 777 | 250388 |
| Building Products - 0.5% |  |  |
| Fortune Brands Innovations Inc  | 1762 | 95324 |
| Electrical Equipment - 1.0% |  |  |
| Nextpower Inc Class A (a) | 1523 | 178328 |
| TOTAL INDUSTRIALS |  | 896718 |
| Information Technology - 4.8% |  |  |
| IT Services - 1.9% |  |  |
| Cognizant Technology Solutions Corp Class A  | 4259 | 349494 |
| Software - 2.9% |  |  |
| Fair Isaac Corp (a) | 193 | 282392 |
| Microsoft Corp  | 585 | 251719 |
|  |  | 534111 |
| TOTAL INFORMATION TECHNOLOGY |  | 883605 |
| Materials - 4.2% |  |  |
| Chemicals - 3.0% |  |  |
| International Flavors & Fragrances Inc  | 3842 | 268210 |
| Linde PLC  | 606 | 276924 |
|  |  | 545134 |
| Metals & Mining - 1.2% |  |  |
| Steel Dynamics Inc  | 1293 | 232184 |
| TOTAL MATERIALS |  | 777318 |
| Utilities - 0.7% |  |  |
| Electric Utilities - 0.7% |  |  |
| NRG Energy Inc  | 799 | 121951 |
| TOTAL UNITED STATES |  | 6830614 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $12,552,266) |  | <br> **15220707** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 19.1%** | &nbsp;&nbsp;**Money Market Funds - 19.1%** | &nbsp;&nbsp;**Money Market Funds - 19.1%** | &nbsp;&nbsp;**Money Market Funds - 19.1%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class (d)<br>(Cost $3,525,244)<br>| 3.71 | 3524693 | **3525750** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 101.7%**<br> (Cost $16,077,510)<br>| <br>**18746457** |
| **NET OTHER ASSETS (LIABILITIES) - (1.7)%**  | **(305721)** |
| **NET ASSETS - 100.0%** | **18440736** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **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) ($)  |
| CAD | 60000 | USD | 43816 | JPMorgan Chase Bank NA | 2/2026 | 287 |
| CHF | 77 | USD | 100 | UBS AG | 2/2026 | 0 |
| CHF | 19000 | USD | 24546 | HSBC Bank PLC | 2/2026 | 86 |
| CHF | 15000 | USD | 19550 | JPMorgan Chase Bank NA | 2/2026 | (103) |
| CNY | 72000 | USD | 10374 | HSBC Bank PLC | 2/2026 | (5) |
| EUR | 84 | USD | 99 | HSBC Bank PLC | 2/2026 | 0 |
| GBP | 72 | USD | 99 | HSBC Bank PLC | 2/2026 | 0 |
| JPY | 6497000 | USD | 41098 | JPMorgan Chase Bank NA | 2/2026 | 957 |
| JPY | 3751000 | USD | 23814 | UBS AG | 2/2026 | 466 |
| KRW | 46179000 | USD | 31426 | JPMorgan Chase Bank NA | 2/2026 | 430 |
| NOK | 154000 | USD | 16015 | HSBC Bank PLC | 2/2026 | (26) |
| NOK | 132000 | USD | 13566 | UBS AG | 2/2026 | 139 |
| NOK | 212000 | USD | 21029 | UBS AG | 2/2026 | 982 |
| SEK | 52000 | USD | 5901 | UBS AG | 2/2026 | (57) |
| THB | 538000 | USD | 17415 | HSBC Bank PLC | 2/2026 | (338) |
| THB | 525000 | USD | 16780 | UBS AG | 2/2026 | (117) |
| THB | 245000 | USD | 7896 | UBS AG | 2/2026 | (120) |
| THB | 497000 | USD | 15915 | UBS AG | 2/2026 | (140) |
| TWD | 7005000 | USD | 221897 | UBS AG | 2/2026 | 320 |
| USD | 611 | AUD | 875 | UBS AG | 2/2026 | 1 |
| USD | 243797 | AUD | 364000 | HSBC Bank PLC | 2/2026 | (9666) |
| USD | 806321 | CAD | 1119000 | JPMorgan Chase Bank NA | 2/2026 | (16193) |
| USD | 2741 | CHF | 2109 | JPMorgan Chase Bank NA | 2/2026 | 14 |
| USD | 353624 | CHF | 282000 | Goldman Sachs International | 2/2026 | (11971) |
| USD | 185166 | CNY | 1287000 | HSBC Bank PLC | 2/2026 | (171) |
| USD | 1223 | EUR | 1024 | HSBC Bank PLC | 2/2026 | 10 |
| USD | 2400560 | EUR | 2060000 | JPMorgan Chase Bank NA | 2/2026 | (43629) |
| USD | 697 | GBP | 506 | UBS AG | 2/2026 | 5 |
| USD | 1297913 | GBP | 967000 | Goldman Sachs International | 2/2026 | (25253) |
| USD | 8598 | HKD | 67130 | HSBC Bank PLC | 2/2026 | 5 |
| USD | 14502 | HKD | 113000 | Goldman Sachs International | 2/2026 | 27 |
| USD | 17712 | HKD | 138000 | JPMorgan Chase Bank NA | 2/2026 | 34 |
| USD | 228983 | HKD | 1784000 | UBS AG | 2/2026 | 452 |
| USD | 351043 | JPY | 55452000 | HSBC Bank PLC | 2/2026 | (7896) |
| USD | 21022 | JPY | 3229000 | UBS AG | 2/2026 | 121 |
| USD | 42146 | KRW | 60116000 | HSBC Bank PLC | 2/2026 | 675 |
| USD | 435638 | KRW | 638267000 | HSBC Bank PLC | 2/2026 | (4669) |
| USD | 29524 | KRW | 43486000 | JPMorgan Chase Bank NA | 2/2026 | (474) |
| USD | 51858 | KRW | 74072000 | UBS AG | 2/2026 | 760 |
| USD | 56117 | NOK | 565000 | HSBC Bank PLC | 2/2026 | (2546) |
| USD | 219933 | NOK | 2215000 | UBS AG | 2/2026 | (10046) |
| USD | 13805 | NOK | 136000 | UBS AG | 2/2026 | (316) |
| USD | 4887 | SEK | 43000 | Goldman Sachs International | 2/2026 | 55 |
| USD | 16644 | SEK | 153000 | HSBC Bank PLC | 2/2026 | (550) |
| USD | 2701 | SEK | 24000 | HSBC Bank PLC | 2/2026 | 4 |
| USD | 2468 | SEK | 22000 | HSBC Bank PLC | 2/2026 | (4) |
| USD | 1651 | SEK | 15000 | UBS AG | 2/2026 | (35) |
| USD | 4967 | SEK | 44000 | UBS AG | 2/2026 | 22 |
| USD | 4012 | THB | 124000 | HSBC Bank PLC | 2/2026 | 77 |
| USD | 5622 | THB | 175000 | UBS AG | 2/2026 | 68 |
| USD | 70523 | THB | 2208000 | UBS AG | 2/2026 | 440 |
| USD | 2026 | THB | 63000 | UBS AG | 2/2026 | 27 |
| USD | 10075 | TWD | 315000 | HSBC Bank PLC | 2/2026 | 82 |
| USD | 14536 | TWD | 461000 | JPMorgan Chase Bank NA | 2/2026 | (88) |
| **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** |  | **(127867)** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 6546 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (134413) |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark ranging from 3.65% to 3.70% plus or minus a specified spread ranging from (.39)% to .31% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | 6/2039 - 11/2040 | 4064397 | 57387 | 19226 | 76613 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -(4.0)%  |  |  |  |  |  |  |
| **Health Care - (4.0)%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - (4.0)%**  |  |  |  |  |  |  |
| Dexcom Inc (1)  |  |  |  | 3163 | 231026 | (3036) |
| TOTAL HEALTH CARE |  |  |  |  | 231026 | (3036) |
| TOTAL UNITED STATES |  |  |  |  | 231026 | (3036) |
| **TOTAL LONG** |  |  |  |  | **231026** | **(3036)** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| KOREA (SOUTH) -21.6%  |  |  |  |  |  |  |
| **Financials - 21.6%**  |  |  |  |  |  |  |
| **Banks - 21.6%**  |  |  |  |  |  |  |
| Hana Financial Group Inc  |  |  |  | (5173) | (356936) | 16539 |
| TOTAL FINANCIALS |  |  |  |  | (356936) | 16539 |
| TOTAL KOREA (SOUTH) |  |  |  |  | (356936) | 16539 |
| TAIWAN -0.3%  |  |  |  |  |  |  |
| **Financials - 0.3%**  |  |  |  |  |  |  |
| **Insurance - 0.3%**  |  |  |  |  |  |  |
| Fubon Financial Holding Co Ltd  |  |  |  | (3075) | (8855) | 261 |
| TOTAL FINANCIALS |  |  |  |  | (8855) | 261 |
| TOTAL TAIWAN |  |  |  |  | (8855) | 261 |
| THAILAND -9.4%  |  |  |  |  |  |  |
| **Information Technology - 9.4%**  |  |  |  |  |  |  |
| **Electronic Equipment, Instruments & Components - 9.4%**  |  |  |  |  |  |  |
| Delta Electronics Thailand PCL depository receipt  |  |  |  | (28000) | (181933) | 7176 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (181933) | 7176 |
| TOTAL THAILAND |  |  |  |  | (181933) | 7176 |
| UNITED STATES -47.3%  |  |  |  |  |  |  |
| **Consumer Discretionary - (3.3)%**  |  |  |  |  |  |  |
| **Textiles, Apparel & Luxury Goods - (3.3)%**  |  |  |  |  |  |  |
| Lululemon Athletica Inc (1)  |  |  |  | (1286) | (224408) | (2521) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (224408) | (2521) |
| **Energy - 5.2%**  |  |  |  |  |  |  |
| **Energy Equipment & Services - 5.2%**  |  |  |  |  |  |  |
| NOV Inc  |  |  |  | (16027) | (294096) | 4007 |
| TOTAL ENERGY |  |  |  |  | (294096) | 4007 |
| **Financials - 2.8%**  |  |  |  |  |  |  |
| **Banks - (2.2)%**  |  |  |  |  |  |  |
| Citigroup Inc  |  |  |  | (3342) | (386703) | (1704) |
| **Capital Markets - 0.5%**  |  |  |  |  |  |  |
| CME Group Inc Class A  |  |  |  | (1194) | (345138) | 919 |
| MarketAxess Holdings Inc  |  |  |  | (793) | (134199) | (491) |
|  |  |  |  |  | (479337) | 428 |
| **Financial Services - 4.5%**  |  |  |  |  |  |  |
| WEX Inc (1)  |  |  |  | (932) | (143435) | 3476 |
| TOTAL FINANCIALS |  |  |  |  | (1009475) | 2200 |
| **Industrials - 4.5%**  |  |  |  |  |  |  |
| **Building Products - 0.5%**  |  |  |  |  |  |  |
| Lennox International Inc  |  |  |  | (378) | (187140) | 389 |
| **Electrical Equipment - 3.7%**  |  |  |  |  |  |  |
| Eaton Corp PLC  |  |  |  | (965) | (339120) | 2847 |
| **Machinery - 0.3%**  |  |  |  |  |  |  |
| Federal Signal Corp  |  |  |  | (1232) | (133167) | 234 |
| TOTAL INDUSTRIALS |  |  |  |  | (659427) | 3470 |
| **Information Technology - 38.1%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - 32.1%**  |  |  |  |  |  |  |
| Micron Technology Inc  |  |  |  | (1003) | (416125) | 20972 |
| QUALCOMM Inc  |  |  |  | (2009) | (304544) | 1266 |
| Texas Instruments Inc  |  |  |  | (699) | (150669) | 2391 |
|  |  |  |  |  | (871338) | 24629 |
| **Technology Hardware, Storage & Peripherals - 6.0%**  |  |  |  |  |  |  |
| NetApp Inc  |  |  |  | (2355) | (226904) | 4662 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (1098242) | 29291 |
| TOTAL UNITED STATES |  |  |  |  | (3285648) | 36447 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(3833372)** | <br> **60423** |
| **TOTAL SHORT** |  |  |  |  | **(3833372)** | **60423** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(3602346)** | **57387** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the BBSW-1M benchmark of 3.68% plus or minus a specified spread ranging from (.15)% to (.02)% on short/long CFDs, respectively, which is denominated in AUD based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | 10/2039 - 8/2040 | 172566 | 247 | 905 | 1152 |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the CORRA-1D benchmark of 2.26% plus or minus a specified spread ranging from (.25)% to (.09)% on short/long CFDs, respectively, which is denominated in CAD based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | 10/2040 - 11/2040 | 151449 | 1596 | 483 | 2079 |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SARON-1D benchmark of (.06)% plus or minus a specified spread of (.36)% on short/long CFDs, respectively, which is denominated in CHF based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | 1/2041 | 214189 | 1 | (10) | (9) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| SWITZERLAND -(6.5)%  |  |  |  |  |  |  |
| **Industrials - (6.5)%**  |  |  |  |  |  |  |
| **Machinery - (6.5)%**  |  |  |  |  |  |  |
| Schindler Holding AG  |  |  |  | (582) | (214189) | 1 |
| TOTAL INDUSTRIALS |  |  |  |  | (214189) | 1 |
| TOTAL SWITZERLAND |  |  |  |  | (214189) | 1 |
| **TOTAL SHORT** |  |  |  |  | **(214189)** | **1** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(214189)** | **1** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 1.93% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | 6/2039 - 11/2040 | 847764 | 4652 | 2439 | 7091 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| AUSTRIA -(16.3)%  |  |  |  |  |  |  |
| **Energy - (16.3)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (16.3)%**  |  |  |  |  |  |  |
| OMV AG  |  |  |  | (3101) | (183972) | (1155) |
| TOTAL ENERGY |  |  |  |  | (183972) | (1155) |
| TOTAL AUSTRIA |  |  |  |  | (183972) | (1155) |
| FINLAND -44.9%  |  |  |  |  |  |  |
| **Industrials - 25.6%**  |  |  |  |  |  |  |
| **Machinery - 25.6%**  |  |  |  |  |  |  |
| Metso Oyj  |  |  |  | (8512) | (166631) | 1813 |
| TOTAL INDUSTRIALS |  |  |  |  | (166631) | 1813 |
| **Materials - 19.3%**  |  |  |  |  |  |  |
| **Containers & Packaging - 19.3%**  |  |  |  |  |  |  |
| Huhtamaki Oyj  |  |  |  | (1688) | (59266) | 1371 |
| TOTAL MATERIALS |  |  |  |  | (59266) | 1371 |
| TOTAL FINLAND |  |  |  |  | (225897) | 3184 |
| GERMANY -61.6%  |  |  |  |  |  |  |
| **Information Technology - 61.6%**  |  |  |  |  |  |  |
| **Software - 61.6%**  |  |  |  |  |  |  |
| Nemetschek SE  |  |  |  | (1408) | (123421) | 4370 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (123421) | 4370 |
| TOTAL GERMANY |  |  |  |  | (123421) | 4370 |
| ITALY -(34.5)%  |  |  |  |  |  |  |
| **Energy - (27.6)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (27.6)%**  |  |  |  |  |  |  |
| Eni SpA  |  |  |  | (9697) | (198198) | (1955) |
| TOTAL ENERGY |  |  |  |  | (198198) | (1955) |
| **Utilities - (6.9)%**  |  |  |  |  |  |  |
| **Electric Utilities - (6.9)%**  |  |  |  |  |  |  |
| Enel SpA  |  |  |  | (4364) | (48216) | (487) |
| TOTAL UTILITIES |  |  |  |  | (48216) | (487) |
| TOTAL ITALY |  |  |  |  | (246414) | (2442) |
| NETHERLANDS -9.8%  |  |  |  |  |  |  |
| **Financials - 9.8%**  |  |  |  |  |  |  |
| **Capital Markets - 9.8%**  |  |  |  |  |  |  |
| Euronext NV  |  |  |  | (487) | (68060) | 695 |
| TOTAL FINANCIALS |  |  |  |  | (68060) | 695 |
| TOTAL NETHERLANDS |  |  |  |  | (68060) | 695 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(847764)** | <br> **4652** |
| **TOTAL SHORT** |  |  |  |  | **(847764)** | **4652** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(847764)** | **4652** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SONIA-1D benchmark of 3.72% plus or minus a specified spread of (.17)% on short/long CFDs, respectively, which is denominated in GBP based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | 8/2039 - 2/2040 | 255935 | (1894) | 1370 | (524) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| CHILE -(448.2)%  |  |  |  |  |  |  |
| **Materials - (448.2)%**  |  |  |  |  |  |  |
| **Metals & Mining - (448.2)%**  |  |  |  |  |  |  |
| Antofagasta PLC  |  |  |  | (2917) | (145609) | 2351 |
| TOTAL MATERIALS |  |  |  |  | (145609) | 2351 |
| TOTAL CHILE |  |  |  |  | (145609) | 2351 |
| UNITED STATES -809.4%  |  |  |  |  |  |  |
| **Health Care - 809.4%**  |  |  |  |  |  |  |
| **Pharmaceuticals - 809.4%**  |  |  |  |  |  |  |
| GSK PLC  |  |  |  | (4266) | (110326) | (4245) |
| TOTAL HEALTH CARE |  |  |  |  | (110326) | (4245) |
| TOTAL UNITED STATES |  |  |  |  | (110326) | (4245) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(255935)** | <br> **(1894)** |
| **TOTAL SHORT** |  |  |  |  | **(255935)** | **(1894)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(255935)** | **(1894)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the HIBOR-1M benchmark of 2.61% plus or minus a specified spread of (.25)% on short/long CFDs, respectively, which is denominated in HKD based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | 8/2040 - 9/2040 | 159363 | 9562 | 761 | 10323 |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the NIBOR-1M benchmark of 3.99% plus or minus a specified spread of (.30)% on short/long CFDs, respectively, which is denominated in NOK based on the local currencies of the positions within the swap as applicable. | Goldman Sachs International | 1/2041 | 233398 | (6757) | 76 | (6681) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| NORWAY -101.1%  |  |  |  |  |  |  |
| **Industrials - 101.1%**  |  |  |  |  |  |  |
| **Aerospace & Defense - 101.1%**  |  |  |  |  |  |  |
| Kongsberg Gruppen ASA  |  |  |  | (6800) | (233398) | (6757) |
| TOTAL INDUSTRIALS |  |  |  |  | (233398) | (6757) |
| TOTAL NORWAY |  |  |  |  | (233398) | (6757) |
| **TOTAL SHORT** |  |  |  |  | **(233398)** | **(6757)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(233398)** | **(6757)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark of 3.66% plus or minus a specified spread ranging from (4.05)% to (.10)% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable. | JPMorgan Chase Bank NA | 7/2029 - 1/2031 | 1044277 | 41972 | 1130 | 43102 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| KOREA (SOUTH) -(7.9)%  |  |  |  |  |  |  |
| **Energy - (7.9)%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - (7.9)%**  |  |  |  |  |  |  |
| SK Innovation Co Ltd  |  |  |  | (608) | (46939) | (3413) |
| TOTAL ENERGY |  |  |  |  | (46939) | (3413) |
| TOTAL KOREA (SOUTH) |  |  |  |  | (46939) | (3413) |
| TAIWAN -5.4%  |  |  |  |  |  |  |
| **Communication Services - (0.3)%**  |  |  |  |  |  |  |
| **Diversified Telecommunication Services - (0.3)%**  |  |  |  |  |  |  |
| Chunghwa Telecom Co Ltd  |  |  |  | (13000) | (54960) | (124) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (54960) | (124) |
| **Financials - 5.7%**  |  |  |  |  |  |  |
| **Insurance - 5.7%**  |  |  |  |  |  |  |
| Fubon Financial Holding Co Ltd  |  |  |  | (25625) | (73794) | 2476 |
| TOTAL FINANCIALS |  |  |  |  | (73794) | 2476 |
| TOTAL TAIWAN |  |  |  |  | (128754) | 2352 |
| THAILAND -(30.5)%  |  |  |  |  |  |  |
| **Information Technology - (30.5)%**  |  |  |  |  |  |  |
| **Electronic Equipment, Instruments & Components - (30.5)%**  |  |  |  |  |  |  |
| Delta Electronics Thailand PCL depository receipt  |  |  |  | (9200) | (59778) | (13150) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (59778) | (13150) |
| TOTAL THAILAND |  |  |  |  | (59778) | (13150) |
| UNITED STATES -130.4%  |  |  |  |  |  |  |
| **Health Care - 32.0%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - 32.0%**  |  |  |  |  |  |  |
| Becton Dickinson & Co  |  |  |  | (1730) | (352021) | 6816 |
| Solventum Corp (1)  |  |  |  | (2262) | (174106) | 6967 |
|  |  |  |  |  | (526127) | 13783 |
| TOTAL HEALTH CARE |  |  |  |  | (526127) | 13783 |
| **Information Technology - 98.4%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - (14.1)%**  |  |  |  |  |  |  |
| Texas Instruments Inc  |  |  |  | (275) | (59276) | (6078) |
| **Software - 112.5%**  |  |  |  |  |  |  |
| Palantir Technologies Inc Class A (1)  |  |  |  | (1524) | (223403) | 48478 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (282679) | 42400 |
| TOTAL UNITED STATES |  |  |  |  | (808806) | 56183 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(1044277)** | <br> **41972** |
| **TOTAL SHORT** |  |  |  |  | **(1044277)** | **41972** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(1044277)** | **41972** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the BBSW-1M benchmark of 3.68% plus or minus a specified spread ranging from (.29)% to (.10)% on short/long CFDs, respectively, which is denominated in AUD based on the local currencies of the positions within the swap as applicable. | JPMorgan Chase Bank NA | 7/2029 - 6/2030 | 304139 | 3401 | 572 | 3973 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| AUSTRALIA -85.6%  |  |  |  |  |  |  |
| **Financials - 85.6%**  |  |  |  |  |  |  |
| **Banks - (27.5)%**  |  |  |  |  |  |  |
| Westpac Banking Corp  |  |  |  | (5100) | (137865) | (1094) |
| **Insurance - 113.1%**  |  |  |  |  |  |  |
| Medibank Pvt Ltd  |  |  |  | (51684) | (166274) | 4495 |
| TOTAL FINANCIALS |  |  |  |  | (304139) | 3401 |
| TOTAL AUSTRALIA |  |  |  |  | (304139) | 3401 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(304139)** | <br> **3401** |
| **TOTAL SHORT** |  |  |  |  | **(304139)** | **3401** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(304139)** | **3401** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the CORRA-1D benchmark of 2.27% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in CAD based on the local currencies of the positions within the swap as applicable. | JPMorgan Chase Bank NA | 7/2029 - 11/2030 | 431126 | 7300 | (1534) | 5766 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| CANADA -142.3%  |  |  |  |  |  |  |
| **Consumer Discretionary - 154.0%**  |  |  |  |  |  |  |
| **Broadline Retail - 154.0%**  |  |  |  |  |  |  |
| Canadian Tire Corp Ltd Class A  |  |  |  | (1291) | (158828) | 8879 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (158828) | 8879 |
| **Industrials - (11.7)%**  |  |  |  |  |  |  |
| **Construction & Engineering - (11.7)%**  |  |  |  |  |  |  |
| AtkinsRealis Group Inc  |  |  |  | (1294) | (90812) | (672) |
| TOTAL INDUSTRIALS |  |  |  |  | (90812) | (672) |
| TOTAL CANADA |  |  |  |  | (249640) | 8207 |
| UNITED STATES -(15.7)%  |  |  |  |  |  |  |
| **Industrials - (15.7)%**  |  |  |  |  |  |  |
| **Commercial Services & Supplies - (15.7)%**  |  |  |  |  |  |  |
| GFL Environmental Inc Subordinate Voting Shares  |  |  |  | (4225) | (181486) | (907) |
| TOTAL INDUSTRIALS |  |  |  |  | (181486) | (907) |
| TOTAL UNITED STATES |  |  |  |  | (181486) | (907) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(431126)** | <br> **7300** |
| **TOTAL SHORT** |  |  |  |  | **(431126)** | **7300** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(431126)** | **7300** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SARON-1D benchmark of (.06)% plus or minus a specified spread of (.25)% on short/long CFDs, respectively, which is denominated in CHF based on the local currencies of the positions within the swap as applicable. | JPMorgan Chase Bank NA | 7/2029 - 11/2030 | 549929 | (3491) | 288 | (3203) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| SWITZERLAND -109.0%  |  |  |  |  |  |  |
| **Communication Services - 598.9%**  |  |  |  |  |  |  |
| **Diversified Telecommunication Services - 598.9%**  |  |  |  |  |  |  |
| Swisscom AG  |  |  |  | (307) | (251581) | (19184) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (251581) | (19184) |
| **Financials - (264.6)%**  |  |  |  |  |  |  |
| **Insurance - (264.6)%**  |  |  |  |  |  |  |
| Zurich Insurance Group AG  |  |  |  | (280) | (199198) | 8476 |
| TOTAL FINANCIALS |  |  |  |  | (199198) | 8476 |
| **Industrials - (225.3)%**  |  |  |  |  |  |  |
| **Building Products - (225.3)%**  |  |  |  |  |  |  |
| Geberit AG  |  |  |  | (130) | (99150) | 7217 |
| TOTAL INDUSTRIALS |  |  |  |  | (99150) | 7217 |
| TOTAL SWITZERLAND |  |  |  |  | (549929) | (3491) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(549929)** | <br> **(3491)** |
| **TOTAL SHORT** |  |  |  |  | **(549929)** | **(3491)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(549929)** | **(3491)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SONIA-1D benchmark of 3.72% plus or minus a specified spread of .25% on short/long CFDs, respectively, which is denominated in GBP based on the local currencies of the positions within the swap as applicable. | JPMorgan Chase Bank NA | 7/2029 | 460916 | 33534 | (508) | 33026 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED KINGDOM -101.5%  |  |  |  |  |  |  |
| **Utilities - 101.5%**  |  |  |  |  |  |  |
| **Electric Utilities - 82.4%**  |  |  |  |  |  |  |
| SSE PLC  |  |  |  | 11170 | 371262 | 27211 |
| **Multi-Utilities - 19.1%**  |  |  |  |  |  |  |
| National Grid PLC  |  |  |  | 5277 | 89654 | 6323 |
| TOTAL UTILITIES |  |  |  |  | 460916 | 33534 |
| TOTAL UNITED KINGDOM |  |  |  |  | 460916 | 33534 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **460916** | <br> **33534** |
| **TOTAL LONG** |  |  |  |  | **460916** | **33534** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **460916** | **33534** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the HIBOR-1M benchmark of 2.61% plus or minus a specified spread of (.05)% on short/long CFDs, respectively, which is denominated in HKD based on the local currencies of the positions within the swap as applicable. | JPMorgan Chase Bank NA | 6/2030 | 226322 | (1434) | 253 | (1181) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| CHINA -121.4%  |  |  |  |  |  |  |
| **Industrials - 121.4%**  |  |  |  |  |  |  |
| **Air Freight & Logistics - 121.4%**  |  |  |  |  |  |  |
| ZTO Express Cayman Inc A Shares  |  |  |  | (10250) | (226322) | (1434) |
| TOTAL INDUSTRIALS |  |  |  |  | (226322) | (1434) |
| TOTAL CHINA |  |  |  |  | (226322) | (1434) |
| **TOTAL SHORT** |  |  |  |  | **(226322)** | **(1434)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(226322)** | **(1434)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the TONAR-1D benchmark of .73% plus or minus a specified spread ranging from (.20)% to .20% on short/long CFDs, respectively, which is denominated in JPY based on the local currencies of the positions within the swap as applicable. | JPMorgan Chase Bank NA | 7/2029 - 2/2031 | 1400803 | (39158) | (4552) | (43710) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| JAPAN -35.3%  |  |  |  |  |  |  |
| **Information Technology - 35.3%**  |  |  |  |  |  |  |
| **IT Services - 35.3%**  |  |  |  |  |  |  |
| Simplex Holdings Inc  |  |  |  | 34000 | 210688 | (15412) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 210688 | (15412) |
| TOTAL JAPAN |  |  |  |  | 210688 | (15412) |
| **TOTAL LONG** |  |  |  |  | **210688** | **(15412)** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| JAPAN -54.3%  |  |  |  |  |  |  |
| **Communication Services - 24.1%**  |  |  |  |  |  |  |
| **Entertainment - 24.1%**  |  |  |  |  |  |  |
| Capcom Co Ltd  |  |  |  | (8300) | (211558) | (17345) |
| Nintendo Co Ltd  |  |  |  | (2800) | (173392) | 6808 |
|  |  |  |  |  | (384950) | (10537) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (384950) | (10537) |
| **Consumer Staples - 47.4%**  |  |  |  |  |  |  |
| **Food Products - (1.8)%**  |  |  |  |  |  |  |
| Yakult Honsha Co Ltd  |  |  |  | (8200) | (132039) | 797 |
| **Household Products - 14.9%**  |  |  |  |  |  |  |
| Unicharm Corp  |  |  |  | (23000) | (139611) | (6522) |
| **Personal Care Products - 34.3%**  |  |  |  |  |  |  |
| Shiseido Co Ltd  |  |  |  | (15200) | (258211) | (15002) |
| TOTAL CONSUMER STAPLES |  |  |  |  | (529861) | (20727) |
| **Real Estate - (17.2)%**  |  |  |  |  |  |  |
| **Real Estate Management & Development - (17.2)%**  |  |  |  |  |  |  |
| Daiwa House Industry Co Ltd  |  |  |  | (8100) | (275304) | 7518 |
| TOTAL REAL ESTATE |  |  |  |  | (275304) | 7518 |
| TOTAL JAPAN |  |  |  |  | (1190115) | (23746) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(1190115)** | <br> **(23746)** |
| **TOTAL SHORT** |  |  |  |  | **(1190115)** | **(23746)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(979427)** | **(39158)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark of 3.66% plus or minus a specified spread ranging from (3.33)% to (.10)% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | 6/2026 - 8/2027 | 1880447 | (63445) | (751) | (64196) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| KOREA (SOUTH) -12.8%  |  |  |  |  |  |  |
| **Energy - 12.8%**  |  |  |  |  |  |  |
| **Oil, Gas & Consumable Fuels - 12.8%**  |  |  |  |  |  |  |
| SK Innovation Co Ltd  |  |  |  | (1135) | (87625) | (8227) |
| TOTAL ENERGY |  |  |  |  | (87625) | (8227) |
| TOTAL KOREA (SOUTH) |  |  |  |  | (87625) | (8227) |
| SINGAPORE -(76.3)%  |  |  |  |  |  |  |
| **Industrials - (76.3)%**  |  |  |  |  |  |  |
| **Ground Transportation - (76.3)%**  |  |  |  |  |  |  |
| Grab Holdings Ltd Class A (1)  |  |  |  | (62834) | (270186) | 49011 |
| TOTAL INDUSTRIALS |  |  |  |  | (270186) | 49011 |
| TOTAL SINGAPORE |  |  |  |  | (270186) | 49011 |
| UNITED STATES -162.4%  |  |  |  |  |  |  |
| **Communication Services - 45.9%**  |  |  |  |  |  |  |
| **Diversified Telecommunication Services - 45.9%**  |  |  |  |  |  |  |
| Verizon Communications Inc  |  |  |  | (7367) | (327979) | (29468) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (327979) | (29468) |
| **Consumer Discretionary - 84.2%**  |  |  |  |  |  |  |
| **Hotels, Restaurants & Leisure - 84.2%**  |  |  |  |  |  |  |
| Royal Caribbean Cruises Ltd  |  |  |  | (1306) | (423993) | (54055) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (423993) | (54055) |
| **Health Care - 13.2%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - 13.2%**  |  |  |  |  |  |  |
| Envista Holdings Corp (1)  |  |  |  | (4744) | (111342) | (8444) |
| TOTAL HEALTH CARE |  |  |  |  | (111342) | (8444) |
| **Industrials - (21.8)%**  |  |  |  |  |  |  |
| **Professional Services - (21.8)%**  |  |  |  |  |  |  |
| Equifax Inc  |  |  |  | (1108) | (223151) | 13994 |
| TOTAL INDUSTRIALS |  |  |  |  | (223151) | 13994 |
| **Information Technology - (5.6)%**  |  |  |  |  |  |  |
| **Software - (5.6)%**  |  |  |  |  |  |  |
| Crowdstrike Holdings Inc Class A (1)  |  |  |  | (295) | (130214) | 3591 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (130214) | 3591 |
| **Materials - 46.5%**  |  |  |  |  |  |  |
| **Chemicals - 46.5%**  |  |  |  |  |  |  |
| PPG Industries Inc  |  |  |  | (2646) | (305957) | (29847) |
| TOTAL MATERIALS |  |  |  |  | (305957) | (29847) |
| TOTAL UNITED STATES |  |  |  |  | (1522636) | (104229) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(1880447)** | <br> **(63445)** |
| **TOTAL SHORT** |  |  |  |  | **(1880447)** | **(63445)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(1880447)** | **(63445)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the CORRA-1D benchmark of 2.27% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in CAD based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | 11/2026 | 174493 | (5233) | 32 | (5201) |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SARON-1D benchmark of (.07)% plus or minus a specified spread ranging from (.26)% to .14% on short/long CFDs, respectively, which is denominated in CHF based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | 6/2026 | 632243 | 24727 | 692 | 25419 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| SWITZERLAND -(1.6)%  |  |  |  |  |  |  |
| **Financials - (1.6)%**  |  |  |  |  |  |  |
| **Capital Markets - (1.6)%**  |  |  |  |  |  |  |
| Partners Group Holding AG  |  |  |  | 218 | 296100 | (416) |
| TOTAL FINANCIALS |  |  |  |  | 296100 | (416) |
| TOTAL SWITZERLAND |  |  |  |  | 296100 | (416) |
| UNITED STATES -50.8%  |  |  |  |  |  |  |
| **Health Care - 50.8%**  |  |  |  |  |  |  |
| **Pharmaceuticals - 50.8%**  |  |  |  |  |  |  |
| Roche Holding AG  |  |  |  | 431 | 195993 | 12923 |
| TOTAL HEALTH CARE |  |  |  |  | 195993 | 12923 |
| TOTAL UNITED STATES |  |  |  |  | 195993 | 12923 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **492093** | <br> **12507** |
| **TOTAL LONG** |  |  |  |  | **492093** | **12507** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| SWITZERLAND -48.1%  |  |  |  |  |  |  |
| **Financials - 48.1%**  |  |  |  |  |  |  |
| **Insurance - 48.1%**  |  |  |  |  |  |  |
| Zurich Insurance Group AG  |  |  |  | (197) | (140150) | 12220 |
| TOTAL FINANCIALS |  |  |  |  | (140150) | 12220 |
| TOTAL SWITZERLAND |  |  |  |  | (140150) | 12220 |
| **TOTAL SHORT** |  |  |  |  | **(140150)** | **12220** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **351943** | **24727** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 1.93% plus or minus a specified spread ranging from (.20)% to .20% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | 6/2026 | 1476032 | 33416 | (869) | 32547 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| GERMANY -197.3%  |  |  |  |  |  |  |
| **Consumer Discretionary - (9.9)%**  |  |  |  |  |  |  |
| **Automobile Components - (9.9)%**  |  |  |  |  |  |  |
| Continental AG  |  |  |  | 2130 | 168252 | (3217) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 168252 | (3217) |
| **Industrials - 207.2%**  |  |  |  |  |  |  |
| **Electrical Equipment - 207.2%**  |  |  |  |  |  |  |
| Siemens Energy AG (1)  |  |  |  | 2380 | 407795 | 67430 |
| TOTAL INDUSTRIALS |  |  |  |  | 407795 | 67430 |
| TOTAL GERMANY |  |  |  |  | 576047 | 64213 |
| ITALY -(90.3)%  |  |  |  |  |  |  |
| **Consumer Discretionary - (87.2)%**  |  |  |  |  |  |  |
| **Automobiles - (87.2)%**  |  |  |  |  |  |  |
| Ferrari NV  |  |  |  | 640 | 213022 | (28376) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | 213022 | (28376) |
| **Financials - (3.1)%**  |  |  |  |  |  |  |
| **Capital Markets - (3.1)%**  |  |  |  |  |  |  |
| Banca Generali SpA  |  |  |  | 1988 | 133730 | (1022) |
| TOTAL FINANCIALS |  |  |  |  | 133730 | (1022) |
| TOTAL ITALY |  |  |  |  | 346752 | (29398) |
| NETHERLANDS -8.3%  |  |  |  |  |  |  |
| **Financials - 8.3%**  |  |  |  |  |  |  |
| **Insurance - 8.3%**  |  |  |  |  |  |  |
| NN Group NV  |  |  |  | 2148 | 170030 | 2699 |
| TOTAL FINANCIALS |  |  |  |  | 170030 | 2699 |
| TOTAL NETHERLANDS |  |  |  |  | 170030 | 2699 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **1092829** | <br> **37514** |
| **TOTAL LONG** |  |  |  |  | **1092829** | **37514** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| ITALY -(2.1)%  |  |  |  |  |  |  |
| **Utilities - (2.1)%**  |  |  |  |  |  |  |
| **Electric Utilities - (2.1)%**  |  |  |  |  |  |  |
| Enel SpA  |  |  |  | (1286) | (14208) | (676) |
| TOTAL UTILITIES |  |  |  |  | (14208) | (676) |
| TOTAL ITALY |  |  |  |  | (14208) | (676) |
| NETHERLANDS -2.4%  |  |  |  |  |  |  |
| **Communication Services - 2.4%**  |  |  |  |  |  |  |
| **Entertainment - 2.4%**  |  |  |  |  |  |  |
| Universal Music Group NV  |  |  |  | (432) | (10592) | 784 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (10592) | 784 |
| TOTAL NETHERLANDS |  |  |  |  | (10592) | 784 |
| SPAIN -(12.9)%  |  |  |  |  |  |  |
| **Communication Services - 3.5%**  |  |  |  |  |  |  |
| **Diversified Telecommunication Services - 3.5%**  |  |  |  |  |  |  |
| Telefonica SA  |  |  |  | (12761) | (51660) | 1129 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (51660) | 1129 |
| **Financials - (2.9)%**  |  |  |  |  |  |  |
| **Banks - (2.9)%**  |  |  |  |  |  |  |
| CaixaBank SA  |  |  |  | (1174) | (15497) | (957) |
| TOTAL FINANCIALS |  |  |  |  | (15497) | (957) |
| **Utilities - (13.5)%**  |  |  |  |  |  |  |
| **Electric Utilities - (13.5)%**  |  |  |  |  |  |  |
| Endesa SA  |  |  |  | (7903) | (291246) | (4378) |
| TOTAL UTILITIES |  |  |  |  | (291246) | (4378) |
| TOTAL SPAIN |  |  |  |  | (358403) | (4206) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(383203)** | <br> **(4098)** |
| **TOTAL SHORT** |  |  |  |  | **(383203)** | **(4098)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **709626** | **33416** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the NIBOR-1M benchmark of 3.89% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in NOK based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | 6/2026 | 182129 | (14967) | 18 | (14949) |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the STIBO-1M benchmark of 1.82% plus or minus a specified spread ranging from (.20)% to .20% on short/long CFDs, respectively, which is denominated in SEK based on the local currencies of the positions within the swap as applicable. | Morgan Stanley | 6/2026 | 289197 | 20057 | 158 | 20215 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| SWEDEN -44.1%  |  |  |  |  |  |  |
| **Communication Services - 44.1%**  |  |  |  |  |  |  |
| **Wireless Telecommunication Services - 44.1%**  |  |  |  |  |  |  |
| Tele2 AB B Shares  |  |  |  | 9588 | 175399 | 8920 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | 175399 | 8920 |
| TOTAL SWEDEN |  |  |  |  | 175399 | 8920 |
| **TOTAL LONG** |  |  |  |  | **175399** | **8920** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| SWEDEN -55.1%  |  |  |  |  |  |  |
| **Materials - 55.1%**  |  |  |  |  |  |  |
| **Paper & Forest Products - 55.1%**  |  |  |  |  |  |  |
| Svenska Cellulosa AB SCA B Shares  |  |  |  | (9087) | (113798) | 11137 |
| TOTAL MATERIALS |  |  |  |  | (113798) | 11137 |
| TOTAL SWEDEN |  |  |  |  | (113798) | 11137 |
| **TOTAL SHORT** |  |  |  |  | **(113798)** | **11137** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **61601** | **20057** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark ranging from 3.63% to 3.66% plus or minus a specified spread ranging from .08% to .13% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable. | HSBC Bank PLC | 10/2026 | 1101066 | 34058 | (964) | 33094 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| TAIWAN -14.9%  |  |  |  |  |  |  |
| **Financials - 14.9%**  |  |  |  |  |  |  |
| **Insurance - 14.9%**  |  |  |  |  |  |  |
| Fubon Financial Holding Co Ltd  |  |  |  | (37925) | (109215) | 4915 |
| TOTAL FINANCIALS |  |  |  |  | (109215) | 4915 |
| TOTAL TAIWAN |  |  |  |  | (109215) | 4915 |
| UNITED STATES -88.0%  |  |  |  |  |  |  |
| **Consumer Staples - 16.2%**  |  |  |  |  |  |  |
| **Consumer Staples Distribution & Retail - 16.2%**  |  |  |  |  |  |  |
| Costco Wholesale Corp  |  |  |  | (230) | (216258) | 5373 |
| TOTAL CONSUMER STAPLES |  |  |  |  | (216258) | 5373 |
| **Financials - 62.8%**  |  |  |  |  |  |  |
| **Capital Markets - 28.2%**  |  |  |  |  |  |  |
| Cboe Global Markets Inc  |  |  |  | (1098) | (291036) | 9322 |
| **Financial Services - 34.6%**  |  |  |  |  |  |  |
| PayPal Holdings Inc  |  |  |  | (2729) | (143791) | 11462 |
| TOTAL FINANCIALS |  |  |  |  | (434827) | 20784 |
| **Industrials - 9.0%**  |  |  |  |  |  |  |
| **Trading Companies & Distributors - 9.0%**  |  |  |  |  |  |  |
| Fastenal Co  |  |  |  | (7859) | (340766) | 2986 |
| TOTAL INDUSTRIALS |  |  |  |  | (340766) | 2986 |
| TOTAL UNITED STATES |  |  |  |  | (991851) | 29143 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(1101066)** | <br> **34058** |
| **TOTAL SHORT** |  |  |  |  | **(1101066)** | **34058** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(1101066)** | **34058** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 1.93% plus or minus a specified spread ranging from .13% to .28% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable. | HSBC Bank PLC | 10/2026 | 780817 | 25227 | 677 | 25904 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| FRANCE -32.1%  |  |  |  |  |  |  |
| **Health Care - 32.1%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - 32.1%**  |  |  |  |  |  |  |
| EssilorLuxottica SA  |  |  |  | (535) | (163550) | 8305 |
| TOTAL HEALTH CARE |  |  |  |  | (163550) | 8305 |
| TOTAL FRANCE |  |  |  |  | (163550) | 8305 |
| GERMANY -24.7%  |  |  |  |  |  |  |
| **Financials - 24.7%**  |  |  |  |  |  |  |
| **Insurance - 24.7%**  |  |  |  |  |  |  |
| Hannover Rueck SE  |  |  |  | (953) | (269758) | 6402 |
| TOTAL FINANCIALS |  |  |  |  | (269758) | 6402 |
| TOTAL GERMANY |  |  |  |  | (269758) | 6402 |
| ITALY -4.1%  |  |  |  |  |  |  |
| **Utilities - 4.1%**  |  |  |  |  |  |  |
| **Electric Utilities - 4.1%**  |  |  |  |  |  |  |
| Enel SpA  |  |  |  | (11621) | (128396) | 1054 |
| TOTAL UTILITIES |  |  |  |  | (128396) | 1054 |
| TOTAL ITALY |  |  |  |  | (128396) | 1054 |
| NETHERLANDS -36.5%  |  |  |  |  |  |  |
| **Communication Services - 36.5%**  |  |  |  |  |  |  |
| **Entertainment - 36.5%**  |  |  |  |  |  |  |
| Universal Music Group NV  |  |  |  | (8937) | (219113) | 9466 |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (219113) | 9466 |
| TOTAL NETHERLANDS |  |  |  |  | (219113) | 9466 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(780817)** | <br> **25227** |
| **TOTAL SHORT** |  |  |  |  | **(780817)** | **25227** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(780817)** | **25227** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the STIBO-1M benchmark of 1.91% plus or minus a specified spread of .13% on short/long CFDs, respectively, which is denominated in SEK based on the local currencies of the positions within the swap as applicable. | HSBC Bank PLC | 10/2026 | 211170 | 11931 | 307 | 12238 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| SWEDEN -97.5%  |  |  |  |  |  |  |
| **Information Technology - 97.5%**  |  |  |  |  |  |  |
| **Electronic Equipment, Instruments & Components - 97.5%**  |  |  |  |  |  |  |
| Hexagon AB B Shares  |  |  |  | (18729) | (211170) | 11931 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (211170) | 11931 |
| TOTAL SWEDEN |  |  |  |  | (211170) | 11931 |
| **TOTAL SHORT** |  |  |  |  | **(211170)** | **11931** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(211170)** | **11931** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark of 3.66% plus or minus a specified spread ranging from (.24)% to (.09)% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable. | UBS AG | 6/2027 - 7/2027 | 1569948 | (63974) | (3033) | (67007) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| TAIWAN -(2.0)%  |  |  |  |  |  |  |
| **Communication Services - 1.3%**  |  |  |  |  |  |  |
| **Diversified Telecommunication Services - 1.3%**  |  |  |  |  |  |  |
| Chunghwa Telecom Co Ltd  |  |  |  | (51000) | (215612) | (876) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (215612) | (876) |
| **Information Technology - (3.3)%**  |  |  |  |  |  |  |
| **Electronic Equipment, Instruments & Components - (3.3)%**  |  |  |  |  |  |  |
| Largan Precision Co Ltd  |  |  |  | (3000) | (229051) | 2211 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (229051) | 2211 |
| TOTAL TAIWAN |  |  |  |  | (444663) | 1335 |
| UNITED STATES -97.4%  |  |  |  |  |  |  |
| **Communication Services - 51.0%**  |  |  |  |  |  |  |
| **Diversified Telecommunication Services - 51.0%**  |  |  |  |  |  |  |
| AT&T Inc  |  |  |  | (13050) | (342041) | (34191) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | (342041) | (34191) |
| **Consumer Discretionary - 35.8%**  |  |  |  |  |  |  |
| **Specialty Retail - 4.5%**  |  |  |  |  |  |  |
| Advance Auto Parts Inc  |  |  |  | (2412) | (115800) | (2991) |
| **Textiles, Apparel & Luxury Goods - 31.3%**  |  |  |  |  |  |  |
| Deckers Outdoor Corp (1)  |  |  |  | (1085) | (129483) | (21006) |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (245283) | (23997) |
| **Health Care - 4.8%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - 4.8%**  |  |  |  |  |  |  |
| Baxter International Inc  |  |  |  | (14074) | (282465) | (3237) |
| TOTAL HEALTH CARE |  |  |  |  | (282465) | (3237) |
| **Industrials - (4.9)%**  |  |  |  |  |  |  |
| **Aerospace & Defense - (4.9)%**  |  |  |  |  |  |  |
| Howmet Aerospace Inc  |  |  |  | (485) | (100919) | 3303 |
| TOTAL INDUSTRIALS |  |  |  |  | (100919) | 3303 |
| **Information Technology - 10.7%**  |  |  |  |  |  |  |
| **IT Services - 10.7%**  |  |  |  |  |  |  |
| IBM Corporation  |  |  |  | (504) | (154577) | (7187) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (154577) | (7187) |
| TOTAL UNITED STATES |  |  |  |  | (1125285) | (65309) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(1569948)** | <br> **(63974)** |
| **TOTAL SHORT** |  |  |  |  | **(1569948)** | **(63974)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(1569948)** | **(63974)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 1.93% plus or minus a specified spread ranging from (.15)% to (.10)% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable. | UBS AG | 8/2027 - 1/2029 | 1525118 | (2864) | 274 | (2590) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| FINLAND -218.1%  |  |  |  |  |  |  |
| **Utilities - 218.1%**  |  |  |  |  |  |  |
| **Electric Utilities - 218.1%**  |  |  |  |  |  |  |
| Fortum Oyj  |  |  |  | (11404) | (269206) | (5648) |
| TOTAL UTILITIES |  |  |  |  | (269206) | (5648) |
| TOTAL FINLAND |  |  |  |  | (269206) | (5648) |
| GERMANY -(305.0)%  |  |  |  |  |  |  |
| **Consumer Discretionary - (305.0)%**  |  |  |  |  |  |  |
| **Automobiles - (305.0)%**  |  |  |  |  |  |  |
| Volkswagen AG  |  |  |  | (2245) | (272330) | 7906 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (272330) | 7906 |
| TOTAL GERMANY |  |  |  |  | (272330) | 7906 |
| ITALY -22.4%  |  |  |  |  |  |  |
| **Financials - 22.4%**  |  |  |  |  |  |  |
| **Banks - 22.4%**  |  |  |  |  |  |  |
| Banco BPM SpA  |  |  |  | (13231) | (197924) | (580) |
| TOTAL FINANCIALS |  |  |  |  | (197924) | (580) |
| TOTAL ITALY |  |  |  |  | (197924) | (580) |
| NETHERLANDS -(300.6)%  |  |  |  |  |  |  |
| **Financials - (300.6)%**  |  |  |  |  |  |  |
| **Capital Markets - (300.6)%**  |  |  |  |  |  |  |
| Euronext NV  |  |  |  | (1764) | (246524) | 7785 |
| TOTAL FINANCIALS |  |  |  |  | (246524) | 7785 |
| TOTAL NETHERLANDS |  |  |  |  | (246524) | 7785 |
| SPAIN -587.8%  |  |  |  |  |  |  |
| **Financials - 587.8%**  |  |  |  |  |  |  |
| **Banks - 587.8%**  |  |  |  |  |  |  |
| CaixaBank SA  |  |  |  | (24158) | (318890) | (15221) |
| TOTAL FINANCIALS |  |  |  |  | (318890) | (15221) |
| TOTAL SPAIN |  |  |  |  | (318890) | (15221) |
| UNITED STATES -(111.8)%  |  |  |  |  |  |  |
| **Consumer Discretionary - (111.8)%**  |  |  |  |  |  |  |
| **Automobiles - (111.8)%**  |  |  |  |  |  |  |
| Stellantis NV  |  |  |  | (22424) | (220244) | 2894 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (220244) | 2894 |
| TOTAL UNITED STATES |  |  |  |  | (220244) | 2894 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(1525118)** | <br> **(2864)** |
| **TOTAL SHORT** |  |  |  |  | **(1525118)** | **(2864)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(1525118)** | **(2864)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SONIA-1D benchmark of 3.73% plus or minus a specified spread ranging from (.15)% to (.10)% on short/long CFDs, respectively, which is denominated in GBP based on the local currencies of the positions within the swap as applicable. | UBS AG | 3/2028 | 831569 | 28084 | 308 | 28392 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED KINGDOM -99.0%  |  |  |  |  |  |  |
| **Consumer Discretionary - 100.2%**  |  |  |  |  |  |  |
| **Diversified Consumer Services - 2.5%**  |  |  |  |  |  |  |
| Pearson PLC  |  |  |  | (14439) | (189916) | 702 |
| **Textiles, Apparel & Luxury Goods - 97.7%**  |  |  |  |  |  |  |
| Burberry Group PLC (1)  |  |  |  | (11542) | (173570) | 27740 |
| TOTAL CONSUMER DISCRETIONARY |  |  |  |  | (363486) | 28442 |
| **Financials - (5.8)%**  |  |  |  |  |  |  |
| **Banks - (5.8)%**  |  |  |  |  |  |  |
| Barclays PLC  |  |  |  | (51016) | (340484) | (1660) |
| TOTAL FINANCIALS |  |  |  |  | (340484) | (1660) |
| **Industrials - 4.6%**  |  |  |  |  |  |  |
| **Trading Companies & Distributors - 4.6%**  |  |  |  |  |  |  |
| Howden Joinery Group PLC  |  |  |  | (11141) | (127599) | 1302 |
| TOTAL INDUSTRIALS |  |  |  |  | (127599) | 1302 |
| TOTAL UNITED KINGDOM |  |  |  |  | (831569) | 28084 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(831569)** | <br> **28084** |
| **TOTAL SHORT** |  |  |  |  | **(831569)** | **28084** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(831569)** | **28084** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the TONAR-1D benchmark of .73% plus or minus a specified spread of .22% on short/long CFDs, respectively, which is denominated in JPY based on the local currencies of the positions within the swap as applicable. | UBS AG | 6/2027 | 674785 | (10223) | (204) | (10427) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount <br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| JAPAN -98.0%  |  |  |  |  |  |  |
| **Communication Services - 34.2%**  |  |  |  |  |  |  |
| **Wireless Telecommunication Services - 34.2%**  |  |  |  |  |  |  |
| KDDI Corp  |  |  |  | 14700 | 248194 | (3571) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | 248194 | (3571) |
| **Financials - 6.2%**  |  |  |  |  |  |  |
| **Insurance - 6.2%**  |  |  |  |  |  |  |
| Tokio Marine Holdings Inc  |  |  |  | 2300 | 85727 | (645) |
| TOTAL FINANCIALS |  |  |  |  | 85727 | (645) |
| **Industrials - 57.6%**  |  |  |  |  |  |  |
| **Electrical Equipment - 57.6%**  |  |  |  |  |  |  |
| Fuji Electric Co Ltd  |  |  |  | 4800 | 340864 | (6007) |
| TOTAL INDUSTRIALS |  |  |  |  | 340864 | (6007) |
| TOTAL JAPAN |  |  |  |  | 674785 | (10223) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **674785** | <br> **(10223)** |
| **TOTAL SHORT** |  |  |  |  | **674785** | **(10223)** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **674785** | **(10223)** |

