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)
Nicole Macarchuk, 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 |
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Date of reporting period: | July 31, 2026 |
Item 1.
Reports to Stockholders
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
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|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Fidelity® SAI Convertible Arbitrage Fund
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Swaps
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
Swaps - 76.2
|
|
Corporate Bonds - 7.2
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|
Common Stocks - 5.6
|
|
U.S. Treasury Obligations - 5.6
|
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Futures Contracts - 4.3
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Domestic Equity Funds - 0.3
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 0.8
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
US Treasury Bill
|
||
Mastercard Inc Class A
|
||
Philip Morris International Inc
|
||
Western Digital Corp
|
||
Knight-Swift Transportation Holdings Inc
|
||
Citigroup Inc
|
||
LCI Industries
|
||
Microsoft Corp
|
||
NVIDIA Corp
|
||
Pitney Bowes Inc
|
||
65.7
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
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||
 |
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914486.102 7521-TSRS-0926
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SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
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|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Fidelity® Risk Parity Fund
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Swaps
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
Swaps - 34.5
|
|
Fixed-Income Funds - 27.3
|
|
Domestic Equity Funds - 21.0
|
|
Futures Contracts - 8.5
|
|
International Equity Funds - 3.8
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 4.9
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Fidelity Inflation-Protected Bond Index Fund
|
||
Fidelity Commodity Strategy Fund
|
||
iShares US Treasury Bond ETF
|
||
Fidelity Small Cap Value Index Fund
|
||
iShares J.P. Morgan EM Local Currency Bond ETF
|
||
Fidelity Small Cap Index Fund
|
||
US Treasury Bill
|
||
Fidelity International Index Fund
|
||
Fidelity Real Estate Index Fund
|
||
Fidelity Long-Term Treasury Bond Index Fund
|
||
88.7
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
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||
 |
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914452.102 6513-TSRS-0926
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SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class Z
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Swaps
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Swaps - 34.5
|
|
Fixed-Income Funds - 27.3
|
|
Domestic Equity Funds - 21.0
|
|
Futures Contracts - 8.5
|
|
International Equity Funds - 3.8
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 4.9
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Fidelity Inflation-Protected Bond Index Fund
|
||
Fidelity Commodity Strategy Fund
|
||
iShares US Treasury Bond ETF
|
||
Fidelity Small Cap Value Index Fund
|
||
iShares J.P. Morgan EM Local Currency Bond ETF
|
||
Fidelity Small Cap Index Fund
|
||
US Treasury Bill
|
||
Fidelity International Index Fund
|
||
Fidelity Real Estate Index Fund
|
||
Fidelity Long-Term Treasury Bond Index Fund
|
||
88.7
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914457.102 6518-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class M
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Swaps
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Swaps - 34.5
|
|
Fixed-Income Funds - 27.3
|
|
Domestic Equity Funds - 21.0
|
|
Futures Contracts - 8.5
|
|
International Equity Funds - 3.8
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 4.9
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Fidelity Inflation-Protected Bond Index Fund
|
||
Fidelity Commodity Strategy Fund
|
||
iShares US Treasury Bond ETF
|
||
Fidelity Small Cap Value Index Fund
|
||
iShares J.P. Morgan EM Local Currency Bond ETF
|
||
Fidelity Small Cap Index Fund
|
||
US Treasury Bill
|
||
Fidelity International Index Fund
|
||
Fidelity Real Estate Index Fund
|
||
Fidelity Long-Term Treasury Bond Index Fund
|
||
88.7
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914455.102 6516-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class I
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Swaps
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Swaps - 34.5
|
|
Fixed-Income Funds - 27.3
|
|
Domestic Equity Funds - 21.0
|
|
Futures Contracts - 8.5
|
|
International Equity Funds - 3.8
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 4.9
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Fidelity Inflation-Protected Bond Index Fund
|
||
Fidelity Commodity Strategy Fund
|
||
iShares US Treasury Bond ETF
|
||
Fidelity Small Cap Value Index Fund
|
||
iShares J.P. Morgan EM Local Currency Bond ETF
|
||
Fidelity Small Cap Index Fund
|
||
US Treasury Bill
|
||
Fidelity International Index Fund
|
||
Fidelity Real Estate Index Fund
|
||
Fidelity Long-Term Treasury Bond Index Fund
|
||
88.7
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914456.102 6517-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class C
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Swaps
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Swaps - 34.5
|
|
Fixed-Income Funds - 27.3
|
|
Domestic Equity Funds - 21.0
|
|
Futures Contracts - 8.5
|
|
International Equity Funds - 3.8
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 4.9
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Fidelity Inflation-Protected Bond Index Fund
|
||
Fidelity Commodity Strategy Fund
|
||
iShares US Treasury Bond ETF
|
||
Fidelity Small Cap Value Index Fund
|
||
iShares J.P. Morgan EM Local Currency Bond ETF
|
||
Fidelity Small Cap Index Fund
|
||
US Treasury Bill
|
||
Fidelity International Index Fund
|
||
Fidelity Real Estate Index Fund
|
||
Fidelity Long-Term Treasury Bond Index Fund
|
||
88.7
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914454.102 6515-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class A
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Swaps
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Swaps - 34.5
|
|
Fixed-Income Funds - 27.3
|
|
Domestic Equity Funds - 21.0
|
|
Futures Contracts - 8.5
|
|
International Equity Funds - 3.8
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 4.9
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Fidelity Inflation-Protected Bond Index Fund
|
||
Fidelity Commodity Strategy Fund
|
||
iShares US Treasury Bond ETF
|
||
Fidelity Small Cap Value Index Fund
|
||
iShares J.P. Morgan EM Local Currency Bond ETF
|
||
Fidelity Small Cap Index Fund
|
||
US Treasury Bill
|
||
Fidelity International Index Fund
|
||
Fidelity Real Estate Index Fund
|
||
Fidelity Long-Term Treasury Bond Index Fund
|
||
88.7
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914453.102 6514-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Fidelity® Hedged Equity Fund
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Options
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
Common Stocks - 96.7
|
|
Domestic Equity Funds - 1.9
|
|
Options - 1.0
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 0.4
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
NVIDIA Corp
|
||
Apple Inc
|
||
Alphabet Inc Class A
|
||
Microsoft Corp
|
||
Amazon.com Inc
|
||
Broadcom Inc
|
||
Meta Platforms Inc Class A
|
||
iShares Core S&P 500 ETF
|
||
Berkshire Hathaway Inc Class B
|
||
JPMorgan Chase & Co
|
||
40.5
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
 |
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914472.102 6875-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class Z
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Options
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Common Stocks - 96.7
|
|
Domestic Equity Funds - 1.9
|
|
Options - 1.0
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 0.4
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
NVIDIA Corp
|
||
Apple Inc
|
||
Alphabet Inc Class A
|
||
Microsoft Corp
|
||
Amazon.com Inc
|
||
Broadcom Inc
|
||
Meta Platforms Inc Class A
|
||
iShares Core S&P 500 ETF
|
||
Berkshire Hathaway Inc Class B
|
||
JPMorgan Chase & Co
|
||
40.5
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914477.102 6880-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class M
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Options
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Common Stocks - 96.7
|
|
Domestic Equity Funds - 1.9
|
|
Options - 1.0
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 0.4
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
NVIDIA Corp
|
||
Apple Inc
|
||
Alphabet Inc Class A
|
||
Microsoft Corp
|
||
Amazon.com Inc
|
||
Broadcom Inc
|
||
Meta Platforms Inc Class A
|
||
iShares Core S&P 500 ETF
|
||
Berkshire Hathaway Inc Class B
|
||
JPMorgan Chase & Co
|
||
40.5
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914475.102 6878-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class I
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Options
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Common Stocks - 96.7
|
|
Domestic Equity Funds - 1.9
|
|
Options - 1.0
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 0.4
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
NVIDIA Corp
|
||
Apple Inc
|
||
Alphabet Inc Class A
|
||
Microsoft Corp
|
||
Amazon.com Inc
|
||
Broadcom Inc
|
||
Meta Platforms Inc Class A
|
||
iShares Core S&P 500 ETF
|
||
Berkshire Hathaway Inc Class B
|
||
JPMorgan Chase & Co
|
||
40.5
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914476.102 6879-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class C
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Options
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Common Stocks - 96.7
|
|
Domestic Equity Funds - 1.9
|
|
Options - 1.0
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 0.4
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
NVIDIA Corp
|
||
Apple Inc
|
||
Alphabet Inc Class A
|
||
Microsoft Corp
|
||
Amazon.com Inc
|
||
Broadcom Inc
|
||
Meta Platforms Inc Class A
|
||
iShares Core S&P 500 ETF
|
||
Berkshire Hathaway Inc Class B
|
||
JPMorgan Chase & Co
|
||
40.5
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914474.102 6877-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class A
