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 811-23762
Fidelity Greenwood Street Trust
(Exact name of registrant as specified in charter)
245 Summer St., Boston, MA 02210
(Address of principal executive offices) (Zip code)
Cynthia Lo Bessette, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | January 31 |
Date of reporting period: | July 31, 2022 |
Item 1.
Reports to Stockholders
Fidelity® Risk Parity Fund
Semi-Annual Report
July 31, 2022
Includes Fidelity and Fidelity Advisor share classes
Contents
|
Board Approval of Investment Advisory Contracts and Management Fees |
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. © 2022 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.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Consolidated Investment Summary (Unaudited)
Top Ten Holdings as of July 31, 2022
| (by issuer, excluding cash equivalents) | % of fund's net assets |
| Fidelity Commodity Strategy Fund | 20.6 |
| Fidelity Long-Term Treasury Bond Index Fund | 16.0 |
| Fidelity International Index Fund | 12.0 |
| Fidelity Small Capital Value Index Fund | 7.5 |
| Fidelity Small Cap Index Fund | 5.0 |
| Fidelity International Bond Index Fund | 4.7 |
| Fidelity Total Market Index Fund | 4.1 |
| Fidelity Real Estate Index Fund | 3.2 |
| iShares 5-10 Year Investment Grade Corporate Bond ETF | 0.4 |
| U.S. Treasury Bills | 0.4 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2022 | ||
| Domestic Equity Funds* | 40.4% | |
| International Equity Funds | 12.0% | |
| Bond Funds | 21.1% | |
| Short-Term Funds | 22.8% | |
| Short-Term Investments | 0.4% | |
| Net Other Assets (Liabilities) | 3.3% | |
* Includes investment in Fidelity® Commodity Strategy Fund of 20.6%
Consolidated Schedule of Investments July 31, 2022 (Unaudited)
Showing Percentage of Net Assets
| Equity Funds - 52.4% | |||
| Shares | Value | ||
| Domestic Equity Funds - 40.4% | |||
| Fidelity Commodity Strategy Fund (a) | 101,469 | $1,082,670 | |
| Fidelity Real Estate Index Fund (a) | 9,586 | 167,084 | |
| Fidelity Small Cap Index Fund (a) | 11,166 | 260,609 | |
| Fidelity Small Capital Value Index Fund (a) | 16,764 | 394,636 | |
| Fidelity Total Market Index Fund (a) | 1,890 | 217,290 | |
| TOTAL DOMESTIC EQUITY FUNDS | 2,122,289 | ||
| International Equity Funds - 12.0% | |||
| Fidelity International Index Fund (a) | 15,123 | 633,200 | |
| TOTAL EQUITY FUNDS | |||
| (Cost $2,596,534) | 2,755,489 | ||
| Fixed-Income Funds - 21.1% | |||
| Fixed-Income Funds - 16.4% | |||
| Fidelity Long-Term Treasury Bond Index Fund (a) | 71,350 | 842,649 | |
| iShares 5-10 Year Investment Grade Corporate Bond ETF | 385 | 20,336 | |
| TOTAL FIXED-INCOME FUNDS | 862,985 | ||
| Global Fixed-Income Funds - 4.7% | |||
| Fidelity International Bond Index Fund (a) | 26,316 | 245,796 | |
| TOTAL FIXED-INCOME FUNDS | |||
| (Cost $1,076,675) | 1,108,781 | ||
| U.S. Treasury Obligations - 0.4% | |||
| U.S. Treasury Bills, yield at date of purchase 1.88% 10/6/22 (b) | |||
| (Cost $19,932) | 20,000 | 19,917 | |
| Cash Equivalents - 22.8% | |||
| Fidelity Cash Central Fund 2.01% (c) | |||
| (Cost $1,201,666) | 1,201,426 | 1,201,666 | |
| TOTAL INVESTMENT IN SECURITIES - 96.7% | |||
| (Cost $4,894,807) | 5,085,853 | ||
| NET OTHER ASSETS (LIABILITIES) - 3.3% | 175,574 | ||
| NET ASSETS - 100% | $5,261,427 |
| Futures Contracts | |||||
| Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
| Purchased | |||||
| Treasury Contracts | |||||
| CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | 6 | Sept. 2022 | $726,844 | $17,146 | $17,146 |
| Sold | |||||
| Equity Index Contracts | |||||
| ICE E-mini MSCI Emerging Markets Index Contracts (United States) | 2 | Sept. 2022 | 99,850 | 496 | 496 |
| TOTAL FUTURES CONTRACTS | $17,642 |
The notional amount of futures purchased as a percentage of Net Assets is 13.8%
The notional amount of futures sold as a percentage of Net Assets is 1.9%
Swaps
| Underlying Reference | Pay/Receive Reference | Reference Payment Frequency | Financing Rate | Financing Frequency | Counterparty | Maturity Date | Notional Amount | Value | Upfront Premium Received/(Paid) | Unrealized Appreciation/(Depreciation) |
| Total Return Swaps | ||||||||||
| iShares Core MSCI Emerging Markets ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 40 basis points | Monthly | Bank of America, N.A. | Jul. 2023 | $40,458 | $(22) | $0 | $(22) |
| iShares 20+ Year Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 15 basis points | Monthly | Bank of America, N.A. | Jul. 2023 | 88,407 | 2,762 | 0 | 2,762 |
| iShares iBoxx High Yield Corporate Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 125 basis points | Monthly | Goldman Sachs Intl. | Jan. 2023 | 587,943 | 26,157 | 0 | 26,157 |
| iShares TIPS Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 20 basis points | Monthly | Goldman Sachs Intl. | Jul. 2023 | 2,003,413 | 79,012 | 0 | 79,012 |
| iShares J.P. Morgan EM Local Currency Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 40 basis points | Monthly | Goldman Sachs Intl. | Jul. 2023 | 325,099 | 5,937 | 0 | 5,937 |
| iShares J.P. Morgan USD Emerging Markets Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 35 basis points | Monthly | Goldman Sachs Intl. | Jul. 2023 | 264,759 | 8,998 | 0 | 8,998 |
| iShares US Treasury Bond ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 40 basis points | Monthly | Goldman Sachs Intl. | Jul. 2023 | 18,857 | 290 | 0 | 290 |
| SPDR Gold Shares | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index plus 25 basis points | Monthly | Goldman Sachs Intl. | Jul. 2023 | 480,096 | 5,048 | 0 | 5,048 |
| Invesco Senior Bank Loan ETF | Receives | Monthly | U.S. Secured Overnight Fin. Rate (SOFR) Index minus 200 basis points | Monthly | Morgan Stanley Capital Services LLC | Oct. 2022 | 869,390 | 21,766 | 0 | 21,766 |
| TOTAL RETURN SWAPS | $149,948 | $0 | $149,948 | |||||||
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Affiliated Fund
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $19,917.