---

(1) Non-income producing.

---

| | |
|:---|:---|
| **Benchmark Abbreviations** |  |
| BBSW-1M | Bank Bill Swap Rate |
| CORRA-1D | Canadian Overnight Repo Rate Average |
| ESTR-1D | Euro Short-Term Rate |
| HIBOR-1M | Hong Kong Interbank Offered Rate |
| NIBOR-1M | Norwegian Interbank Offered Rate |
| SARON-1D | Swiss Average Rate Overnight |
| SOFR-1D | Secured Overnight Financing Rate |
| SONIA-1D | Sterling Overnight Average |
| STIBO-1M | Stockholm Interbank Offered Rate |
| TONAR-1D | Tokyo Overnight Average Rate<br>|

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| CAD | - | Canadian Dollar |
| CHF | - | Swiss Franc |
| CNY | - | Chinese (Peoples Rep) Yuan |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| HKD | - | Hong Kong Dollar |
| JPY | - | Japanese Yen |
| KRW | - | Korean Won |
| NOK | - | Norwegian Krone |
| SEK | - | Swedish Krona |
| THB | - | Thai Baht |
| TWD | - | Taiwan Dollar |
| USD | - | United States Dollar |

---

**Legend**

(a) Non-income producing.

(b) Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $599,756 or 3.3% of net assets.

(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $599,756 or 3.3% of net assets.

(d) The rate quoted is the annualized seven-day yield of the fund at period end.