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Options
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Common Stocks - 96.7
|
|
Domestic Equity Funds - 1.9
|
|
Options - 1.0
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 0.4
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
NVIDIA Corp
|
||
Apple Inc
|
||
Alphabet Inc Class A
|
||
Microsoft Corp
|
||
Amazon.com Inc
|
||
Broadcom Inc
|
||
Meta Platforms Inc Class A
|
||
iShares Core S&P 500 ETF
|
||
Berkshire Hathaway Inc Class B
|
||
JPMorgan Chase & Co
|
||
40.5
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9914473.102 6876-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Fidelity® Equity Market Neutral Fund
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Swaps
|
||
Forward Foreign Currency Contracts
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
Swaps - 45.2
|
|
Common Stocks - 34.6
|
|
Forward Foreign Currency Contracts - 18.9
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 1.3
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class
|
||
BNP Paribas SA
|
||
Wells Fargo & Co
|
||
Taiwan Semiconductor Manufacturing Co Ltd
|
||
Motorola Solutions Inc
|
||
Microsoft Corp
|
||
Naturgy Energy Group SA
|
||
Bristol-Myers Squibb Co
|
||
Dollar Tree Inc
|
||
Novartis AG
|
||
25.0
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
 |
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9916840.102 7601-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class A
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Swaps
|
||
Forward Foreign Currency Contracts
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Swaps - 45.2
|
|
Common Stocks - 34.6
|
|
Forward Foreign Currency Contracts - 18.9
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 1.3
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class
|
||
BNP Paribas SA
|
||
Wells Fargo & Co
|
||
Taiwan Semiconductor Manufacturing Co Ltd
|
||
Motorola Solutions Inc
|
||
Microsoft Corp
|
||
Naturgy Energy Group SA
|
||
Bristol-Myers Squibb Co
|
||
Dollar Tree Inc
|
||
Novartis AG
|
||
25.0
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9916842.102 7619-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class M
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Swaps
|
||
Forward Foreign Currency Contracts
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Swaps - 45.2
|
|
Common Stocks - 34.6
|
|
Forward Foreign Currency Contracts - 18.9
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 1.3
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class
|
||
BNP Paribas SA
|
||
Wells Fargo & Co
|
||
Taiwan Semiconductor Manufacturing Co Ltd
|
||
Motorola Solutions Inc
|
||
Microsoft Corp
|
||
Naturgy Energy Group SA
|
||
Bristol-Myers Squibb Co
|
||
Dollar Tree Inc
|
||
Novartis AG
|
||
25.0
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9916844.102 7620-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class C
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Swaps
|
||
Forward Foreign Currency Contracts
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Swaps - 45.2
|
|
Common Stocks - 34.6
|
|
Forward Foreign Currency Contracts - 18.9
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 1.3
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class
|
||
BNP Paribas SA
|
||
Wells Fargo & Co
|
||
Taiwan Semiconductor Manufacturing Co Ltd
|
||
Motorola Solutions Inc
|
||
Microsoft Corp
|
||
Naturgy Energy Group SA
|
||
Bristol-Myers Squibb Co
|
||
Dollar Tree Inc
|
||
Novartis AG
|
||
25.0
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9916846.102 7621-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class I
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Swaps
|
||
Forward Foreign Currency Contracts
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Swaps - 45.2
|
|
Common Stocks - 34.6
|
|
Forward Foreign Currency Contracts - 18.9
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 1.3
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class
|
||
BNP Paribas SA
|
||
Wells Fargo & Co
|
||
Taiwan Semiconductor Manufacturing Co Ltd
|
||
Motorola Solutions Inc
|
||
Microsoft Corp
|
||
Naturgy Energy Group SA
|
||
Bristol-Myers Squibb Co
|
||
Dollar Tree Inc
|
||
Novartis AG
|
||
25.0
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9916848.102 7622-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Class Z
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Swaps
|
||
Forward Foreign Currency Contracts
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
|
Swaps - 45.2
|
|
Common Stocks - 34.6
|
|
Forward Foreign Currency Contracts - 18.9
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 1.3
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class
|
||
BNP Paribas SA
|
||
Wells Fargo & Co
|
||
Taiwan Semiconductor Manufacturing Co Ltd
|
||
Motorola Solutions Inc
|
||
Microsoft Corp
|
||
Naturgy Energy Group SA
|
||
Bristol-Myers Squibb Co
|
||
Dollar Tree Inc
|
||
Novartis AG
|
||
25.0
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
|
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9916850.102 7623-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
Principal U.S. Listing Exchange : Cboe BZX Exchange, Inc.
|
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Fidelity® Yield Enhanced Equity ETF
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Options
|
(
|
|
ASSET ALLOCATION (% of Fund's total exposure)
|
|
Common Stocks - 95.6
|
|
Futures Contracts - 2.1
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 2.6
|
|
Options - (0.3)%
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
NVIDIA Corp
|
||
Apple Inc
|
||
Microsoft Corp
|
||
Amazon.com Inc
|
||
Alphabet Inc Class A
|
||
Broadcom Inc
|
||
Meta Platforms Inc Class A
|
||
Alphabet Inc Class C
|
||
Berkshire Hathaway Inc Class B
|
||
JPMorgan Chase & Co
|
||
39.2
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
 |
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9916943.102 7590-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
Principal U.S. Listing Exchange : Cboe BZX Exchange, Inc.
|
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Fidelity® Dynamic Buffered Equity ETF
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Options
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
Common Stocks - 97.0
|
|
Futures Contracts - 1.2
|
|
Options - 0.1
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 1.7
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
NVIDIA Corp
|
||
Apple Inc
|
||
Microsoft Corp
|
||
Amazon.com Inc
|
||
Alphabet Inc Class A
|
||
Broadcom Inc
|
||
Alphabet Inc Class C
|
||
Meta Platforms Inc Class A
|
||
Berkshire Hathaway Inc Class B
|
||
JPMorgan Chase & Co
|
||
39.2
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
 |
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9916941.102 7589-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
Principal U.S. Listing Exchange : Cboe BZX Exchange, Inc.
|
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Fidelity® Hedged Equity ETF
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Options
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
Common Stocks - 97.0
|
|
Options - 1.0
|
|
Futures Contracts - 0.6
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 1.4
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
NVIDIA Corp
|
||
Apple Inc
|
||
Microsoft Corp
|
||
Amazon.com Inc
|
||
Alphabet Inc Class A
|
||
Broadcom Inc
|
||
Alphabet Inc Class C
|
||
Meta Platforms Inc Class A
|
||
Berkshire Hathaway Inc Class B
|
||
JPMorgan Chase & Co
|
||
39.2
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
 |
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9916939.102 7588-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
Principal U.S. Listing Exchange : NASDAQ/NMS Global Market
|
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Fidelity® Managed Futures ETF
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Swaps
|
||
Forward Foreign Currency Contracts
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
Futures Contracts - 56.7
|
|
Forward Foreign Currency Contracts - 23.4
|
|
Swaps - 13.2
|
|
Domestic Equity Funds - 0.3
|
|
Common Stocks - 0.2
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 6.2
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
US Treasury Bill
|
||
iShares Core S&P 500 ETF
|
||
NVIDIA Corp
|
||
Microsoft Corp
|
||
56.3
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
 |
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9919367.101 9044-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Fidelity® SAI Merger Arbitrage Fund
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Swaps
|
||
Options
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
Common Stocks - 54.7
|
|
Swaps - 37.6
|
|
Options - 0.0
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 7.7
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
Mastercard Inc Class A
|
||
US Treasury Bill
|
||
Warner Bros Discovery Inc
|
||
Kenvue Inc
|
||
Electronic Arts Inc
|
||
NVIDIA Corp
|
||
DigitalBridge Group Inc Class A
|
||
Apogee Therapeutics Inc
|
||
Crinetics Pharmaceuticals Inc
|
||
Bio-Techne Corp
|
||
80.8
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
 |
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9918583.101 9007-TSRS-0926
|
SEMI-ANNUAL SHAREHOLDER REPORT | AS OF
|
||
|
|
||
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
||
Fidelity® SAI Managed Futures Fund
|
$
|
KEY FACTS
|
||
Fund Size
|
$
|
|
Number of Holdings
|
||
Portfolio Turnover
|
DERIVATIVE EXPOSURE
(% of Fund's net assets)
|
||
Futures Contracts
|
||
Swaps
|
||
Forward Foreign Currency Contracts
|
||
ASSET ALLOCATION (% of Fund's total exposure)
|
|
Futures Contracts - 60.4
|
|
Forward Foreign Currency Contracts - 21.6
|
|
Swaps - 10.9
|
|
Domestic Equity Funds - 0.4
|
|
Common Stocks - 0.1
|
|
Short-Term Investments and Net Other Assets (Liabilities) - 6.6
|
|
TOP HOLDINGS (% of Fund's net assets) |
||
US Treasury Bill
|
||
iShares Core S&P 500 ETF
|
||
Vanguard S&P 500 ETF
|
||
Microsoft Corp
|
||
NVIDIA Corp
|
||
58.3
|
Fidelity, the Fidelity Investments Logo and all other Fidelity trademarks or service marks used herein are trademarks or service marks of FMR LLC. Any third-party marks that are used herein are trademarks or service marks of their respective owners. © 2026 FMR LLC. All rights reserved.
|
||
 |
 |
For additional information about the Fund; including its prospectus, financial information, holdings and proxy information, scan the QR code or visit fundresearch.fidelity.com/prospectus/sec
1.9918618.101 9036-TSRS-0926
|
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.