(c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
| Fidelity Cash Central Fund 2.01% | $-- | $5,020,050 | $3,818,384 | $1,565 | $-- | $-- | $1,201,666 | 0.0% |
| Total | $-- | $5,020,050 | $3,818,384 | $1,565 | $-- | $-- | $1,201,666 |
Amounts in the 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.
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, and are excluded from purchases and sales below if applicable. If an underlying Fund changes its name, the name presented below is the name in effect at period end.
| Affiliate | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain (loss) | Change in Unrealized appreciation (depreciation) | Value, end of period |
| Fidelity Commodity Strategy Fund | $-- | $1,021,160 | $409 | $-- | $23 | $61,896 | $1,082,670 |
| Fidelity International Bond Index Fund | -- | 240,100 | 96 | -- | 2 | 5,790 | 245,796 |
| Fidelity International Index Fund | -- | 600,740 | 217 | -- | 11 | 32,666 | 633,200 |
| Fidelity Long-Term Treasury Bond Index Fund | -- | 817,320 | 369 | 1,423 | 12 | 25,686 | 842,649 |
| Fidelity Real Estate Index Fund | -- | 156,310 | 62 | -- | 4 | 10,832 | 167,084 |
| Fidelity Small Cap Index Fund | -- | 244,511 | 98 | -- | 6 | 16,190 | 260,609 |
| Fidelity Small Capital Value Index Fund | -- | 369,461 | 148 | -- | 9 | 25,314 | 394,636 |
| Fidelity Total Market Index Fund | -- | 205,310 | 82 | -- | 5 | 12,057 | 217,290 |
| Total | $-- | $3,654,912 | $1,481 | $1,423 | $72 | $190,431 | $3,843,934 |
Amounts in the 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.
Consolidated Subsidiary
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period |
| Fidelity Risk Parity Cayman Ltd. | $-- | $120,050 | $-- | $-- | $-- | $5,183 | $125,233 |
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2022, 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: | ||||
| Description | Total | Level 1 | Level 2 | Level 3 |
| Investments in Securities: | ||||
| Equity Funds | $2,755,489 | $2,755,489 | $-- | $-- |
| Fixed-Income Funds | 1,108,781 | 1,108,781 | -- | -- |
| Other Short-Term Investments | 19,917 | -- | 19,917 | -- |
| Money Market Funds | 1,201,666 | 1,201,666 | -- | -- |
| Total Investments in Securities: | $5,085,853 | $5,065,936 | $19,917 | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $17,642 | $17,642 | $-- | $-- |
| Swaps | 149,970 | -- | 149,970 | -- |
| Total Assets | $167,612 | $17,642 | $149,970 | $-- |
| Liabilities | ||||
| Swaps | $(22) | $-- | $(22) | $-- |
| Total Liabilities | $(22) | $-- | $(22) | $-- |
| Total Derivative Instruments: | $167,590 | $17,642 | $149,948 | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2022. 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 | Value | |
| Asset | Liability | |
| Equity Risk | ||
| Futures Contracts(a) | $496 | $0 |
| Swaps(b) | 149,970 | (22) |
| Total Equity Risk | 150,466 | (22) |
| Interest Rate Risk | ||
| Futures Contracts(a) | 17,146 | 0 |
| Total Interest Rate Risk | 17,146 | 0 |
| Total Value of Derivatives | $167,612 | $(22) |
(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 bi-lateral over-the-counter (OTC) swaps, reflects gross value which is presented in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items.
The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.
| Counterparty | Value of Derivative Assets | Value of Derivative Liabilities | Collateral Received(a) | Collateral Pledged(a) | Net(b) |
| Goldman Sachs Intl. | $125,442 | $-- | $-- | $-- | $125,442 |
| Morgan Stanley Capital Services LLC | 21,766 | -- | -- | -- | 21,766 |
| Bank of America, N.A. | 2,762 | (22) | -- | -- | 2,740 |
| Exchange Traded Futures | 17,642 | -- | -- | -- | 17,642 |
| Total | $167,612 | $(22) |
(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.
See accompanying notes which are an integral part of the financial statements.
Consolidated Financial Statements
Consolidated Statement of Assets and Liabilities
| July 31, 2022 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $39,638) | $40,253 | |
| Fidelity Central Funds (cost $1,201,666) | 1,201,666 | |
| Other affiliated issuers (cost $3,653,503) | 3,843,934 | |
| Total Investment in Securities (cost $4,894,807) | $5,085,853 | |
| Cash | 23,065 | |
| Receivable for investments sold | 1,478 | |
| Dividends receivable | 1,423 | |
| Distributions receivable from Fidelity Central Funds | 1,565 | |
| Receivable for daily variation margin on futures contracts | 1,408 | |
| Bi-lateral OTC swaps, at value | 149,970 | |
| Total assets | 5,264,762 | |
| Liabilities | ||
| Bi-lateral OTC swaps, at value | $22 | |
| Accrued management fee | 2,080 | |
| Distribution and service plan fees payable | 1,233 | |
| Total liabilities | 3,335 | |
| Net Assets | $5,261,427 | |
| Net Assets consist of: | ||
| Paid in capital | $4,900,000 | |
| Total accumulated earnings (loss) | 361,427 | |
| Net Assets | $5,261,427 | |
| Net Asset Value and Maximum Offering Price | ||
| Class A: | ||
| Net Asset Value and redemption price per share ($1,052,352 ÷ 98,000 shares)(a) | $10.74 | |
| Maximum offering price per share (100/94.25 of $10.74) | $11.40 | |
| Class M: | ||
| Net Asset Value and redemption price per share ($1,052,167 ÷ 98,000 shares)(a) | $10.74 | |
| Maximum offering price per share (100/96.50 of $10.74) | $11.13 | |
| Class C: | ||
| Net Asset Value and offering price per share ($1,051,796 ÷ 98,000 shares)(a) | $10.73 | |
| Class I: | ||
| Net Asset Value, offering price and redemption price per share ($1,052,538 ÷ 98,000 shares) | $10.74 | |
| Class Z: | ||
| Net Asset Value, offering price and redemption price per share ($1,052,574 ÷ 98,000 shares) | $10.74 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Consolidated Statement of Operations
| For the period July 7, 2022 (commencement of operations) through July 31, 2022 (Unaudited) |
||
| Investment Income | ||
| Dividends: | ||
| Affiliated issuers | $1,423 | |
| Interest | 25 | |
| Income from Fidelity Central Funds | 1,565 | |
| Total income | 3,013 | |
| Expenses | ||
| Management fee | $2,080 | |
| Distribution and service plan fees | 1,233 | |
| Total expenses | 3,313 | |
| Net investment income (loss) | (300) | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Affiliated issuers | 72 | |
| Swaps | 3,019 | |
| Total net realized gain (loss) | 3,091 | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 615 | |
| Affiliated issuers | 190,431 | |
| Futures contracts | 17,642 | |
| Swaps | 149,948 | |
| Total change in net unrealized appreciation (depreciation) | 358,636 | |
| Net gain (loss) | 361,727 | |
| Net increase (decrease) in net assets resulting from operations | $361,427 |
See accompanying notes which are an integral part of the financial statements.