**Investment Valuation**

The following is a summary of the inputs used, as of January 31, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 673747 | 385833 | 287914 | - |
| Consumer Discretionary | 2240258 | 1575788 | 664470 | - |
| Consumer Staples | 926768 | 926768 | - | - |
| Energy | 327958 | 327958 | - | - |
| Financials | 3612628 | 2985226 | 627402 | - |
| Health Care | 1286544 | 1286544 | - | - |
| Industrials | 1852794 | 1482501 | 370293 | - |
| Information Technology | 2179584 | 1793677 | 385907 | - |
| Materials | 1746865 | 1570053 | 176812 | - |
| Real Estate | 251610 | 251610 | - | - |
| Utilities | 121951 | 121951 | - | - |
|  **Money Market Funds** | 3525750 | 3525750 | - | - |
| **Total Investments in Securities:** | 18746457 | 16233659 | 2512798 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Swaps | 360934 | - | 360934 | - |
| Forward Foreign Currency Contracts | 6546 | - | 6546 | - |
| Total Assets | 367480 | - | 367480 | - |
|  **Liabilities** |  |  |  |  |
| Swaps | (219678) | - | (219678) | - |
| Forward Foreign Currency Contracts | (134413) | - | (134413) | - |
| Total Liabilities | (354091) | - | (354091) | - |
| **Total Derivative Instruments:** | 13389 | - | 13389 | - |

---

**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, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Equity Risk** |  |  |
| Swaps (a)  | 360934 | (219678) |
| **Total Equity Risk**  | 360934 | (219678) |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (b)  | 6546 | (134413) |
| **Total Foreign Exchange Risk**  | 6546 | (134413) |
| **Total Value of Derivatives** | 367480 | (354091) |

---

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

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

The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Counterparty** | **Value of**<br> **Derivative**<br> **Assets ($)** | **Value of**<br> **Derivative**<br> **Liabilities ($)** | <br> **Collateral**<br> **Received**(a) **($)** | <br> **Collateral**<br> **Pledged**(a) **($)** | <br>**Net**(b) **($)** |
| JPMorgan Chase Bank NA | 87589 | (108581) | - | - | (20992) |
| UBS AG | 32195 | (90855) | - | - | (58660) |
| Goldman Sachs International | 97340 | (44438) | - | - | 52902 |
| HSBC Bank PLC | 72175 | (25871) | - | - | 46304 |
| Morgan Stanley | 78181 | (84346) | - | - | (6165) |
| Total | $367480 | $(354091) | $- | $- | $13389 |

---

*(a) Reflects collateral received from or pledged to an individual counterparty, excluding any excess or initial collateral amounts.*

*(b) Net represents the receivable / (payable) that would be due from / (to) the counterparty in an event of default. Netting may be allowed across transactions traded under the same legal agreement with the same legal entity. Please refer to Derivative Instruments - Risk Exposures and the Use of Derivative Instruments section in the accompanying Notes to Financial Statements.*

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of January 31, 2026** | **As of January 31, 2026** | **As of January 31, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule:<br>Unaffiliated issuers (cost $16,077,510)<br>|  | $18746457 |
| Foreign currency held at value (cost $19,741) |  | 19722 |
| Unrealized appreciation on forward foreign currency contracts |  | 6546 |
| Receivable for fund shares sold |  | 5250 |
| Dividends receivable |  | 26351 |
| Bi-lateral OTC swaps, at value |  | 360934 |
| Prepaid expenses |  | 1002 |
| Receivable from investment adviser for expense reductions |  | 8354 |
| **Total assets** |  | 19174616 |
| **Liabilities** |  |  |
| Payable to broker  | $266896 |  |
| Unrealized depreciation on forward foreign currency contracts | 134413 |  |
| Payable for fund shares redeemed | 4995 |  |
| Bi-lateral OTC swaps, at value | 219678 |  |
| Accrued management fee | 15188 |  |
| Distribution and service plan fees payable | 1610 |  |
| Audit fee payable | 71876 |  |
| Other payables and accrued expenses | 19224 |  |
| **Total liabilities** |  | 733880 |
| **Net Assets**  |  | $18440736 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $15967039 |
| Total accumulated earnings (loss) |  | 2473697 |
| **Net Assets** |  | $18440736 |
| **Net Asset Value and Maximum Offering Price** |  |  |
| **Class A :** |  |  |
| **Net Asset Value** and redemption price per share ($1,196,356 ÷ 110,835 shares)(a) |  | $10.79 |
| Maximum offering price per share (100/94.25 of $10.79) |  | $11.45 |
| **Class M :** |  |  |
| **Net Asset Value** and redemption price per share ($1,109,981 ÷ 103,248 shares)(a) |  | $10.75 |
| Maximum offering price per share (100/96.50 of $10.75) |  | $11.14 |
| **Class C :** |  |  |
| **Net Asset Value** and offering price per share ($1,068,880 ÷ 100,228 shares)(a) |  | $10.66 |
| **Fidelity Equity Market Neutral Fund :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($12,574,663 ÷ 1,160,276 shares) |  | $10.84 |
| **Class I :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,151,973 ÷ 106,296 shares) |  | $10.84 |
| **Class Z :** |  |  |
| **Net Asset Value**, offering price and redemption price per share ($1,338,883 ÷ 123,443 shares) |  | $10.85 |
| *(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** |
| <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** | <br> **Year ended January 31, 2026** |
| **Investment Income** |  |  |
| Dividends  |  | $453964 |
| Income before foreign taxes withheld |  | $453964 |
| Less foreign taxes withheld |  | (23867) |
| **Total income** |  | 430097 |
| **Expenses** |  |  |
| Management fee | $148219 |  |
| Distribution and service plan fees | 17953 |  |
| Custodian fees and expenses | 11174 |  |
| Independent trustees' fees and expenses | 5602 |  |
| Registration fees | 128783 |  |
| Audit fees | 102578 |  |
| Legal | 1598 |  |
| Miscellaneous | 1821 |  |
| Total expenses before reductions | 417728 |  |
| Expense reductions | (236808) |  |
| Total expenses after reductions |  | 180920 |
| **Net Investment income (loss)** |  | 249177 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 180858 |  |
| Forward foreign currency contracts | (223671) |  |
| Foreign currency transactions | 40030 |  |
| Swaps | (788543) |  |
| Total net realized gain (loss) |  | (791326) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 2144971 |  |
| Forward foreign currency contracts | (107358) |  |
| Assets and liabilities in foreign currencies | 501 |  |
| Swaps | 94115 |  |
| Total change in net unrealized appreciation (depreciation) |  | 2132229 |
| **Net gain (loss)** |  | 1340903 |
| **Net increase (decrease) in net assets resulting from operations** |  | $1590080 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **Year ended**<br> **January 31, 2026** | **For the period June 25, 2024 (commencement of operations) through January 31, 2025**  |
| **Increase (Decrease) in Net Assets** |  |  |
| Operations |  |  |
| &nbsp;&nbsp;Net investment income (loss) | $249177 | $98457 |
| &nbsp;&nbsp;Net realized gain (loss) | (791326)<br>| (858040)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 2132229 | 550316<br>|
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 1590080<br>| (209267)<br>|
| Distributions to shareholders | (37893)<br>| -<br>|
| Share transactions - net increase (decrease) | 3912470<br>| 13185346<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 5464657<br>| 12976079<br>|
| **Net Assets** |  |  |
| &nbsp;&nbsp;Beginning of period | 12976079 | -<br>|
| &nbsp;&nbsp;End of period | $18440736 | $12976079 |

---

**Financial Highlights** 

**Fidelity Advisor® Equity Market Neutral Fund Class A**<br>

---

| | | |
|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.74 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .16  | .08 D |
| Net realized and unrealized gain (loss)  | .91  | (.34)  |
| Total from investment operations  | 1.07  | (.26)  |
| Distributions from net realized gain  | (.02)  | -  |
| Total distributions  | (.02)  | -  |
| Net asset value, end of period  | $10.79 | $9.74 |
| **Total Return** E,F,G | 10.46% H<br>| (2.60)%  |
| **Ratios to Average Net Assets** C,I,J |  |  |
| Expenses before reductions  | 2.98%  | 3.25% K,L |
| Expenses net of fee waivers, if any  | 1.35% <br>| 1.36% K |
| Expenses net of all reductions, if any  | 1.35%  | 1.34% K |
| Net investment income (loss)  | 1.54%  | .74% D,K |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $1196 | $1015 |
| Portfolio turnover rate M | 59% <br>| 78% K |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

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

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

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been (.16)%.*

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

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

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

H*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.02 per share. Excluding this reimbursement, the total return would have been 10.23%.*

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

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

K*Annualized.*

L*Audit fees are not annualized.*

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

**Fidelity Advisor® Equity Market Neutral Fund Class M**<br>

---

| | | |
|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.73 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .13  | .06 D |
| Net realized and unrealized gain (loss)  | .91  | (.33)  |
| Total from investment operations  | 1.04  | (.27)  |
| Distributions from net realized gain  | (.02)  | -  |
| Total distributions  | (.02)  | -  |
| Net asset value, end of period  | $10.75 | $9.73 |
| **Total Return** E,F,G | 10.17% H<br>| (2.70)%  |
| **Ratios to Average Net Assets** C,I,J |  |  |
| Expenses before reductions  | 3.23%  | 3.50% K,L |
| Expenses net of fee waivers, if any  | 1.60% <br>| 1.61% K |
| Expenses net of all reductions, if any  | 1.60%  | 1.59% K |
| Net investment income (loss)  | 1.29%  | .49% D,K |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $1110 | $973 |
| Portfolio turnover rate M | 59% <br>| 78% K |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

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

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

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been (.42)%.*

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

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

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

H*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.02 per share. Excluding this reimbursement, the total return would have been 9.94%.*

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

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

K*Annualized.*

L*Audit fees are not annualized.*

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

**Fidelity Advisor® Equity Market Neutral Fund Class C**<br>

---

| | | |
|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.70 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .08  | .03 D |
| Net realized and unrealized gain (loss)  | .90  | (.33)  |
| Total from investment operations  | .98  | (.30)  |
| Distributions from net realized gain  | (.02)  | -  |
| Total distributions  | (.02)  | -  |
| Net asset value, end of period  | $10.66 | $9.70 |
| **Total Return** E,F,G | 9.58% H<br>| (3.00)%  |
| **Ratios to Average Net Assets** C,I,J |  |  |
| Expenses before reductions  | 3.75%  | 4.00% K,L |
| Expenses net of fee waivers, if any  | 2.10% <br>| 2.12% K |
| Expenses net of all reductions, if any  | 2.10%  | 2.09% K |
| Net investment income (loss)  | .79%  | (.02)% D,K |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $1069 | $970 |
| Portfolio turnover rate M | 59% <br>| 78% K |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

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

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

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been (.92)%.*

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

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

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

H*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.02 per share. Excluding this reimbursement, the total return would have been 9.35%.*

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

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

K*Annualized.*

L*Audit fees are not annualized.*

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

**Fidelity® Equity Market Neutral Fund** <br>

---

| | | |
|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.76 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .18  | .09 D |
| Net realized and unrealized gain (loss)  | .92  | (.33)  |
| Total from investment operations  | 1.10  | (.24)  |
| Distributions from net realized gain  | (.02)  | -  |
| Total distributions  | (.02)  | -  |
| Net asset value, end of period  | $10.84 | $9.76 |
| **Total Return** E,F | 10.75% G<br>| (2.40)%  |
| **Ratios to Average Net Assets** C,H,I |  |  |
| Expenses before reductions  | 2.67%  | 2.97% J,K |
| Expenses net of fee waivers, if any  | 1.10% <br>| 1.11% J |
| Expenses net of all reductions, if any  | 1.10%  | 1.08% J |
| Net investment income (loss)  | 1.79%  | .99% D,J |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $12575 | $8026 |
| Portfolio turnover rate L | 59% <br>| 78% J |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

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

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

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been .09%.*

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

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

G*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.02 per share. Excluding this reimbursement, the total return would have been 10.52%.*

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

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

J*Annualized.*

K*Audit fees are not annualized.*

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

**Fidelity Advisor® Equity Market Neutral Fund Class I**<br>

---

| | | |
|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.76 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .18  | .09 D |
| Net realized and unrealized gain (loss)  | .92  | (.33)  |
| Total from investment operations  | 1.10  | (.24)  |
| Distributions from net realized gain  | (.02)  | -  |
| Total distributions  | (.02)  | -  |
| Net asset value, end of period  | $10.84 | $9.76 |
| **Total Return** E,F | 10.75% G<br>| (2.40)%  |
| **Ratios to Average Net Assets** C,H,I |  |  |
| Expenses before reductions  | 2.74%  | 3.00% J,K |
| Expenses net of fee waivers, if any  | 1.10% <br>| 1.11% J |
| Expenses net of all reductions, if any  | 1.10%  | 1.08% J |
| Net investment income (loss)  | 1.79%  | .99% D,J |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $1152 | $1017 |
| Portfolio turnover rate L | 59% <br>| 78% J |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

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

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

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been .09%.*

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

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

G*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.02 per share. Excluding this reimbursement, the total return would have been 10.52%.*

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

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

J*Annualized.*

K*Audit fees are not annualized.*

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

**Fidelity Advisor® Equity Market Neutral Fund Class Z**<br>

---

| | | |
|:---|:---|:---|
| **Years ended January 31,** | **2026**  | **2025** A |
| **Selected Per-Share Data**  |  |  |
| Net asset value, beginning of period  | $9.76 | $10.00 |
| Income from Investment Operations  |  |  |
| Net investment income (loss) B,C | .19  | .10 D |
| Net realized and unrealized gain (loss)  | .92  | (.34)  |
| Total from investment operations  | 1.11  | (.24)  |
| Distributions from net realized gain  | (.02)  | -  |
| Total distributions  | (.02)  | -  |
| Net asset value, end of period  | $10.85 | $9.76 |
| **Total Return** E,F | 10.85% G<br>| (2.40)%  |
| **Ratios to Average Net Assets** C,H,I |  |  |
| Expenses before reductions  | 2.68%  | 2.95% J,K |
| Expenses net of fee waivers, if any  | 1.05% <br>| 1.06% J |
| Expenses net of all reductions, if any  | 1.05%  | 1.03% J |
| Net investment income (loss)  | 1.84%  | 1.04% D,J |
| **Supplemental Data** |  |  |
| Net assets, end of period (000 omitted) | $1339 | $976 |
| Portfolio turnover rate L | 59% <br>| 78% J |

---

A*For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

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

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

D*Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $.09 per share. Such dividends are not annualized in the ratio of net investment income (loss) to average net assets. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been .14%.*

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

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

G*Amount includes a reimbursement from the investment adviser for an operational error which amounted to less than $.02 per share. Excluding this reimbursement, the total return would have been 10.62%.*

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

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

J*Annualized.*

K*Audit fees are not annualized.*

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

**Notes to Financial Statements**

For the period ended January 31, 2026

**1. Organization.**

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

**2. Significant Accounting Policies.**

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

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

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

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

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

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

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

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

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2026 is included at the end of the Fund's Schedule of Investments.

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

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

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in foreign taxes withheld. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable. The Fund has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union (EU) countries. These additional filings are subject to various administrative proceedings by the local jurisdictions' tax authorities within the EU, as well as a number of related judicial proceedings. Income recognized for EU reclaims is included with other reclaims in the Statement of Operations in foreign taxes withheld. These reclaims are recorded when the amount is known and there are no significant uncertainties on collectability.

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

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of January 31, 2026, 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. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

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

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

Book-tax differences are primarily due to foreign currency transactions, contracts for difference, passive foreign investment companies (PFIC), net operating losses and capital loss carryforwards, and losses deferred due to wash sales and 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**  | $3113339 |
| **Gross unrealized depreciation**  | <u>(445410)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$2667929</u> |
| **Tax Cost**  | <u>$16079156</u> |

---

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

---

| | |
|:---|:---|
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$2668138</u> |

---

The Fund intends to elect to defer to its next fiscal year $18,730 of capital losses recognized during the period November 1, 2025 to January 31, 2026 and $175,712 of ordinary losses recognized during the period January 1, 2026 to January 31, 2026.

The tax character of distributions paid was as follows:

---

| | |
|:---|:---|
|  | **January 31, 2026** |
| **Long-term Capital Gains** | $37893 |

---

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

**3. Derivative Instruments.**

**Risk Exposures and the Use of Derivative Instruments.** The Fund's investment objectives allow for various types of derivative instruments, including forward foreign currency contracts 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):

---

| | |
|:---|:---|
| 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. |

---

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

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

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

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Equity Market Neutral Fund** |  |  |
| **Equity Risk** |  |  |
| Swaps | <u>(788543)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>94115</u> |
| **Total Equity Risk** | <u>(788543)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>94115</u> |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts | <u>(223671)</u> | <u>(107358)</u> |
| **Total Foreign Exchange Risk** | <u>(223671)</u> | <u>(107358)</u> |
| **Totals** | <u>(1012214)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>(13243)</u> |

---

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

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period, unless an average contract value is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Contracts Amount ($)** |
| **Fidelity Equity Market Neutral Fund** | 7333656 |

---

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

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

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

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

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Equity Market Neutral Fund** | 17898735 |

---

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

The Fund enters into contracts for difference (CFD), which are total return swap transactions, to obtain exposure to long and/or short positions in a single equity stock or financial index for hedging, efficient portfolio management and investment purposes. The Fund may trade in and out of these long and short positions and receives the economic benefits and risks equivalent to direct investments in these positions, which includes unrealized appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes financing charges and credits related to the notional values of the long and short positions and cash balances within the swap. Finance charges and credits are based on defined market rates plus or minus a specified spread. Positions within the swap are reset periodically, and financing costs are reset generally monthly. During a reset, any realized gains (losses) from positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Fund and the counterparty. Prior to the reset, these amounts are included as a component of the swap value in net cash and other receivables (payables).

**4. Purchases and Sales of Investments.**

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Equity Market Neutral Fund** | 9991435 | 7354602 |

---

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

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which each class of the Fund pays a monthly management fee. Under the management contract, the investment adviser pays all other operating expenses, except third-party expenses (including custody, audit and registration fees) and certain other limited exceptions. During the period, the management fee for each class of the Fund was as follows:

---

| | |
|:---|:---|
|  | **Annual % of Class-Level Average Net Assets** |
| **Class A** | 1.00% |
| **Class M** | 1.00% |
| **Class C** | 1.00% |
| **Fidelity Equity Market Neutral Fund** | 1.00% |
| **Class I** | 1.00% |
| **Class Z** | .95% |

---

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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | **Distribution Fee** | **Service Fee** | **Total Fees ($)** | **Retained by FDC ($)** |
| **Class A**  | - % | .25% | 2728 | 2537 |
| **Class M** | .25% | .25% | 5160 | 5060 |
| **Class C** | .75% | .25% | &nbsp;&nbsp;&nbsp;&nbsp; <u>10065</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>10065</u> |
|  |  |  | <u>17953</u> | <u>17662</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** | 381 |
| **Class M** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>4</u> |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>385</u> |

---

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

**Other.** During the period, FMR reimbursed the Fund $34,859 for an operational error which is included within Share Transactions in the accompanying Statement of Changes in Net Assets.

**6. Committed Line of Credit.**

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

Commitment fees are charged based on the unused amount of the line of credit at an annual rate of .10%, and then allocated to each participating fund based on its pro-rata portion of the line of credit. The commitment fees are reflected in Miscellaneous expenses on the Statement of Operations, and are listed below.

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

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

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Equity Market Neutral Fund** | 7 |

---

**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, 2027. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement.

The following classes were in reimbursement during the period:

---

| | | |
|:---|:---|:---|
|  | **Expense Limitations** | **Reimbursement ($)** |
| **Class A** | 1.35% | 17784 |
| **Class M** | 1.60% | 16869 |
| **Class C** | 2.10% | 16567 |
| **Fidelity Equity Market Neutral Fund** | 1.10% | 151036 |
| **Class I** | 1.10% | 17752 |
| **Class Z** | 1.05% | &nbsp;&nbsp;&nbsp;&nbsp; <u>16800</u> |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp; <u>236808</u> |

---

**8. Distributions to Shareholders.**

Distributions to shareholders of each class were as follows:

---

| | |
|:---|:---|
|  | **Year ended** <br> **January 31, 2026** |
| **Fidelity Equity Market Neutral Fund** |  |
| **Distributions to shareholders** |  |
| Class A | $2631 |
| Class M | 2472 |
| Class C | 2400 |
| Fidelity Equity Market Neutral Fund | 25490 |
| Class I | 2500 |
| Class Z | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <u>2400</u> |
| Total  | <u>$37893</u> |

---

**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** | **Shares** | **Dollars** | **Dollars** |
|  | **Year ended** <br> **January 31, 2026**  | **Year ended**<br> **January 31, 2025 A** | **Year ended** <br> **January 31, 2026**  | **Year ended**<br> **January 31, 2025 A** |
| **Fidelity Equity Market Neutral Fund** |  |  |  |  |
| **Class A** |  |  |  |  |
| Shares sold | 6549 | 104175 | $66906 | $1040000 |
| Reinvestment of distributions  | 247 | - | 2631 | - |
| Shares redeemed | <u>(136)</u> | <u>-</u> | <u>(1479)</u> | <u>-</u> |
| Net increase (decrease) | <u>6660</u> | <u>104175</u> | <u>$68058</u> | <u>$1040000</u> |
| **Class M** |  |  |  |  |
| Shares sold | 3015 | 100000 | $29960 | $1000004 |
| Reinvestment of distributions  | <u>233</u> | <u>-</u> | <u>2472</u> | <u>-</u> |
| Net increase (decrease) | <u>3248</u> | <u>100000</u> | <u>$32432</u> | <u>$1000004</u> |
| **Class C** |  |  |  |  |
| Shares sold | - | 100000 | $- | $1000000 |
| Reinvestment of distributions  | <u>228</u> | <u>-</u> | <u>2400</u> | <u>-</u> |
| Net increase (decrease) | <u>228</u> | <u>100000</u> | <u>$2400</u> | <u>$1000000</u> |
| **Fidelity Equity Market Neutral Fund** |  |  |  |  |
| Shares sold | 539684 | 843074 | $5593195 | $8304570 |
| Reinvestment of distributions  | 1651 | - | 17654 | - |
| Shares redeemed | <u>(203481)</u> | <u>(20652)</u> | <u>(2079697)</u> | <u>(199218)</u> |
| Net increase (decrease) | <u>337854</u> | <u>822422</u> | <u>$3531152</u> | <u>$8105352</u> |
| **Class I** |  |  |  |  |
| Shares sold | 8587 | 104318 | $87964 | $1041400 |
| Reinvestment of distributions  | 234 | - | 2500 | - |
| Shares redeemed | <u>(6696)</u> | <u>(147)</u> | <u>(67964)</u> | <u>(1410)</u> |
| Net increase (decrease) | <u>2125</u> | <u>104171</u> | <u>$22500</u> | <u>$1039990</u> |
| **Class Z** |  |  |  |  |
| Shares sold | 24294 | 100000 | $265229 | $1000000 |
| Reinvestment of distributions  | 225 | - | 2400 | - |
| Shares redeemed | <u>(1076)</u> | <u>-</u> | <u>(11701)</u> | <u>-</u> |
| Net increase (decrease) | <u>23443</u> | <u>100000</u> | <u>$255928</u> | <u>$1000000</u> |

---

*A For the period June 25, 2024 (commencement of operations) through January 31, 2025.*

**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 Equity Market Neutral Fund**  | 59 |

---

**11. Risk and Uncertainties.**

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

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Greenwood Street Trust and the Shareholders of Fidelity Equity Market Neutral Fund:

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

We have audited the accompanying statement of assets and liabilities of Fidelity Equity Market Neutral Fund (the "Fund"), a fund of Fidelity Greenwood Street Trust, including the schedule of investments, as of January 31, 2026, the related statement of operations for the year then ended, statements of changes in net assets and financial highlights for the year then ended and for the period from June 25, 2024 (commencement of operations) through January 31, 2025, and the related notes (collectively referred to as the "financial statements and financial highlights"). 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, 2026, and the results of its operations for the year then ended, the changes in its net assets and the financial highlights for the year then ended and for the period from June 25, 2024 (commencement of operations) through January 31, 2025, 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 audits. 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 audits 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 audits, 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 audits 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 audits 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, 2026, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

March 19, 2026

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

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

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

The fund hereby designates as a capital gain dividend with respect to the taxable year ended January 31, 2026, $36,050, or, if subsequently determined to be different, the net capital gain of such year.

The fund will notify shareholders in January 2027 of amounts for use in preparing 2026 income tax returns.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

**Board Approval of Investment Advisory Contracts**

**Fidelity Equity Market Neutral Fund**

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of the fund's management contract with Fidelity Diversifying Solutions LLC (FDS) and the fund's sub-advisory agreements, including the sub-advisory and sub-subadvisory agreements with FIL Investment Advisors (FIA) and FIL Investment Advisors (UK) Limited (FIA (UK)) (together, the Advisory Contracts). FDS and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts.

At its November 2025 meeting, the Board unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness relative to peer funds of the fund's management fee and the total expense ratio of a representative class of the fund; (iii) the total costs of the services provided by and the profits realized by FDS and its affiliates (Fidelity) from its relationships with the fund; and (iv) the extent to which, if any, economies of scale exist and are realized as the fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board's decision to renew the Advisory Contracts was not based on any single factor and the factors may have been weighed differently by individual Trustees.

**Nature, Extent, and Quality of Services Provided.** The Board considered staffing as it relates to the fund, including the backgrounds and experience of investment personnel of the Investment Advisers, and also considered the Investment Advisers' implementation of the fund's investment program.

The Trustees also discussed with representatives of Fidelity, at meetings throughout the year, Fidelity's role in, among other things, overseeing compliance with federal securities laws and other applicable requirements by FIA and FIA (UK) with respect to the fund and monitoring and overseeing the performance and investment capabilities of FIA and FIA (UK). The Trustees considered that the Board had received from Fidelity periodic reports about its oversight and due diligence processes, as well as periodic reports regarding the performance of FIA and FIA (UK).

The Board also considered the nature, extent and quality of services provided by FIA and FIA (UK). The Trustees noted that, subject to oversight by Fidelity, FIA and FIA (UK) are responsible for, among other things, identifying investments and arranging for execution of portfolio transactions to implement the fund's investment strategy. In addition, the Trustees noted that FIA and FIA (UK) are responsible for providing such reporting as may be requested by Fidelity to fulfill its oversight responsibilities discussed above.

<u>Resources Dedicated to Investment Management and Support Services</u>. The Board reviewed the general qualifications and capabilities of the Investment Advisers' staff, such as size, education, experience, and resources, as well as the Investment Advisers' approach to training and managing investment personnel. The Board noted 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 the Investment Advisers' investment professionals have sufficient access to 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, and to transmit new information and research conclusions rapidly. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, 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 and pricing and bookkeeping 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 also considered the fund's securities lending activities and any payments made to Fidelity relating to securities lending under a separate agreement.

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 Board took into account discussions that occur with representatives of the Investment Advisers, and reports that it receives, at Board meetings throughout the year, relating to fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considered annualized return information for the fund for different time periods, measured against an appropriate index (benchmark index). The Board also considered information about performance attribution. In its ongoing evaluation of fund investment performance, the Board gives particular attention to information indicating changes in performance of the funds over different time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. The Independent Trustees generally give greater weight to fund performance over longer time periods than over shorter time periods. Depending on the circumstances, the Independent Trustees may be satisfied with a fund's performance notwithstanding that it lags its benchmark index for certain periods.

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 its review of the fund's management fee and the total expense ratio of a representative class (the retail class), the Board considered the fund's class-level unitary management fees rate as well as other fund or class expenses, as applicable, such as fund-paid 12b-1 fees. The Board noted that differences among the classes' net expenses are the result of separate arrangements for class level services and/or waivers of certain expenses (if any). It is not the result of any difference in advisory or custodial fees or other expenses related to the management of a fund's assets, which do not vary by class. The Board noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for the fund.

<u>Comparisons of Management Fees and Total Expense Ratios</u>. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "total peer groups") that were compiled by Fidelity based on combining similar Morningstar categories that have comparable investment mandates and sales load types (as classified by Lipper). The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) of the retail class of the fund relative to funds and classes within the total peer group; and (ii) total expense comparisons of the retail class of the fund relative to the total peer group.

The information provided to the Board indicated that the management fee rate and total expense ratio of the retail class of the fund ranked below the competitive median of the total peer group for the 12-month period ended March 31, 2025.

<u>Other Contractual Arrangements</u>. The Board further considered that FDS has contractually agreed to reimburse Class A, Class M, Class C, Class I, Class Z and the retail class of the fund to the extent that total operating expenses, with certain exceptions, as a percentage of their respective average net assets, exceed 1.35%, 1.60%, 2.10%, 1.10%, 1.05% and 1.10% through May 31, 2026.

<u>Fees Charged to Other Fidelity Clients</u>. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity other than the fund, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar investment mandates.

Based on its review, the Board concluded that the management fee of each class of the fund is fair and reasonable in light of the services that the fund receives and the other factors considered. Further based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that the total expense ratio of each class of the fund was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

**Costs of the Services and Profitability.** The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. The Board considered the level of Fidelity's profits in respect of all the Fidelity funds the Board oversees. The Board noted that the profitability information reflects the relatively small size of the funds overseen by the Board and their short history.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with the fund. Fidelity calculates profitability information for each Fidelity fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.

A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist.

The Board considered the costs of the services provided by and the lack of meaningful operating margins realized by Fidelity in connection with the operation of the funds overseen by the Board and was satisfied that the profitability was not excessive.

The Board also considered information regarding the profitability of FIA's and FIA (UK)'s relationship with the fund.

**Economies of Scale.** The Board will consider economies of scale when there is sufficient operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee had been set initially 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.

**Conclusion.** 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 and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances, and that the fund's Advisory Contracts should be approved through November 30, 2026.