Financial Statements and Financial Highlights for Open-End Management Investment Companies
Contents
Domestic Equity Funds - 36.8%
|
|||
Shares
|
Value ($)
|
||
Fidelity Commodity Strategy Fund (b)
|
21,097
|
2,499,418
|
|
Fidelity Real Estate Index Fund (b)
|
31,648
|
577,577
|
|
Fidelity Small Cap Index Fund (b)
|
23,057
|
846,882
|
|
Fidelity Small Cap Value Index Fund (b)
|
37,432
|
1,297,771
|
|
Fidelity Total Market Index Fund (b)
|
1,922
|
396,494
|
|
iShares Gold Trust ETF
|
2,270
|
172,906
|
|
|
TOTAL DOMESTIC EQUITY FUNDS
(Cost $4,587,151)
|
5,791,048
|
||
Fixed-Income Funds - 47.9%
|
|||
Shares
|
Value ($)
|
||
Fidelity Inflation-Protected Bond Index Fund (b)
|
416,427
|
3,768,665
|
|
Fidelity International Bond Index Fund (b)
|
30,671
|
278,185
|
|
Fidelity Long-Term Treasury Bond Index Fund (b)
|
58,162
|
510,665
|
|
iShares J.P. Morgan EM Local Currency Bond ETF
|
28,772
|
1,225,111
|
|
iShares US Treasury Bond ETF
|
78,437
|
1,760,911
|
|
|
TOTAL FIXED-INCOME FUNDS
(Cost $7,491,604)
|
7,543,537
|
||
International Equity Funds - 6.6%
|
|||
Shares
|
Value ($)
|
||
Fidelity Emerging Markets Index Fund (b)
|
23,587
|
382,117
|
|
Fidelity International Index Fund (b)
|
9,666
|
656,977
|
|
|
TOTAL INTERNATIONAL EQUITY FUNDS
(Cost $667,495)
|
1,039,094
|
||
U.S. Treasury Obligations - 5.2%
|
||||
Yield (%) (c)
|
Principal
Amount (a)
|
Value ($)
|
||
US Treasury Bills 0% 10/8/2026 (d)(e)
|
3.66 to 3.73
|
450,000
|
446,968
|
|
US Treasury Bills 0% 9/3/2026 (d)
|
3.66
|
370,000
|
368,840
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $815,633)
|
815,808
|
|||
Money Market Funds - 3.6%
|
||||
Yield (%)
|
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund (f)
(Cost $568,017)
|
3.69
|
567,904
|
568,017
|
|
|
TOTAL INVESTMENT IN SECURITIES - 100.1%
(Cost $14,129,900)
|
15,757,504
|
NET OTHER ASSETS (LIABILITIES) - (0.1)%
|
(21,785)
|
NET ASSETS - 100.0%
|
15,735,719
|
Futures Contracts
|
||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
|
Value and Unrealized
Appreciation/
(Depreciation) ($)
|
|
LONG
|
||||
ICE MSCI EAFE Index Contracts (United States)
|
6
|
9/2026
|
954,690
|
14,908
|
ICE MSCI Emerging Markets Index Contracts (United States)
|
17
|
9/2026
|
1,395,955
|
(98,169)
|
TOTAL LONG
|
(83,261)
|
|||
Total Return Swaps
|
|||||||||||
Underlying Reference
|
Pay/
Receive
Reference
|
Reference
Payment
Frequency
|
Financing
Rate
|
Financing
Frequency
|
Counterparty
|
Maturity
Date
|
Notional
Amount
|
Value ($)
|
Upfront
Premium
Received/
(Paid) ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
iShares TIPS Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index plus 40 basis points
|
Monthly
|
Goldman Sachs International
|
9/2026
|
177,399
|
(1,490)
|
0
|
(1,490)
|
|
iShares TIPS Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index plus 40 basis points
|
Monthly
|
Goldman Sachs International
|
10/2026
|
351,877
|
(2,955)
|
0
|
(2,955)
|
|
iShares TIPS Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index plus 40 basis points
|
Monthly
|
Goldman Sachs International
|
8/2026
|
561,943
|
(4,719)
|
0
|
(4,719)
|
|
SPDR Gold Shares
|
Receives
|
Monthly
|
U.S. SOFR Index plus 40 basis points
|
Monthly
|
Goldman Sachs International
|
8/2026
|
1,210,750
|
(848)
|
0
|
(848)
|
|
Invesco Senior Loan ETF
|
Receives
|
Monthly
|
U.S. SOFR Index plus 25 basis points
|
Monthly
|
BNP Paribas SA
|
8/2026
|
2,659,321
|
(4,368)
|
0
|
(4,368)
|
|
iShares 20+ Year Treasury Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index plus 25 basis points
|
Monthly
|
BNP Paribas SA
|
8/2026
|
179,250
|
(7,433)
|
0
|
(7,433)
|
|
iShares JP Morgan USD Emerging Markets Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index minus 10 basis points
|
Monthly
|
Goldman Sachs International
|
1/2027
|
99,285
|
(1,698)
|
0
|
(1,698)
|
|
iShares JP Morgan USD Emerging Markets Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index minus 5 basis points
|
Monthly
|
Goldman Sachs International
|
1/2027
|
36,296
|
(622)
|
0
|
(622)
|
|
iShares JP Morgan USD Emerging Markets Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index minus 5 basis points
|
Monthly
|
Goldman Sachs International
|
2/2027
|
85,266
|
(1,462)
|
0
|
(1,462)
|
|
iShares JP Morgan USD Emerging Markets Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index minus 5 basis points
|
Monthly
|
Goldman Sachs International
|
8/2026
|
788,324
|
(13,517)
|
0
|
(13,517)
|
|
iShares JP Morgan USD Emerging Markets Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index plus 15 basis points
|
Monthly
|
Goldman Sachs International
|
9/2026
|
22,853
|
(395)
|
0
|
(395)
|
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index minus 35 basis points
|
Monthly
|
BNP Paribas SA
|
8/2026
|
375,267
|
(1,545)
|
0
|
(1,545)
|
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index minus 35 basis points
|
Monthly
|
BNP Paribas SA
|
8/2026
|
814,763
|
(3,355)
|
0
|
(3,355)
|
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index minus 60 basis points
|
Monthly
|
BNP Paribas SA
|
9/2026
|
785,394
|
(3,068)
|
0
|
(3,068)
|
|
iShares iBoxx $ High Yield Corporate Bond ETF
|
Receives
|
Monthly
|
U.S. SOFR Index minus 40 basis points
|
Monthly
|
BNP Paribas SA
|
8/2026
|
1,394,019
|
(5,859)
|
0
|
(5,859)
|
|
TOTAL RETURN SWAPS
|
(53,334)
|
0
|
(53,334)
|
||||||||
ETF
|
-
|
EXCHANGE-TRADED FUND
|
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Affiliated fund.
|
(c)
|
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
|
(d)
|
Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $675,722.
|
(e)
|
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $130,117.
|
(f)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
Shares,
end
of period
|
Fidelity Cash Central Fund
|
418,936
|
2,472,909
|
2,323,823
|
12,225
|
(5)
|
-
|
568,017
|
567,904
|
Fidelity Commodity Strategy Fund
|
1,763,459
|
974,008
|
349,617
|
-
|
7,048
|
104,520
|
2,499,418
|
21,097
|
Fidelity Emerging Markets Index Fund
|
1,525,327
|
197,369
|
1,481,065
|
-
|
308,362
|
(167,876)
|
382,117
|
23,587
|
Fidelity Inflation-Protected Bond Index Fund
|
3,145,283
|
2,429,866
|
1,758,503
|
49,085
|
3,132
|
(51,113)
|
3,768,665
|
416,427
|
Fidelity International Bond Index Fund
|
272,686
|
1,261,074
|
1,252,135
|
5,084
|
1,598
|
(5,038)
|
278,185
|
30,671
|
Fidelity International Index Fund
|
1,226,088
|
192,466
|
807,435
|
-
|
92,745
|
(46,887)
|
656,977
|
9,666
|
Fidelity Long-Term Treasury Bond Index Fund
|
186,186
|
454,296
|
107,573
|
6,194
|
(735)
|
(21,509)
|
510,665
|
58,162
|
Fidelity Real Estate Index Fund
|
542,698
|
133,171
|
156,166
|
3,734
|
5,329
|
52,545
|
577,577
|
31,648
|
Fidelity Small Cap Index Fund
|
862,489
|
145,695
|
273,489
|
1,336
|
21,952
|
90,235
|
846,882
|
23,057
|
Fidelity Small Cap Value Index Fund
|
1,302,863
|
191,168
|
385,927
|
-
|
33,186
|
156,481
|
1,297,771
|
37,432
|
Fidelity Total Market Index Fund
|
830,248
|
117,727
|
598,576
|
561
|
21,160
|
25,935
|
396,494
|
1,922
|
12,076,263
|
8,569,749
|
9,494,309
|
78,219
|
493,772
|
137,293
|
11,782,768
|
Valuation Inputs at Reporting Date:
|
||||
Description
|
Total ($)
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Investments in Securities:
|
||||
Domestic Equity Funds
|
5,791,048
|
5,791,048
|
-
|
-
|
Fixed-Income Funds
|
7,543,537
|
7,543,537
|
-
|
-
|
International Equity Funds
|
1,039,094
|
1,039,094
|
-
|
-
|
U.S. Treasury Obligations
|
815,808
|
-
|
815,808
|
-
|
Money Market Funds
|
568,017
|
568,017
|
-
|
-
|
Total Investments in Securities:
|
15,757,504
|
14,941,696
|
815,808
|
-
|
Derivative Instruments:
|
||||
Assets
|
||||
Futures Contracts
|
14,908
|
14,908
|
-
|
-
|
Total Assets
|
14,908
|
14,908
|
-
|
-
|
Liabilities
|
||||
Futures Contracts
|
(98,169)
|
(98,169)
|