Consolidated Statement of Changes in Net Assets
| For the period July 7, 2022 (commencement of operations) through July 31, 2022 (Unaudited) |
|
| Increase (Decrease) in Net Assets | |
| Operations | |
| Net investment income (loss) | $(300) |
| Net realized gain (loss) | 3,091 |
| Change in net unrealized appreciation (depreciation) | 358,636 |
| Net increase (decrease) in net assets resulting from operations | 361,427 |
| Share transactions - net increase (decrease) | 4,900,000 |
| Total increase (decrease) in net assets | 5,261,427 |
| Net Assets | |
| Beginning of period | – |
| End of period | $5,261,427 |
See accompanying notes which are an integral part of the financial statements.
Consolidated Financial Highlights
Fidelity Risk Parity Fund Class A
| Six months ended (Unaudited) July 31, | |
| 2022 A | |
| Selected Per–Share Data | |
| Net asset value, beginning of period | $10.00 |
| Income from Investment Operations | |
| Net investment income (loss)B,C | –D |
| Net realized and unrealized gain (loss) | .74 |
| Total from investment operations | .74 |
| Net asset value, end of period | $10.74 |
| Total ReturnE,F | 7.40% |
| Ratios to Average Net AssetsC,G,H | |
| Expenses before reductions | .85%I |
| Expenses net of fee waivers, if any | .85%I |
| Expenses net of all reductions | .85%I |
| Net investment income (loss) | .01%I |
| Supplemental Data | |
| Net assets, end of period (000 omitted) | $1,052 |
| Portfolio turnover rateJ | 0%K,L |
A For the period July 7, 2022 (commencement of operations) through July 31, 2022.
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 such underlying funds 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 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).
K Amount not annualized.
L Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Fidelity Risk Parity Fund Class M
| Six months ended (Unaudited) July 31, | |
| 2022 A | |
| Selected Per–Share Data | |
| Net asset value, beginning of period | $10.00 |
| Income from Investment Operations | |
| Net investment income (loss)B,C | –D |
| Net realized and unrealized gain (loss) | .74 |
| Total from investment operations | .74 |
| Net asset value, end of period | $10.74 |
| Total ReturnE,F | 7.40% |
| Ratios to Average Net AssetsC,G,H | |
| Expenses before reductions | 1.10%I |
| Expenses net of fee waivers, if any | 1.10%I |
| Expenses net of all reductions | 1.10%I |
| Net investment income (loss) | (.24)%I |
| Supplemental Data | |
| Net assets, end of period (000 omitted) | $1,052 |
| Portfolio turnover rateJ | 0%K,L |
A For the period July 7, 2022 (commencement of operations) through July 31, 2022.
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 such underlying funds 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 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).
K Amount not annualized.
L Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Fidelity Risk Parity Fund Class C
| Six months ended (Unaudited) July 31, | |
| 2022 A | |
| Selected Per–Share Data | |
| Net asset value, beginning of period | $10.00 |
| Income from Investment Operations | |
| Net investment income (loss)B,C | –D |
| Net realized and unrealized gain (loss) | .73 |
| Total from investment operations | .73 |
| Net asset value, end of period | $10.73 |
| Total ReturnE,F | 7.30% |
| Ratios to Average Net AssetsC,G,H | |
| Expenses before reductions | 1.60%I |
| Expenses net of fee waivers, if any | 1.60%I |
| Expenses net of all reductions | 1.60%I |
| Net investment income (loss) | (.74)%I |
| Supplemental Data | |
| Net assets, end of period (000 omitted) | $1,052 |
| Portfolio turnover rateJ | 0%K,L |
A For the period July 7, 2022 (commencement of operations) through July 31, 2022.
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 such underlying funds 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 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 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).
K Amount not annualized.
L Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Fidelity Risk Parity Fund Class I
| Six months ended (Unaudited) July 31, | |
| 2022 A | |
| Selected Per–Share Data | |
| Net asset value, beginning of period | $10.00 |
| Income from Investment Operations | |
| Net investment income (loss)B,C | –D |
| Net realized and unrealized gain (loss) | .74 |
| Total from investment operations | .74 |
| Net asset value, end of period | $10.74 |
| Total ReturnE | 7.40% |
| Ratios to Average Net AssetsC,F,G | |
| Expenses before reductions | .60%H |
| Expenses net of fee waivers, if any | .60%H |
| Expenses net of all reductions | .60%H |
| Net investment income (loss) | .25%H |
| Supplemental Data | |
| Net assets, end of period (000 omitted) | $1,053 |
| Portfolio turnover rateI | 0%J,K |
A For the period July 7, 2022 (commencement of operations) through July 31, 2022.
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 such underlying funds 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 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).
J Amount not annualized.
K Amount represents less than1%.
See accompanying notes which are an integral part of the financial statements.
Fidelity Risk Parity Fund Class Z
| Six months ended (Unaudited) July 31, | |
| 2022 A | |
| Selected Per–Share Data | |
| Net asset value, beginning of period | $10.00 |
| Income from Investment Operations | |
| Net investment income (loss)B,C | –D |
| Net realized and unrealized gain (loss) | .74 |
| Total from investment operations | .74 |
| Net asset value, end of period | $10.74 |
| Total ReturnE | 7.40% |
| Ratios to Average Net AssetsC,F,G | |
| Expenses before reductions | .55%H |
| Expenses net of fee waivers, if any | .55%H |
| Expenses net of all reductions | .55%H |
| Net investment income (loss) | .30%H |
| Supplemental Data | |
| Net assets, end of period (000 omitted) | $1,053 |
| Portfolio turnover rateI | 0%J,K |
A For the period July 7, 2022 (commencement of operations) through July 31, 2022.
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 such underlying funds 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 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).
J Amount not annualized.
K Amount represents less than 1%.
See accompanying notes which are an integral part of the financial statements.
Notes to Consolidated Financial Statements (Unaudited)
For the period ended July 31, 2022
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, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
2. Consolidated Subsidiary.
The Funds included in the table below hold certain commodity-related investments through a wholly owned subsidiary (the "Subsidiary"). As of period end, the investments in the Subsidiaries, were as follows:
| Subsidiary Name | $ Amount | % of Fund's Net Assets | |
| Fidelity Risk Parity Fund | Fidelity Risk Parity Cayman Ltd. | 125,233 | 2.4 |
The financial statements have been consolidated to include the Subsidiary accounts where applicable. Accordingly, all inter-company transactions and balances have been eliminated.
3. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Consolidated Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
| 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 financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Consolidated Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
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 vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors 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 vendors, 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 vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
ETFs are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2022 is included at the end of the Fund's Consolidated Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Consolidated Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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 | $353,673 |
| Gross unrealized depreciation | (37) |
| Net unrealized appreciation (depreciation) | $353,636 |
| Tax cost | $4,894,807 |
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. Investment objectives allow a fund to enter into various types of derivative contracts, 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):
| 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. |
| 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 | ||
| Equity Risk | ||
| Futures Contracts | – | 17,146 |
| Swaps | 3,019 | 149,948 |
| Total Equity Risk | 3,019 | 167,094 |
| Interest Rate Risk | ||
| Futures Contracts | – | 496 |
| Total Interest Rate Risk | – | 496 |
| Totals | $3,019 | $167,590 |
If there are any open positions at period end, a summary of the value of derivatives by primary risk exposure is included at the end of the Consolidated Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market, bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Consolidated Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Consolidated Statement of Operations.
Any open futures contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Consolidated Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any unamortized upfront premiums are presented in the Consolidated Schedule of Investments.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the Consolidated Statement of Operations.
Any open swaps at period end are included in the Consolidated Schedule of Investments under the caption "Swaps", and are representative of volume of activity during the period unless an average notional amount is presented.
Total Return Swaps. Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, a fund will receive a payment from or make a payment to the counterparty. A fund enters into total return swaps to manage its market exposure.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity Risk Parity Fund | 3,794,666 | 1,479 |
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% |
| 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% | $176 | $176 |
| Class M | .25% | .25% | 352 | 352 |
| Class C | .75% | .25% | 705 | 705 |
| $1,233 | $1,233 |
Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares. For the period, there were no sales charge amounts retained by FDC.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
8. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
| Shares | Dollars | |
| Six months ended July 31, 2022(a) | Six months ended July 31, 2022(a) | |
| Fidelity Risk Parity Fund | ||
| Class A | ||
| Shares sold | 98,000 | $980,000 |
| Net increase (decrease) | 98,000 | $980,000 |
| Class M | ||
| Shares sold | 98,000 | $980,000 |
| Net increase (decrease) | 98,000 | $980,000 |
| Class C | ||
| Shares sold | 98,000 | $980,000 |
| Net increase (decrease) | 98,000 | $980,000 |
| Class I | ||
| Shares sold | 98,000 | $980,000 |
| Net increase (decrease) | 98,000 | $980,000 |
| Class Z | ||
| Shares sold | 98,000 | $980,000 |
| Net increase (decrease) | 98,000 | $980,000 |
(a) For the period July 7, 2022 (commencement of operations) through July 31, 2022.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:
| Fund | Affiliated % |
| Fidelity Risk Parity Fund | 100% |
10. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 7, 2022 to July 31, 2022). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (February 1, 2022 to July 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized Expense Ratio-A | Beginning Account Value | Ending Account Value July 31, 2022 | Expenses Paid During Period-B |
|
| Fidelity Risk Parity Fund | ||||
| Class A | .85% | |||
| Actual | $1,000.00 | $1,074.00 | $.60 | |
| Hypothetical-C | $1,000.00 | $1,020.58 | $4.26 | |
| Class M | 1.10% | |||
| Actual | $1,000.00 | $1,074.00 | $.78 | |
| Hypothetical-C | $1,000.00 | $1,019.34 | $5.51 | |
| Class C | 1.60% | |||
| Actual | $1,000.00 | $1,073.00 | $1.14 | |
| Hypothetical-C | $1,000.00 | $1,016.86 | $8.00 | |
| Class I | .60% | |||
| Actual | $1,000.00 | $1,074.00 | $.43 | |
| Hypothetical-C | $1,000.00 | $1,021.82 | $3.01 | |
| Class Z | .55% | |||
| Actual | $1,000.00 | $1,074.00 | $.39 | |
| Hypothetical-C | $1,000.00 | $1,022.07 | $2.76 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 25/365 (to reflect the period July 7, 2022 to July 31, 2022).
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Risk Parity Fund
At its February 2022 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements with affiliates of FDS (together, the Advisory Contracts) for the fund. FDS and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information. Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operationscapabilities and resources, which are integral parts of the investment management process. Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of the supervision of third-party service providers, principally custodians, subcustodians, and pricing vendors.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. Investment Performance. The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. The Board considered the Investment Advisers' strength in managing asset allocation funds and trading derivatives instruments.Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to the fund under the Advisory Contracts should benefit the shareholders of the fund. Competitiveness of Management Fee and Total Expense Ratio. In reviewing the Advisory Contracts, the Board considered the fund's proposed class-level management fee rates, out of which FDS will pay all operating expenses of the fund, with certain limited exceptions. In reviewing the Advisory Contracts, the Board also considered the projected total expense ratio of each class of the fund. The Board noted that the fund's proposed management fee rate was lower than the median fee rate of funds with a similar Lipper investment objective category and comparable investment mandate, regardless of whether their management fee structures are comparable. The Board also considered that the projected total expense ratio of each class of the fund was below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure, with the competitors' total net expenses including acquired fund fees and expenses.Based on its review, the Board concluded that the management fee and the projected total expense ratio of each class of the fund were reasonable in light of the services that the fund and its shareholders will receive and the other factors considered. Costs of the Services and Profitability. The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its future renewal of the fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. Economies of Scale. The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be approved.
RPF-SANN-0922
1.9906093.100
Fidelity® Macro Opportunities Fund
Semi-Annual Report
July 31, 2022
Includes Fidelity and Fidelity Advisor share classes
Contents
|
Board Approval of Investment Advisory Contracts and Management Fees |
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.
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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. © 2022 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.
Note to Shareholders:
Early in 2020, the outbreak and spread of COVID-19 emerged as a public health emergency that had a major influence on financial markets, primarily based on its impact on the global economy and corporate earnings. On March 11, 2020, the World Health Organization declared the COVID-19 outbreak a pandemic, citing sustained risk of further global spread. The pandemic prompted a number of measures to limit the spread of COVID-19, including travel and border restrictions, quarantines, and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, disruption in manufacturing and supply chains, and – given the wide variability in outcomes regarding the outbreak – significant market uncertainty and volatility. To help stem the turmoil, the U.S. government took unprecedented action – in concert with the U.S. Federal Reserve and central banks around the world – to help support consumers, businesses, and the broader economy, and to limit disruption to the financial system.