![](img125407_4.jpg)<br>

1.9911985.101 EMN-ANN-0426

**Fidelity® SAI Managed Futures Fund**

**Annual Report**

**January 31, 2026**

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

![](img125409_1.jpg)

![](img125409_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7Consolidated_SFF-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® SAI Managed Futures Fund](#Sub_Sec_Fund_9036_SFF-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Consolidated Financial Statements](#Sub_Sec_NotestoFinancialStatements9036_SFF-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_SFF-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_SFF-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_SFF-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_SFF-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_SFF-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_SFF-ANN)** |

---

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® SAI Managed Futures Fund**

**Consolidated Schedule of Investments January 31, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 1.4%** | &nbsp;&nbsp;**Common Stocks - 1.4%** | &nbsp;&nbsp;**Common Stocks - 1.4%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 1.4%  |  |  |
| Information Technology - 1.4% |  |  |
| Semiconductors & Semiconductor Equipment - 1.4% |  |  |
| NVIDIA Corp <br>(Cost $2,517,345)<br>| 13500 | **2580255** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 3.5%** | &nbsp;&nbsp;**Domestic Equity Funds - 3.5%** | &nbsp;&nbsp;**Domestic Equity Funds - 3.5%** |
|  | Shares | Value ($)<br>|
| iShares Core S&P 500 ETF <br>(Cost $5,681,333)<br>| 9000 | **6255270** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 49.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 49.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 49.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 49.5%** |
|  | Yield (%) (b) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 2/17/2026 (c)(d)(e) | 3.58 | 66900000 | 66799232 |
| US Treasury Bills 0% 3/5/2026 (e) | 3.63 | 21700000 | 21632650 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $88,424,214) |  |  | **88431882** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 45.1%** | &nbsp;&nbsp;**Money Market Funds - 45.1%** | &nbsp;&nbsp;**Money Market Funds - 45.1%** | &nbsp;&nbsp;**Money Market Funds - 45.1%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (f)<br>(Cost $80,532,891)<br>| 3.70 | 80512624 | **80528727** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.5%**<br> (Cost $177,155,783)<br>| <br>**177796134** |
| **NET OTHER ASSETS (LIABILITIES) - 0.5%**  | **905666** |
| **NET ASSETS - 100.0%** | **178701800** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Commodity Contracts |  |  |  |  |
| CBOT KC Hard Red Winter Wheat Contracts (United States) | 20 | 3/2026 | 544750 | 25171 |
| CBOT Soybean Contracts (United States) | 24 | 3/2026 | 1277100 | (305) |
| CBOT Soybean Oil Contracts (United States) | 9 | 7/2026 | 293706 | (3693) |
| CBOT Wheat Contracts (United States) | 16 | 3/2026 | 430400 | 21204 |
| CEC Copper Contracts (United States) | 19 | 7/2026 | 2867100 | 10989 |
| CEC Gold Bullion Contracts (United States) | 2 | 4/2026 | 949020 | 49665 |
| CEC Silver Bullion Contracts (United States) | 1 | 3/2026 | 392655 | 148012 |
| CME Lean Hogs Contracts (United States) | 312 | 6/2026 | 13469040 | 709019 |
| CME Live Cattle Contracts (United States) | 8 | 4/2026 | 757760 | 6243 |
| CME Live Cattle Contracts (United States) | 17 | 6/2026 | 1575730 | 33623 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 32 | 5/2026 | 2162560 | 130022 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 28 | 3/2026 | 1921080 | 201446 |
| ICE Coffee C Contracts (United States) | 4 | 3/2026 | 498375 | (28533) |
| ICE Coffee C Contracts (United States) | 3 | 7/2026 | 347625 | (26115) |
| ICE Cotton No 2 Contracts (United States) | 320 | 7/2026 | 10648000 | (91617) |
| ICE Gas Oil Contracts (United Kingdom) | 43 | 7/2026 | 2899275 | 232380 |
| ICE Low Sulpur Gas Oil Contracts (United Kingdom) | 24 | 3/2026 | 1750800 | 213248 |
| LME Aluminum Contracts (United Kingdom) | 96 | 3/2026 | 7530984 | 286630 |
| LME Lead Contracts (United Kingdom) | 100 | 3/2026 | 4977800 | (90409) |
| LME Nickel Contracts (United Kingdom) | 43 | 3/2026 | 4605535 | 81393 |
| LME Zinc Contracts (United Kingdom) | 68 | 3/2026 | 5800230 | 441171 |
| NYMEX Gasoline RBOB Contracts (United States) | 33 | 6/2026 | 2975881 | 157851 |
| NYMEX Heating Oil Contracts (United States) | 16 | 2/2026 | 1702176 | 210730 |
| NYMEX Heating Oil Contracts (United States) | 31 | 6/2026 | 2986267 | 199545 |
| NYMEX Natural Gas Contracts (United States) | 13 | 2/2026 | 566020 | 38362 |
| NYMEX Palladium Bullion Contracts (United States) | 4 | 3/2026 | 681240 | 93320 |
| NYMEX Platinum Bullion Contracts (United States) | 5 | 4/2026 | 530400 | 108056 |
| NYMEX WTI Crude Contracts (United States) | 20 | 2/2026 | 1304200 | 133337 |
| NYMEX WTI Crude Contracts (United States) | 33 | 6/2026 | 2097150 | 127225 |
| **TOTAL COMMODITY CONTRACTS** |  |  |  | 3417970 |
| Equity Contracts |  |  |  |  |
| ASX 24 S&P/ASX 200 Index Contracts (Australia) | 29 | 3/2026 | 4456344 | 66045 |
| CBOT E-Mini Dow Jones Industrial Average Index Contracts (United States) | 7 | 3/2026 | 1715280 | 4300 |
| CME E-Mini Nasdaq 100 Index Contracts (United States) | 2 | 3/2026 | 1026800 | 8256 |
| CME E-Mini Russell 2000 Index Contracts (United States) | 11 | 3/2026 | 1443530 | 21009 |
| CME E-Mini S&P 500 Index Contracts (United States) | 1 | 3/2026 | 348288 | 3826 |
| CME E-Mini S&P MidCap 400 Index Contracts (United States) | 3 | 3/2026 | 1034250 | 5029 |
| Eurex DAX Index Contracts (Germany) | 2 | 3/2026 | 1458929 | 23874 |
| Eurex Euro STOXX 50 Contracts (Germany) | 48 | 3/2026 | 3385929 | 91439 |
| Eurex SMI Contracts (Germany) | 49 | 3/2026 | 8295233 | 49249 |
| Euronext CAC 40 Index Contracts (France) | 26 | 2/2026 | 2507596 | (41447) |
| HKEX Hang Seng Index Contracts (Hong Kong) | 34 | 2/2026 | 2034882 | 21327 |
| HKEX Hang Seng Index Contracts (Hong Kong) | 13 | 2/2026 | 2288117 | 46025 |
| ICE FTSE 100 Index Contracts (United Kingdom) | 31 | 3/2026 | 4322269 | 165295 |
| ICE MSCI EAFE Index Contracts (United States) | 18 | 3/2026 | 2733120 | 95129 |
| ICE MSCI Emerging Markets Index Contracts (United States) | 79 | 3/2026 | 6007160 | 511924 |
| IDEM FTSE MIB Index Contracts (Italy) | 14 | 3/2026 | 3788284 | 112775 |
| KRX KOSPI 200 Index Contracts (South Korea) | 22 | 3/2026 | 2924907 | 708893 |
| MEFF IBEX 35 Index Contracts (Spain) | 22 | 2/2026 | 4661154 | 58486 |
| OMXS30 Index Contracts (Sweden) | 123 | 2/2026 | 4179860 | 57329 |
| OSE Nikkei 225 Index Contracts (Japan) | 12 | 3/2026 | 4139829 | 159837 |
| OSE TOPIX Contracts (Japan) | 19 | 3/2026 | 4391509 | 159259 |
| SGX FTSE China A50 Index Contracts (Singapore) | 260 | 2/2026 | 3888300 | 7543 |
| SGX MSCI Singapore Index Contracts (Singapore) | 185 | 2/2026 | 6688271 | (48469) |
| TFEX SET50 Index Contracts (Thailand) | 1086 | 3/2026 | 6049244 | 293144 |
| TME S&P/TSX 60 Index Contracts (Canada) | 20 | 3/2026 | 5442515 | (35811) |
| **TOTAL EQUITY CONTRACTS** |  |  |  | 2544266 |
| Interest Rate Contracts |  |  |  |  |
| Eurex Euro-OAT Contracts (Germany) | 28 | 3/2026 | 4046832 | 24695 |
| ICE 3M SONIA Index Contracts (United States) | 23 | 9/2026 | 7595386 | (3265) |
| ICE 3M SONIA Index Contracts (United States) | 47 | 12/2026 | 15533868 | (5678) |
| ICE 3M SONIA Index Contracts (United States) | 47 | 3/2027 | 15535476 | (5236) |
| OSE 10Y Japan Treasury Bond Contracts (Japan) | 16 | 3/2026 | 13606617 | (147927) |
| TME 3M CORRA Contracts (Canada) | 22 | 9/2026 | 3949143 | (1346) |
| TME 3M CORRA Contracts (Canada) | 32 | 12/2026 | 5741857 | (5147) |
| TME 3M CORRA Contracts (Canada) | 187 | 6/2026 | 33562562 | (7854) |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  | (151758) |
| TOTAL LONG |  |  |  | 5810478 |
| SHORT |  |  |  |  |
| Commodity Contracts |  |  |  |  |
| CBOT Corn Contracts (United States) | 98 | 3/2026 | 2098425 | 29522 |
| CBOT Corn Contracts (United States) | 28 | 7/2026 | 618800 | 1256 |
| CBOT KC Hard Red Winter Wheat Contracts (United States) | 28 | 7/2026 | 794500 | (22845) |
| CBOT Soybean Contracts (United States) | 2 | 7/2026 | 109050 | 119 |
| CBOT Soybean Meal Contracts (United States) | 10 | 3/2026 | 293600 | 11935 |
| CBOT Soybean Meal Contracts (United States) | 10 | 7/2026 | 302600 | 889 |
| CBOT Soybean Oil Contracts (United States) | 28 | 3/2026 | 898968 | (30470) |
| CBOT Wheat Contracts (United States) | 42 | 7/2026 | 1167075 | (37335) |
| CEC Copper Contracts (United States) | 1 | 3/2026 | 148100 | (240) |
| CME Lean Hogs Contracts (United States) | 392 | 4/2026 | 14919520 | (355032) |
| ICE Cocoa Contracts (United States) | 44 | 3/2026 | 1832600 | 776066 |
| ICE Cocoa Contracts (United States) | 9 | 7/2026 | 384570 | 85858 |
| ICE Cotton No 2 Contracts (United States) | 414 | 3/2026 | 13076190 | 196522 |
| ICE Sugar No 11 Contracts (United States) | 50 | 2/2026 | 799120 | 34915 |
| ICE Sugar No 11 Contracts (United States) | 68 | 6/2026 | 1054816 | 47967 |
| LME Aluminum Contracts (United Kingdom) | 14 | 3/2026 | 1098269 | (67373) |
| LME Lead Contracts (United Kingdom) | 23 | 3/2026 | 1144894 | (19048) |
| LME Nickel Contracts (United Kingdom) | 12 | 3/2026 | 1285266 | (235799) |
| LME Zinc Contracts (United Kingdom) | 7 | 3/2026 | 597083 | (55985) |
| NYMEX Gasoline RBOB Contracts (United States) | 8 | 2/2026 | 652579 | (29281) |
| NYMEX Natural Gas Contracts (United States) | 14 | 6/2026 | 606620 | (12570) |
| **TOTAL COMMODITY CONTRACTS** |  |  |  | 319071 |
| Equity Contracts |  |  |  |  |
| JSE FTSE TOP 40 Index Contracts (South Africa) | 5 | 3/2026 | 350587 | 1071 |
| NSE IFSC Nifty 50 Contract (India) | 15 | 2/2026 | 762120 | 413 |
| SGX FTSE Taiwan Index Contracts (Singapore) | 9 | 2/2026 | 934740 | 9276 |
| **TOTAL EQUITY CONTRACTS** |  |  |  | 10760 |
| Interest Rate Contracts |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 115 | 3/2026 | 8740907 | 13564 |
| ASX 3Y Australia Treasury Bond Contracts (Australia) | 378 | 3/2026 | 27580278 | 70566 |
| CBOT 10Y US Treasury Notes Contracts (United States) | 34 | 3/2026 | 3798969 | 10013 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 327 | 3/2026 | 68164172 | 92223 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 164 | 3/2026 | 17859344 | 71569 |
| CBOT US Treasury Long Bond Contracts (United States) | 16 | 3/2026 | 1836000 | 8913 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 34 | 3/2026 | 3979063 | 50789 |
| CME 3M US SOFR Index Contracts (United States) | 86 | 9/2026 | 20763625 | 4293 |
| CME 3M US SOFR Index Contracts (United States) | 57 | 12/2026 | 13787588 | (2409) |
| CME 3M US SOFR Index Contracts (United States) | 183 | 6/2026 | 44096138 | 19473 |
| CME 3M US SOFR Index Contracts (United States) | 42 | 3/2027 | 10166625 | (5557) |
| Eurex Euro-BTP Contracts (Germany) | 5 | 3/2026 | 717789 | (3507) |
| Eurex Euro-Bobl Contracts (Germany) | 106 | 3/2026 | 14651708 | (28631) |
| Eurex Euro-Bund Contracts (Germany) | 36 | 3/2026 | 5469347 | (25453) |
| Eurex Euro-Buxl Contracts (Germany) | 37 | 3/2026 | 4819112 | 35593 |
| Eurex Euro-Schatz Contracts (Germany) | 601 | 3/2026 | 76158625 | (19303) |
| ICE 3M EURIBOR Index Contracts (United States) | 136 | 9/2026 | 39493847 | (22336) |
| ICE 3M EURIBOR Index Contracts (United States) | 111 | 12/2026 | 32227370 | (34025) |
| ICE 3M EURIBOR Index Contracts (United States) | 225 | 6/2026 | 65329084 | (4729) |
| ICE 3M EURIBOR Index Contracts (United States) | 399 | 3/2026 | 115820682 | 21281 |
| ICE Long GILT Futures (United Kingdom) | 21 | 3/2026 | 2610607 | 14547 |
| KRX 10Y Korea Treasury Bond Contracts (South Korea) | 111 | 3/2026 | 8489140 | 104321 |
| KRX 3Y Korea Treasury Bond Contracts (South Korea) | 142 | 3/2026 | 10271711 | 13880 |
| TME 3M CORRA Contracts (Canada) | 31 | 3/2027 | 5556733 | (4470) |
| TMX 10Y Canadian Bond Contracts (Canada) | 22 | 3/2026 | 1956274 | (1462) |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  | 379143 |
| TOTAL SHORT |  |  |  | 708974 |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **6519452** |
| The notional amount of long futures as a percentage of Net Assets is 149.6%. | The notional amount of long futures as a percentage of Net Assets is 149.6%. | The notional amount of long futures as a percentage of Net Assets is 149.6%. | The notional amount of long futures as a percentage of Net Assets is 149.6%. | The notional amount of long futures as a percentage of Net Assets is 149.6%. |
| The notional amount of short futures as a percentage of Net Assets is 363.6%. | The notional amount of short futures as a percentage of Net Assets is 363.6%. | The notional amount of short futures as a percentage of Net Assets is 363.6%. | The notional amount of short futures as a percentage of Net Assets is 363.6%. | The notional amount of short futures as a percentage of Net Assets is 363.6%. |

---

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| AUD | 1875000 | USD | 1241237 | Bank of America NA | 3/2026 | 64283 |
| AUD | 1434000 | USD | 954003 | JPMorgan Chase Bank NA | 3/2026 | 44458 |
| AUD | 1720000 | USD | 1147845 | JPMorgan Chase Bank NA | 3/2026 | 49752 |
| AUD | 1613000 | USD | 1069395 | State Street Bank & Trust Co | 3/2026 | 53700 |
| AUD | 971000 | USD | 647242 | State Street Bank & Trust Co | 3/2026 | 28842 |
| AUD | 2963000 | USD | 2072423 | State Street Bank & Trust Co | 3/2026 | (9355) |
| AUD | 3164000 | USD | 2141300 | State Street Bank & Trust Co | 3/2026 | 61720 |
| BRL | 3518000 | USD | 622820 | Bank of America NA | 4/2026 | 36506 |
| BRL | 30828000 | USD | 5526217 | Bank of America NA | 4/2026 | 251417 |
| BRL | 7201000 | USD | 1334482 | Bank of America NA | 4/2026 | 15094 |
| CAD | 3474000 | USD | 2548460 | JPMorgan Chase Bank NA | 3/2026 | 7342 |
| CAD | 1740000 | USD | 1253560 | JPMorgan Chase Bank NA | 3/2026 | 26548 |
| CAD | 6050000 | USD | 4384541 | JPMorgan Chase Bank NA | 3/2026 | 66410 |
| CAD | 1504000 | USD | 1102888 | JPMorgan Chase Bank NA | 3/2026 | 3596 |
| CAD | 2014000 | USD | 1477456 | Royal Bank of Canada | 3/2026 | 4232 |
| CAD | 1678000 | USD | 1223053 | Royal Bank of Canada | 3/2026 | 11442 |
| CAD | 2812000 | USD | 2040807 | Royal Bank of Canada | 3/2026 | 27965 |
| CAD | 4570000 | USD | 3327482 | Royal Bank of Canada | 3/2026 | 34641 |
| CAD | 2606000 | USD | 1906677 | State Street Bank & Trust Co | 3/2026 | 10543 |
| CAD | 841000 | USD | 610556 | State Street Bank & Trust Co | 3/2026 | 8163 |
| CAD | 4763000 | USD | 3467980 | State Street Bank & Trust Co | 3/2026 | 36132 |
| CAD | 1326000 | USD | 967522 | State Street Bank & Trust Co | 3/2026 | 8009 |
| CAD | 7161000 | USD | 5201407 | State Street Bank & Trust Co | 3/2026 | 66900 |
| CHF | 1271000 | USD | 1613046 | JPMorgan Chase Bank NA | 3/2026 | 38725 |
| CHF | 801000 | USD | 1025633 | JPMorgan Chase Bank NA | 3/2026 | 15333 |
| CHF | 445000 | USD | 557586 | JPMorgan Chase Bank NA | 3/2026 | 20728 |
| CHF | 823000 | USD | 1052107 | JPMorgan Chase Bank NA | 3/2026 | 17450 |
| CHF | 599000 | USD | 766533 | JPMorgan Chase Bank NA | 3/2026 | 11917 |
| CHF | 728000 | USD | 941425 | State Street Bank & Trust Co | 3/2026 | 4672 |
| CHF | 703000 | USD | 919042 | State Street Bank & Trust Co | 3/2026 | (5435) |
| CHF | 1416000 | USD | 1800759 | State Street Bank & Trust Co | 3/2026 | 39451 |
| CHF | 1127000 | USD | 1429456 | State Street Bank & Trust Co | 3/2026 | 35175 |
| CLP | 488231000 | USD | 534170 | Bank of America NA | 3/2026 | 24392 |
| CLP | 498287000 | USD | 551385 | Bank of America NA | 3/2026 | 18681 |
| CLP | 1270141000 | USD | 1456417 | Bank of America NA | 3/2026 | (3309) |
| CLP | 2550396000 | USD | 2755100 | State Street Bank & Trust Co | 3/2026 | 162686 |
| CNH | 4540000 | USD | 652533 | BNP Paribas SA | 3/2026 | 1295 |
| CNH | 3899000 | USD | 562343 | BNP Paribas SA | 3/2026 | (829) |
| CNH | 4015000 | USD | 579172 | Bank of America NA | 3/2026 | (952) |
| CNH | 5318000 | USD | 762916 | Brown Brothers Harriman & Co. | 3/2026 | 2956 |
| CNH | 4381000 | USD | 630885 | Brown Brothers Harriman & Co. | 3/2026 | 45 |
| CNH | 4513000 | USD | 644754 | Brown Brothers Harriman & Co. | 3/2026 | 5185 |
| CNH | 3674000 | USD | 523865 | Brown Brothers Harriman & Co. | 3/2026 | 5246 |
| CNH | 4741000 | USD | 684405 | Brown Brothers Harriman & Co. | 3/2026 | (1630) |
| CNH | 3830000 | USD | 550171 | Brown Brothers Harriman & Co. | 3/2026 | 1406 |
| CNH | 4707000 | USD | 678308 | Brown Brothers Harriman & Co. | 3/2026 | (430) |
| CNH | 3598000 | USD | 517603 | Brown Brothers Harriman & Co. | 3/2026 | 562 |
| CNH | 4200000 | USD | 602362 | Brown Brothers Harriman & Co. | 3/2026 | 2501 |
| CNH | 6454000 | USD | 930140 | State Street Bank & Trust Co | 3/2026 | (667) |
| COP | 1907147000 | USD | 502145 | Bank of America NA | 3/2026 | 9409 |
| COP | 2940860000 | USD | 752138 | Bank of America NA | 3/2026 | 36689 |
| COP | 1871161000 | USD | 491764 | Bank of America NA | 3/2026 | 10138 |
| COP | 19715046000 | USD | 5035772 | Bank of America NA | 3/2026 | 252395 |
| COP | 7076050000 | USD | 1897064 | Bank of America NA | 3/2026 | 945 |
| CZK | 13685000 | USD | 658528 | JPMorgan Chase Bank NA | 3/2026 | 8251 |
| CZK | 11374000 | USD | 550816 | Royal Bank of Canada | 3/2026 | 3364 |
| CZK | 44919000 | USD | 2155949 | State Street Bank & Trust Co | 3/2026 | 32655 |
| EUR | 797000 | USD | 942609 | JPMorgan Chase Bank NA | 3/2026 | 4039 |
| EUR | 612000 | USD | 731679 | Royal Bank of Canada | 3/2026 | (4768) |
| EUR | 450000 | USD | 531702 | State Street Bank & Trust Co | 3/2026 | 2792 |
| EUR | 614000 | USD | 722410 | State Street Bank & Trust Co | 3/2026 | 6876 |
| EUR | 643000 | USD | 767233 | State Street Bank & Trust Co | 3/2026 | (3501) |
| EUR | 503000 | USD | 592575 | State Street Bank & Trust Co | 3/2026 | 4870 |
| EUR | 522000 | USD | 615439 | State Street Bank & Trust Co | 3/2026 | 4573 |
| GBP | 1666000 | USD | 2237192 | BNP Paribas SA | 3/2026 | 42355 |
| GBP | 429000 | USD | 591365 | Bank of America NA | 3/2026 | (4375) |
| GBP | 2635000 | USD | 3540002 | Bank of America NA | 3/2026 | 65405 |
| GBP | 731000 | USD | 988783 | Brown Brothers Harriman & Co. | 3/2026 | 11427 |
| GBP | 942000 | USD | 1272217 | JPMorgan Chase Bank NA | 3/2026 | 16698 |
| GBP | 1143000 | USD | 1571673 | JPMorgan Chase Bank NA | 3/2026 | (7734) |
| GBP | 922000 | USD | 1237816 | JPMorgan Chase Bank NA | 3/2026 | 23734 |
| GBP | 721000 | USD | 972841 | JPMorgan Chase Bank NA | 3/2026 | 13686 |
| GBP | 1013000 | USD | 1350186 | JPMorgan Chase Bank NA | 3/2026 | 35877 |
| GBP | 516000 | USD | 690981 | Royal Bank of Canada | 3/2026 | 15049 |
| HUF | 172136000 | USD | 518985 | Bank of America NA | 3/2026 | 14365 |
| HUF | 1403831000 | USD | 4231339 | Bank of America NA | 3/2026 | 118324 |
| HUF | 522766000 | USD | 1584665 | JPMorgan Chase Bank NA | 3/2026 | 35085 |
| IDR | 8755534000 | USD | 522002 | Bank of America NA | 3/2026 | (785) |
| IDR | 8525694000 | USD | 508117 | Bank of America NA | 3/2026 | (582) |
| IDR | 9486489000 | USD | 566730 | JPMorgan Chase Bank NA | 3/2026 | (1999) |
| ILS | 1682000 | USD | 537907 | State Street Bank & Trust Co | 3/2026 | 4920 |
| INR | 48261000 | USD | 532271 | Bank of America NA | 3/2026 | (7417) |
| INR | 113177000 | USD | 1230854 | Bank of America NA | 3/2026 | (18) |
| INR | 122950000 | USD | 1351604 | JPMorgan Chase Bank NA | 3/2026 | (14484) |
| INR | 260554000 | USD | 2876348 | Royal Bank of Canada | 3/2026 | (42742) |
| JPY | 79204000 | USD | 514611 | BNP Paribas SA | 3/2026 | (1005) |
| JPY | 78246000 | USD | 510271 | Brown Brothers Harriman & Co. | 3/2026 | (2877) |
| JPY | 98179000 | USD | 641685 | Brown Brothers Harriman & Co. | 3/2026 | (5033) |
| JPY | 79792000 | USD | 514006 | JPMorgan Chase Bank NA | 3/2026 | 3413 |
| JPY | 80390000 | USD | 515545 | State Street Bank & Trust Co | 3/2026 | 5752 |
| MXN | 9610000 | USD | 530722 | Bank of America NA | 3/2026 | 17026 |
| MXN | 13763000 | USD | 757651 | Bank of America NA | 3/2026 | 26810 |
| MXN | 110641000 | USD | 6014102 | Royal Bank of Canada | 3/2026 | 292192 |
| MXN | 43313000 | USD | 2464085 | State Street Bank & Trust Co | 3/2026 | 4661 |
| NOK | 6789000 | USD | 704614 | BNP Paribas SA | 3/2026 | 190 |
| NOK | 15895000 | USD | 1568311 | Bank of America NA | 3/2026 | 81837 |
| NOK | 19748000 | USD | 1931748 | Bank of America NA | 3/2026 | 118401 |
| NOK | 18140000 | USD | 1786040 | Bank of America NA | 3/2026 | 97174 |
| NOK | 7214000 | USD | 710912 | Citibank NA | 3/2026 | 38013 |
| NZD | 16722000 | USD | 9725288 | BNP Paribas SA | 3/2026 | 359139 |
| NZD | 1309000 | USD | 758768 | Bank of America NA | 3/2026 | 30642 |
| NZD | 1381000 | USD | 795801 | State Street Bank & Trust Co | 3/2026 | 37029 |
| NZD | 1035000 | USD | 624846 | State Street Bank & Trust Co | 3/2026 | (675) |
| NZD | 1503000 | USD | 873822 | State Street Bank & Trust Co | 3/2026 | 32583 |
| NZD | 1565000 | USD | 905606 | State Street Bank & Trust Co | 3/2026 | 38188 |
| PEN | 2283000 | USD | 677488 | Bank of America NA | 3/2026 | (535) |
| PEN | 3057000 | USD | 905778 | Bank of America NA | 3/2026 | 682 |
| PEN | 2095000 | USD | 621939 | Bank of America NA | 3/2026 | (731) |
| PEN | 11583000 | USD | 3451430 | Bank of America NA | 3/2026 | (16847) |
| PEN | 27020000 | USD | 7996449 | State Street Bank & Trust Co | 3/2026 | 15504 |
| PHP | 30061000 | USD | 509508 | Bank of America NA | 3/2026 | 59 |
| PHP | 29949000 | USD | 505383 | Bank of America NA | 3/2026 | 2286 |
| PHP | 58337000 | USD | 979631 | State Street Bank & Trust Co | 3/2026 | 9246 |
| PLN | 1881000 | USD | 525664 | Bank of America NA | 3/2026 | 3699 |
| PLN | 4488000 | USD | 1244276 | JPMorgan Chase Bank NA | 3/2026 | 18765 |
| PLN | 9067000 | USD | 2491050 | State Street Bank & Trust Co | 3/2026 | 60641 |
| RON | 2295000 | USD | 528703 | Bank of America NA | 3/2026 | 4230 |
| RON | 2815000 | USD | 644949 | Bank of America NA | 3/2026 | 8736 |
| RON | 19456000 | USD | 4423171 | JPMorgan Chase Bank NA | 3/2026 | 94802 |
| RON | 2314000 | USD | 530929 | State Street Bank & Trust Co | 3/2026 | 6417 |
| SEK | 8481000 | USD | 923528 | BNP Paribas SA | 3/2026 | 30671 |
| SEK | 4888000 | USD | 533117 | BNP Paribas SA | 3/2026 | 16832 |
| SEK | 6678000 | USD | 747455 | Bank of America NA | 3/2026 | 3888 |
| SEK | 5229000 | USD | 566541 | Bank of America NA | 3/2026 | 21774 |
| SEK | 7108000 | USD | 770609 | Bank of America NA | 3/2026 | 29113 |
| SEK | 4734000 | USD | 534901 | Bank of America NA | 3/2026 | (2278) |
| SEK | 21273000 | USD | 2402781 | Bank of America NA | 3/2026 | (9353) |
| SEK | 11799000 | USD | 1277599 | Bank of America NA | 3/2026 | 49908 |
| SEK | 6825000 | USD | 748825 | Bank of America NA | 3/2026 | 19056 |
| SEK | 11060000 | USD | 1251451 | Bank of America NA | 3/2026 | (7089) |
| SGD | 937000 | USD | 740447 | BNP Paribas SA | 3/2026 | (1681) |
| SGD | 670000 | USD | 529921 | Brown Brothers Harriman & Co. | 3/2026 | (1668) |
| SGD | 4741000 | USD | 3708861 | Brown Brothers Harriman & Co. | 3/2026 | 29119 |
| SGD | 648000 | USD | 505693 | Brown Brothers Harriman & Co. | 3/2026 | 5215 |
| SGD | 1044000 | USD | 828579 | Brown Brothers Harriman & Co. | 3/2026 | (5450) |
| THB | 17140000 | USD | 551953 | JPMorgan Chase Bank NA | 3/2026 | (7155) |
| THB | 20551000 | USD | 659638 | JPMorgan Chase Bank NA | 3/2026 | (6420) |
| THB | 18696000 | USD | 595907 | JPMorgan Chase Bank NA | 3/2026 | (1652) |
| THB | 12380000 | USD | 390666 | JPMorgan Chase Bank NA | 3/2026 | 2835 |
| THB | 15742000 | USD | 500743 | JPMorgan Chase Bank NA | 3/2026 | (380) |
| TWD | 165077000 | USD | 5287540 | Bank of America NA | 3/2026 | (43493) |
| TWD | 27679000 | USD | 877306 | Bank of America NA | 3/2026 | 1981 |
| USD | 2591348 | AUD | 3882000 | Brown Brothers Harriman & Co. | 3/2026 | (111599) |
| USD | 510598 | AUD | 763000 | Brown Brothers Harriman & Co. | 3/2026 | (20661) |
| USD | 3952380 | AUD | 5938000 | Royal Bank of Canada | 3/2026 | (182112) |
| USD | 645311 | AUD | 947000 | State Street Bank & Trust Co | 3/2026 | (14063) |
| USD | 1278025 | AUD | 1865000 | State Street Bank & Trust Co | 3/2026 | (20531) |
| USD | 730593 | AUD | 1086000 | State Street Bank & Trust Co | 3/2026 | (25563) |
| USD | 828137 | CAD | 1135000 | Brown Brothers Harriman & Co. | 3/2026 | (6877) |
| USD | 1011281 | CAD | 1385000 | JPMorgan Chase Bank NA | 3/2026 | (7656) |
| USD | 799083 | CAD | 1093000 | State Street Bank & Trust Co | 3/2026 | (5031) |
| USD | 637489 | CHF | 488000 | BNP Paribas SA | 3/2026 | 3293 |
| USD | 1040724 | CHF | 823000 | JPMorgan Chase Bank NA | 3/2026 | (28833) |
| USD | 3696481 | CHF | 2950000 | JPMorgan Chase Bank NA | 3/2026 | (137289) |
| USD | 1837841 | CHF | 1447000 | State Street Bank & Trust Co | 3/2026 | (42656) |
| USD | 1102533 | CHF | 845000 | State Street Bank & Trust Co | 3/2026 | 4385 |
| USD | 1674091 | CHF | 1321000 | State Street Bank & Trust Co | 3/2026 | (42659) |
| USD | 1124428 | CHF | 886000 | State Street Bank & Trust Co | 3/2026 | (27002) |
| USD | 3411578 | CNH | 23956000 | BNP Paribas SA | 3/2026 | (38444) |
| USD | 550837 | EUR | 474000 | JPMorgan Chase Bank NA | 3/2026 | (12162) |
| USD | 130935 | EUR | 112000 | JPMorgan Chase Bank NA | 3/2026 | (2094) |
| USD | 1701922 | GBP | 1260000 | Bank of America NA | 3/2026 | (22105) |
| USD | 196941 | GBP | 148000 | Brown Brothers Harriman & Co. | 3/2026 | (5564) |
| USD | 1698445 | GBP | 1272000 | JPMorgan Chase Bank NA | 3/2026 | (42002) |
| USD | 277566 | ILS | 894000 | BNP Paribas SA | 3/2026 | (10952) |
| USD | 2505528 | JPY | 388899000 | JPMorgan Chase Bank NA | 3/2026 | (16327) |
| USD | 663600 | JPY | 104466000 | State Street Bank & Trust Co | 3/2026 | (13821) |
| USD | 664228 | JPY | 104708000 | State Street Bank & Trust Co | 3/2026 | (14761) |
| USD | 1829006 | KRW | 2677116000 | Bank of America NA | 3/2026 | (19181) |
| USD | 644691 | KRW | 943183000 | Bank of America NA | 3/2026 | (6449) |
| USD | 2555336 | NOK | 25918000 | BNP Paribas SA | 3/2026 | (135355) |
| USD | 1041080 | NOK | 10278000 | Bank of America NA | 3/2026 | (25936) |
| USD | 541246 | NOK | 5451000 | Bank of America NA | 3/2026 | (24653) |
| USD | 835180 | NOK | 8168000 | Bank of America NA | 3/2026 | (12786) |
| USD | 542473 | NOK | 5406000 | JPMorgan Chase Bank NA | 3/2026 | (18754) |
| USD | 652814 | NOK | 6514000 | JPMorgan Chase Bank NA | 3/2026 | (23440) |
| USD | 1793613 | NZD | 3062000 | Bank of America NA | 3/2026 | (52967) |
| USD | 557915 | NZD | 969000 | Brown Brothers Harriman & Co. | 3/2026 | (26453) |
| USD | 896424 | NZD | 1493000 | Brown Brothers Harriman & Co. | 3/2026 | (3950) |
| USD | 1314544 | NZD | 2247000 | Brown Brothers Harriman & Co. | 3/2026 | (40539) |
| USD | 1258567 | NZD | 2127000 | State Street Bank & Trust Co | 3/2026 | (24149) |
| USD | 923597 | NZD | 1592000 | State Street Bank & Trust Co | 3/2026 | (36480) |
| USD | 795620 | NZD | 1359000 | State Street Bank & Trust Co | 3/2026 | (23943) |
| USD | 4225446 | RON | 18348000 | BNP Paribas SA | 3/2026 | (35234) |
| USD | 881677 | SEK | 7941000 | Bank of America NA | 3/2026 | (11766) |
| USD | 1940277 | SEK | 17883000 | Bank of America NA | 3/2026 | (71741) |
| USD | 1362295 | SEK | 12636000 | Bank of America NA | 3/2026 | (59383) |
| USD | 10975889 | SEK | 102104000 | State Street Bank & Trust Co | 3/2026 | (511844) |
| USD | 1425537 | SEK | 12946000 | State Street Bank & Trust Co | 3/2026 | (31019) |
| USD | 589678 | SGD | 757000 | Bank of America NA | 3/2026 | (7169) |
| USD | 1457391 | SGD | 1866000 | Bank of America NA | 3/2026 | (13832) |
| USD | 551662 | SGD | 703000 | Bank of America NA | 3/2026 | (2609) |
| USD | 11032803 | SGD | 14208000 | Royal Bank of Canada | 3/2026 | (169312) |
| USD | 2539090 | SGD | 3250000 | State Street Bank & Trust Co | 3/2026 | (23330) |
| USD | 3194977 | TWD | 100498000 | Bank of America NA | 3/2026 | 2429 |
| USD | 1521725 | TWD | 47630000 | Bank of America NA | 3/2026 | 8650 |
| USD | 6129936 | TWD | 190641000 | State Street Bank & Trust Co | 3/2026 | 73790 |
| ZAR | 9702000 | USD | 587945 | BNP Paribas SA | 3/2026 | 10753 |
| ZAR | 25365000 | USD | 1552023 | Bank of America NA | 3/2026 | 13218 |
| ZAR | 8661000 | USD | 513744 | Brown Brothers Harriman & Co. | 3/2026 | 20715 |
| ZAR | 54326000 | USD | 3162668 | JPMorgan Chase Bank NA | 3/2026 | 189719 |
| **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** |  | **1557111** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 4045483 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (2488372) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(2) | Maturity <br> Date | Clearinghouse / <br> Counterparty(1) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(3)(4) | Notional<br> Amount(3)(4) | Value ($)(2) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| iTraxx Europe Series 44 Index |  | 12/2030 | ICE | (1%) | Quarterly | EUR | 54745000 | (1448890) | 1351360 | (97530) |
| 5Y CDX EM CDSI Series 44 Index |  | 12/2030 | ICE | (1%) | Quarterly |  | 21466000 | 218485 | (335136) | (116651) |
| 5Y CDX NA IG Series 45 Index |  | 12/2030 | ICE | (1%) | Quarterly |  | 58576000 | (1317528) | 1298672 | (18856) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | (2547933) | 2314896 | (233037) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| iTraxx Crossover Series 44 Index | NR | 12/2030 | ICE | 5% | Quarterly | EUR | 12286000 | 1576136 | (1473195) | 102941 |
| 5Y CDX NA HY Series 45 Index | NR | 12/2030 | ICE | 5% | Quarterly |  | 38307060 | 3272482 | (2907888) | 364594 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | 4848618 | (4381083) | 467535 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **2300685** | **(2066187)** | **234498** |