-
|
-
|
Swaps
|
(53,334)
|
-
|
(53,334)
|
-
|
Total Liabilities
|
(151,503)
|
(98,169)
|
(53,334)
|
-
|
Total Derivative Instruments:
|
(136,595)
|
(83,261)
|
(53,334)
|
-
|
Consolidated Statement of Assets and Liabilities
|
||
As of July 31, 2026 (Unaudited)
|
||
Assets
|
||
Investments in securities, at value - unaffiliated issuers
|
$
|
3,974,736
|
Investments in securities, at value - affiliated issuers
|
11,782,768
|
|
Cash
|
36,526
|
|
Receivable for investments sold
|
5,531
|
|
Receivable for fund shares sold
|
11,276
|
|
Distributions receivable from affiliated funds
|
3,488
|
|
Receivable for variation margin on futures contracts
|
3,490
|
|
Receivable from investment adviser for expense reductions
|
351
|
|
Total assets
|
15,818,166
|
|
Liabilities
|
||
Payable for investments purchased
|
1,817
|
|
Payable for fund shares redeemed
|
17,156
|
|
Bi-lateral OTC swaps, at value
|
53,334
|
|
Accrued management fee
|
7,792
|
|
Distribution and service plan fees payable
|
2,351
|
|
Total liabilities
|
82,450
|
|
Net Assets
|
$
|
15,735,719
|
Net assets consist of:
|
||
Paid in capital
|
13,950,892
|
|
Total accumulated earnings (loss)
|
1,784,827
|
|
Net Assets
|
$
|
15,735,719
|
Net Asset Value and Maximum Offering
|
||
Class A
|
||
Net Asset Value and redemption price per share ($1,834,925/159,566 shares) a
|
$
|
11.50
|
Maximum offering price per share (100/94.25 of $11.50)
|
$
|
12.20
|
Class M
|
||
Net Asset Value and redemption price per share ($1,930,970/168,148 shares) a
|
$
|
11.48
|
Maximum offering price per share (100/96.50 of $11.48)
|
$
|
11.90
|
Class C
|
||
Net Asset Value and offering price per share ($1,389,202/120,951 shares) a
|
$
|
11.49
|
Fidelity® Risk Parity Fund
|
||
Net Asset Value, offering price and redemption price per share ($7,454,990/652,973 shares)
|
$
|
11.42
|
Class I
|
||
Net Asset Value, offering price and redemption price per share ($1,673,705/145,473 shares)
|
$
|
11.51
|
Class Z
|
||
Net Asset Value, offering price and redemption price per share ($1,451,927/126,119 shares)
|
$
|
11.51
|
(a)Redemption price per unit is equal to net asset value less any applicable contingent deferred sales charge.
|
||
Other Information
|
||
Unaffiliated issuers, cost
|
3,908,348
|
|
Affiliated issuers, cost
|
10,221,552
|
|
Consolidated Statement of Operations
|
||
Six months ended July 31, 2026 (Unaudited)
|
||
Investment Income
|
||
Dividends - unaffiliated issuers
|
$
|
30,919
|
Dividends - affiliated issuers
|
78,219
|
|
Interest
|
13,828
|
|
Total investment income
|
122,966
|
|
Expenses
|
||
Management fee
|
47,373
|
|
Distribution and service plan fees
|
13,922
|
|
Independent trustees' fees and expenses
|
2,172
|
|
Total expenses
|
63,467
|
|
Expense reimbursements and reductions
|
(3,180)
|
|
Total expenses after reductions
|
60,287
|
|
Net investment income (loss)
|
62,679
|
|
Net realized gain (loss)
|
||
Investments - unaffiliated issuers
|
(4,834)
|
|
Investments - affiliated issuers
|
493,772
|
|
Futures contracts
|
276,173
|
|
Swaps
|
(163,752)
|
|
Net realized gain (loss)
|
601,359
|
|
Change in net unrealized appreciation (depreciation)
|
||
Investments - unaffiliated issuers
|
(54,210)
|
|
Investments - affiliated issuers
|
137,293
|
|
Futures contracts
|
(179,927)
|
|
Swaps
|
(181,938)
|
|
Total change in net unrealized appreciation (depreciation)
|
(278,782)
|
|
Net gain (loss)
|
322,577
|
|
Net increase (decrease) in net assets resulting from operations
|
$
|
385,256
|
Consolidated Statement of Changes in Net Assets
|
||||
Six months ended
July 31, 2026
(Unaudited)
|
Year ended
January 31, 2026
|
|||
Increase (Decrease) in Net Assets
|
||||
Operations
|
||||
Net investment income (loss)
|
$
|
62,679
|
$
|
283,039
|
Net realized gain (loss)
|
601,359
|
908,774
|
||
Change in net unrealized appreciation (depreciation)
|
(278,782)
|
1,322,414
|
||
Net increase (decrease) in net assets resulting from operations
|
385,256
|
2,514,227
|
||
Distributions to shareholders
|
||||
Distributions to shareholders
|
(565,237)
|
(608,566)
|
||
Total distributions
|
(565,237)
|
(608,566)
|
||
Net increase (decrease) in net assets resulting from share transactions
|
170,377
|
5,489,205
|
||
Total increase (decrease) in net assets
|
(9,604)
|
7,394,866
|
||
Net Assets
|
||||
Beginning of period
|
15,745,323
|
8,350,457
|
||
End of period
|
$
|
15,735,719
|
$
|
15,745,323
|
Fidelity Advisor® Risk Parity Fund Class A |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
11.64
|
$
|
9.93
|
$
|
9.35
|
$
|
9.64
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) B, C
|
.04
|
.26
|
.24
|
.25
|
.86
|
|||||
Net realized and unrealized gain (loss)
|
.23
|
2.00
|
.79
|
(.22)
|
(.60)
|
|||||
Total from investment operations
|
.27
|
2.26
|
1.03
|
.03
|
.26
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
(.41)
|
(.55)
|
(.45)
|
(.32)
|
(.62)
|
|||||
Total distributions
|
(.41)
|
(.55)
|
(.45)
|
(.32)
|
(.62)
|
|||||
Net asset value, end of period
|
$
|
11.50
|
$
|
11.64
|
$
|
9.93
|
$
|
9.35
|
$
|
9.64
|
Total Return D, E, F
|
2.47%
|
23.31%
|
11.17%
|
.50%
|
2.90%
|
|||||
Ratios and Supplemental Data B, G, H
|
||||||||||
Ratio of expenses to average net assets before reductions
|
.88% I
|
.89%
|
.89%
|
.95%
|
2.40% I
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
.85% I
|
.85%
|
.85%
|
.85%
|
.85% I
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
.84% I
|
.84%
|
.83%
|
.84%
|
.84% I
|
|||||
Ratio of net investment income (loss) to average net assets
|
.74% I
|
2.46%
|
2.41%
|
2.74%
|
15.39% I
|
|||||
Net assets, end of period
|
$
|
1,834,925
|
$
|
1,695,767
|
$
|
1,133,569
|
$
|
1,014,854
|
$
|
1,008,857
|
Portfolio turnover rate J
|
104% I
|
51%
|
82%
|
84%
|
163% I
|
|||||
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023.
|
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
CCalculated based on average shares outstanding during the period.
|
DTotal returns do not include the effect of the sales charges.
|
ETotal returns for periods of less than one year are not annualized.
|
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
GExpense 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.
|
HFees 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.
|
IAnnualized.
|
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity Advisor® Risk Parity Fund Class M |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
11.64
|
$
|
9.93
|
$
|
9.35
|
$
|
9.64
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) B, C
|
.03
|
.23
|
.21
|
.23
|
.84
|
|||||
Net realized and unrealized gain (loss)
|
.22
|
2.00
|
.80
|
(.23)
|
(.60)
|
|||||
Total from investment operations
|
.25
|
2.23
|
1.01
|
- D
|
.24
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
(.41)
|
(.52)
|
(.43)
|
(.29)
|
(.60)
|
|||||
Total distributions
|
(.41)
|
(.52)
|
(.43)
|
(.29)
|
(.60)
|
|||||
Net asset value, end of period
|
$
|
11.48
|
$
|
11.64
|
$
|
9.93
|
$
|
9.35
|
$
|
9.64
|
Total Return E, F, G
|
2.27%
|
23.00%
|
11.01%
|
.15%
|
2.77%
|
|||||
Ratios and Supplemental Data C, H, I
|
||||||||||
Ratio of expenses to average net assets before reductions
|
1.13% J
|
1.13%
|
1.14%
|
1.20%
|
2.65% J
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.10% J
|
1.10%
|
1.10%
|
1.10%
|
1.10% J
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
1.09% J
|
1.09%
|
1.08%
|
1.09%
|
1.09% J
|
|||||
Ratio of net investment income (loss) to average net assets
|
.48% J
|
2.21%
|
2.16%
|
2.49%
|
15.09% J
|
|||||
Net assets, end of period
|
$
|
1,930,970
|
$
|
1,860,797
|
$
|
1,127,942
|
$
|
1,013,448
|
$
|
1,008,250
|
Portfolio turnover rate K
|
104% J
|
51%
|
82%
|
84%
|
163% J
|
|||||
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DAmount represents less than $.005 per share.