In general, the overall impact of the pandemic lessened in 2021, amid a resilient economy and widespread distribution of three COVID-19 vaccines granted emergency use authorization from the U.S. Food and Drug Administration (FDA) early in the year. Still, the situation remains dynamic, and the extent and duration of its influence on financial markets and the economy is highly uncertain, due in part to a recent spike in cases based on highly contagious variants of the coronavirus.
Extreme events such as the COVID-19 crisis are exogenous shocks that can have significant adverse effects on mutual funds and their investments. Although multiple asset classes may be affected by market disruption, the duration and impact may not be the same for all types of assets. Fidelity is committed to helping you stay informed amid news about COVID-19 and during increased market volatility, and we continue to take extra steps to be responsive to customer needs. We encourage you to visit us online, where we offer ongoing updates, commentary, and analysis on the markets and our funds.
Investment Summary (Unaudited)
Top Holdings as of July 31, 2022
| (by issuer, excluding cash equivalents) | % of fund's net assets |
| iShares 7-10 Year Treasury Bond ETF | 25.4 |
| Vanguard Consumer Staples ETF | 12.1 |
| U.S. Treasury Bills | 3.5 |
Asset Allocation (% of fund's net assets)
| As of July 31, 2022 | ||
| Domestic Equity Funds | 12.1% | |
| Bond Funds | 25.4% | |
| Short-Term Funds | 58.6% | |
| Short-Term Investments | 3.5% | |
| Net Other Assets (Liabilities) | 0.4% | |
Consolidated Schedule of Investments July 31, 2022 (Unaudited)
Showing Percentage of Net Assets
| Equity Funds - 12.1% | |||
| Shares | Value | ||
| Domestic Equity Funds - 12.1% | |||
| Vanguard Consumer Staples ETF | |||
| (Cost $610,617) | 3,250 | 622,993 | |
| Fixed-Income Funds - 25.4% | |||
| Fixed-Income Funds - 25.4% | |||
| iShares 7-10 Year Treasury Bond ETF | |||
| (Cost $1,274,098) | 12,473 | 1,311,786 | |
| U.S. Treasury Obligations - 3.5% | |||
| U.S. Treasury Bills, yield at date of purchase 1.88% to 2.3% 10/6/22 to 10/13/22 (a)(b) | |||
| (Cost $179,213) | 180,000 | 179,181 | |
| Cash Equivalents - 58.6% | |||
| Fidelity Cash Central Fund 2.01% (c) | |||
| (Cost $3,025,665) | 3,025,060 | 3,025,665 | |
| TOTAL INVESTMENT IN SECURITIES - 99.6% | |||
| (Cost $5,089,593) | 5,139,625 | ||
| NET OTHER ASSETS (LIABILITIES) - 0.4% | 22,934 | ||
| NET ASSETS - 100% | $5,162,559 |
| Futures Contracts | |||||
| Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation/(Depreciation) | |
| Purchased | |||||
| Treasury Contracts | |||||
| CBOT 2-Year U.S. Treasury Note Contracts (United States) | 1 | Sept. 2022 | $210,461 | $756 | $756 |
| CBOT 5-Year U.S. Treasury Note Contracts (United States) | 25 | Sept. 2022 | 2,843,164 | 41,038 | 41,038 |
| TOTAL FUTURES CONTRACTS | $41,794 |
The notional amount of futures purchased as a percentage of Net Assets is 59.1%
Swaps
| Underlying Reference | Maturity Date | Clearinghouse / Counterparty(1) | Fixed Payment Received/(Paid) | Payment Frequency | Notional Amount | Value | Upfront Premium Received/(Paid)(2) | Unrealized Appreciation/(Depreciation) |
| Credit Default Swaps | ||||||||
| Buy Protection | ||||||||
| 5-Year CDX N.A. HY Series 38 | Jun. 2027 | ICE | (5%) | Quarterly | $2,326,500 | $(76,211) | $0 | $(76,211) |
(1) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Security Type Abbreviations
ETF – Exchange-Traded Fund
Legend
(a) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $39,835.
(b) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $136,347.
(c) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
Affiliated Central Funds
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
| Fidelity Cash Central Fund 2.01% | $-- | $5,269,281 | $2,243,616 | $3,795 | $-- | $-- | $3,025,665 | 0.0% |
| Total | $-- | $5,269,333 | $2,243,616 | $3,795 | $-- | $-- | $3,025,665 |
Amounts in the 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.
Consolidated Subsidiary
| Fund | Value, beginning of period | Purchases | Sales Proceeds | Dividend Income | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period |
| Macro Opportunities Cayman Ltd. | $-- | $52 | $-- | $-- | $-- | $-- | $52 |
Investment Valuation
The following is a summary of the inputs used, as of July 31, 2022, 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: | ||||
| Description | Total | Level 1 | Level 2 | Level 3 |
| Investments in Securities: | ||||
| Equity Funds | $622,993 | $622,993 | $-- | $-- |
| Fixed-Income Funds | 1,311,786 | 1,311,786 | -- | -- |
| Other Short-Term Investments | 179,181 | -- | 179,181 | -- |
| Money Market Funds | 3,025,665 | 3,025,665 | -- | -- |
| Total Investments in Securities: | $5,139,625 | $4,960,444 | $179,181 | $-- |
| Derivative Instruments: | ||||
| Assets | ||||
| Futures Contracts | $41,794 | $41,794 | $-- | $-- |
| Total Assets | $41,794 | $41,794 | $-- | $-- |
| Liabilities | ||||
| Swaps | $(76,211) | $-- | $(76,211) | $-- |
| Total Liabilities | $(76,211) | $-- | $(76,211) | $-- |
| Total Derivative Instruments: | $(34,417) | $41,794 | $(76,211) | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2022. 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 | Value | |
| Asset | Liability | |
| Credit Risk | ||
| Swaps(a) | $0 | $(76,211) |
| Total Credit Risk | 0 | (76,211) |
| Interest Rate Risk | ||
| Futures Contracts(b) | 41,794 | 0 |
| Total Interest Rate Risk | 41,794 | 0 |
| Total Value of Derivatives | $41,794 | $(76,211) |
(a) For centrally cleared over-the-counter (OTC) swaps, reflects gross cumulative appreciation (depreciation) as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin on centrally cleared OTC swaps, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in Total accumulated earnings (loss).
(b) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Consolidated Schedule of Investments. In the Consolidated Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
The following table is a summary of the Fund's derivatives inclusive of potential netting arrangements.
| Counterparty | Value of Derivative Assets | Value of Derivative Liabilities | Collateral Received(a) | Collateral Pledged(a) | Net(b) |
| Centrally Cleared OTC Swaps | $-- | $(76,211) | $-- | $76,211 | $-- |
| Exchange Traded Futures | 41,794 | -- | -- | -- | 41,794 |
| Total | $41,794 | $(76,211) |
(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.