---

(1)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

(2)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(3)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

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

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Pay/<br> Receive<br> Reference | Reference<br> Payment<br> Frequency | Financing<br> Rate | Financing<br> Frequency | Counterparty | Maturity<br> Date | Units | Notional<br> Amount | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| iShares Core S&P 500 ETF | Pay | At Maturity | U.S. SOFR index plus 71 basis points | At Maturity | Goldman Sachs International | 6/2026 | 9000 | 6152940 | (57538) | 0 | (57538) |
| NVIDIA CORP | Pay | At Maturity | U.S. SOFR index plus 45 basis points | At Maturity | Goldman Sachs International | 4/2026 | 13500 | 2517345 | (62050) | 0 | (62050) |
| **TOTAL RETURN SWAPS** |  |  |  |  |  |  |  |  | **(119588)** | **0** | **(119588)** |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| BRL | - | Brazilian Real |
| CAD | - | Canadian Dollar |
| CHF | - | Swiss Franc |
| CLP | - | Chilean Peso |
| CNH | - | Chinese Offshore Currency |
| COP | - | Colombian Peso |
| CZK | - | Czech Koruna |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| HUF | - | Hungarian Forint |
| IDR | - | Indonesian Rupiah |
| ILS | - | Israeli Shekel |
| INR | - | Indian Rupee |
| JPY | - | Japanese Yen |
| KRW | - | Korean Won |
| MXN | - | Mexican Peso |
| NOK | - | Norwegian Krone |
| NZD | - | New Zealand Dollar |
| PEN | - | Peruvian New Sol |
| PHP | - | Philippines |
| PLN | - | Polish Zloty |
| RON | - | Romanian Leu |
| SEK | - | Swedish Krona |
| SGD | - | Singapore Dollar |
| THB | - | Thai Baht |
| TWD | - | Taiwan Dollar |
| USD | - | United States Dollar |
| ZAR | - | South African Rand |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

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

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

(c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $2,061,890.

(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 $16,194,570.

(e) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $3,298,508.

(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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | - | 144313670 | 63780132 | 510963 | (647) | (4164) | 80528727 | 80512624 | 0.1% |
| Total | - | 144313670 | 63780132 | 510963 | (647) | (4164) | 80528727 |  |  |

---

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

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

**Investment Valuation**

The following is a summary of the inputs used, as of January 31, 2026, 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>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Information Technology | 2580255 | 2580255 | - | - |
|  **Domestic Equity Funds** | 6255270 | 6255270 | - | - |
|  **U.S. Treasury Obligations** | 88431882 | - | 88431882 | - |
|  **Money Market Funds** | 80528727 | 80528727 | - | - |
| **Total Investments in Securities:** | 177796134 | 89364252 | 88431882 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 8080164 | 8080164 | - | - |
| Forward Foreign Currency Contracts | 4045483 | - | 4045483 | - |
| Swaps | 5067103 | - | 5067103 | - |
| Total Assets | 17192750 | 8080164 | 9112586 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (1560712) | (1560712) | - | - |
| Forward Foreign Currency Contracts | (2488372) | - | (2488372) | - |
| Swaps | (2886006) | - | (2886006) | - |
| Total Liabilities | (6935090) | (1560712) | (5374378) | - |
| **Total Derivative Instruments:** | 10257660 | 6519452 | 3738208 | - |

---

**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, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Commodity Risk** |  |  |
| Futures Contracts (a)  | 4843691 | (1106650) |
| **Total Commodity Risk**  | 4843691 | (1106650) |
| **Credit Risk** |  |  |
| Swaps (b)  | 5067103 | (2766418) |
| **Total Credit Risk**  | 5067103 | (2766418) |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 2680753 | (125727) |
| Swaps (c)  | - | (119588) |
| **Total Equity Risk**  | 2680753 | (245315) |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (d)  | 4045483 | (2488372) |
| **Total Foreign Exchange Risk**  | 4045483 | (2488372) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (a)  | 555720 | (328335) |
| **Total Interest Rate Risk**  | 555720 | (328335) |
| **Total Value of Derivatives** | 17192750 | (6935090) |

---

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

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

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

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

The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Counterparty** | **Value of**<br> **Derivative**<br> **Assets ($)** | **Value of**<br> **Derivative**<br> **Liabilities ($)** | <br> **Collateral**<br> **Received**(a) **($)** | <br> **Collateral**<br> **Pledged**(a) **($)** | <br>**Net**(b) **($)** |
| Bank of America NA | 1459642 | (428341) | (1031301) | - | - |
| BNP Paribas SA | 464528 | (223500) | - | - | 241028 |
| Brown Brothers Harriman & Co | 84377 | (232731) | - | - | (148354) |
| Citibank NA | 38013 | - | - | - | 38013 |
| Goldman Sachs International | - | (119588) | - | 119588 | - |
| JPMorgan Chase Bank NA | 749163 | (328381) | - | - | 420782 |
| Royal Bank of Canada | 388885 | (398934) | - | - | (10049) |
| State Street Bank & Trust Co | 860875 | (876485) | - | - | (15610) |
| Total | $4045483 | $(2607960) | $(1031301) | $119588 | $525810 |

---

*(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** |
| **As of January 31, 2026** | **As of January 31, 2026** | **As of January 31, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $96,622,892) | $97267407 |  |
| Fidelity Central Funds (cost $80,532,891) | 80528727 |  |
| Total Investment in Securities (cost $177,155,783) |  | $177796134 |
| Foreign currency held at value (cost $72,455) |  | 72455 |
| Unrealized appreciation on forward foreign currency contracts |  | 4045483 |
| Distributions receivable from Fidelity Central Funds |  | 214835 |
| Receivable for daily variation margin on centrally cleared swaps |  | 252038 |
| Prepaid expenses |  | 17444 |
| Receivable from investment adviser for expense reductions |  | 21666 |
| **Total assets** |  | 182420055 |
| **Liabilities** |  |  |
| Unrealized depreciation on forward foreign currency contracts | $2488372 |  |
| Bi-lateral OTC swaps, at value | 119588 |  |
| Accrued management fee | 124856 |  |
| Payable for daily variation margin on futures contracts | 904857 |  |
| Other payables and accrued expenses | 80582 |  |
| **Total liabilities** |  | 3718255 |
| **Net Assets**  |  | $178701800 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $168846359 |
| Total accumulated earnings (loss) |  | 9855441 |
| **Net Assets** |  | $178701800 |
| **Net Asset Value**, offering price and redemption price per share ($178,701,800 ÷ 16,364,783 shares) |  | $10.92 |

---

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Operations** | **Consolidated Statement of Operations** | **Consolidated Statement of Operations** |
| <br> **For the period June 17, 2025 (commencement of operations) through January 31, 2026**  | <br> **For the period June 17, 2025 (commencement of operations) through January 31, 2026**  | <br> **For the period June 17, 2025 (commencement of operations) through January 31, 2026**  |
| **Investment Income** |  |  |
| Dividends  |  | $37252 |
| Interest  |  | 2012856 |
| Income from Fidelity Central Funds  |  | 510963 |
| **Total income** |  | 2561071 |
| **Expenses** |  |  |
| Management fee | $666440 |  |
| Custodian fees and expenses | 7486 |  |
| Independent trustees' fees and expenses | 18134 |  |
| Registration fees | 46967 |  |
| Audit fees | 62728 |  |
| Legal | 3724 |  |
| Miscellaneous | 13073 |  |
| Total expenses before reductions | 818552 |  |
| Expense reductions | (112526) |  |
| Total expenses after reductions |  | 706026 |
| **Net Investment income (loss)** |  | 1855045 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | (610) |  |
| Fidelity Central Funds | (647) |  |
| Forward foreign currency contracts | 714351 |  |
| Foreign currency transactions | 20315 |  |
| Futures contracts | 2630614 |  |
| Swaps | (157964) |  |
| Total net realized gain (loss) |  | 3206059 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers | 644515 |  |
| Fidelity Central Funds  | (4164) |  |
| Forward foreign currency contracts | 1557111 |  |
| Assets and liabilities in foreign currencies | (110) |  |
| Futures contracts | 6519452 |  |
| Swaps | 114910 |  |
| Total change in net unrealized appreciation (depreciation) |  | 8831714 |
| **Net gain (loss)** |  | 12037773 |
| **Net increase (decrease) in net assets resulting from operations** |  | $13892818 |

---

---

| | |
|:---|:---|
| **Consolidated Statement of Changes in Net Assets** | **Consolidated Statement of Changes in Net Assets** |
|  | **For the period June 17, 2025 (commencement of operations) through January 31, 2026**  |
| **Increase (Decrease) in Net Assets** |  |
| Operations |  |
| &nbsp;&nbsp;Net investment income (loss) | $1855045 |
| &nbsp;&nbsp;Net realized gain (loss) | 3206059<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 8831714 |
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 13892818<br>|
| Distributions to shareholders | (4037377)<br>|
| Share transactions |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 164809139 |
| Reinvestment of distributions | 4037377<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (157) |
| **Net increase (decrease) in net assets resulting from share transactions** | 168846359<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 178701800<br>|
| **Net Assets** |  |
| &nbsp;&nbsp;Beginning of period | - |
| &nbsp;&nbsp;End of period | $178701800 |
| **Other Information** |  |
| Shares |  |
| &nbsp;&nbsp;Sold | 15978816 |
| Issued in reinvestment of distributions | 385983<br>|
| &nbsp;&nbsp;Redeemed | (16) |
| &nbsp;&nbsp;Net increase (decrease) | 16364783 |

---

**Consolidated Financial Highlights** 

**Fidelity® SAI Managed Futures Fund** <br>

---

| | |
|:---|:---|
| **Years ended January 31,** | **2026** A  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00 |
| Income from Investment Operations  |  |
| Net investment income (loss) B,C | .18  |
| Net realized and unrealized gain (loss)  | 1.07  |
| Total from investment operations  | 1.25  |
| Distributions from net investment income  | (.13)  |
| Distributions from net realized gain  | (.20)  |
| Total distributions  | (.33)  |
| Net asset value, end of period  | $10.92 |
| **Total Return** D,E | 12.63% <br>|
| **Ratios to Average Net Assets** C,F,G |  |
| Expenses before reductions  | 1.18% H,I |
| Expenses net of fee waivers, if any  | 1.05% H<br>|
| Expenses net of all reductions, if any  | 1.05% H |
| Net investment income (loss)  | 2.75% H |
| **Supplemental Data** |  |
| Net assets, end of period (000 omitted) | $178702 |
| Portfolio turnover rate J | 0% <br>|

---

A*For the period June 17, 2025 (commencement of operations) through January 31, 2026.*

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

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

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

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

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

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

H*Annualized.*

I*Audit fees are not annualized.*

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

**Notes to Consolidated Financial Statements**

For the period ended January 31, 2026

**1. Organization.**

Fidelity SAI Managed Futures Fund (the Fund) is a non-diversified fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.

**2. Consolidated Subsidiary.**

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Subsidiary Name** | **Net Assets of Subsidiary ($)** | **% of Fund's Total Assets** |
| **Fidelity SAI Managed Futures Fund** | Fidelity SAI Managed Futures Cayman Ltd | 35858130 | 19.7 |

---

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

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

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

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

---

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

---

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

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

**4. Significant Accounting Policies.**

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

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

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

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

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

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

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

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

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

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2026 is included at the end of the Fund's Consolidated Schedule of Investments.

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

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

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the 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.

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

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of January 31, 2026, 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.

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

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are 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, foreign currency transactions, swaps, market discount, controlled foreign corporations, constructive sales, conversion transactions and losses deferred due to offsetting positions.

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**  | $2729011 |
| **Gross unrealized depreciation**  | <u>-</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$2729011</u> |
| **Tax Cost**  | <u>$178834961</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$7023705</u> |
| **Undistributed long-term capital gain**  | <u>$665920</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$2165815</u> |

---

The tax character of distributions paid was as follows:

---

| | |
|:---|:---|
|  | **January 31, 2026A** |
| **Ordinary Income**  | $3902389 |
| **Long-term Capital Gains**  | <u>134988</u> |
| **Total**  | <u>$4037377</u> |

---

*A For the period June 17, 2025 (commencement of operations) through January 31, 2026.*

**5. Derivative Instruments.**

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

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

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

---

| | |
|:---|:---|
| Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.<br>|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<br>|
| Equity Risk  | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.<br>|
| Foreign Exchange Risk  | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

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

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

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

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss) ($)** | **Change in Net Unrealized Appreciation (Depreciation) ($)** |
| **Fidelity SAI Managed Futures Fund** |  |  |
| **Commodity Risk** |  |  |
| Futures Contracts | <u>(2167725)</u> | <u>3737041</u> |
| **Total Commodity Risk** | <u>(2167725)</u> | <u>3737041</u> |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>253360</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>234498</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>253360</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>234498</u> |
| **Equity Risk** |  |  |
| Futures Contracts | 6197100 | 2555026 |
| Swaps | <u>(411324)</u> | <u>(119588)</u> |
| **Total Equity Risk** | <u>5785776</u> | <u>2435438</u> |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp; <u>714351</u> | <u>1557111</u> |
| **Total Foreign Exchange Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>714351</u> | <u>1557111</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | <u>(1398761)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>227385</u> |
| **Total Interest Rate Risk** | <u>(1398761)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>227385</u> |
| Totals | <u>3187001</u> | <u>8191473</u> |

---

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

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Consolidated Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period, unless an average contract value is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Contracts Amount ($)** |
| **Fidelity SAI Managed Futures Fund** | 177313794 |

---

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

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

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

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Managed Futures Fund** | 527234118 |

---

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

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

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

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Consolidated Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

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

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

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Managed Futures Fund** | 153810981 |

---

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Consolidated Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Consolidated Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

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

The Fund enters into total return basket swap contracts to obtain exposure to a portfolio of long and/or short positions in order to create and adjust the fund's investment exposure, to enhance total return, to hedge risks, to manage certain investment risk, and to manage volatility. The Fund has the ability to trade in and out of the long and short positions within the swap and receives the economic benefits and risks equivalent to direct investments in these positions.

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

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity SAI Managed Futures Fund** | 41948678 | - |

---

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

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of 1.00% of the Fund's average net assets. 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.

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

**Other.** During the period, the investment adviser reimbursed the Fund for certain losses as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity SAI Managed Futures Fund** | 1772 |

---

**8. Expense Reductions.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded 1.05% of average net assets. This reimbursement will remain in place through May 31, 2027. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $112,487.

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 $39.

**9. Other.**

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

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

---

| | |
|:---|:---|
|  | **Strategic Advisers Fidelity Alternatives Fund** |
| **Fidelity SAI Managed Futures Fund** | 84% |

---

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:

---

| | |
|:---|:---|
|  | **Affiliated %** |
| **Fidelity SAI Managed Futures Fund** | 16 |

---

**10. Risk and Uncertainties.**

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

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Greenwood Street Trust and the Shareholders of Fidelity SAI Managed Futures Fund:

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

We have audited the accompanying consolidated statement of assets and liabilities of Fidelity SAI Managed Futures Fund (the "Fund"), a fund of Fidelity Greenwood Street Trust, including the consolidated schedule of investments, as of January 31, 2026, the related consolidated statement of operations, statements of changes in net assets, financial highlights for the period from June 17, 2025 (commencement of operations) through January 31, 2026, and the related notes (collectively referred to as the "financial statements and financial highlights"). 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, 2026, and the results of its operations, the changes in its net assets and the financial highlights for the period from June 17, 2025 (commencement of operations) through January 31, 2026, 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, 2026, 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 18, 2026

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

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

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

The fund hereby designates as a capital gain dividend with respect to the taxable year ended January 31, 2026, $800,908, or, if subsequently determined to be different, the net capital gain of such year.

A total of 21.01% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $777,260 of distributions paid during the fiscal year ended 2026 as qualifying to be taxed as section 163(j) interest dividends.

The fund designates 1% of the dividends distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund designates 0.91% of the dividends distributed 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 designates 0.03% of the dividends distributed during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2027 of amounts for use in preparing 2026 income tax returns.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

![](img125409_4.jpg)<br>

1.9918621.100 SFF-ANN-0426

**Fidelity® Managed Futures ETF**

**Annual Report**

**January 31, 2026**

![](img125410_1.jpg)

![](img125410_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Consolidated Financial Statements and Consolidated Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7Consolidated_MFE-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® Managed Futures ETF](#Sub_Sec_Fund_9044_MFE-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Consolidated Financial Statements](#Sub_Sec_NotestoFinancialStatements9044_MFE-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_MFE-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_MFE-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_MFE-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_MFE-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_MFE-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_MFE-ANN)** |