|
ETotal returns do not include the effect of the sales charges.
|
FTotal returns for periods of less than one year are not annualized.
|
GTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
HFees 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.
|
IExpense 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.
|
JAnnualized.
|
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity Advisor® Risk Parity Fund Class C |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
11.66
|
$
|
9.95
|
$
|
9.37
|
$
|
9.64
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) C, D
|
- B
|
.18
|
.16
|
.18
|
.82
|
|||||
Net realized and unrealized gain (loss)
|
.23
|
2.00
|
.79
|
(.22)
|
(.60)
|
|||||
Total from investment operations
|
.23
|
2.18
|
.95
|
(.04)
|
.22
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
(.40)
|
(.47)
|
(.37)
|
(.23)
|
(.58)
|
|||||
Total distributions
|
(.40)
|
(.47)
|
(.37)
|
(.23)
|
(.58)
|
|||||
Net asset value, end of period
|
$
|
11.49
|
$
|
11.66
|
$
|
9.95
|
$
|
9.37
|
$
|
9.64
|
Total Return E, F, G
|
2.14%
|
22.36%
|
10.34%
|
(.30)%
|
2.52%
|
|||||
Ratios and Supplemental Data D, H, I
|
||||||||||
Ratio of expenses to average net assets before reductions
|
1.63% J
|
1.64%
|
1.64%
|
1.70%
|
3.15% J
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.60% J
|
1.60%
|
1.60%
|
1.60%
|
1.60% J
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
1.59% J
|
1.59%
|
1.58%
|
1.59%
|
1.59% J
|
|||||
Ratio of net investment income (loss) to average net assets
|
(.03)% J
|
1.71%
|
1.66%
|
1.99%
|
14.60% J
|
|||||
Net assets, end of period
|
$
|
1,389,202
|
$
|
1,358,725
|
$
|
1,110,580
|
$
|
1,002,400
|
$
|
1,007,561
|
Portfolio turnover rate K
|
104% J
|
51%
|
82%
|
84%
|
163% J
|
|||||
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023.
|
BAmount represents less than $.005 per share.
|
CCalculated based on average shares outstanding during the period.
|
DNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
ETotal returns do not include the effect of the contingent deferred sales charge.
|
FTotal returns for periods of less than one year are not annualized.
|
GTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
HExpense 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.
|
IFees 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.
|
JAnnualized.
|
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity® Risk Parity Fund |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
11.55
|
$
|
9.87
|
$
|
9.29
|
$
|
9.60
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) B, C
|
.05
|
.29
|
.26
|
.27
|
.27
|
|||||
Net realized and unrealized gain (loss)
|
.23
|
1.98
|
.79
|
(.22)
|
(.04)
|
|||||
Total from investment operations
|
.28
|
2.27
|
1.05
|
.05
|
.23
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
(.41)
|
(.59)
|
(.47)
|
(.36)
|
(.63)
|
|||||
Total distributions
|
(.41)
|
(.59)
|
(.47)
|
(.36)
|
(.63)
|
|||||
Net asset value, end of period
|
$
|
11.42
|
$
|
11.55
|
$
|
9.87
|
$
|
9.29
|
$
|
9.60
|
Total Return D, E
|
2.61%
|
23.55%
|
11.54%
|
.70%
|
2.63%
|
|||||
Ratios and Supplemental Data C, F, G
|
||||||||||
Ratio of expenses to average net assets before reductions
|
.63% H
|
.63%
|
.64%
|
.70%
|
1.26% H
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
.60% H
|
.60%
|
.60%
|
.60%
|
.60% H
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
.59% H
|
.59%
|
.58%
|
.59%
|
.58% H
|
|||||
Ratio of net investment income (loss) to average net assets
|
.94% H
|
2.71%
|
2.66%
|
2.98%
|
7.06% H
|
|||||
Net assets, end of period
|
$
|
7,454,990
|
$
|
7,852,639
|
$
|
2,593,066
|
$
|
2,402,608
|
$
|
2,035,984
|
Portfolio turnover rate I
|
104% H
|
51%
|
82%
|
84%
|
163% H
|
|||||
AFor the period September 1, 2022 (commencement of sale of shares) through January 31, 2023.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DTotal returns for periods of less than one year are not annualized.
|
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
FExpense 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.
|
GFees 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.
|
HAnnualized.
|
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity Advisor® Risk Parity Fund Class I |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
11.63
|
$
|
9.92
|
$
|
9.34
|
$
|
9.64
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) B, C
|
.06
|
.29
|
.26
|
.27
|
.88
|
|||||
Net realized and unrealized gain (loss)
|
.23
|
1.99
|
.79
|
(.21)
|
(.61)
|
|||||
Total from investment operations
|
.29
|
2.28
|
1.05
|
.06
|
.27
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
(.41)
|
(.57)
|
(.47)
|
(.36)
|
(.63)
|
|||||
Total distributions
|
(.41)
|
(.57)
|
(.47)
|
(.36)
|
(.63)
|
|||||
Net asset value, end of period
|
$
|
11.51
|
$
|
11.63
|
$
|
9.92
|
$
|
9.34
|
$
|
9.64
|
Total Return D, E
|
2.66%
|
23.55%
|
11.45%
|
.76%
|
3.02%
|
|||||
Ratios and Supplemental Data B, F, G
|
||||||||||
Ratio of expenses to average net assets before reductions
|
.63% H
|
.64%
|
.64%
|
.70%
|
2.18% H
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
.60% H
|
.60%
|
.60%
|
.60%
|
.60% H
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
.59% H
|
.59%
|
.58%
|
.59%
|
.59% H
|
|||||
Ratio of net investment income (loss) to average net assets
|
.99% H
|
2.71%
|
2.66%
|
2.99%
|
15.81% H
|
|||||
Net assets, end of period
|
$
|
1,673,705
|
$
|
1,573,352
|
$
|
1,249,667
|
$
|
1,139,012
|
$
|
1,141,081
|
Portfolio turnover rate I
|
104% H
|
51%
|
82%
|
84%
|
163% H
|
|||||
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023.
|
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
CCalculated based on average shares outstanding during the period.
|
DTotal returns for periods of less than one year are not annualized.
|
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
FFees 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.
|
GExpense 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.
|
HAnnualized.
|
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity Advisor® Risk Parity Fund Class Z |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
11.64
|
$
|
9.93
|
$
|
9.34
|
$
|
9.65
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) B, C
|
.06
|
.29
|
.27
|
.28
|
.97
|
|||||
Net realized and unrealized gain (loss)
|
.22
|
2.00
|
.80
|
(.23)
|
(.69)
|
|||||
Total from investment operations
|
.28
|
2.29
|
1.07
|
.05
|
.28
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
(.41)
|
(.58)
|
(.48)
|
(.36)
|
(.63)
|
|||||
Total distributions
|
(.41)
|
(.58)
|
(.48)
|
(.36)
|
(.63)
|
|||||
Net asset value, end of period
|
$
|
11.51
|
$
|
11.64
|
$
|
9.93
|
$
|
9.34
|
$
|
9.65
|
Total Return D, E
|
2.59%
|
23.60%
|
11.63%
|
.70%
|
3.13%
|
|||||
Ratios and Supplemental Data C, F, G
|
||||||||||
Ratio of expenses to average net assets before reductions
|
.58% H
|
.59%
|
.59%
|
.65%
|
2.23% H
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
.55% H
|
.55%
|
.55%
|
.55%
|
.55% H
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
.54% H
|
.54%
|
.53%
|
.54%
|
.54% H
|
|||||
Ratio of net investment income (loss) to average net assets
|
1.02% H
|
2.76%
|
2.71%
|
3.04%
|
17.34% H
|
|||||
Net assets, end of period
|
$
|
1,451,927
|
$
|
1,404,043
|
$
|
1,135,633
|
$
|
1,017,812
|
$
|
1,010,506
|
Portfolio turnover rate I
|
104% H
|
51%
|
82%
|
84%
|
163% H
|
|||||
AFor the period July 7, 2022 (commencement of operations) through January 31, 2023.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
ETotal returns for periods of less than one year are not annualized.
|
FExpense 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.
|
GFees 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.
|
HAnnualized.
|
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity® Risk Parity Fund
|
Class A, Class M, Class C, Fidelity® Risk Parity Fund, Class I, and Class Z
|
Subsidiary Name
|
Net Assets of Subsidiary ($)
|
% of Fund's Total Assets
|
|
Fidelity® Risk Parity Fund
|
Fidelity Risk Parity Cayman Ltd.
|
577,305
|
3.6
|
Tax Cost ($)
|
Gross unrealized appreciation ($)
|
Gross unrealized depreciation ($)
|
Net unrealized appreciation (depreciation) ($)
|
|
Fidelity® Risk Parity Fund
|
13,927,743
|
2,021,074
|
(327,908)
|
1,693,166
|
Short-term ($)
|
Total capital loss carryforward ($)
|
|
Fidelity® Risk Parity Fund
|
(66,716)
|
(66,716)
|
|
Commodity Risk
|
Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.
|
|
Credit Risk
|
Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.