See accompanying notes which are an integral part of the financial statements.
Consolidated Financial Statements
Consolidated Statement of Assets and Liabilities
| July 31, 2022 (Unaudited) | ||
| Assets | ||
| Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $2,063,928) | $2,113,960 | |
| Fidelity Central Funds (cost $3,025,665) | 3,025,665 | |
| Total Investment in Securities (cost $5,089,593) | $5,139,625 | |
| Cash | 26,887 | |
| Distributions receivable from Fidelity Central Funds | 3,795 | |
| Receivable for daily variation margin on futures contracts | 94 | |
| Total assets | 5,170,401 | |
| Liabilities | ||
| Accrued management fee | $2,792 | |
| Distribution and service plan fees payable | 1,210 | |
| Payable for daily variation margin on centrally cleared OTC swaps | 3,840 | |
| Total liabilities | 7,842 | |
| Net Assets | $5,162,559 | |
| Net Assets consist of: | ||
| Paid in capital | $5,150,250 | |
| Total accumulated earnings (loss) | 12,309 | |
| Net Assets | $5,162,559 | |
| Net Asset Value and Maximum Offering Price | ||
| Class A: | ||
| Net Asset Value and redemption price per share ($981,638 ÷ 98,000 shares)(a) | $10.02 | |
| Maximum offering price per share (100/94.25 of $10.02) | $10.63 | |
| Class M: | ||
| Net Asset Value and redemption price per share ($981,465 ÷ 98,000 shares)(a) | $10.01 | |
| Maximum offering price per share (100/96.50 of $10.01) | $10.37 | |
| Class C: | ||
| Net Asset Value and offering price per share ($981,117 ÷ 98,000 shares)(a) | $10.01 | |
| Class I: | ||
| Net Asset Value, offering price and redemption price per share ($1,236,492 ÷ 123,432 shares) | $10.02 | |
| Class Z: | ||
| Net Asset Value, offering price and redemption price per share ($981,847 ÷ 98,000 shares) | $10.02 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Consolidated Statement of Operations
| For the period July 7, 2022 (commencement of operations) through July 31, 2022 (Unaudited) |
||
| Investment Income | ||
| Interest | $175 | |
| Income from Fidelity Central Funds | 3,795 | |
| Total income | 3,970 | |
| Expenses | ||
| Management fee | $2,791 | |
| Distribution and service plan fees | 1,211 | |
| Total expenses | 4,002 | |
| Net investment income (loss) | (32) | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | (3,274) | |
| Total net realized gain (loss) | (3,274) | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | 50,032 | |
| Futures contracts | 41,794 | |
| Swaps | (76,211) | |
| Total change in net unrealized appreciation (depreciation) | 15,615 | |
| Net gain (loss) | 12,341 | |
| Net increase (decrease) in net assets resulting from operations | $12,309 |
See accompanying notes which are an integral part of the financial statements.
Consolidated Statement of Changes in Net Assets
| For the period July 7, 2022 (commencement of operations) through July 31, 2022 (Unaudited) |
|
| Increase (Decrease) in Net Assets | |
| Operations | |
| Net investment income (loss) | $(32) |
| Net realized gain (loss) | (3,274) |
| Change in net unrealized appreciation (depreciation) | 15,615 |
| Net increase (decrease) in net assets resulting from operations | 12,309 |
| Share transactions - net increase (decrease) | 5,150,250 |
| Total increase (decrease) in net assets | 5,162,559 |
| Net Assets | |
| Beginning of period | – |
| End of period | $5,162,559 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Macro Opportunities Fund Class A
| Six months ended (Unaudited) July 31, | |
| 2022 A | |
| Selected Per–Share Data | |
| Net asset value, beginning of period | $10.00 |
| Income from Investment Operations | |
| Net investment income (loss)B,C | –D |
| Net realized and unrealized gain (loss) | .02 |
| Total from investment operations | .02 |
| Net asset value, end of period | $10.02 |
| Total ReturnE,F | .20% |
| Ratios to Average Net AssetsC,G,H | |
| Expenses before reductions | 1.05%I |
| Expenses net of fee waivers, if any | 1.05%I |
| Expenses net of all reductions | 1.05%I |
| Net investment income (loss) | .07%I |
| Supplemental Data | |
| Net assets, end of period (000 omitted) | $982 |
| Portfolio turnover rateJ | 3%K |
A For the period July 7, 2022 (commencement of operations) through July 31, 2022.
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 such underlying funds 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 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).
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Fidelity Macro Opportunities Fund Class M
| Six months ended (Unaudited) July 31, | |
| 2022 A | |
| Selected Per–Share Data | |
| Net asset value, beginning of period | $10.00 |
| Income from Investment Operations | |
| Net investment income (loss)B,C | –D |
| Net realized and unrealized gain (loss) | .01 |
| Total from investment operations | .01 |
| Net asset value, end of period | $10.01 |
| Total ReturnE,F | .10% |
| Ratios to Average Net AssetsC,G,H | |
| Expenses before reductions | 1.30%I |
| Expenses net of fee waivers, if any | 1.30%I |
| Expenses net of all reductions | 1.30%I |
| Net investment income (loss) | (.18)%I |
| Supplemental Data | |
| Net assets, end of period (000 omitted) | $981 |
| Portfolio turnover rateJ | 3%K |
A For the period July 7, 2022 (commencement of operations) through July 31, 2022.
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 such underlying funds 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 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).
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Fidelity Macro Opportunities Fund Class C
| Six months ended (Unaudited) July 31, | |
| 2022 A | |
| Selected Per–Share Data | |
| Net asset value, beginning of period | $10.00 |
| Income from Investment Operations | |
| Net investment income (loss)B,C | –D |
| Net realized and unrealized gain (loss) | .01 |
| Total from investment operations | .01 |
| Net asset value, end of period | $10.01 |
| Total ReturnE,F | .10% |
| Ratios to Average Net AssetsC,G,H | |
| Expenses before reductions | 1.80%I |
| Expenses net of fee waivers, if any | 1.80%I |
| Expenses net of all reductions | 1.80%I |
| Net investment income (loss) | (.68)%I |
| Supplemental Data | |
| Net assets, end of period (000 omitted) | $981 |
| Portfolio turnover rateJ | 3%K |
A For the period July 7, 2022 (commencement of operations) through July 31, 2022.
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 such underlying funds 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 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 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).
K Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Fidelity Macro Opportunities Fund Class I
| Six months ended (Unaudited) July 31, | |
| 2022 A | |
| Selected Per–Share Data | |
| Net asset value, beginning of period | $10.00 |
| Income from Investment Operations | |
| Net investment income (loss)B,C | –D |
| Net realized and unrealized gain (loss) | .02 |
| Total from investment operations | .02 |
| Net asset value, end of period | $10.02 |
| Total ReturnE | .20% |
| Ratios to Average Net AssetsC,F,G | |
| Expenses before reductions | .80%H |
| Expenses net of fee waivers, if any | .80%H |
| Expenses net of all reductions | .80%H |
| Net investment income (loss) | .32%H |
| Supplemental Data | |
| Net assets, end of period (000 omitted) | $1,236 |
| Portfolio turnover rateI | 3%J |
A For the period July 7, 2022 (commencement of operations) through July 31, 2022.
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 such underlying funds 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 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).
J Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Fidelity Macro Opportunities Fund Class Z
| Six months ended (Unaudited) July 31, | |
| 2022 A | |
| Selected Per–Share Data | |
| Net asset value, beginning of period | $10.00 |
| Income from Investment Operations | |
| Net investment income (loss)B,C | –D |
| Net realized and unrealized gain (loss) | .02 |
| Total from investment operations | .02 |
| Net asset value, end of period | $10.02 |
| Total ReturnE | .20% |
| Ratios to Average Net AssetsC,F,G | |
| Expenses before reductions | .75%H |
| Expenses net of fee waivers, if any | .75%H |
| Expenses net of all reductions | .75%H |
| Net investment income (loss) | .37%H |
| Supplemental Data | |
| Net assets, end of period (000 omitted) | $982 |
| Portfolio turnover rateI | 3%J |
A For the period July 7, 2022 (commencement of operations) through July 31, 2022.
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 such underlying funds 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 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).
J Amount not annualized.
See accompanying notes which are an integral part of the financial statements.
Notes to Consolidated Financial Statements (Unaudited)
For the period ended July 31, 2022
1. Organization.
Fidelity Macro Opportunities Fund (the Fund) is a non-diversified fund of Fidelity Greenwood Street Trust (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Delaware statutory trust. The Fund offers Class A, Class M, Class C, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class C shares will automatically convert to Class A shares after a holding period of eight years from the initial date of purchase, with certain exceptions.
2. Consolidated Subsidiary.
The Funds included in the table below hold certain commodity-related investments through a wholly owned subsidiary (the "Subsidiary"). As of period end, the investments in the Subsidiaries, were as follows:
| Subsidiary Name | $ Amount | % of Fund's Net Assets | |
| Fidelity Macro Opportunities Fund | Fidelity Macro Opportunities Cayman Ltd. | 52 | -(a) |
(a) Amount is less than 0.05%.
The financial statements have been consolidated to include the Subsidiary accounts where applicable. Accordingly, all inter-company transactions and balances have been eliminated.
3. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Consolidated Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
| Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
| 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 financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The Fund's Consolidated Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors 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 procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
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 vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, 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 vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. ETFs are valued at their last sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2022 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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of a fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of a fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred, as applicable. Certain expense reductions may also differ by class, if applicable. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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 | $91,856 |
| Gross unrealized depreciation | (76,242) |
| Net unrealized appreciation (depreciation) | $15,614 |
| Tax cost | $5,089,594 |
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. Investment objectives allow a fund to enter into various types of derivative contracts, 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):
| 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. |
| 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. |
| 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. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse. A summary of derivatives inclusive of potential netting arrangements is presented at the end of the 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 Macro Opportunities Fund | ||
| Credit Risk | ||
| Swaps | – | (76,211) |
| Total Credit Risk | – | (76,211) |
| Equity Risk | ||
| Purchased Options | (3,782) | – |
| Total Equity Risk | (3,782) | – |
| Interest Rate Risk | ||
| Futures Contracts | – | 41,794 |
| Total Interest Rate Risk | – | 41,794 |
| Totals | $(3,782) | $(34,417) |
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 bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Consolidated Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Consolidated Statement of Operations.
Any open futures contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Consolidated Statement of Assets and Liabilities.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. Exchange-traded options were used to manage exposure to the market.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Consolidated Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Consolidated Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed, a gain or loss is realized depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included in the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are presented in the Consolidated Statement of Operations.
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.
Any open options at period end are presented in the Consolidated Schedule of Investments under the captions "Purchased Options" and "Written Options", as applicable, and are representative of volume of activity during the period unless an average contracts amount is presented.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Any securities deposited to meet initial margin requirements are identified in the 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 OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin on centrally cleared OTC swaps in the Consolidated Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Consolidated Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is presented in the 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.
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.
| Purchases ($) | Sales ($) | |
| Fidelity Macro Opportunities Fund | 1,933,020 | 48,761 |
7. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Diversifying Solutions LLC (the investment adviser) and its affiliates provide the Fund with investment management related services for which each class of the Fund pays a monthly management fee. Under the management contract, the investment adviser pays all other operating expenses, except the compensation of the independent Trustees, distribution and service plan fees, and certain miscellaneous expenses such as proxy and shareholder meeting expenses. During the period, the management fee for each class of the Fund was as follows:
| Annual % of Class-Level Average Net Assets | |
| Class A | .80% |
| Class M | .80% |
| Class C | .80% |
| Class I | .80% |
| Class Z | .75% |
The investment adviser also provides investment management services to the Subsidiary. The Subsidiary does not pay the investment adviser a fee for these services. The Subsidiary pays certain other expenses, such as custody fees.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Company LLC (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
| Class A | -% | .25% | $173 | $173 |
| Class M | .25% | .25% | 346 | 346 |
| Class C | .75% | .25% | 692 | 692 |
| $1,211 | $1,211 |
Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class M shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares. For the period, there were no sales charge amounts retained by FDC.
Interfund Trades. Funds may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
8. Share Transactions.
Share transactions for each class were as follows and may contain in-kind transactions, automatic conversions between classes or exchanges between affiliated funds:
| Shares | Dollars | |
| Six months ended July 31, 2022(a) | Six months ended July 31, 2022(a) | |
| Fidelity Macro Opportunities Fund | ||
| Class A | ||
| Shares sold | 98,000 | $980,000 |
| Net increase (decrease) | 98,000 | $980,000 |
| Class M | ||
| Shares sold | 98,000 | $980,000 |
| Net increase (decrease) | 98,000 | $980,000 |
| Class C | ||
| Shares sold | 98,000 | $980,000 |
| Net increase (decrease) | 98,000 | $980,000 |
| Class I | ||
| Shares sold | 123,432 | $1,230,250 |
| Net increase (decrease) | 123,432 | $1,230,250 |
| Class Z | ||
| Shares sold | 98,000 | $980,000 |
| Net increase (decrease) | 98,000 | $980,000 |
(a) For the period July 7, 2022 (commencement of operations) through July 31, 2022.
9. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
At the end of the period, the investment adviser or its affiliates were owners of record of more than 10% of the outstanding shares as follows:
| Fund | Affiliated % |
| Fidelity Macro Opportunities Fund | 95% |
10. Coronavirus (COVID-19) Pandemic.
An outbreak of COVID-19 first detected in China during December 2019 has since spread globally and was declared a pandemic by the World Health Organization during March 2020. Developments that disrupt global economies and financial markets, such as the COVID-19 pandemic, may magnify factors that affect the Fund's performance.
Shareholder Expense Example
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The actual expense Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 7, 2022 to July 31, 2022). The hypothetical expense Example is based on an investment of $1,000 invested for the one-half year period (February 1, 2022 to July 31, 2022).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Annualized Expense Ratio-A | Beginning Account Value | Ending Account Value July 31, 2022 | Expenses Paid During Period-B |
|
| Fidelity Macro Opportunities Fund | ||||
| Class A | 1.05% | |||
| Actual | $1,000.00 | $1,002.00 | $.72 | |
| Hypothetical-C | $1,000.00 | $1,019.59 | $5.26 | |
| Class M | 1.30% | |||
| Actual | $1,000.00 | $1,001.00 | $.89 | |
| Hypothetical-C | $1,000.00 | $1,018.35 | $6.51 | |
| Class C | 1.80% | |||
| Actual | $1,000.00 | $1,001.00 | $1.23 | |
| Hypothetical-C | $1,000.00 | $1,015.87 | $9.00 | |
| Class I | .80% | |||
| Actual | $1,000.00 | $1,002.00 | $.55 | |
| Hypothetical-C | $1,000.00 | $1,020.83 | $4.01 | |
| Class Z | .75% | |||
| Actual | $1,000.00 | $1,002.00 | $.51 | |
| Hypothetical-C | $1,000.00 | $1,021.08 | $3.76 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Actual expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 25/365 (to reflect the period July 7, 2022 to July 31, 2022).
C 5% return per year before expenses
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Macro Opportunities Fund
At its February 2022 meeting, the Board of Trustees, including the Independent Trustees (together, the Board), voted to approve the management contract with Fidelity Diversifying Solutions LLC (FDS) and the sub-advisory agreements with affiliates of FDS (together, the Advisory Contracts) for the fund. FDS and the sub-advisers are collectively referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, considered a broad range of information. Nature, Extent, and Quality of Services Provided. The Board considered Fidelity's staffing as it relates to the fund, including the backgrounds of investment personnel of Fidelity, and also considered the fund's investment objective, strategies, and related investment philosophy. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of the fund. Resources Dedicated to Investment Management and Support Services. The Board reviewed the general qualifications and capabilities of Fidelity's investment staff, including its size, education, experience, and resources, as well as Fidelity's approach to training, managing, and compensating investment personnel. The Board noted the resources devoted to Fidelity's global investment organization and that Fidelity's analysts have extensive resources, tools and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties and guarantors. Further, the Board considered that Fidelity's investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity's trading, risk management, compliance, cybersecurity, and technology and operationscapabilities and resources, which are integral parts of the investment management process. Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of advisory, administrative, and shareholder services to be performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of the supervision of third-party service providers, principally custodians, subcustodians, and pricing vendors.The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials and asset allocation tools. Investment Performance. The fund is a new fund and therefore had no historical performance for the Board to review at the time it approved the fund's Advisory Contracts. The Board considered the Investment Advisers' strength in managing asset allocation funds and trading derivatives instruments.Based on its review, the Board concluded that the nature, extent, and quality of services to be provided to the fund under the Advisory Contracts should benefit the shareholders of the fund. Competitiveness of Management Fee and Total Expense Ratio. In reviewing the Advisory Contracts, the Board considered the fund's proposed class-level management fee rates, out of which FDS will pay all operating expenses of the fund, with certain limited exceptions. In reviewing the Advisory Contracts, the Board also considered the projected total expense ratio of each class of the fund. The Board noted that the fund's proposed management fee rate was lower than the median fee rate of funds with a similar Lipper investment objective category and comparable investment mandate, regardless of whether their management fee structures are comparable. The Board also considered that the projected total expense ratio of the retail class, Class A, Class C, Class I, and Class Z of the fund, was below the median of those funds and classes used by the Board for management fee comparisons that have a similar sales load structure, with the competitors' total net expenses including acquired fund fees and expenses. The Board considered that the projected total expense ratio of Class M of the fund was above its median primarily because of higher 12b-1 fees on Class M. The Board considered that Class M is primarily sold load-waived to retirement plans and intermediary wrap programs where its 12b-1 fee is comparable to competing no-load, higher 12b-1 classes designed specifically for retirement plans and wrap programs.Based on its review, the Board concluded that the management fee and the projected total expense ratio of each class of the fund were reasonable in light of the services that the fund and its shareholders will receive and the other factors considered. Costs of the Services and Profitability. The fund is a new fund and therefore no revenue, cost, or profitability data was available for the Board to review in respect of the fund at the time it approved the Advisory Contracts. In connection with its future renewal of the fund's Advisory Contracts, the Board will consider the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and servicing the fund's shareholders. Economies of Scale. The Board will consider economies of scale when there is operating experience to permit assessment thereof. It noted that, notwithstanding the entrepreneurial risk associated with a new fund, the management fee was at a level normally associated, by comparison with competitors, with very high fund net assets, and Fidelity asserted to the Board that the level of the fee anticipated economies of scale at lower asset levels even before, if ever, economies of scale are achieved. The Board also noted that the fund and its shareholders would have access to the very considerable number and variety of services available through Fidelity and its affiliates.Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable, and that the fund's Advisory Contracts should be approved.
GMO-SANN-0922
1.9904682.100
Item 2.
Code of Ethics
Not applicable.
Item 3.
Audit Committee Financial Expert
Not applicable.
Item 4.
Principal Accountant Fees and Services
Not applicable.
Item 5.
Audit Committee of Listed Registrants
Not applicable.
Item 6.
Investments
(a)
Not applicable.
(b)
Not applicable
Item 7.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9.
Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10.
Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Greenwood Street Trust’s Board of Trustees.
Item 11.
Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Greenwood Street Trust’s (the “Trust”) disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable
assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
Exhibits
| (a) | (1) | Not applicable. |
| (a) | (2) | |
| (a) | (3) | Not applicable. |
| (b) | |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Greenwood Street Trust
| By: | /s/Stephanie Brown |
| | Stephanie Brown |
| | President and Treasurer |
| | |
| Date: | September 21, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/Stephanie Brown |
| | Stephanie Brown |
| | President and Treasurer |
| | |
| Date: | September 21, 2022 |
| By: | /s/John J. Burke III |
| | John J. Burke III |
| | Chief Financial Officer |
| | |
| Date: | September 21, 2022 |