---

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® Managed Futures ETF**

**Consolidated Schedule of Investments January 31, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 2.8%** | &nbsp;&nbsp;**Common Stocks - 2.8%** | &nbsp;&nbsp;**Common Stocks - 2.8%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 2.8%  |  |  |
| Information Technology - 2.8% |  |  |
| Semiconductors & Semiconductor Equipment - 2.8% |  |  |
| NVIDIA Corp <br>(Cost $5,993,860)<br>| 34000 | **6498420** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 2.6%** | &nbsp;&nbsp;**Domestic Equity Funds - 2.6%** | &nbsp;&nbsp;**Domestic Equity Funds - 2.6%** |
|  | Shares | Value ($)<br>|
| iShares Core S&P 500 ETF <br>(Cost $5,770,387)<br>| 9300 | **6463779** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 50.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 50.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 50.1%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 50.1%** |
|  | Yield (%) (b) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 2/19/2026 (c)(d) | 3.57 | 63900000 | 63791340 |
| US Treasury Bills 0% 3/5/2026 (c)(d)(e) | 3.64 | 54400000 | 54231161 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $118,011,403) |  |  | **118022501** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 42.9%** | &nbsp;&nbsp;**Money Market Funds - 42.9%** | &nbsp;&nbsp;**Money Market Funds - 42.9%** | &nbsp;&nbsp;**Money Market Funds - 42.9%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (f)<br>(Cost $101,114,226)<br>| 3.70 | 101090842 | **101111060** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 98.4%**<br> (Cost $230,889,876)<br>| <br>**232095760** |
| **NET OTHER ASSETS (LIABILITIES) - 1.6%**  | **3664370** |
| **NET ASSETS - 100.0%** | **235760130** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| &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 ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| LONG |  |  |  |  |
| Commodity Contracts |  |  |  |  |
| Bursa Malaysia Crude Palm Oil Contracts (Malaysia) | 28 | 4/2026 | 750964 | 33212 |
| CBOT KC Hard Red Winter Wheat Contracts (United States) | 39 | 3/2026 | 1062263 | 49124 |
| CBOT Soybean Contracts (United States) | 43 | 3/2026 | 2288138 | (6103) |
| CBOT Soybean Contracts (United States) | 8 | 7/2026 | 436200 | 5333 |
| CBOT Soybean Oil Contracts (United States) | 21 | 7/2026 | 685314 | 40956 |
| CBOT Wheat Contracts (United States) | 29 | 3/2026 | 780100 | 38020 |
| CEC Copper Contracts (United States) | 32 | 7/2026 | 4828800 | 8432 |
| CEC Gold Bullion Contracts (United States) | 4 | 4/2026 | 1898040 | 75920 |
| CEC Silver Bullion Contracts (United States) | 1 | 3/2026 | 392655 | 148012 |
| CEC US Midwest Domestic Hot-Rolled Coil Steel Contracts (United States) | 75 | 3/2026 | 1470000 | 28910 |
| CME CF Ether-Dollar Reference Rate Contracts (United States) | 4 | 2/2026 | 536900 | (96661) |
| CME Lean Hogs Contracts (United States) | 571 | 6/2026 | 24650070 | 1569289 |
| CME Live Cattle Contracts (United States) | 14 | 4/2026 | 1326080 | 11871 |
| CME Live Cattle Contracts (United States) | 26 | 6/2026 | 2409940 | 101165 |
| EEX Italian Power Base Contracts (Germany) | 8 | 3/2026 | 882920 | 7095 |
| EEX Phelix DE Baseload Contracts (Germany) | 13 | 3/2026 | 1148738 | 106759 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 63 | 5/2026 | 4257540 | 217036 |
| ICE Brent Crude Oil Contracts (United Kingdom) | 53 | 3/2026 | 3636330 | 399927 |
| ICE Coffee C Contracts (United States) | 6 | 3/2026 | 747563 | (48176) |
| ICE Coffee C Contracts (United States) | 10 | 7/2026 | 1158750 | (115068) |
| ICE Cotton No 2 Contracts (United States) | 620 | 7/2026 | 20630500 | (115110) |
| ICE ENDEX Bull Carbon Emission Contracts (Netherlands) | 33 | 12/2026 | 3190142 | (191692) |
| ICE Gas Oil Contracts (United Kingdom) | 84 | 7/2026 | 5663700 | 411465 |
| ICE Low Sulpur Gas Oil Contracts (United Kingdom) | 45 | 3/2026 | 3282750 | 453899 |
| ICE Murban Crude Contracts (United Arab Emirates) | 2 | 3/2026 | 139420 | (1423) |
| LME Aluminum Contracts (United Kingdom) | 159 | 3/2026 | 12473192 | 362253 |
| LME Lead Contracts (United Kingdom) | 176 | 3/2026 | 8760928 | (132972) |
| LME Nickel Contracts (United Kingdom) | 66 | 3/2026 | 7068960 | 64620 |
| LME Tin Contracts (United Kingdom) | 16 | 3/2026 | 4150240 | 869956 |
| LME Zinc Contracts (United Kingdom) | 110 | 3/2026 | 9382725 | 592038 |
| NYMEX Ethanol Contracts (United States) | 52 | 3/2026 | 3516240 | (40866) |
| NYMEX Gasoline RBOB Contracts (United States) | 64 | 6/2026 | 5771405 | 262941 |
| NYMEX Heating Oil Contracts (United States) | 31 | 2/2026 | 3297966 | 451029 |
| NYMEX Heating Oil Contracts (United States) | 59 | 6/2026 | 5683541 | 359470 |
| NYMEX Natural Gas Contracts (United States) | 30 | 2/2026 | 1306200 | 66587 |
| NYMEX Palladium Bullion Contracts (United States) | 4 | 3/2026 | 681240 | 95070 |
| NYMEX Platinum Bullion Contracts (United States) | 6 | 4/2026 | 636480 | 128650 |
| NYMEX WTI Crude Contracts (United States) | 39 | 2/2026 | 2543190 | 257488 |
| NYMEX WTI Crude Contracts (United States) | 63 | 6/2026 | 4003650 | 206301 |
| OSE Platinum Bullion Contracts (Japan) | 18 | 12/2026 | 681505 | 84121 |
| SGX Iron Ore Index Contracts (Singapore) | 9 | 4/2026 | 93402 | (1036) |
| SGX Iron Ore Index Contracts (Singapore) | 323 | 3/2026 | 3352417 | (94001) |
| SGX Natural Rubber Contracts (Singapore) | 2 | 4/2026 | 18950 | (464) |
| **TOTAL COMMODITY CONTRACTS** |  |  |  | 6663377 |
| Equity Contracts |  |  |  |  |
| ASX 24 S&P/ASX 200 Index Contracts (Australia) | 24 | 3/2026 | 3710253 | 78546 |
| Eurex Euro STOXX 50 Contracts (Germany) | 21 | 3/2026 | 1486718 | 51867 |
| Eurex SMI Contracts (Germany) | 60 | 3/2026 | 10197000 | 83458 |
| HKEX Hang Seng Index Contracts (Hong Kong) | 29 | 2/2026 | 1736168 | 18186 |
| HKEX Hang Seng Index Contracts (Hong Kong) | 10 | 2/2026 | 1760631 | 35404 |
| ICE FTSE 100 Index Contracts (United Kingdom) | 10 | 3/2026 | 1398254 | 66652 |
| ICE MSCI Emerging Markets Index Contracts (United States) | 93 | 3/2026 | 7071720 | 634600 |
| IDEM FTSE MIB Index Contracts (Italy) | 12 | 3/2026 | 3258880 | 104214 |
| KRX KOSPI 200 Index Contracts (South Korea) | 19 | 3/2026 | 2545939 | 604417 |
| MEFF IBEX 35 Index Contracts (Spain) | 15 | 2/2026 | 3189588 | 28866 |
| OMXS30 Index Contracts (Sweden) | 81 | 2/2026 | 2769770 | 38149 |
| OSE Nikkei 225 Index Contracts (Japan) | 13 | 3/2026 | 4499352 | 245911 |
| OSE TOPIX Contracts (Japan) | 19 | 3/2026 | 4405744 | 211870 |
| SGX FTSE China A50 Index Contracts (Singapore) | 270 | 2/2026 | 4037850 | 8238 |
| SGX MSCI Singapore Index Contracts (Singapore) | 172 | 2/2026 | 6233475 | (41722) |
| TFEX SET50 Index Contracts (Thailand) | 1354 | 3/2026 | 7562433 | 385464 |
| TME S&P/TSX 60 Index Contracts (Canada) | 16 | 3/2026 | 4378127 | 48 |
| **TOTAL EQUITY CONTRACTS** |  |  |  | 2554168 |
| Interest Rate Contracts |  |  |  |  |
| Eurex Euro-OAT Contracts (Germany) | 36 | 3/2026 | 5221945 | 70320 |
| OSE 10Y Japan Treasury Bond Contracts (Japan) | 33 | 3/2026 | 28154609 | (378452) |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  | (308132) |
| TOTAL LONG |  |  |  | 8909413 |
| SHORT |  |  |  |  |
| Commodity Contracts |  |  |  |  |
| CBOT Corn Contracts (United States) | 192 | 3/2026 | 4111200 | 98792 |
| CBOT Corn Contracts (United States) | 42 | 7/2026 | 928200 | 25104 |
| CBOT KC Hard Red Winter Wheat Contracts (United States) | 58 | 7/2026 | 1645750 | (46067) |
| CBOT Soybean Meal Contracts (United States) | 18 | 3/2026 | 528480 | 26689 |
| CBOT Soybean Meal Contracts (United States) | 14 | 7/2026 | 423640 | 4367 |
| CBOT Soybean Oil Contracts (United States) | 51 | 3/2026 | 1637406 | (81223) |
| CBOT Wheat Contracts (United States) | 64 | 7/2026 | 1778400 | (52877) |
| CME Butter Contracts (United States) | 1 | 3/2026 | 36790 | (4590) |
| CME Cheese Contracts (United States) | 40 | 3/2026 | 1277600 | (61881) |
| CME Lean Hogs Contracts (United States) | 751 | 4/2026 | 28583060 | (928662) |
| CME Milk Contracts (United States) | 97 | 3/2026 | 3206820 | (237794) |
| EEX French Financial Baseload Contracts (Germany) | 19 | 3/2026 | 1261419 | (19523) |
| Euronext MATIF Rapeseed Contracts (France) | 38 | 4/2026 | 1068573 | (48423) |
| Euronext MATIF Wheat Contracts (France) | 606 | 5/2026 | 6956954 | (136692) |
| ICE Coal Contracts (United Kingdom) | 30 | 3/2026 | 3078000 | (206078) |
| ICE Cocoa Contracts (United Kingdom) | 3 | 5/2026 | 119482 | (7) |
| ICE Cocoa Contracts (United States) | 33 | 3/2026 | 1319130 | 355523 |
| ICE Cocoa Contracts (United States) | 84 | 3/2026 | 3498600 | 1664138 |
| ICE Cocoa Contracts (United States) | 10 | 7/2026 | 427300 | 87695 |
| ICE Coffee Robusta Contracts (United Kingdom) | 2 | 3/2026 | 82260 | 1847 |
| ICE Cotton No 2 Contracts (United States) | 795 | 3/2026 | 25110075 | 232109 |
| ICE Crude Oil Contracts (United Kingdom) | 13 | 4/2026 | 877240 | (59966) |
| ICE ENDEX Natural Gas Contracts (Netherlands) | 35 | 2/2026 | 1215354 | (347865) |
| ICE Natural Gas Contracts (United Kingdom) | 25 | 2/2026 | 1012446 | (269500) |
| ICE Sugar No 11 Contracts (United States) | 95 | 2/2026 | 1518328 | 63717 |
| ICE Sugar No 11 Contracts (United States) | 100 | 6/2026 | 1551200 | 73433 |
| ICE White Sugar Contracts (United Kingdom) | 141 | 4/2026 | 2886270 | 84785 |
| JSE Wheat Contracts (South Africa) | 614 | 3/2026 | 10775389 | 568938 |
| JSE White Maize Contracts (South Africa) | 156 | 3/2026 | 3351994 | 164039 |
| JSE Yellow Maize Contracts (South Africa) | 205 | 3/2026 | 4285986 | 215181 |
| LME Aluminum Contracts (United Kingdom) | 18 | 3/2026 | 1412060 | (108612) |
| LME Lead Contracts (United Kingdom) | 31 | 3/2026 | 1543118 | (24941) |
| LME Nickel Contracts (United Kingdom) | 19 | 3/2026 | 2035004 | (378595) |
| LME Tin Contracts (United Kingdom) | 6 | 3/2026 | 1556340 | 52830 |
| LME Zinc Contracts (United Kingdom) | 12 | 3/2026 | 1023570 | (104186) |
| MIAX Wheat Contracts (United States) | 217 | 3/2026 | 6274013 | (24265) |
| NYMEX Gasoline RBOB Contracts (United States) | 14 | 2/2026 | 1142014 | (44545) |
| NYMEX Natural Gas Contracts (United States) | 16 | 6/2026 | 693280 | (14366) |
| NYMEX Propane Contracts (United States) | 50 | 2/2026 | 1339632 | 26736197 |
| **TOTAL COMMODITY CONTRACTS** |  |  |  | 27254726 |
| Equity Contracts |  |  |  |  |
| CBOT E-Mini Dow Jones Industrial Average Index Contracts (United States) | 8 | 3/2026 | 1960320 | 7563 |
| CME E-Mini Nasdaq 100 Index Contracts (United States) | 2 | 3/2026 | 1026800 | 8781 |
| CME E-Mini Russell 2000 Index Contracts (United States) | 5 | 3/2026 | 656150 | 9684 |
| CME E-Mini S&P 500 Index Contracts (United States) | 9 | 3/2026 | 3134588 | (21445) |
| CME E-Mini S&P MidCap 400 Index Contracts (United States) | 4 | 3/2026 | 1379000 | 31971 |
| Euronext CAC 40 Index Contracts (France) | 3 | 2/2026 | 290388 | (260) |
| ICE MSCI EAFE Index Contracts (United States) | 2 | 3/2026 | 303680 | 2446 |
| JSE FTSE TOP 40 Index Contracts (South Africa) | 74 | 3/2026 | 5226303 | (64603) |
| NSE IFSC Nifty 50 Contract (India) | 123 | 2/2026 | 6249384 | 5269 |
| SGX FTSE Taiwan Index Contracts (Singapore) | 38 | 2/2026 | 3946680 | 60350 |
| **TOTAL EQUITY CONTRACTS** |  |  |  | 39756 |
| Interest Rate Contracts |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 168 | 3/2026 | 12846343 | 25072 |
| ASX 3Y Australia Treasury Bond Contracts (Australia) | 555 | 3/2026 | 40739096 | 98851 |
| CBOT 10Y US Treasury Notes Contracts (United States) | 66 | 3/2026 | 7374469 | 4856 |
| CBOT 2Y US Treasury Notes Contracts (United States) | 580 | 3/2026 | 120902813 | 158818 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 289 | 3/2026 | 31471648 | 108255 |
| CBOT US Treasury Long Bond Contracts (United States) | 34 | 3/2026 | 3901500 | 13541 |
| CBOT US Treasury Ultra Bond Contracts (United States) | 62 | 3/2026 | 7255938 | 78650 |
| CME 3M US SOFR Index Contracts (United States) | 324 | 9/2026 | 78225750 | (4611) |
| CME 3M US SOFR Index Contracts (United States) | 239 | 12/2026 | 57811113 | (26428) |
| CME 3M US SOFR Index Contracts (United States) | 628 | 6/2026 | 151324450 | 49370 |
| CME 3M US SOFR Index Contracts (United States) | 199 | 3/2027 | 48170438 | (34999) |
| Eurex Euro-BTP Contracts (Germany) | 22 | 3/2026 | 3169727 | (1289) |
| Eurex Euro-Bobl Contracts (Germany) | 193 | 3/2026 | 26773942 | (70227) |
| Eurex Euro-Bund Contracts (Germany) | 66 | 3/2026 | 10063511 | (37136) |
| Eurex Euro-Buxl Contracts (Germany) | 64 | 3/2026 | 8366000 | 45159 |
| Eurex Euro-Schatz Contracts (Germany) | 1104 | 3/2026 | 140406206 | (99686) |
| ICE 3M EURIBOR Index Contracts (United States) | 487 | 9/2026 | 141935849 | (57480) |
| ICE 3M EURIBOR Index Contracts (United States) | 402 | 12/2026 | 117138739 | (67523) |
| ICE 3M EURIBOR Index Contracts (United States) | 715 | 6/2026 | 208354410 | (35102) |
| ICE 3M EURIBOR Index Contracts (United States) | 1177 | 3/2026 | 342895900 | (9403) |
| ICE 3M SONIA Index Contracts (United States) | 237 | 9/2026 | 78488566 | 23192 |
| ICE 3M SONIA Index Contracts (United States) | 136 | 12/2026 | 45077177 | 8702 |
| ICE 3M SONIA Index Contracts (United States) | 358 | 6/2026 | 118370422 | 13506 |
| ICE 3M SONIA Index Contracts (United States) | 107 | 3/2027 | 35468803 | 1286 |
| ICE Long GILT Futures (United Kingdom) | 55 | 3/2026 | 6856790 | 27512 |
| KRX 10Y Korea Treasury Bond Contracts (South Korea) | 151 | 3/2026 | 11639190 | 137550 |
| KRX 3Y Korea Treasury Bond Contracts (South Korea) | 123 | 3/2026 | 8967361 | 12871 |
| TME 3M CORRA Contracts (Canada) | 335 | 9/2026 | 60467729 | (6546) |
| TME 3M CORRA Contracts (Canada) | 238 | 12/2026 | 42941587 | (12139) |
| TME 3M CORRA Contracts (Canada) | 331 | 6/2026 | 59736560 | 3903 |
| TME 3M CORRA Contracts (Canada) | 263 | 3/2027 | 47403703 | (23834) |
| TMX 10Y Canadian Bond Contracts (Canada) | 37 | 3/2026 | 3308319 | 2160 |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  | 326851 |
| TOTAL SHORT |  |  |  | 27621333 |
| **TOTAL FUTURES CONTRACTS** |  |  |  | **36530746** |
| The notional amount of long futures as a percentage of Net Assets is 112.7%. | The notional amount of long futures as a percentage of Net Assets is 112.7%. | The notional amount of long futures as a percentage of Net Assets is 112.7%. | The notional amount of long futures as a percentage of Net Assets is 112.7%. | The notional amount of long futures as a percentage of Net Assets is 112.7%. |
| The notional amount of short futures as a percentage of Net Assets is 947.4%. | The notional amount of short futures as a percentage of Net Assets is 947.4%. | The notional amount of short futures as a percentage of Net Assets is 947.4%. | The notional amount of short futures as a percentage of Net Assets is 947.4%. | The notional amount of short futures as a percentage of Net Assets is 947.4%. |

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| AUD | 4054000 | USD | 2683719 | Bank of America NA | 3/2026 | 156015 |
| AUD | 3199000 | USD | 2128212 | JPMorgan Chase Bank NA | 3/2026 | 112613 |
| AUD | 2006000 | USD | 1338707 | JPMorgan Chase Bank NA | 3/2026 | 66450 |
| AUD | 1876000 | USD | 1317325 | JPMorgan Chase Bank NA | 3/2026 | (3230) |
| AUD | 3532000 | USD | 2341663 | State Street Bank & Trust Co | 3/2026 | 132422 |
| BRL | 35741000 | USD | 6406919 | Bank of America NA | 4/2026 | 326829 |
| BRL | 32360000 | USD | 5826431 | State Street Bank & Trust Co | 4/2026 | 270323 |
| CAD | 10541000 | USD | 7681010 | Bank of America NA | 3/2026 | 116963 |
| CAD | 1503000 | USD | 1082817 | JPMorgan Chase Bank NA | 3/2026 | 29066 |
| CAD | 6074000 | USD | 4455770 | JPMorgan Chase Bank NA | 3/2026 | 37627 |
| CAD | 1425000 | USD | 1044957 | JPMorgan Chase Bank NA | 3/2026 | 9223 |
| CAD | 5127000 | USD | 3786368 | JPMorgan Chase Bank NA | 3/2026 | 6461 |
| CAD | 4076000 | USD | 2990124 | Royal Bank of Canada | 3/2026 | 25201 |
| CAD | 2012000 | USD | 1460208 | Royal Bank of Canada | 3/2026 | 28220 |
| CAD | 3194000 | USD | 2328027 | Royal Bank of Canada | 3/2026 | 34816 |
| CAD | 10120000 | USD | 7368515 | Royal Bank of Canada | 3/2026 | 118013 |
| CAD | 12510000 | USD | 9086663 | State Street Bank & Trust Co | 3/2026 | 167929 |
| CAD | 4600000 | USD | 3398639 | State Street Bank & Trust Co | 3/2026 | 4328 |
| CAD | 1027000 | USD | 749355 | State Street Bank & Trust Co | 3/2026 | 10394 |
| CAD | 3395000 | USD | 2471928 | State Street Bank & Trust Co | 3/2026 | 39610 |
| CAD | 3531000 | USD | 2583452 | State Street Bank & Trust Co | 3/2026 | 28696 |
| CAD | 5557000 | USD | 4118432 | State Street Bank & Trust Co | 3/2026 | (7499) |
| CHF | 1113000 | USD | 1425131 | JPMorgan Chase Bank NA | 3/2026 | 26949 |
| CHF | 1181000 | USD | 1511311 | JPMorgan Chase Bank NA | 3/2026 | 29485 |
| CHF | 1551000 | USD | 1982767 | JPMorgan Chase Bank NA | 3/2026 | 40751 |
| CHF | 1350000 | USD | 1719765 | State Street Bank & Trust Co | 3/2026 | 41518 |
| CHF | 1160000 | USD | 1500072 | State Street Bank & Trust Co | 3/2026 | 13326 |
| CHF | 2171000 | USD | 2753636 | State Street Bank & Trust Co | 3/2026 | 78767 |
| CLP | 490366000 | USD | 536505 | Bank of America NA | 3/2026 | 31411 |
| CLP | 2570617000 | USD | 2826531 | State Street Bank & Trust Co | 3/2026 | 150626 |
| CLP | 2661189000 | USD | 2874786 | State Street Bank & Trust Co | 3/2026 | 207268 |
| CNH | 7184000 | USD | 1030518 | BNP Paribas SA | 3/2026 | 5476 |
| CNH | 8159000 | USD | 1173836 | BNP Paribas SA | 3/2026 | 2761 |
| CNH | 8656000 | USD | 1248645 | Bank of America NA | 3/2026 | (376) |
| CNH | 8243000 | USD | 1178092 | State Street Bank & Trust Co | 3/2026 | 10619 |
| CNH | 8615000 | USD | 1238648 | State Street Bank & Trust Co | 3/2026 | 3709 |
| CNH | 7447000 | USD | 1072988 | State Street Bank & Trust Co | 3/2026 | 934 |
| COP | 23395233000 | USD | 5975794 | Bank of America NA | 3/2026 | 346253 |
| COP | 20988479000 | USD | 5446036 | State Street Bank & Trust Co | 3/2026 | 225638 |
| COP | 6203323000 | USD | 1601477 | State Street Bank & Trust Co | 3/2026 | 74834 |
| CZK | 41730000 | USD | 2020564 | State Street Bank & Trust Co | 3/2026 | 20472 |
| CZK | 46933000 | USD | 2252614 | State Street Bank & Trust Co | 3/2026 | 42904 |
| EUR | 1241000 | USD | 1467725 | JPMorgan Chase Bank NA | 3/2026 | 11631 |
| EUR | 897000 | USD | 1048649 | JPMorgan Chase Bank NA | 3/2026 | 20636 |
| EUR | 1057000 | USD | 1261591 | JPMorgan Chase Bank NA | 3/2026 | (1575) |
| EUR | 1314000 | USD | 1549482 | State Street Bank & Trust Co | 3/2026 | 16896 |
| EUR | 875000 | USD | 1031209 | State Street Bank & Trust Co | 3/2026 | 11851 |
| GBP | 1587000 | USD | 2131107 | BNP Paribas SA | 3/2026 | 46540 |
| GBP | 1192000 | USD | 1629149 | BNP Paribas SA | 3/2026 | 6488 |
| GBP | 1326000 | USD | 1827855 | Bank of America NA | 3/2026 | (8346) |
| GBP | 2496000 | USD | 3332545 | Bank of America NA | 3/2026 | 92412 |
| GBP | 1220000 | USD | 1623434 | Brown Brothers Harriman & Co. | 3/2026 | 50623 |
| GBP | 1185000 | USD | 1602883 | Brown Brothers Harriman & Co. | 3/2026 | 23148 |
| GBP | 1335000 | USD | 1779366 | JPMorgan Chase Bank NA | 3/2026 | 52492 |
| GBP | 1334000 | USD | 1801633 | JPMorgan Chase Bank NA | 3/2026 | 28854 |
| GBP | 962000 | USD | 1298020 | JPMorgan Chase Bank NA | 3/2026 | 22015 |
| GBP | 2984000 | USD | 4103125 | JPMorgan Chase Bank NA | 3/2026 | (8544) |
| GBP | 1500000 | USD | 2062109 | Royal Bank of Canada | 3/2026 | (3841) |
| GBP | 1190000 | USD | 1634658 | State Street Bank & Trust Co | 3/2026 | (1765) |
| HUF | 1422673000 | USD | 4288132 | Bank of America NA | 3/2026 | 143387 |
| HUF | 1302421000 | USD | 3943702 | Bank of America NA | 3/2026 | 113240 |
| HUF | 332286000 | USD | 995793 | JPMorgan Chase Bank NA | 3/2026 | 39253 |
| IDR | 16805462000 | USD | 1001577 | Bank of America NA | 3/2026 | (1148) |
| IDR | 13524190000 | USD | 806548 | Bank of America NA | 3/2026 | (1453) |
| IDR | 12054396000 | USD | 720138 | JPMorgan Chase Bank NA | 3/2026 | (2540) |
| ILS | 3197000 | USD | 1011575 | BNP Paribas SA | 3/2026 | 23291 |
| INR | 332627000 | USD | 3644788 | Bank of America NA | 3/2026 | (38875) |
| INR | 226353000 | USD | 2488325 | JPMorgan Chase Bank NA | 3/2026 | (34498) |
| INR | 413264000 | USD | 4562168 | Royal Bank of Canada | 3/2026 | (82092) |
| JPY | 182769000 | USD | 1177879 | State Street Bank & Trust Co | 3/2026 | 11147 |
| MXN | 18068000 | USD | 998545 | Bank of America NA | 3/2026 | 39005 |
| MXN | 132324000 | USD | 7192723 | Royal Bank of Canada | 3/2026 | 405946 |
| MXN | 112914000 | USD | 6192270 | State Street Bank & Trust Co | 3/2026 | 291785 |
| NOK | 31999000 | USD | 3157243 | Bank of America NA | 3/2026 | 175645 |
| NOK | 28988000 | USD | 2854120 | Bank of America NA | 3/2026 | 165154 |
| NOK | 11088000 | USD | 1091578 | Bank of America NA | 3/2026 | 63304 |
| NOK | 32079000 | USD | 3137966 | Bank of America NA | 3/2026 | 203254 |
| NOK | 16590000 | USD | 1634881 | Citibank NA | 3/2026 | 93067 |
| NZD | 25393000 | USD | 14768223 | BNP Paribas SA | 3/2026 | 615276 |
| NZD | 2317000 | USD | 1347926 | Brown Brothers Harriman & Co. | 3/2026 | 55751 |
| NZD | 15979000 | USD | 9295576 | State Street Bank & Trust Co | 3/2026 | 384767 |
| NZD | 3484000 | USD | 2016058 | State Street Bank & Trust Co | 3/2026 | 94606 |
| NZD | 4503000 | USD | 2594854 | State Street Bank & Trust Co | 3/2026 | 133138 |
| PEN | 3940000 | USD | 1168966 | Bank of America NA | 3/2026 | 3991 |
| PEN | 25270000 | USD | 7483416 | State Street Bank & Trust Co | 3/2026 | 39586 |
| PEN | 29044000 | USD | 8595442 | State Street Bank & Trust Co | 3/2026 | 51098 |
| PHP | 76032000 | USD | 1284107 | Bank of America NA | 3/2026 | 5633 |
| PHP | 136335000 | USD | 2289421 | State Street Bank & Trust Co | 3/2026 | 23247 |
| PLN | 10118000 | USD | 2806411 | Bank of America NA | 3/2026 | 54464 |
| PLN | 10891000 | USD | 2992172 | State Street Bank & Trust Co | 3/2026 | 87269 |
| RON | 18002000 | USD | 4130583 | Bank of America NA | 3/2026 | 63668 |
| RON | 4675000 | USD | 1071097 | Bank of America NA | 3/2026 | 18122 |
| RON | 24594000 | USD | 5591256 | JPMorgan Chase Bank NA | 3/2026 | 138852 |
| SEK | 13262000 | USD | 1445040 | BNP Paribas SA | 3/2026 | 56389 |
| SEK | 9709000 | USD | 1057249 | BNP Paribas SA | 3/2026 | 41935 |
| SEK | 7142000 | USD | 773933 | Bank of America NA | 3/2026 | 34633 |
| SEK | 10016000 | USD | 1131722 | Bank of America NA | 3/2026 | 2218 |
| SEK | 13301000 | USD | 1459359 | Bank of America NA | 3/2026 | 46485 |
| SEK | 12598000 | USD | 1425477 | Bank of America NA | 3/2026 | 779 |
| SEK | 10820000 | USD | 1173043 | Bank of America NA | 3/2026 | 51920 |
| SEK | 20029000 | USD | 2162473 | Bank of America NA | 3/2026 | 105067 |
| SEK | 14327000 | USD | 1623400 | Bank of America NA | 3/2026 | (1399) |
| SGD | 10008000 | USD | 7829209 | Brown Brothers Harriman & Co. | 3/2026 | 80782 |
| THB | 31359000 | USD | 993184 | JPMorgan Chase Bank NA | 3/2026 | 6284 |
| THB | 17663000 | USD | 557377 | JPMorgan Chase Bank NA | 3/2026 | 5574 |
| TWD | 437297000 | USD | 14006951 | Bank of America NA | 3/2026 | (73164) |
| TWD | 57341000 | USD | 1817464 | Bank of America NA | 3/2026 | 9617 |
| USD | 1725021 | AUD | 2596000 | Bank of America NA | 3/2026 | (93417) |
| USD | 1381350 | AUD | 2050000 | JPMorgan Chase Bank NA | 3/2026 | (54628) |
| USD | 1033806 | AUD | 1547000 | JPMorgan Chase Bank NA | 3/2026 | (49832) |
| USD | 5258969 | AUD | 7901000 | Royal Bank of Canada | 3/2026 | (275499) |
| USD | 1372763 | AUD | 1976000 | State Street Bank & Trust Co | 3/2026 | (11380) |
| USD | 1786920 | AUD | 2671000 | State Street Bank & Trust Co | 3/2026 | (84054) |
| USD | 1487032 | AUD | 2170000 | State Street Bank & Trust Co | 3/2026 | (33003) |
| USD | 1535861 | AUD | 2283000 | State Street Bank & Trust Co | 3/2026 | (63328) |
| USD | 1039356 | BRL | 5678000 | Bank of America NA | 4/2026 | (30402) |
| USD | 1073377 | BRL | 5784000 | Bank of America NA | 4/2026 | (16352) |
| USD | 2413635 | CAD | 3308000 | Brown Brothers Harriman & Co. | 3/2026 | (33543) |
| USD | 3240479 | CAD | 4438000 | JPMorgan Chase Bank NA | 3/2026 | (42645) |
| USD | 1761138 | CAD | 2416000 | JPMorgan Chase Bank NA | 3/2026 | (26160) |
| USD | 2297089 | CAD | 3142000 | State Street Bank & Trust Co | 3/2026 | (27285) |
| USD | 1105195 | CHF | 869000 | Bank of America NA | 3/2026 | (28550) |
| USD | 772864 | CHF | 609000 | Brown Brothers Harriman & Co. | 3/2026 | (21670) |
| USD | 4034803 | CHF | 3220000 | JPMorgan Chase Bank NA | 3/2026 | (166183) |
| USD | 3453413 | CHF | 2719000 | State Street Bank & Trust Co | 3/2026 | (93941) |
| USD | 3784485 | CHF | 2982000 | State Street Bank & Trust Co | 3/2026 | (105993) |
| USD | 2010265 | CHF | 1584000 | State Street Bank & Trust Co | 3/2026 | (56307) |
| USD | 674128 | CLP | 616490000 | Bank of America NA | 3/2026 | (39859) |
| USD | 2183946 | CNH | 15154000 | BNP Paribas SA | 3/2026 | (1391) |
| USD | 6884535 | CNH | 48343000 | BNP Paribas SA | 3/2026 | (86940) |
| USD | 5055197 | CNH | 35476000 | Bank of America NA | 3/2026 | (60747) |
| USD | 1106297 | COP | 4126487000 | Bank of America NA | 3/2026 | (8796) |
| USD | 525913 | CZK | 10850000 | Bank of America NA | 3/2026 | (4766) |
| USD | 1087379 | CZK | 22468000 | Bank of America NA | 3/2026 | (11543) |
| USD | 1363294 | EUR | 1162000 | JPMorgan Chase Bank NA | 3/2026 | (21889) |
| USD | 3282278 | GBP | 2430000 | Bank of America NA | 3/2026 | (52115) |
| USD | 1505967 | GBP | 1118000 | Brown Brothers Harriman & Co. | 3/2026 | (28128) |
| USD | 4399667 | GBP | 3295000 | JPMorgan Chase Bank NA | 3/2026 | (121661) |
| USD | 1354140 | HUF | 446543000 | JPMorgan Chase Bank NA | 3/2026 | (36808) |
| USD | 1153685 | IDR | 19318449000 | Bank of America NA | 3/2026 | 3657 |
| USD | 2019064 | IDR | 34209005000 | Bank of America NA | 3/2026 | (17398) |
| USD | 1741152 | ILS | 5608000 | BNP Paribas SA | 3/2026 | (74154) |
| USD | 2016580 | ILS | 6493000 | State Street Bank & Trust Co | 3/2026 | (85199) |
| USD | 1029189 | ILS | 3246000 | State Street Bank & Trust Co | 3/2026 | (21539) |
| USD | 1136803 | INR | 104529000 | Bank of America NA | 3/2026 | 3634 |
| USD | 1638114 | INR | 150813000 | Bank of America NA | 3/2026 | 3194 |
| USD | 752768 | JPY | 116368000 | Bank of America NA | 3/2026 | (4278) |
| USD | 2407046 | JPY | 373613000 | JPMorgan Chase Bank NA | 3/2026 | (23539) |
| USD | 1019609 | JPY | 160353000 | State Street Bank & Trust Co | 3/2026 | (23587) |
| USD | 2430087 | KRW | 3556919000 | Bank of America NA | 3/2026 | (44884) |
| USD | 2033264 | KRW | 2998658000 | Bank of America NA | 3/2026 | (53259) |
| USD | 697582 | KRW | 1020562000 | Bank of America NA | 3/2026 | (12545) |
| USD | 1145029 | KRW | 1679071000 | Bank of America NA | 3/2026 | (23300) |
| USD | 1371943 | MXN | 24071000 | Royal Bank of Canada | 3/2026 | (10327) |
| USD | 2199731 | NOK | 21042000 | BNP Paribas SA | 3/2026 | 8081 |
| USD | 1015318 | NOK | 9830000 | BNP Paribas SA | 3/2026 | (8535) |
| USD | 3371786 | NOK | 34199000 | BNP Paribas SA | 3/2026 | (190245) |
| USD | 1056040 | NOK | 10328000 | Bank of America NA | 3/2026 | (19683) |
| USD | 1158710 | NOK | 11645000 | Bank of America NA | 3/2026 | (54186) |
| USD | 1696404 | NOK | 16303000 | Brown Brothers Harriman & Co. | 3/2026 | (1651) |
| USD | 1496767 | NOK | 14916000 | JPMorgan Chase Bank NA | 3/2026 | (56823) |
| USD | 1323855 | NOK | 13374000 | JPMorgan Chase Bank NA | 3/2026 | (69128) |
| USD | 1293753 | NOK | 12739000 | State Street Bank & Trust Co | 3/2026 | (33090) |
| USD | 2801130 | NZD | 4782000 | Bank of America NA | 3/2026 | (95885) |
| USD | 1445140 | NZD | 2417000 | Bank of America NA | 3/2026 | (19118) |
| USD | 2080338 | NZD | 3556000 | Brown Brothers Harriman & Co. | 3/2026 | (73945) |
| USD | 2291796 | NZD | 3817000 | Brown Brothers Harriman & Co. | 3/2026 | (20606) |
| USD | 1299688 | NZD | 2220000 | State Street Bank & Trust Co | 3/2026 | (45225) |
| USD | 1638761 | NZD | 2799000 | State Street Bank & Trust Co | 3/2026 | (56919) |
| USD | 1190050 | NZD | 2017000 | State Street Bank & Trust Co | 3/2026 | (31882) |
| USD | 1747758 | NZD | 2895000 | State Street Bank & Trust Co | 3/2026 | (6081) |
| USD | 1891713 | NZD | 3130000 | State Street Bank & Trust Co | 3/2026 | (4493) |
| USD | 1655605 | NZD | 2798000 | State Street Bank & Trust Co | 3/2026 | (39470) |
| USD | 2075773 | NZD | 3578000 | State Street Bank & Trust Co | 3/2026 | (91839) |
| USD | 1509758 | NZD | 2481000 | State Street Bank & Trust Co | 3/2026 | 6727 |
| USD | 1082709 | PEN | 3630000 | Bank of America NA | 3/2026 | 2041 |
| USD | 1673014 | PEN | 5623000 | Bank of America NA | 3/2026 | (981) |
| USD | 1335858 | PHP | 79362000 | Bank of America NA | 3/2026 | (10369) |
| USD | 1107166 | PHP | 65201000 | Bank of America NA | 3/2026 | 1153 |
| USD | 619905 | PLN | 2226000 | JPMorgan Chase Bank NA | 3/2026 | (9498) |
| USD | 1082565 | PLN | 3880000 | State Street Bank & Trust Co | 3/2026 | (14509) |
| USD | 9773703 | RON | 42440000 | BNP Paribas SA | 3/2026 | (114309) |
| USD | 1140747 | RON | 4980000 | Bank of America NA | 3/2026 | (19534) |
| USD | 1915795 | SEK | 17770000 | Bank of America NA | 3/2026 | (95998) |
| USD | 1039909 | SEK | 9521000 | Bank of America NA | 3/2026 | (37991) |
| USD | 10178472 | SEK | 94056000 | State Street Bank & Trust Co | 3/2026 | (469878) |
| USD | 1113312 | SEK | 10113000 | State Street Bank & Trust Co | 3/2026 | (31609) |
| USD | 14674651 | SEK | 136512000 | State Street Bank & Trust Co | 3/2026 | (780263) |
| USD | 1652221 | SGD | 2113000 | BNP Paribas SA | 3/2026 | (17824) |
| USD | 1027300 | SGD | 1300000 | BNP Paribas SA | 3/2026 | (176) |
| USD | 3616142 | SGD | 4630000 | Bank of America NA | 3/2026 | (43256) |
| USD | 1100469 | SGD | 1408000 | Bank of America NA | 3/2026 | (12367) |
| USD | 1283812 | SGD | 1636000 | Bank of America NA | 3/2026 | (9228) |
| USD | 11427503 | SGD | 14668000 | Bank of America NA | 3/2026 | (165598) |
| USD | 14165287 | SGD | 18242000 | Royal Bank of Canada | 3/2026 | (252584) |
| USD | 633683 | THB | 20016000 | JPMorgan Chase Bank NA | 3/2026 | (4263) |
| USD | 1124389 | THB | 34945000 | JPMorgan Chase Bank NA | 3/2026 | 10629 |
| USD | 6124243 | TWD | 192240000 | Bank of America NA | 3/2026 | (1184) |
| USD | 1327284 | TWD | 42128000 | Bank of America NA | 3/2026 | (15059) |
| USD | 1327012 | TWD | 41708000 | Bank of America NA | 3/2026 | (1948) |
| USD | 1135857 | TWD | 36001000 | Bank of America NA | 3/2026 | (11258) |
| USD | 2289387 | TWD | 72047000 | Bank of America NA | 3/2026 | (6278) |
| USD | 2396070 | TWD | 74997000 | Bank of America NA | 3/2026 | 6408 |
| USD | 2072516 | TWD | 65191000 | Bank of America NA | 3/2026 | (4693) |
| USD | 2148560 | TWD | 67873000 | Bank of America NA | 3/2026 | (14108) |
| USD | 7084437 | TWD | 220326000 | State Street Bank & Trust Co | 3/2026 | 64093 |
| USD | 1200054 | ZAR | 19529000 | Royal Bank of Canada | 3/2026 | (13771) |
| ZAR | 52562000 | USD | 3059974 | JPMorgan Chase Bank NA | 3/2026 | 207017 |
| ZAR | 17630000 | USD | 1065643 | State Street Bank & Trust Co | 3/2026 | 30150 |
| ZAR | 53830000 | USD | 3164438 | State Street Bank & Trust Co | 3/2026 | 181366 |
| **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** |  | **2434758** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 7965265 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (5530507) |