|
|
Equity Risk
|
Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
|
|
Interest Rate Risk
|
Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
|
Primary Risk Exposure / Derivative Type
|
Values of Derivative Assets ($)
|
Values of Derivative Liabilities ($)
|
Net Realized Gain (Loss) ($)
|
Change in Net Unrealized Appreciation (Depreciation) ($)
|
|||
Fidelity® Risk Parity Fund
|
|||||||
Commodity Risk
|
|||||||
Swaps
|
-
|
(848)
|
(102,066)
|
(157,001)
|
|||
Total Commodity Risk
|
-
|
(848)
|
(102,066)
|
(157,001)
|
|||
Credit Risk
|
|||||||
Swaps
|
-
|
(35,889)
|
(28,202)
|
(3,718)
|
|||
Total Credit Risk
|
-
|
(35,889)
|
(28,202)
|
(3,718)
|
|||
Equity Risk
|
|||||||
Futures Contracts
|
14,908
|
(98,169)
|
276,173
|
(179,927)
|
|||
Total Equity Risk
|
14,908
|
(98,169)
|
276,173
|
(179,927)
|
|||
Interest Rate Risk
|
|||||||
Swaps
|
-
|
(16,597)
|
(21,057)
|
(21,219)
|
|||
Total Interest Rate Risk
|
-
|
(16,597)
|
(21,057)
|
(21,219)
|
|||
Totals
|
14,908
|
(151,503)
|
124,848
|
(361,865)
|
Average Amount ($)
|
|
Fidelity® Risk Parity Fund
|
|
Futures
|
1,859,213
|
Swaps
|
10,515,927
|
Purchases ($)
|
Sales ($)
|
|
Fidelity® Risk Parity Fund
|
7,587,333
|
8,347,750
|
Management Fee
Rate % |
|
Fidelity® Risk Parity Fund
|
|
Class A
|
0.60%
|
Class M
|
0.60%
|
Class C
|
0.60%
|
Fidelity® Risk Parity Fund
|
0.60%
|
Class I
|
0.60%
|
Class Z
|
0.55%
|
Distribution Fee %
|
Service Fee %
|
Total Fees ($)
|
Retained by FDC ($)
|
||||
Fidelity® Risk Parity Fund
|
|||||||
Class A
|
-
|
.25
|
2,231
|
1,775
|
|||
Class M
|
.25
|
.25
|
4,768
|
3,518
|
|||
Class C
|
.75
|
.25
|
6,923
|
6,884
|
|||
13,922
|
12,177
|
||||||
Front-End Sales
Charge (%) |
Deferred Sales
Charge (%) |
Retained by FDC ($)
|
|||
Fidelity® Risk Parity Fund
|
|||||
Class A A
|
5.75
|
1.00
|
788
|
||
Class M A
|
3.50
|
.25
|
38
|
||
Class C B
|
-
|
1.00
|
-
|
||
826
|
|||||
Expense Limitation (%)
|
Expiration Date
|
Reimbursement ($)
|
|
Fidelity® Risk Parity Fund
|
|||
Class A
|
0..85
|
May 31,2027
|
250
|
Class M
|
1.10
|
May 31,2027
|
265
|
Class C
|
1.60
|
May 31,2027
|
194
|
Fidelity® Risk Parity Fund
|
0.60
|
May 31,2027
|
1,083
|
Class I
|
0.60
|
May 31,2027
|
224
|
Class Z
|
0.55
|
May 31,2027
|
200
|
Custodian Credits ($)
|
|
Fidelity® Risk Parity Fund
|
963
|
Six months ended ($)
|
Year ended ($)
|
|||
July 31, 2026
|
January 31, 2026
|
|||
Fidelity® Risk Parity Fund
|
||||
Class A
|
58,214
|
70,822
|
||
Class M
|
65,277
|
73,097
|
||
Class C
|
46,957
|
52,469
|
||
Fidelity® Risk Parity Fund
|
288,565
|
272,032
|
||
Class I
|
55,723
|
73,510
|
||
Class Z
|
50,501
|
66,636
|
||
Total
|
565,237
|
608,566
|
Shares
|
Shares
|
Dollars
|
Dollars
|
||||||
Six months ended
|
Year ended
|
Six months ended ($)
|
Year ended ($)
|
||||||
July 31, 2026
|
January 31, 2026
|
July 31, 2026
|
January 31, 2026
|
||||||
Fidelity® Risk Parity Fund
|
|||||||||
Class A
|
|||||||||
Shares sold
|
19,705
|
25,036
|
224,580
|
264,062
|
|||||
Reinvestment of distributions
|
5,278
|
6,597
|
58,214
|
70,822
|
|||||
Shares redeemed
|
(11,111)
|
(64)
|
(129,164)
|
(709)
|
|||||
Net increase (decrease)
|
13,872
|
31,569
|
153,630
|
334,175
|
|||||
Class M
|
|||||||||
Shares sold
|
2,316
|
39,535
|
26,706
|
391,909
|
|||||
Reinvestment of distributions
|
5,918
|
6,796
|
65,277
|
73,097
|
|||||
Shares redeemed
|
(1)
|
-
|
(12)
|
-
|
|||||
Net increase (decrease)
|
8,233
|
46,331
|
91,971
|
465,006
|
|||||
Class C
|
|||||||||
Shares sold
|
185
|
806
|
2,000
|
8,000
|
|||||
Reinvestment of distributions
|
4,249
|
4,927
|
46,957
|
52,469
|
|||||
Shares redeemed
|
-
|
(806)
|
-
|
(8,230)
|
|||||
Net increase (decrease)
|
4,434
|
4,927
|
48,957
|
52,239
|
|||||
Fidelity® Risk Parity Fund
|
|||||||||
Shares sold
|
189,235
|
545,975
|
2,177,062
|
5,807,669
|
|||||
Reinvestment of distributions
|
16,868
|
13,916
|
184,538
|
151,802
|
|||||
Shares redeemed
|
(233,137)
|
(142,718)
|
(2,660,688)
|
(1,485,195)
|
|||||
Net increase (decrease)
|
(27,034)
|
417,173
|
(299,088)
|
4,474,276
|
|||||
Class I
|
|||||||||
Shares sold
|
5,171
|
11,567
|
59,218
|
115,006
|
|||||
Reinvestment of distributions
|
5,052
|
6,869
|
55,723
|
73,510
|
|||||
Shares redeemed
|
-
|
(9,146)
|
-
|
(91,643)
|
|||||
Net increase (decrease)
|
10,223
|
9,290
|
114,941
|
96,873
|
|||||
Class Z
|
|||||||||
Shares sold
|
3,251
|
-
|
36,889
|
4
|
|||||
Reinvestment of distributions
|
4,579
|
6,229
|
50,501
|
66,636
|
|||||
Shares redeemed
|
(2,354)
|
-
|
(27,424)
|
(4)
|
|||||
Net increase (decrease)
|
5,476
|
6,229
|
59,966
|
66,636
|
Fund
|
Affiliated %
|
Fidelity ® Risk Parity Fund
|
46
|
 |
Contents
Common Stocks - 96.7%
|
|||
Shares
|
Value ($)
|
||
AUSTRALIA - 0.1%
|
|||
Materials - 0.1%
|
|||
Metals & Mining - 0.1%
|
|||
Anglogold Ashanti Plc
|
7,458
|
591,569
|
|
BERMUDA - 0.0%
|
|||
Financials - 0.0%
|
|||
Insurance - 0.0%
|
|||
RenaissanceRe Holdings Ltd
|
461
|
147,511
|
|
BRAZIL - 0.0%
|
|||
Financials - 0.0%
|
|||
Banks - 0.0%
|
|||
NU Holdings Ltd/Cayman Islands Class A (a)
|
13,931
|
199,631
|
|
Capital Markets - 0.0%
|
|||
XP Inc Class A
|
3,615
|
61,672
|
|
TOTAL BRAZIL
|
261,303
|
||
CANADA - 0.2%
|
|||
Consumer Discretionary - 0.1%
|
|||
Hotels, Restaurants & Leisure - 0.1%
|
|||
Restaurant Brands International Inc (United States)
|
7,446
|
551,153
|
|
Financials - 0.1%
|
|||
Capital Markets - 0.1%
|
|||
Brookfield Asset Management Ltd Class A (United States)
|
12,913
|
624,989
|
|
Industrials - 0.0%
|
|||
Commercial Services & Supplies - 0.0%
|
|||
RB Global Inc (United States)
|
2,420
|
265,571
|
|
Utilities - 0.0%
|
|||
Independent Power and Renewable Electricity Producers - 0.0%
|
|||
Brookfield Renewable Corp Class A (United States)
|
3,954
|
131,866
|
|
TOTAL CANADA
|
1,573,579
|
||
FINLAND - 0.0%
|
|||
Consumer Discretionary - 0.0%
|
|||
Textiles, Apparel & Luxury Goods - 0.0%
|
|||
Amer Sports Inc (a)
|
3,464
|
123,007
|
|
GERMANY - 0.0%
|
|||
Consumer Discretionary - 0.0%
|
|||
Textiles, Apparel & Luxury Goods - 0.0%
|
|||
Birkenstock Holding Plc (a)
|
2,731
|
105,744
|
|
JAPAN - 0.0%
|
|||