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---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(3) | Maturity <br> Date | Clearinghouse / <br> Counterparty(1) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(2)(4) | Notional<br> Amount(2)(4) | Value ($)(3) | Upfront<br> Premium<br> Received/<br> (Paid) ($) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| iTraxx Europe Series 44 Index |  | 12/2030 | ICE | (1%) | Quarterly | EUR | 104960000 | (2804399) | 2755307 | (49092) |
| 5Y CDX EM CDSI Series 44 Index |  | 12/2030 | ICE | (1%) | Quarterly |  | 41033000 | 419891 | (595117) | (175226) |
| 5Y CDX NA IG Series 45 Index |  | 12/2030 | ICE | (1%) | Quarterly |  | 111565000 | (2510797) | 2531330 | 20533 |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | (4895305) | 4691520 | (203785) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| iTraxx Crossover Series 44 Index | NR | 12/2030 | ICE | 5% | Quarterly | EUR | 23312000 | 3001290 | (2928556) | 72734 |
| 5Y CDX NA HY Series 45 Index | NR | 12/2030 | ICE | 5% | Quarterly |  | 73652040 | 6315046 | (5720927) | 594119 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | 9316336 | (8649483) | 666853 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **4421031** | **(3957963)** | **463068** |

---

(1)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

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

(3)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(4)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Pay/<br> Receive<br> Reference | Reference<br> Payment<br> Frequency | Financing<br> Rate | Financing<br> Frequency | Counterparty | Maturity<br> Date | Units | Notional<br> Amount | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| iShares Core S&P 500 ETF | Pay | At Maturity | U.S. SOFR Index plus 66 basis points | At Maturity | Goldman Sachs International | 6/2026 | 9300 | 6384543 | (39844) | 0 | (39844) |
| NVIDIA CORP | Pay | At Maturity | U.S. SOFR Index plus 45 basis points | At Maturity | Goldman Sachs International | 4/2026 | 34000 | 6359700 | (128580) | 0 | (128580) |
| **TOTAL RETURN SWAPS** |  |  |  |  |  |  |  |  | **(168424)** | **0** | **(168424)** |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| BRL | - | Brazilian Real |
| CAD | - | Canadian Dollar |
| CHF | - | Swiss Franc |
| CLP | - | Chilean Peso |
| CNH | - | Chinese Offshore Currency |
| COP | - | Colombian Peso |
| CZK | - | Czech Koruna |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| HUF | - | Hungarian Forint |
| IDR | - | Indonesian Rupiah |
| ILS | - | Israeli Shekel |
| INR | - | Indian Rupee |
| JPY | - | Japanese Yen |
| KRW | - | Korean Won |
| MXN | - | Mexican Peso |
| NOK | - | Norwegian Krone |
| NZD | - | New Zealand Dollar |
| PEN | - | Peruvian New Sol |
| PHP | - | Philippines |
| PLN | - | Polish Zloty |
| RON | - | Romanian Leu |
| SEK | - | Swedish Krona |
| SGD | - | Singapore Dollar |
| THB | - | Thai Baht |
| TWD | - | Taiwan Dollar |
| USD | - | United States Dollar |
| ZAR | - | South African Rand |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

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

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

(c) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $4,047,653.

(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 $28,852,897.

(e) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $3,818,113.

(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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | - | 157872196 | 56756724 | 836401 | (1246) | (3166) | 101111060 | 101090842 | 0.2% |
| Total | - | 157872196 | 56756724 | 836401 | (1246) | (3166) | 101111060 |  |  |

---

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

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

**Investment Valuation**

The following is a summary of the inputs used, as of January 31, 2026, 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>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Information Technology | 6498420 | 6498420 | - | - |
|  **Domestic Equity Funds** | 6463779 | 6463779 | - | - |
|  **U.S. Treasury Obligations** | 118022501 | - | 118022501 | - |
|  **Money Market Funds** | 101111060 | 101111060 | - | - |
| **Total Investments in Securities:** | 232095760 | 114073259 | 118022501 | - |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Futures Contracts | 41567861 | 41567861 | - | - |
| Forward Foreign Currency Contracts | 7965265 | - | 7965265 | - |
| Swaps | 9736227 | - | 9736227 | - |
| Total Assets | 59269353 | 41567861 | 17701492 | - |
|  **Liabilities** |  |  |  |  |
| Futures Contracts | (5037115) | (5037115) | - | - |
| Forward Foreign Currency Contracts | (5530507) | - | (5530507) | - |
| Swaps | (5483620) | - | (5483620) | - |
| Total Liabilities | (16051242) | (5037115) | (11014127) | - |
| **Total Derivative Instruments:** | 43218111 | 36530746 | 6687365 | - |

---

**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, 2026. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Consolidated Financial Statements.

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** <br>| **Value** | **Value** |
|  | **Asset ($)** | **Liability ($)** |
| **Commodity Risk** |  |  |
| Futures Contracts (a)  | 37962333 | (4044230) |
| **Total Commodity Risk**  | 37962333 | (4044230) |
| **Credit Risk** |  |  |
| Swaps (b)  | 9736227 | (5315196) |
| **Total Credit Risk**  | 9736227 | (5315196) |
| **Equity Risk** |  |  |
| Futures Contracts (a)  | 2721954 | (128030) |
| Swaps (c)  | - | (168424) |
| **Total Equity Risk**  | 2721954 | (296454) |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts (d)  | 7965265 | (5530507) |
| **Total Foreign Exchange Risk**  | 7965265 | (5530507) |
| **Interest Rate Risk** |  |  |
| Futures Contracts (a)  | 883574 | (864855) |
| **Total Interest Rate Risk**  | 883574 | (864855) |
| **Total Value of Derivatives** | 59269353 | (16051242) |

---

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

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

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

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

The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <br>**Counterparty** | **Value of**<br> **Derivative**<br> **Assets ($)** | **Value of**<br> **Derivative**<br> **Liabilities ($)** | <br> **Collateral**<br> **Received**(a) **($)** | <br> **Collateral**<br> **Pledged**(a) **($)** | <br>**Net**(b) **($)** |
| Bank of America NA | 2389556 | (1265694) | (1123862) | - | - |
| BNP Paribas SA | 806237 | (493574) | - | - | 312663 |
| Brown Brothers Harriman & Co | 210304 | (179543) | - | - | 30761 |
| Citibank NA | 93067 | - | - | - | 93067 |
| Goldman Sachs International | - | (168424) | - | 168424 | - |
| JPMorgan Chase Bank NA | 901862 | (733444) | - | - | 168418 |
| Royal Bank of Canada | 612196 | (638114) | - | - | (25918) |
| State Street Bank & Trust Co | 2952043 | (2220138) | (731905) | - | - |
| Total | $7965265 | $(5698931) | $(1855767) | $168424 | $578991 |

---

*(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** |
| **As of January 31, 2026** | **As of January 31, 2026** | **As of January 31, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $129,775,650) | $130984700 |  |
| Fidelity Central Funds (cost $101,114,226) | 101111060 |  |
| Total Investment in Securities (cost $230,889,876) |  | $232095760 |
| Cash |  | 1 |
| Foreign currency held at value (cost $65,765) |  | 65765 |
| Unrealized appreciation on forward foreign currency contracts |  | 7965265 |
| Receivable for fund shares sold |  | 1106420 |
| Distributions receivable from Fidelity Central Funds |  | 319116 |
| Receivable for daily variation margin on centrally cleared swaps |  | 577226 |
| Receivable from investment adviser for expense reductions |  | 10305 |
| **Total assets** |  | 242139858 |
| **Liabilities** |  |  |
| Unrealized depreciation on forward foreign currency contracts | $5530507 |  |
| Bi-lateral OTC swaps, at value | 168424 |  |
| Accrued management fee | 155088 |  |
| Payable for daily variation margin on futures contracts | 521332 |  |
| Other payables and accrued expenses | 4377 |  |
| **Total liabilities** |  | 6379728 |
| **Net Assets**  |  | $235760130 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $221374867 |
| Total accumulated earnings (loss) |  | 14385263 |
| **Net Assets** |  | $235760130 |
| **Net Asset Value**, offering price and redemption price per share ($235,760,130 ÷ 4,260,000 shares) |  | $55.34 |

---

---

| | | |
|:---|:---|:---|
| **Consolidated Statement of Operations** | **Consolidated Statement of Operations** | **Consolidated Statement of Operations** |
| <br> **For the period June 3, 2025 (commencement of operations) through January 31, 2026**  | <br> **For the period June 3, 2025 (commencement of operations) through January 31, 2026**  | <br> **For the period June 3, 2025 (commencement of operations) through January 31, 2026**  |
| **Investment Income** |  |  |
| Dividends  |  | $44484 |
| Interest  |  | 2476698 |
| Income from Fidelity Central Funds  |  | 836401 |
| **Total income** |  | 3357583 |
| **Expenses** |  |  |
| Management fee | $701601 |  |
| Custodian fees and expenses | 1201 |  |
| Independent trustees' fees and expenses | 22226 |  |
| Total expenses before reductions | 725028 |  |
| Expense reductions | (21099) |  |
| Total expenses after reductions |  | 703929 |
| **Net Investment income (loss)** |  | 2653654 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 34303 |  |
| Fidelity Central Funds | (1246) |  |
| Forward foreign currency contracts | 790873 |  |
| Foreign currency transactions | 6938 |  |
| Futures contracts | (24354111) |  |
| Swaps | (501141) |  |
| Total net realized gain (loss) |  | (24024384) |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers | 1209050 |  |
| Fidelity Central Funds  | (3166) |  |
| Forward foreign currency contracts | 2434758 |  |
| Assets and liabilities in foreign currencies | (509) |  |
| Futures contracts | 36530746 |  |
| Swaps | 294644 |  |
| Total change in net unrealized appreciation (depreciation) |  | 40465523 |
| **Net gain (loss)** |  | 16441139 |
| **Net increase (decrease) in net assets resulting from operations** |  | $19094793 |

---

---

| | |
|:---|:---|
| **Consolidated Statement of Changes in Net Assets** | **Consolidated Statement of Changes in Net Assets** |
|  | **For the period June 3, 2025 (commencement of operations) through January 31, 2026**  |
| **Increase (Decrease) in Net Assets** |  |
| Operations |  |
| &nbsp;&nbsp;Net investment income (loss) | $2653654 |
| &nbsp;&nbsp;Net realized gain (loss) | (24024384)<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 40465523 |
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 19094793<br>|
| Distributions to shareholders | (4736080)<br>|
| Share transactions |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 221401417 |
| **Net increase (decrease) in net assets resulting from share transactions** | 221401417<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 235760130<br>|
| **Net Assets** |  |
| &nbsp;&nbsp;Beginning of period | - |
| &nbsp;&nbsp;End of period | $235760130 |
| **Other Information** |  |
| Shares |  |
| &nbsp;&nbsp;Sold | 4260000 |
| &nbsp;&nbsp;Net increase (decrease) | 4260000 |

---

**Consolidated Financial Highlights** 

**Fidelity® Managed Futures ETF** <br>

---

| | |
|:---|:---|
| **Years ended January 31,** | **2026** A  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $50.00 |
| Income from Investment Operations  |  |
| Net investment income (loss) B,C | 1.04  |
| Net realized and unrealized gain (loss)  | 5.42  |
| Total from investment operations  | 6.46  |
| Distributions from net investment income  | (.44)  |
| Distributions from net realized gain  | (.68)  |
| Total distributions  | (1.12)  |
| Net asset value, end of period  | $55.34 |
| **Total Return** D,E,F | 13.01% <br>|
| **Ratios to Average Net Assets** C,G,H |  |
| Expenses before reductions  | .82% I |
| Expenses net of fee waivers, if any  | .80% I<br>|
| Expenses net of all reductions, if any  | .79% I |
| Net investment income (loss)  | 3.00% I |
| **Supplemental Data** |  |
| Net assets, end of period (000 omitted) | $235760 |
| Portfolio turnover rate J | 1% I<br>|

---

A*For the period June 3, 2025 (commencement of operations) through January 31, 2026.*

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

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

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

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

F*Based on net asset value.*

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

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

I*Annualized.*

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

**Notes to Consolidated Financial Statements**

For the period ended January 31, 2026

**1. Organization.**

Fidelity Managed Futures ETF (the Fund) is a non-diversified fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.

**2. Consolidated Subsidiary.**

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

---

| | | | |
|:---|:---|:---|:---|
|  | **Subsidiary Name** | **Net Assets of Subsidiary ($)** | **% of Fund's Total Assets** |
| **Fidelity Managed Futures ETF** | Fidelity Managed Futures Cayman Ltd | 48056690 | 19.8 |

---

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

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

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

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

---

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

---

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

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

**4. Significant Accounting Policies.**

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

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

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

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

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

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

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

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

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

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of January 31, 2026 is included at the end of the Fund's Consolidated Schedule of Investments.

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

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

Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the 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.

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

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of January 31, 2026, 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.

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

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are 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, foreign currency transactions, controlled foreign corporations, constructive sales, conversion transactions and losses deferred due to offsetting positions.

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**  | $4310019 |
| **Gross unrealized depreciation**  | <u>-</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$4310019</u> |
| **Tax Cost**  | <u>$234688822</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$9746422</u> |
| **Undistributed long-term capital gain**  | <u>$1036870</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$3601971</u> |

---

The tax character of distributions paid was as follows:

---

| | |
|:---|:---|
|  | **January 31, 2026 A** |
| **Ordinary Income**  | $4659760 |
| **Long-term Capital Gains**  | <u>76320</u> |
| **Total** | <u>$4736080</u> |

---

*A For the period June 3, 2025 (commencement of operations) through January 31, 2026.*

**5. Derivative Instruments.**

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

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

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

---

| | |
|:---|:---|
| Commodity Risk | Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.<br>|
| Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.<br>|
| Equity Risk  | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.<br>|
| Foreign Exchange Risk  | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.<br>|
| Interest Rate Risk  | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |

---

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

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

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

---

| | | |
|:---|:---|:---|
| **Primary Risk Exposure / Derivative Type** | **Net Realized Gain (Loss)($)** | **Change in Net Unrealized Appreciation (Depreciation)($)** |
| **Fidelity Managed Futures ETF** |  |  |
| **Commodity Risk** |  |  |
| Futures Contracts | <u>(31024355)</u> | <u>33918103</u> |
| **Total Commodity Risk** | <u>(31024355)</u> | <u>33918103</u> |
| **Credit Risk** |  |  |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>381256</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>463068</u> |
| **Total Credit Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>381256</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>463068</u> |
| **Equity Risk** |  |  |
| Futures Contracts | 8469229 | 2593924 |
| Swaps | <u>(882397)</u> | <u>(168424)</u> |
| **Total Equity Risk** | <u>7586832</u> | <u>2425500</u> |
| **Foreign Exchange Risk** |  |  |
| Forward Foreign Currency Contracts | &nbsp;&nbsp;&nbsp;&nbsp; <u>790873</u> | <u>2434758</u> |
| **Total Foreign Exchange Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>790873</u> | <u>2434758</u> |
| **Interest Rate Risk** |  |  |
| Futures Contracts | <u>(1798985)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>18719</u> |
| **Total Interest Rate Risk** | <u>(1798985)</u> | &nbsp;&nbsp;&nbsp;&nbsp; <u>18719</u> |
| **Totals** | <u>(24064379)</u> | <u>39260148</u> |

---

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

**Forward Foreign Currency Contracts.** Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Forward foreign currency contracts were used to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Forward foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. When the contract is closed, a gain or loss is realized equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on forward foreign currency contracts during the period is presented in the Consolidated Statement of Operations.

Any open forward foreign currency contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end, and is representative of volume of activity during the period, unless an average contract value is presented in the table below.

---

| | |
|:---|:---|
|  | **Average Contracts Amount ($)** |
| **Fidelity Managed Futures ETF** | 290908538 |

---

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

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

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

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Managed Futures ETF** | 977381260 |

---

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

**Swaps.** A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

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

Centrally cleared swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented in segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities. Centrally cleared swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared swaps in the Consolidated Statement of Assets and Liabilities. Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in total accumulated earnings (loss) in the Consolidated Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.

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

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

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity Managed Futures ETF** | 274816093 |

---

**Credit Default Swaps.** Credit default swaps enable a fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. A fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.

For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Consolidated Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.

As a seller, if an underlying credit event occurs, a fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.

As a buyer, if an underlying credit event occurs, a fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will a fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.

Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Consolidated Schedule of Investments, where a fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.

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

The Fund enters into total return basket swap contracts to obtain exposure to a portfolio of long and/or short positions in order to create and adjust the fund's investment exposure, to enhance total return, to hedge risks, to manage certain investment risk, and to manage volatility. The Fund has the ability to trade in and out of the long and short positions within the swap and receives the economic benefits and risks equivalent to direct investments in these positions.

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

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity Managed Futures ETF** | 56350205 | 168105 |

---

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

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) provides the Fund with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of .80% of average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholders meeting expenses. 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.

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

**Other.** During the period, the investment adviser reimbursed the Fund for certain losses as follows:

---

| | |
|:---|:---|
|  | **Amount ($)** |
| **Fidelity Managed Futures ETF** | 7241 |

---

**8. Expense Reductions.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded .80% of average net assets. This reimbursement will remain in place through May 31, 2027. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $18,415.

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 $2,684.

**9. Share Transactions.**

Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities to a fund and redemption proceeds are paid with a basket of securities from a fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.

**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.

**11. Risk and Uncertainties.**

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

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Greenwood Street Trust and the Shareholders of Fidelity Managed Futures ETF:

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

We have audited the accompanying consolidated statement of assets and liabilities of Fidelity Managed Futures ETF (the "Fund"), a fund of Fidelity Greenwood Street Trust, including the consolidated schedule of investments, as of January 31, 2026, the related consolidated statement of operations, statements of changes in net assets, financial highlights for the period from June 3, 2025 (commencement of operations) through January 31, 2026, and the related notes (collectively referred to as the "financial statements and financial highlights"). 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, 2026, and the results of its operations, the changes in its net assets and the financial highlights for the period from June 3, 2025 (commencement of operations) through January 31, 2026, 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, 2026, 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 18, 2026

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

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

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

The fund hereby designates as a capital gain dividend with respect to the taxable year ended January 31, 2026 $1,113,190, or, if subsequently determined to be different, the net capital gain of such year.

A total of 31.71% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $1,621,722 of distributions paid in the calendar year 2025 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.

The fund designates $1,642,916 of distributions paid during the fiscal year ended 2026 as qualifying to be taxed as section 163(j) interest dividends.

The fund designates 1% of the dividends distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund designates 0.91% of the dividends distributed 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 designates 0.03% of the dividends distributed during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2027 of amounts for use in preparing 2026 income tax returns.

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

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

**(Unaudited)**

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

![](img125410_4.jpg)<br>

1.9919362.100 MFE-ANN-0426

**Fidelity® SAI Merger Arbitrage Fund**

**Annual Report**

**January 31, 2026**

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

![](img125411_1.jpg)

![](img125411_2.jpg)

**Contents**

---

| |
|:---|
| **[Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies (Annual Report)](#Sec_Item7_FSM-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Fidelity® SAI Merger Arbitrage Fund](#Sub_Sec_Fund_9007_FSM-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Notes to Financial Statements](#Sub_Sec_NotestoFinancialStatements9007_FSM-ANN)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Report of Independent Registered Public Accounting Firm](#Sub_Sec_ReportofIndependentRegisteredPublicAccountingFirm_FSM-ANN_0)** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **[Distributions](#Sub_Sec_Distributions_FSM-ANN)** |
| **[Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies](#Sec_Item8_FSM-ANN)** |
| **[Item 9: Proxy Disclosures for Open-End Management Investment Companies](#Sec_Item9_FSM-ANN)** |
| **[Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies](#Sec_Item10_FSM-ANN)** |
| **[Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract](#Sec_Item11_FSM-ANN)** |

---

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

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.© 2026 FMR LLC. All rights reserved.

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

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

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

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

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

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

**Fidelity® SAI Merger Arbitrage Fund**

**Schedule of Investments January 31, 2026**

Showing Percentage of Net Assets

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Common Stocks - 80.0%** | &nbsp;&nbsp;**Common Stocks - 80.0%** | &nbsp;&nbsp;**Common Stocks - 80.0%** |
|  | Shares | Value ($)<br>|
| UNITED STATES - 80.0%  |  |  |
| Communication Services - 16.0% |  |  |
| Entertainment - 14.2% |  |  |
| Electronic Arts Inc  | 180000 | 36705600 |
| Netflix Inc (b) | 25000 | 2087250 |
| Warner Bros Discovery Inc (b) | 700000 | 19278000 |
|  |  | 58070850 |
| Media - 1.8% |  |  |
| TEGNA Inc  | 400000 | 7664000 |
| TOTAL COMMUNICATION SERVICES |  | 65734850 |
| Consumer Staples - 1.1% |  |  |
| Personal Care Products - 1.1% |  |  |
| Kenvue Inc  | 250000 | 4349999 |
| Financials - 10.5% |  |  |
| Banks - 0.4% |  |  |
| JPMorgan Chase & Co  | 5960 | 1823104 |
| Financial Services - 9.4% |  |  |
| Cantaloupe Inc (b) | 200000 | 2148000 |
| Mastercard Inc Class A  | 67000 | 36098930 |
|  |  | 38246930 |
| Insurance - 0.7% |  |  |
| ProAssurance Corp (b) | 125000 | 3027500 |
| TOTAL FINANCIALS |  | 43097534 |
| Health Care - 16.0% |  |  |
| Biotechnology - 12.8% |  |  |
| Amicus Therapeutics Inc (b) | 700000 | 10003000 |
| Avidity Biosciences Inc (b) | 150000 | 10885500 |
| Exact Sciences Corp (b) | 237416 | 24297154 |
| RAPT Therapeutics Inc (b) | 125000 | 7210000 |
|  |  | 52395654 |
| Health Care Equipment & Supplies - 2.6% |  |  |
| Hologic Inc (b) | 139627 | 10462251 |
| Pharmaceuticals - 0.6% |  |  |
| Pfizer Inc rights (b)(c) | 30000 | 147000 |
| Ventyx Biosciences Inc (b) | 200000 | 2790000 |
|  |  | 2937000 |
| TOTAL HEALTH CARE |  | 65794905 |
| Industrials - 19.4% |  |  |
| Ground Transportation - 2.5% |  |  |
| Norfolk Southern Corp  | 35000 | 10193400 |
| Machinery - 11.7% |  |  |
| Chart Industries Inc (b) | 215000 | 44578100 |
| Hillenbrand Inc  | 100000 | 3191000 |
|  |  | 47769100 |
| Professional Services - 5.2% |  |  |
| CSG Systems International Inc  | 110000 | 8772500 |
| Dayforce Inc (b) | 181550 | 12575969 |
|  |  | 21348469 |
| TOTAL INDUSTRIALS |  | 79310969 |
| Information Technology - 14.1% |  |  |
| Semiconductors & Semiconductor Equipment - 2.5% |  |  |
| NVIDIA Corp  | 54000 | 10321020 |
| Software - 11.6% |  |  |
| Clearwater Analytics Holdings Inc Class A (b) | 385000 | 9274650 |
| Confluent Inc Class A (b) | 1125000 | 34357500 |
| CyberArk Software Ltd (b) | 8636 | 3720648 |
|  |  | 47352798 |
| TOTAL INFORMATION TECHNOLOGY |  | 57673818 |
| Materials - 2.9% |  |  |
| Containers & Packaging - 2.9% |  |  |
| Sealed Air Corp  | 285000 | 11935800 |
| TOTAL UNITED STATES |  | 327897875 |
| <br> **TOTAL COMMON STOCKS**<br> (Cost $326,213,557) |  | <br> **327897875** |

---

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 3.6%** | &nbsp;&nbsp;**Domestic Equity Funds - 3.6%** | &nbsp;&nbsp;**Domestic Equity Funds - 3.6%** |
|  | Shares | Value ($)<br>|
| iShares Core S&P 500 ETF  | 10800 | 7506324 |
| Vanguard 500 Index Fund, ETF Shares  | 11700 | 7443774 |
| <br> **TOTAL DOMESTIC EQUITY FUNDS**<br> (Cost $13,710,695) |  | **14950098** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 11.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 11.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 11.2%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 11.2%** |
|  | Yield (%) (d) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 3/17/2026 (e) | 3.63 | 10000000 | 9956633 |
| US Treasury Bills 0% 3/31/2026 (e) | 3.62 | 20000000 | 19884607 |
| US Treasury Bills 0% 3/5/2026 (e) | 3.60 | 16000000 | 15950341 |
| <br> **TOTAL U.S. TREASURY OBLIGATIONS**<br> (Cost $45,788,802) |  |  | **45791581** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 5.0%** | &nbsp;&nbsp;**Money Market Funds - 5.0%** | &nbsp;&nbsp;**Money Market Funds - 5.0%** | &nbsp;&nbsp;**Money Market Funds - 5.0%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (f)<br>(Cost $20,604,739)<br>| 3.70 | 20600619 | **20604739** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Purchased Options - 0.0%** | **Purchased Options - 0.0%** | **Purchased Options - 0.0%** | **Purchased Options - 0.0%** | **Purchased Options - 0.0%** | **Purchased Options - 0.0%** | **Purchased Options - 0.0%** |
|  | Counterparty | Number<br> of Contracts | Notional Amount ($) | Exercise<br> Price ($) | Expiration<br> Date | Value ($) |
| Call Options |  |  |  |  |  |  |
| Amicus Therapeutics Inc | Chicago Board Options Exchange | 3000 | 4287000 | 15 | 2/2026 | 7500 |
|  |  |  |  |  |  | **7500** |
| **TOTAL PURCHASED OPTIONS**<br> (Cost $18,671) |  |  |  |  |  | **7500** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 99.8%**<br> (Cost $406,336,464)<br>| <br>**409251793** |
| **NET OTHER ASSETS (LIABILITIES) - 0.2%**  | **832737** |
| **NET ASSETS - 100.0%** | **410084530** |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index of 3.63% plus or minus a specified spread ranging from (0.15)% to 0.75% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | BNP Paribas SA | 6/2026 | 132212363 | (610777) | 305442 | (305335) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -299.5%  |  |  |  |  |  |  |
| **Communication Services - 0.8%**  |  |  |  |  |  |  |
| **Entertainment - 0.8%**  |  |  |  |  |  |  |
| Electronic Arts Inc  |  |  |  | 10000 | 2039200 | (2300) |
| TOTAL COMMUNICATION SERVICES |  |  |  |  | 2039200 | (2300) |
| **Health Care - (42.1)%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - (42.1)%**  |  |  |  |  |  |  |
| Penumbra Inc (1)  |  |  |  | 52567 | 18827922 | 128565 |
| TOTAL HEALTH CARE |  |  |  |  | 18827922 | 128565 |
| **Financials - 121.2%**  |  |  |  |  |  |  |
| **Banks - 121.2%**  |  |  |  |  |  |  |
| Comerica Inc  |  |  |  | 50000 | 4433500 | (142000) |
| Stellar Bancorp Inc  |  |  |  | 1410 | 52367 | 978 |
| Cadence Bank  |  |  |  | 100000 | 4211000 | (229000) |
|  |  |  |  |  | 8696867 | (370022) |
| TOTAL FINANCIALS |  |  |  |  | 8696867 | (370022) |
| **Industrials - (4.6)%**  |  |  |  |  |  |  |
| **Ground Transportation - (4.4)%**  |  |  |  |  |  |  |
| Norfolk Southern Corp  |  |  |  | 25000 | 7281000 | 13570 |
| **Professional Services - (0.2)%**  |  |  |  |  |  |  |
| Dayforce Inc (1)  |  |  |  | 25000 | 1731750 | 665 |
| TOTAL INDUSTRIALS |  |  |  |  | 9012750 | 14235 |
| **Information Technology - 224.2%**  |  |  |  |  |  |  |
| **Software - 224.2%**  |  |  |  |  |  |  |
| CyberArk Software Ltd (1)  |  |  |  | 30000 | 12924900 | (684600) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 12924900 | (684600) |
| TOTAL UNITED STATES |  |  |  |  | 51501639 | (914122) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **51501639** | <br> **(914122)** |
| **TOTAL LONG** |  |  |  |  | **51501639** | **(914122)** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -(99.3)%  |  |  |  |  |  |  |
| **Health Care - 33.5%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - 33.5%**  |  |  |  |  |  |  |
| Boston Scientific Corp (1)  |  |  |  | (54423) | (5090183) | (102244) |
| TOTAL HEALTH CARE |  |  |  |  | (5090183) | (102244) |
| **Financials - (24.7)%**  |  |  |  |  |  |  |
| **Financial Services - (24.0)%**  |  |  |  |  |  |  |
| Mastercard Inc Class A  |  |  |  | (67000) | (36098930) | 73150 |
| **Banks - (0.7)%**  |  |  |  |  |  |  |
| Fifth Third Bancorp  |  |  |  | (93316) | (4686330) | (111979) |
| Huntington Bancshares Inc/OH  |  |  |  | (245025) | (4283037) | 115162 |
| Prosperity Bancshares Inc  |  |  |  | (536) | (36989) | (940) |
|  |  |  |  |  | (9006356) | 2243 |
| TOTAL FINANCIALS |  |  |  |  | (45105286) | 75393 |
| **Industrials - 52.3%**  |  |  |  |  |  |  |
| **Ground Transportation - 52.3%**  |  |  |  |  |  |  |
| Union Pacific Corp  |  |  |  | (36204) | (8511560) | (159805) |
| TOTAL INDUSTRIALS |  |  |  |  | (8511560) | (159805) |
| **Information Technology - (160.4)%**  |  |  |  |  |  |  |
| **Semiconductors & Semiconductor Equipment - 72.2%**  |  |  |  |  |  |  |
| NVIDIA Corp  |  |  |  | (54000) | (10321020) | (220320) |
| **Software - (232.6)%**  |  |  |  |  |  |  |
| Palo Alto Networks Inc (1)  |  |  |  | (66015) | (11682675) | 710321 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (22003695) | 490001 |
| TOTAL UNITED STATES |  |  |  |  | (80710724) | 303345 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(80710724)** | <br> **303345** |
| **TOTAL SHORT** |  |  |  |  | **(80710724)** | **303345** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(29209085)** | **(610777)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index of 3.63% plus or minus a specified spread ranging from (0.15)% to 0.3% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | Bank of America Merrill Lynch International Ltd | 10/2026 - 2/2027 | 76054588 | (660406) | (30517) | (690923) |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -155.2%  |  |  |  |  |  |  |
| **Consumer Staples - (6.1)%**  |  |  |  |  |  |  |
| **Personal Care Products - (6.1)%**  |  |  |  |  |  |  |
| Kenvue Inc  |  |  |  | 300000 | 5220000 | 42000 |
| TOTAL CONSUMER STAPLES |  |  |  |  | 5220000 | 42000 |
| **Financials - 79.2%**  |  |  |  |  |  |  |
| **Banks - 79.2%**  |  |  |  |  |  |  |
| Comerica Inc  |  |  |  | 125000 | 11083750 | (355000) |
| Stellar Bancorp Inc  |  |  |  | 50000 | 1857000 | 36930 |
| Cadence Bank  |  |  |  | 100000 | 4211000 | (229000) |
|  |  |  |  |  | 17151750 | (547070) |
| TOTAL FINANCIALS |  |  |  |  | 17151750 | (547070) |
| **Industrials - (0.5)%**  |  |  |  |  |  |  |
| **Professional Services - (0.5)%**  |  |  |  |  |  |  |
| Dayforce Inc (1)  |  |  |  | 164468 | 11392698 | 3808 |
| TOTAL INDUSTRIALS |  |  |  |  | 11392698 | 3808 |
| **Information Technology - 82.6%**  |  |  |  |  |  |  |
| **Software - 82.6%**  |  |  |  |  |  |  |
| CyberArk Software Ltd (1)  |  |  |  | 25000 | 10770750 | (570500) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 10770750 | (570500) |
| TOTAL UNITED STATES |  |  |  |  | 44535198 | (1071762) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **44535198** | <br> **(1071762)** |
| **TOTAL LONG** |  |  |  |  | **44535198** | **(1071762)** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -(59.6)%  |  |  |  |  |  |  |
| **Consumer Staples - (2.7)%**  |  |  |  |  |  |  |
| **Household Products - (2.7)%**  |  |  |  |  |  |  |
| Kimberly-Clark Corp  |  |  |  | (43875) | (4387062) | 18428 |
| TOTAL CONSUMER STAPLES |  |  |  |  | (4387062) | 18428 |
| **Financials - 28.8%**  |  |  |  |  |  |  |
| **Banks - 28.8%**  |  |  |  |  |  |  |
| Fifth Third Bancorp  |  |  |  | (233289) | (11715774) | (279947) |
| Huntington Bancshares Inc/OH  |  |  |  | (249975) | (4369563) | 117488 |
| Prosperity Bancshares Inc  |  |  |  | (19015) | (1312225) | (36499) |
|  |  |  |  |  | (17397562) | (198958) |
| TOTAL FINANCIALS |  |  |  |  | (17397562) | (198958) |
| **Information Technology - (85.7)%**  |  |  |  |  |  |  |
| **Software - (85.7)%**  |  |  |  |  |  |  |
| Palo Alto Networks Inc (1)  |  |  |  | (55008) | (9734766) | 591886 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (9734766) | 591886 |
| TOTAL UNITED STATES |  |  |  |  | (31519390) | 411356 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(31519390)** | <br> **411356** |
| **TOTAL SHORT** |  |  |  |  | **(31519390)** | **411356** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **13015808** | **(660406)** |
| Underlying Reference | Counterparty | Maturity Date | Absolute Notional Value<br> ($)  | Unrealized <br> Appreciation/<br> (Depreciation) ($) <br>| Net Cash and Other Receivables/<br> (Payables) ($) | Value ($) <br>|
| The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index of 3.64% plus or minus a specified spread ranging from (0.15)% to 0.4% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap | Goldman Sachs International | 8/2030 - 1/2031 | 29084973 | 44593 | (3858) | 40735 |
| The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. | The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value. |
| Reference Entity |  |  |  | Shares/Principal<br> Amount (a)<br>| Notional Value ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** | **LONG** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -(840.2)%  |  |  |  |  |  |  |
| **Health Care - (6.4)%**  |  |  |  |  |  |  |
| **Health Care Equipment & Supplies - (6.4)%**  |  |  |  |  |  |  |
| Hologic Inc (1)  |  |  |  | 25373 | 1901199 | (2606) |
| TOTAL HEALTH CARE |  |  |  |  | 1901199 | (2606) |
| **Consumer Staples - 82.9%**  |  |  |  |  |  |  |
| **Personal Care Products - 82.9%**  |  |  |  |  |  |  |
| Kenvue Inc  |  |  |  | 150000 | 2610000 | 33780 |
| TOTAL CONSUMER STAPLES |  |  |  |  | 2610000 | 33780 |
| **Information Technology - (916.7)%**  |  |  |  |  |  |  |
| **Software - (916.7)%**  |  |  |  |  |  |  |
| CyberArk Software Ltd (1)  |  |  |  | 16364 | 7050102 | (373426) |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | 7050102 | (373426) |
| TOTAL UNITED STATES |  |  |  |  | 11561301 | (342252) |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **11561301** | <br> **(342252)** |
| **TOTAL LONG** |  |  |  |  | **11561301** | **(342252)** |
| **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** | **SHORT** |
|  **Common Stocks** |  |  |  |  |  |  |
| UNITED STATES -949.7%  |  |  |  |  |  |  |
| **Consumer Staples - (30.7)%**  |  |  |  |  |  |  |
| **Household Products - (30.7)%**  |  |  |  |  |  |  |
| Kimberly-Clark Corp  |  |  |  | (21938) | (2193581) | (12491) |
| TOTAL CONSUMER STAPLES |  |  |  |  | (2193581) | (12491) |
| **Industrials - (268.1)%**  |  |  |  |  |  |  |
| **Ground Transportation - (268.1)%**  |  |  |  |  |  |  |
| Union Pacific Corp  |  |  |  | (23796) | (5594440) | (109224) |
| TOTAL INDUSTRIALS |  |  |  |  | (5594440) | (109224) |
| **Information Technology - 1248.5%**  |  |  |  |  |  |  |
| **Software - 1248.5%**  |  |  |  |  |  |  |
| Palo Alto Networks Inc (1)  |  |  |  | (55013) | (9735651) | 508560 |
| TOTAL INFORMATION TECHNOLOGY |  |  |  |  | (9735651) | 508560 |
| TOTAL UNITED STATES |  |  |  |  | (17523672) | 386845 |
| <br> **TOTAL COMMON STOCKS** |  |  |  |  | **(17523672)** | <br> **386845** |
| **TOTAL SHORT** |  |  |  |  | **(17523672)** | **386845** |
| **TOTAL SWAP COMPONENTS** |  |  |  |  | **(5962371)** | **44593** |

---

(1) Non-income producing.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Pay/<br> Receive<br> Reference | Reference<br> Payment<br> Frequency | Financing<br> Rate | Financing<br> Frequency | Counterparty | Maturity<br> Date | Units | Notional<br> Amount | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| Vanguard S&P 500 ETF | Pay | Monthly | U.S. SOFR index plus 90 basis points | Monthly | Goldman Sachs International | 2/2026 | 11700 | 7351110 | (66564) | 0 | (66564) |
| JPMorgan Chase & Co. | Pay | Monthly | U.S. SOFR index plus 90 basis points | Monthly | Goldman Sachs International | 2/2026 | 5960 | 1939861 | 123644 | 0 | 123644 |
| iShares Core S&P 500 ETF | Pay | Monthly | U.S. SOFR index plus 90 basis points | Monthly | Goldman Sachs International | 2/2026 | 10800 | 7410852 | (69160) | 0 | (69160) |
| **TOTAL RETURN SWAPS** |  |  |  |  |  |  |  |  | **(12080)** | **0** | **(12080)** |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

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

(b) Non-income producing.

(c) Level 3 security.

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

(e) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $32,316,309.

(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 ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | - | 467111533 | 446508778 | 743017 | 1984 | - | 20604739 | 20600619 | 0.0% |
| Total | - | 467111533 | 446508778 | 743017 | 1984 | - | 20604739 |  |  |

---

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, 2026, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** | **Valuation Inputs at Reporting Date:** |
| **Description** | **Total ($)** | **Level 1 ($)** | **Level 2 ($)** | **Level 3 ($)** |
| **<u>Investments in Securities:</u>** |  |  |  |  |
|  **Common Stocks** |  |  |  |  |
| Communication Services | 65734850 | 65734850 | - | - |
| Consumer Staples | 4349999 | 4349999 | - | - |
| Financials | 43097534 | 43097534 | - | - |
| Health Care | 65794905 | 65647905 | - | 147000 |
| Industrials | 79310969 | 79310969 | - | - |
| Information Technology | 57673818 | 57673818 | - | - |
| Materials | 11935800 | 11935800 | - | - |
|  **Domestic Equity Funds** | 14950098 | 14950098 | - | - |
|  **U.S. Treasury Obligations** | 45791581 | - | 45791581 | - |
|  **Money Market Funds** | 20604739 | 20604739 | - | - |
|  **Purchased Options** | 7500 | 7500 | - | - |
| **Total Investments in Securities:** | 409251793 | 363313212 | 45791581 | 147000 |
| **<u>Derivative Instruments:</u>** |  |  |  |  |
|  **Assets** |  |  |  |  |
| Swaps | 164379 | - | 164379 | - |
| Total Assets | 164379 | - | 164379 | - |
|  **Liabilities** |  |  |  |  |
| Swaps | (1131982) | - | (1131982) | - |
| Total Liabilities | (1131982) | - | (1131982) | - |
| **Total Derivative Instruments:** | (967603) | - | (967603) | - |

---

**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, 2026. 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)  | 7500 | - |
| Swaps (b)  | 164379 | (1131982) |
| **Total Equity Risk**  | 171879 | (1131982) |
| **Total Value of Derivatives** | 171879 | (1131982) |

---

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

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

**Financial Statements**

---

| | | |
|:---|:---|:---|
| **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** | **Statement of Assets and Liabilities** |
| **As of January 31, 2026** | **As of January 31, 2026** | **As of January 31, 2026** |
| **Assets**  |  |  |
| Investment in securities, at value - See accompanying schedule: |  |  |
| Unaffiliated issuers (cost $385,731,725) | $388647054 |  |
| Fidelity Central Funds (cost $20,604,739) | 20604739 |  |
| Total Investment in Securities (cost $406,336,464) |  | $409251793 |
| Receivable for investments sold |  | 3877378 |
| Dividends receivable |  | 67231 |
| Distributions receivable from Fidelity Central Funds |  | 90477 |
| Bi-lateral OTC swaps, at value |  | 164379 |
| Prepaid expenses |  | 21239 |
| Receivable from investment adviser for expense reductions |  | 30546 |
| **Total assets** |  | 413503043 |
| **Liabilities** |  |  |
| Payable for investments purchased  | $1874316 |  |
| Bi-lateral OTC swaps, at value | 1131982 |  |
| Accrued management fee | 297588 |  |
| Other payables and accrued expenses | 114627 |  |
| **Total liabilities** |  | 3418513 |
| **Net Assets**  |  | $410084530 |
| Net Assets consist of: |  |  |
| Paid in capital |  | $405297094 |
| Total accumulated earnings (loss) |  | 4787436 |
| **Net Assets** |  | $410084530 |
| **Net Asset Value**, offering price and redemption price per share ($410,084,530 ÷ 39,586,016 shares) |  | $10.36 |

---

---

| | | |
|:---|:---|:---|
| **Statement of Operations** | **Statement of Operations** | **Statement of Operations** |
| <br> **For the period June 17, 2025 (commencement of operations) through January 31, 2026**  | <br> **For the period June 17, 2025 (commencement of operations) through January 31, 2026**  | <br> **For the period June 17, 2025 (commencement of operations) through January 31, 2026**  |
| **Investment Income** |  |  |
| Dividends  |  | $654627 |
| Interest  |  | 525635 |
| Income from Fidelity Central Funds  |  | 743017 |
| **Total income** |  | 1923279 |
| **Expenses** |  |  |
| Management fee | $1270951 |  |
| Custodian fees and expenses | 3368 |  |
| Independent trustees' fees and expenses | 29765 |  |
| Registration fees | 79445 |  |
| Audit fees | 55614 |  |
| Legal | 5539 |  |
| Miscellaneous | 3844 |  |
| Total expenses before reductions | 1448526 |  |
| Expense reductions | (115751) |  |
| Total expenses after reductions |  | 1332775 |
| **Net Investment income (loss)** |  | 590504 |
| **Realized and Unrealized Gain (Loss)** |  |  |
| Net realized gain (loss) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 5291134 |  |
| Fidelity Central Funds | 1984 |  |
| Swaps | 295558 |  |
| Written options | 108341 |  |
| Total net realized gain (loss) |  | 5697017 |
| Change in net unrealized appreciation (depreciation) on: |  |  |
| Investment Securities: |  |  |
| Unaffiliated issuers  | 2915329 |  |
| Swaps | (967603) |  |
| Total change in net unrealized appreciation (depreciation) |  | 1947726 |
| **Net gain (loss)** |  | 7644743 |
| **Net increase (decrease) in net assets resulting from operations** |  | $8235247 |

---

---

| | |
|:---|:---|
| **Statement of Changes in Net Assets** | **Statement of Changes in Net Assets** |
|  | **For the period June 17, 2025 (commencement of operations) through January 31, 2026**  |
| **Increase (Decrease) in Net Assets** |  |
| Operations |  |
| &nbsp;&nbsp;Net investment income (loss) | $590504 |
| &nbsp;&nbsp;Net realized gain (loss) | 5697017<br>|
| &nbsp;&nbsp;Change in net unrealized appreciation (depreciation) | 1947726 |
| &nbsp;&nbsp;**Net increase (decrease) in net assets resulting from operations** | 8235247<br>|
| Distributions to shareholders | (3447811)<br>|
| Share transactions |  |
| &nbsp;&nbsp;Proceeds from sales of shares | 401849448 |
| Reinvestment of distributions | 3447811<br>|
| &nbsp;&nbsp;Cost of shares redeemed | (165) |
| **Net increase (decrease) in net assets resulting from share transactions** | 405297094<br>|
| &nbsp;&nbsp;**Total increase (decrease) in net assets** | 410084530<br>|
| **Net Assets** |  |
| &nbsp;&nbsp;Beginning of period | - |
| &nbsp;&nbsp;End of period | $410084530 |
| **Other Information** |  |
| Shares |  |
| &nbsp;&nbsp;Sold | 39252589 |
| Issued in reinvestment of distributions | 333444<br>|
| &nbsp;&nbsp;Redeemed | (17) |
| &nbsp;&nbsp;Net increase (decrease) | 39586016 |

---

**Financial Highlights** 

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

---

| | |
|:---|:---|
| **Years ended January 31,** | **2026** A  |
| **Selected Per-Share Data**  |  |
| Net asset value, beginning of period  | $10.00 |
| Income from Investment Operations  |  |
| Net investment income (loss) B,C | .03  |
| Net realized and unrealized gain (loss)  | .45  |
| Total from investment operations  | .48  |
| Distributions from net investment income  | (.10)  |
| Distributions from net realized gain  | (.02)  |
| Total distributions  | (.12)  |
| Net asset value, end of period  | $10.36 |
| **Total Return** D,E | 4.80% <br>|
| **Ratios to Average Net Assets** C,F,G |  |
| Expenses before reductions  | 1.18% H,I |
| Expenses net of fee waivers, if any  | 1.10% I<br>|
| Expenses net of all reductions, if any  | 1.10% I |
| Net investment income (loss)  | .49% I |
| **Supplemental Data** |  |
| Net assets, end of period (000 omitted) | $410085 |
| Portfolio turnover rate J | 110% I<br>|

---

A*For the period June 17, 2025 (commencement of operations) through January 31, 2026.*

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

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

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

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

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

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

H*Audit fees are not annualized.*

I*Annualized.*

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

**Notes to Financial Statements**

For the period ended January 31, 2026

**1. Organization.**

Fidelity SAI Merger Arbitrage Fund (the Fund) is a non-diversified fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust.

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

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

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

---

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

---

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

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

**3. Significant Accounting Policies.**

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

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

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

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

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

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

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

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

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

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, 2026 is included at the end of the Fund's Schedule of Investments.

**Investment Transactions and Income.** For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.

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

**Income Tax Information and Distributions to Shareholders.** Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of January 31, 2026, 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 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 futures contracts, swaps, market discount, constructive sales, conversion transactions and losses deferred due to wash sales and offsetting positions.

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**  | $3787189 |
| **Gross unrealized depreciation**  | <u>(6793274)</u> |
| **Net unrealized appreciation (depreciation)**  | <u>$(3006085)</u> |
| **Tax Cost**  | <u>$406055532</u> |

---

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

---

| | |
|:---|:---|
| **Undistributed ordinary income**  | <u>$4781583</u> |
| **Net unrealized appreciation (depreciation) on securities and other investments**  | <u>$5853</u> |

---

The tax character of distributions paid was as follows:

---

| | |
|:---|:---|
|  | **January 31, 2026**A |
| **Ordinary Income**  | $3447811 |

---

*A For the period June 17, 2025 (commencement of operations) through January 31, 2026.*

**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 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):

---

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

---

Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, a fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives a fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, a fund receives collateral in the form of cash or securities once net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the custodian bank in accordance with the collateral agreements entered into between a fund, the counterparty and the custodian bank. A fund could experience delays and costs in gaining access to the collateral even though it is held by the custodian bank. The maximum risk of loss to a fund from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to a fund. A fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the 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 SAI Merger Arbitrage Fund** |  |  |
| **Equity Risk** |  |  |
| Purchased Options | 244444 | (11171) |
| Written Options | 108341 | - |
| Swaps | &nbsp;&nbsp;&nbsp;&nbsp; <u>295558</u> | <u>(967603)</u> |
| **Total Equity Risk** | &nbsp;&nbsp;&nbsp;&nbsp; <u>648343</u> | <u>(978774)</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.

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

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

Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.

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 bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

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

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

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

---

| | |
|:---|:---|
|  | **Average Notional Amount ($)** |
| **Fidelity SAI Merger Arbitrage Fund** | 45303512 |

---

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

The Fund enters into total return basket swap contracts to obtain exposure to a portfolio of long and/or short positions in order to create and adjust the fund's investment exposure, to enhance total return, to hedge risks, to manage certain investment risk, and to manage volatility. The Fund has the ability to trade in and out of the long and short positions within the swap and receives the economic benefits and risks equivalent to direct investments in these positions.

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

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

---

| | | |
|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** |
| **Fidelity SAI Merger Arbitrage Fund** | 534217480 | 113215966 |

---

**6. Fees and Other Transactions with Affiliates.**

**Management Fee.** Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee that is based on an annual rate of 1.05% of the Fund's average net assets.

**Interfund Trades.** Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board of Trustees. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. Interfund trades during the period are noted in the table below.

---

| | | | |
|:---|:---|:---|:---|
|  | **Purchases ($)** | **Sales ($)** | **Realized Gain (Loss) ($)** |
| **Fidelity SAI Merger Arbitrage Fund** | 3365000 | - | - |

---

**7. Expense Reductions.** 

The investment adviser contractually agreed to reimburse the Fund to the extent annual operating expenses exceeded 1.10% of average net assets. This reimbursement will remain in place through May 31, 2027. Some expenses, for example certain miscellaneous expenses such as proxy and shareholder meeting expenses, are excluded from this reimbursement. During the period this reimbursement reduced the Fund's expenses by $114,798.

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 $953.

**8. Other.**

A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

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.

---

| | |
|:---|:---|
|  | **Strategic Advisers Fidelity Alternatives Fund** |
| **Fidelity SAI Merger Arbitrage Fund** | 99% |

---

**9. Risk and Uncertainties.**

Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as public health emergencies, military conflicts, terrorism, government restrictions, political changes, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.

**Report of Independent Registered Public Accounting Firm**

To the Board of Trustees of Fidelity Greenwood Street Trust and the Shareholders of Fidelity SAI Merger Arbitrage Fund:

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statement of assets and liabilities of Fidelity SAI Merger Arbitrage Fund (the "Fund"), a fund of Fidelity Greenwood Street Trust, including the schedule of investments, as of January 31, 2026, the related statement of operations, statement of changes in net assets, and financial highlights for the period from June 17, 2025 (commencement of operations) through January 31, 2026, and the related notes (collectively referred to as the "financial statements and financial highlights"). 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, 2026, and the results of its operations, the changes in its net assets, and the financial highlights for the period from June 17, 2025 (commencement of operations) through January 31, 2026, 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, 2026, 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 18, 2026

We have served as the auditor of one or more of the Fidelity investment companies since 1999.

**Distributions** **(Unaudited)**

The dividend and capital gains distributions for the fund(s) are available on *Fidelity.com* or *Institutional.Fidelity.com*.

A total of 10.43% of the dividend distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.

The fund designates $670,068 of distributions paid during the fiscal year ended 2026 as qualifying to be taxed as section 163(j) interest dividends.

The fund designates 14% of the dividends distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.

The fund designates 14.88% of the dividend distributed 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 designates 0.07% of the dividend distributed during the fiscal year as a section 199A dividend.

The fund will notify shareholders in January 2027 of amounts for use in preparing 2026 income tax returns.

**Item 8: Changes in and Disagreements with Accountants for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 9: Proxy Disclosures for Open-End Management Investment Companies**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

**Item 10: Remuneration Paid to Directors, Officers, and others of Open-End Management Investment Companies**

**(Unaudited)**

Note: This information is disclosed as part of the financial statements for each Fund as part of Item 7: Financial Statements and Financial Highlights for Open-End Management Investment Companies.

**Item 11: Statement Regarding Basis for Approval of Investment Advisory Contract**

**(Unaudited)**

Note: This is not applicable for any fund included in this document.

![](img125411_4.jpg)<br>

1.9918586.100 FSM-ANN-0426

Item 8.

<u>Changes in and Disagreements with Accountants for Open-End Management Investment Companies</u>

See Item 7.

Item 9.

<u>Proxy Disclosures for Open-End Management Investment Companies</u>

See Item 7.

Item 10.

<u>Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies</u>

See Item 7.

Item 11.

<u>Statement Regarding Basis for Approval of Investment Advisory Contract</u>

See Item 7.

Item 12.

<u>Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies</u>

Not applicable.

Item 13.

<u>Portfolio Managers of Closed-End Management Investment Companies</u>

Not applicable.

Item 14.

<u>Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers</u>

Not applicable.

Item 15.

<u>Submission of Matters to a Vote of Security Holders</u>

There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.

Item 16.

<u>Controls and Procedures</u>

(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the 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 17.

<u>Disclosure of Securities Lending Activities for Closed-End Management Investment Companies</u>

Not applicable.

Item 18.

<u>Recovery of Erroneously Awarded Compensation</u>

(a) Not applicable.

(b) Not applicable.

Item 19.

<u>Exhibits</u>

(a) (1) [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

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Heather Bonner</u> |
|  | &nbsp;&nbsp; Heather Bonner |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; March 25, 2026 |

---

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Heather Bonner</u> |
|  | &nbsp;&nbsp; Heather Bonner |
|  | &nbsp;&nbsp; President and Treasurer (Principal Executive Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; March 25, 2026 |

---

---

| | |
|:---|:---|
| &nbsp;&nbsp; By: | &nbsp;&nbsp; <u>/s/Stephanie Caron</u> |
|  | &nbsp;&nbsp; Stephanie Caron |
|  | &nbsp;&nbsp; Chief Financial Officer (Principal Financial Officer) |
| &nbsp;&nbsp; Date: | &nbsp;&nbsp; March 25, 2026 |

---

## Ex-99.Code

**Fidelity Investments**

**FIDELITY FUNDS'**

**CODE OF ETHICS**

**FOR PRESIDENT, TREASURER**

**AND PRINCIPAL ACCOUNTING OFFICER**

2023

**FIDELITY FUNDS' CODE OF ETHICS FOR**

**PRESIDENT, TREASURER AND PRINCIPAL ACCOUNTING OFFICER**

**I. Purposes of the Code/Covered Officers**

This document constitutes the Code of Ethics (Code) adopted by the Fidelity Funds (Funds) pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. The Code applies to the Fidelity Funds' President and Treasurer, and Chief Financial Officer (Covered Officers). Fidelity's Ethics Office, within Enterprise 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;· 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;· 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;· compliance with applicable laws and governmental rules and regulations;

&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;· 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.

**II.** **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 their service to, the Fidelity Funds. For example, a conflict of interest would arise if a Covered Officer, or a member of their family, receives improper personal benefits as a result of their 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.

\* \* \*

Each Covered Officer must:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· not use their 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;· 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;· 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;· 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;· 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.

**III. Disclosure and Compliance**

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· Each Covered Officer should familiarize themself with the disclosure requirements generally applicable to the Fidelity Funds.

&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;· Each Covered Officer should, to the extent appropriate within their 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;· It is the responsibility of each Covered Officer to promote compliance with the standards and restrictions imposed by applicable laws, rules and regulations.

**IV. Reporting and Accountability**

Each Covered Officer must:

&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 they have received, read, and understand the Code; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;· notify the Fidelity Ethics Office promptly if they know 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 Head of Ethics retain the discretion to decide whether the Code applies to a specific situation, and how it should be interpreted.

**V. Oversight**

Material violations of this Code will be reported promptly by FMR (or another Fidelity company) to the Board's Compliance Committee. In addition, at least once each year, FMR (or another Fidelity company) 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.

**VI. 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. 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.

**VII. 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.

**VIII. 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.

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;

<u>Exhibit EX-99.CERT</u>

I, Heather Bonner, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Greenwood Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

March 25, 2026

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Heather Bonner</u> |
| &nbsp;&nbsp;Heather Bonner |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

---

I, Stephanie Caron, certify that:

1. I have reviewed this report on Form N-CSR of Fidelity Greenwood Street Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; b.

Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:

March 25, 2026

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

---

## Exhibit 99.906

<u>Exhibit EX-99.906CERT</u>

**Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of section 1350, chapter 63 of title 18, United States Code)**

In connection with the attached Report of Fidelity Greenwood Street Trust (the "Trust") on Form N-CSR to be filed with the Securities and Exchange Commission (the "Report"), each of the undersigned officers of the Trust does hereby certify that, to the best of such officer's knowledge:

&nbsp;&nbsp;&nbsp;&nbsp;1. The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and

&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Trust as of, and for, the periods presented in the Report.

Dated: March 25, 2026

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Heather Bonner</u> |
| &nbsp;&nbsp;Heather Bonner |
| &nbsp;&nbsp;President and Treasurer (Principal Executive Officer) |

---

Dated: March 25, 2026

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| |
|:---|
| &nbsp;&nbsp;<u>/s/Stephanie Caron</u> |
| &nbsp;&nbsp;Stephanie Caron |
| &nbsp;&nbsp;Chief Financial Officer (Principal Financial Officer) |

---

A signed original of this written statement required by Section 906, or other document authenticating, acknowledging, or otherwise adopting the signature that appears in typed form within the electronic version of this written statement required by Section 906, has been provided to the Trust and will be retained by the Trust and furnished to the Securities and Exchange Commission or its staff upon request.

<br>