Information Technology - 0.0%
|
|||
Semiconductors & Semiconductor Equipment - 0.0%
|
|||
Allegro MicroSystems Inc (a)
|
2,631
|
109,187
|
|
KOREA (SOUTH) - 0.0%
|
|||
Consumer Discretionary - 0.0%
|
|||
Broadline Retail - 0.0%
|
|||
Coupang Inc Class A (a)
|
13,326
|
217,880
|
|
MEXICO - 0.1%
|
|||
Materials - 0.1%
|
|||
Metals & Mining - 0.1%
|
|||
Southern Copper Corp
|
3,268
|
597,096
|
|
SWEDEN - 0.0%
|
|||
Consumer Discretionary - 0.0%
|
|||
Automobile Components - 0.0%
|
|||
Autoliv Inc
|
610
|
75,133
|
|
THAILAND - 0.0%
|
|||
Information Technology - 0.0%
|
|||
Electronic Equipment, Instruments & Components - 0.0%
|
|||
Fabrinet (a)
|
185
|
80,550
|
|
UNITED KINGDOM - 0.1%
|
|||
Energy - 0.1%
|
|||
Energy Equipment & Services - 0.1%
|
|||
TechnipFMC PLC
|
10,672
|
764,756
|
|
UNITED STATES - 96.2%
|
|||
Communication Services - 9.6%
|
|||
Diversified Telecommunication Services - 0.6%
|
|||
AT&T Inc
|
165,635
|
3,851,014
|
|
Space Exploration Technologies Corp Class A (b)
|
4,241
|
459,597
|
|
4,310,611
|
|||
Entertainment - 0.8%
|
|||
Liberty Media Corp-Liberty Formula One Class A (a)
|
5,099
|
457,941
|
|
Netflix Inc (a)
|
62,592
|
4,488,472
|
|
ROBLOX Corp Class A (a)
|
3,878
|
138,057
|
|
Roku Inc Class A (a)
|
1,125
|
163,136
|
|
Spotify Technology SA (a)
|
836
|
417,950
|
|
Warner Music Group Corp Class A
|
6,932
|
179,955
|
|
5,845,511
|
|||
Interactive Media & Services - 7.8%
|
|||
Alphabet Inc Class A
|
125,792
|
44,798,305
|
|
Meta Platforms Inc Class A
|
26,610
|
14,814,053
|
|
Pinterest Inc Class A (a)
|
6,481
|
155,609
|
|
Reddit Inc Class A (a)
|
565
|
79,479
|
|
59,847,446
|
|||
Media - 0.0%
|
|||
Liberty Broadband Corp Class A (a)
|
4,290
|
146,117
|
|
New York Times Co/The Class A
|
1,394
|
104,397
|
|
Paramount Skydance Corp Class B (b)
|
27,669
|
220,245
|
|
470,759
|
|||
Wireless Telecommunication Services - 0.4%
|
|||
T-Mobile US Inc
|
18,180
|
3,139,868
|
|
TOTAL COMMUNICATION SERVICES
|
73,614,195
|
||
Consumer Discretionary - 8.5%
|
|||
Automobile Components - 0.1%
|
|||
BorgWarner Inc
|
5,665
|
361,087
|
|
Lear Corp
|
905
|
118,229
|
|
479,316
|
|||
Automobiles - 1.4%
|
|||
Rivian Automotive Inc Class A (a)
|
6,657
|
101,320
|
|
Tesla Inc (a)
|
33,062
|
10,289,225
|
|
10,390,545
|
|||
Broadline Retail - 4.2%
|
|||
Amazon.com Inc (a)
|
115,828
|
31,456,569
|
|
Dillard's Inc Class A
|
229
|
134,730
|
|
31,591,299
|
|||
Distributors - 0.0%
|
|||
LKQ Corp
|
9,763
|
219,179
|
|
Pool Corp
|
855
|
158,782
|
|
377,961
|
|||
Diversified Consumer Services - 0.1%
|
|||
ADT Inc
|
16,383
|
125,166
|
|
Bright Horizons Family Solutions Inc (a)
|
2,134
|
159,068
|
|
H&R Block Inc
|
3,882
|
170,924
|
|
Liberty Live Holdings Inc Class C
|
1,515
|
149,379
|
|
Service Corp International/US
|
3,970
|
342,175
|
|
946,712
|
|||
Hotels, Restaurants & Leisure - 1.2%
|
|||
Aramark
|
6,106
|
347,859
|
|
Boyd Gaming Corp
|
3,132
|
266,408
|
|
Cava Group Inc (a)
|
1,973
|
128,699
|
|
Choice Hotels International Inc (b)
|
770
|
85,847
|
|
Churchill Downs Inc
|
1,773
|
149,464
|
|
DraftKings Inc Class A (a)
|
6,106
|
143,369
|
|
Flutter Entertainment PLC (a)
|
3,505
|
366,167
|
|
Hilton Worldwide Holdings Inc
|
8,840
|
2,833,132
|
|
Hyatt Hotels Corp Class A (b)
|
2,188
|
380,843
|
|
Planet Fitness Inc Class A (a)
|
3,716
|
207,762
|
|
Starbucks Corp
|
27,676
|
2,912,899
|
|
Texas Roadhouse Inc
|
1,820
|
373,901
|
|
Travel + Leisure Co
|
1,847
|
140,409
|
|
Vail Resorts Inc
|
1,338
|
199,870
|
|
Viking Holdings Ltd (a)
|
7,977
|
832,400
|
|
Wingstop Inc
|
357
|
46,227
|
|
Wyndham Hotels & Resorts Inc
|
2,095
|
156,832
|
|
9,572,088
|
|||
Household Durables - 0.1%
|
|||
Mohawk Industries Inc (a)
|
1,044
|
128,516
|
|
SharkNinja Inc (a)
|
738
|
119,386
|
|
Somnigroup International Inc
|
4,552
|
297,383
|
|
Toll Brothers Inc
|
2,035
|
296,886
|
|
Whirlpool Corp
|
684
|
25,650
|
|
867,821
|
|||
Leisure Products - 0.0%
|
|||
Brunswick Corp/DE
|
1,127
|
89,033
|
|
Mattel Inc (a)
|
7,158
|
108,014
|
|
197,047
|
|||
Specialty Retail - 1.3%
|
|||
AutoNation Inc (a)
|
522
|
110,873
|
|
Bath & Body Works Inc
|
7,369
|
148,264
|
|
Burlington Stores Inc (a)
|
613
|
225,878
|
|
CarMax Inc (a)
|
3,436
|
196,745
|
|
Chewy Inc Class A (a)
|
2,354
|
53,200
|
|
Dick's Sporting Goods Inc
|
1,269
|
248,610
|
|
Five Below Inc (a)
|
689
|
149,603
|
|
Floor & Decor Holdings Inc Class A (a)
|
2,591
|
149,164
|
|
Gap Inc/The
|
4,514
|
90,686
|
|
Home Depot Inc/The
|
16,530
|
5,487,299
|
|
Murphy USA Inc
|
96
|
58,345
|
|
Penske Automotive Group Inc
|
1,258
|
273,376
|
|
Ross Stores Inc
|
10,155
|
2,549,616
|
|
9,741,659
|
|||
Textiles, Apparel & Luxury Goods - 0.1%
|
|||
Ralph Lauren Corp Class A
|
2,400
|
912,816
|
|
VF Corp
|
7,285
|
104,321
|
|
1,017,137
|
|||
TOTAL CONSUMER DISCRETIONARY
|
65,181,585
|
||
Consumer Staples - 4.5%
|
|||
Beverages - 0.1%
|
|||
Brown-Forman Corp Class B
|
18,963
|
544,807
|
|
Coca-Cola Consolidated Inc
|
684
|
128,523
|
|
Primo Brands Corp Class A
|
7,711
|
175,040
|
|
848,370
|
|||
Consumer Staples Distribution & Retail - 1.8%
|
|||
Albertsons Cos Inc Class A
|
12,974
|
150,239
|
|
BJ's Wholesale Club Holdings Inc (a)
|
1,626
|
158,990
|
|
Costco Wholesale Corp
|
6,615
|
6,296,753
|
|
Performance Food Group Co (a)
|
1,373
|
157,057
|
|
US Foods Holding Corp (a)
|
1,951
|
196,251
|
|
Walmart Inc
|
63,715
|
7,085,109
|
|
14,044,399
|
|||
Food Products - 0.8%
|
|||
Campbell's Company/The (b)
|
8,040
|
176,719
|
|
Conagra Brands Inc
|
10,328
|
149,859
|
|
Darling Ingredients Inc (a)
|
2,298
|
139,351
|
|
General Mills Inc
|
56,140
|
2,007,005
|
|
Hormel Foods Corp
|
37,075
|
927,246
|
|
Ingredion Inc
|
1,114
|
110,798
|
|
JBS NV Class A
|
12,845
|
180,087
|
|
Kraft Heinz Co/The
|
79,996
|
2,067,897
|
|
Pilgrim's Pride Corp
|
2,842
|
77,756
|
|
Post Holdings Inc (a)
|
1,421
|
129,894
|
|
Smithfield Foods Inc
|
5,589
|
145,538
|
|
6,112,150
|
|||
Household Products - 0.8%
|
|||
Procter & Gamble Co/The
|
41,988
|
6,066,846
|
|
Tobacco - 1.0%
|
|||
Altria Group Inc
|
50,364
|
3,441,372
|
|
Philip Morris International Inc
|
22,489
|
4,291,351
|
|
7,732,723
|
|||
TOTAL CONSUMER STAPLES
|
34,804,488
|
||
Energy - 2.8%
|
|||
Energy Equipment & Services - 0.0%
|
|||
NOV Inc
|
13,853
|
269,164
|
|
Valaris Ltd (a)
|
1,875
|
148,481
|
|
417,645
|
|||
Oil, Gas & Consumable Fuels - 2.8%
|
|||
Antero Midstream Corp
|
9,240
|
203,003
|
|
Antero Resources Corp (a)
|
2,374
|
85,796
|
|
Cheniere Energy Inc
|
2,572
|
677,902
|
|
Chevron Corp
|
26,691
|
5,253,590
|
|
Chord Energy Corp
|
1,069
|
150,066
|
|
Diamondback Energy Inc
|
11,493
|
2,332,504
|
|
DT Midstream Inc
|
2,153
|
297,114
|
|
ExxonMobil Holdings Corp
|
55,801
|
8,673,707
|
|
HF Sinclair Corp
|
3,892
|
356,001
|
|
Occidental Petroleum Corp
|
35,475
|
2,024,558
|
|
Ovintiv Inc
|
8,162
|
509,799
|
|
PBF Energy Inc Class A
|
2,802
|
202,529
|
|
Permian Resources Holdings Inc/DE Class A
|
16,173
|
344,647
|
|
Range Resources Corp
|
1,259
|
50,536
|
|
Viper Energy Inc Class A
|
2,443
|
108,982
|
|
21,270,734
|
|||
TOTAL ENERGY
|
21,688,379
|
||
Financials - 12.2%
|
|||
Banks - 2.8%
|
|||
East West Bancorp Inc
|
2,184
|
286,104
|
|
First Citizens BancShares Inc/NC Class A
|
153
|
334,557
|
|
First Horizon Corp
|
11,091
|
284,373
|
|
JPMorgan Chase & Co
|
37,058
|
13,036,635
|
|
KeyCorp
|
98,933
|
2,234,896
|
|
Pinnacle Financial Partners Inc
|
2,347
|
246,975
|
|
Wells Fargo & Co
|
57,236
|
4,948,052
|
|
Zions Bancorp NA
|
2,291
|
159,683
|
|
21,531,275
|
|||
Capital Markets - 2.8%
|
|||
Affiliated Managers Group Inc
|
755
|
276,881
|
|
Ameriprise Financial Inc
|
3,596
|
1,962,841
|
|
Blue Owl Capital Inc Class A
|
21,336
|
219,761
|
|
Carlyle Group Inc/The
|
7,124
|
327,846
|
|
Charles Schwab Corp/The
|
41,801
|
4,399,137
|
|
Evercore Inc Class A
|
548
|
175,667
|
|
Goldman Sachs Group Inc/The
|
5,007
|
5,099,030
|
|
Hamilton Lane Inc Class A (b)
|
863
|
76,729
|
|
Houlihan Lokey Inc Class A
|
1,589
|
199,404
|
|
Jefferies Financial Group Inc (b)
|
3,890
|
212,394
|
|
LPL Financial Holdings Inc
|
727
|
257,140
|
|
MarketAxess Holdings Inc
|
508
|
82,448
|
|
Morningstar Inc
|
1,174
|
226,077
|
|
Nasdaq Inc
|
21,102
|
1,987,597
|
|
Northern Trust Corp
|
11,793
|
2,148,567
|
|
SEI Investments Co
|
3,677
|
378,657
|
|
State Street Corp
|
15,494
|
2,853,375
|
|
Stifel Financial Corp
|
4,884
|
404,932
|
|
TPG Inc Class A
|
4,120
|
179,879
|
|
Tradeweb Markets Inc Class A
|
3,002
|
301,701
|
|
21,770,063
|
|||
Consumer Finance - 0.3%
|
|||
Ally Financial Inc
|
7,573
|
328,138
|
|
Credit Acceptance Corp (a)
|
250
|
142,228
|
|
OneMain Holdings Inc
|
2,154
|
134,797
|
|
SLM Corp
|
3,206
|
83,340
|
|
SoFi Technologies Inc Class A (a)(b)
|
8,510
|
138,798
|
|
Synchrony Financial
|
22,489
|
1,704,441
|
|
2,531,742
|
|||
Financial Services - 4.2%
|
|||
Affirm Holdings Inc Class A (a)
|
2,352
|
168,192
|
|
Berkshire Hathaway Inc Class B (a)
|
25,717
|
13,155,274
|
|
Corebridge Financial Inc
|
10,809
|
337,133
|
|
Equitable Holdings Inc
|
15,265
|
727,377
|
|
Mastercard Inc Class A
|
13,621
|
7,806,195
|
|
MGIC Investment Corp
|
3,280
|
98,531
|
|
Rocket Cos Inc Class A (a)
|
6,858
|
88,468
|
|
Toast Inc Class A (a)
|
5,718
|
184,520
|
|
Visa Inc Class A
|
25,608
|
9,375,857
|
|
31,941,547
|
|||
Insurance - 2.0%
|
|||
AFLAC Inc
|
20,405
|
2,601,229
|
|
American Financial Group Inc/OH
|
1,408
|
199,542
|
|
Arch Capital Group Ltd (a)
|
25,358
|
2,549,240
|
|
Brown & Brown Inc
|
16,670
|
1,173,568
|
|
CNA Financial Corp (b)
|
5,667
|
297,347
|
|
Fidelity National Financial Inc
|
2,621
|
135,217
|
|
Hartford Insurance Group Inc/The
|
19,834
|
2,814,644
|
|
Loews Corp
|
19,216
|
2,229,248
|
|
Markel Group Inc (a)
|
318
|
598,584
|
|
Old Republic International Corp
|
7,946
|
343,347
|
|
Prudential Financial Inc
|
18,062
|
2,205,009
|
|
Reinsurance Group of America Inc
|
825
|
195,401
|
|
15,342,376
|
|||
Mortgage Real Estate Investment Trusts (REITs) - 0.1%
|
|||
AGNC Investment Corp
|
6,902
|
73,575
|
|
Annaly Capital Management Inc
|
16,182
|
367,656
|
|
Rithm Capital Corp
|
21,464
|
212,064
|
|
Starwood Property Trust Inc
|
15,732
|
251,397
|
|
904,692
|
|||
TOTAL FINANCIALS
|
94,021,695
|
||
Health Care - 8.4%
|
|||
Biotechnology - 1.3%
|
|||
AbbVie Inc
|
26,441
|
6,635,105
|
|
Alnylam Pharmaceuticals Inc (a)
|
885
|
181,885
|
|
Arrowhead Pharmaceuticals Inc (a)
|
1,752
|
148,307
|
|
BioMarin Pharmaceutical Inc (a)
|
6,035
|
362,221
|
|
Bridgebio Pharma Inc (a)
|
1,790
|
143,361
|
|
Cytokinetics Inc (a)
|
1,285
|
99,111
|
|
Exelixis Inc (a)
|
5,297
|
280,900
|
|
Halozyme Therapeutics Inc (a)
|
1,893
|
156,248
|
|
Insmed Inc (a)
|
1,489
|
146,815
|
|
Ionis Pharmaceuticals Inc (a)
|
3,005
|
155,569
|
|
Moderna Inc (a)
|
6,475
|
354,960
|
|
Natera Inc (a)
|
1,000
|
267,760
|
|
Neurocrine Biosciences Inc (a)
|
1,553
|
259,040
|
|
Revolution Medicines Inc (a)
|
1,254
|
235,163
|
|
Roivant Sciences Ltd (a)
|
9,065
|
307,394
|
|
Summit Therapeutics Inc (a)
|
9,908
|
129,002
|
|
United Therapeutics Corp (a)
|
643
|
332,888
|
|
10,195,729
|
|||
Health Care Equipment & Supplies - 1.2%
|
|||
Becton Dickinson & Co
|
14,249
|
2,359,919
|
|
Globus Medical Inc Class A (a)
|
1,337
|
105,342
|
|
Intuitive Surgical Inc (a)
|
8,304
|
2,934,052
|
|
Medline Inc Class A
|
7,135
|
280,263
|
|
Medtronic PLC
|
42,193
|
3,602,861
|
|
Penumbra Inc (a)
|
408
|
131,046
|
|
Teleflex Inc (b)
|
1,244
|
170,067
|
|
9,583,550
|
|||
Health Care Providers & Services - 1.5%
|
|||
Chemed Corp
|
316
|
168,191
|
|
DaVita Inc (a)
|
2,461
|
590,861
|
|
Encompass Health Corp
|
2,966
|
329,434
|
|
Ensign Group Inc/The
|
1,337
|
238,200
|
|
HCA Healthcare Inc
|
5,336
|
2,148,220
|
|
Labcorp Holdings Inc
|
4,710
|
1,456,332
|
|
Molina Healthcare Inc (a)
|
941
|
184,078
|
|
Option Care Health Inc (a)
|
3,850
|
88,665
|
|
Tenet Healthcare Corp (a)
|
1,406
|
358,221
|
|
UnitedHealth Group Inc
|
13,494
|
5,591,914
|
|
11,154,116
|
|||
Life Sciences Tools & Services - 0.9%
|
|||
Avantor Inc (a)
|
27,328
|
376,580
|
|
Bio-Rad Laboratories Inc Class A (a)
|
973
|
316,692
|
|
Bio-Techne Corp
|
8,836
|
636,987
|
|
Bruker Corp
|
2,296
|
144,280
|
|
Danaher Corp
|
18,948
|
3,694,481
|
|
Illumina Inc (a)
|
1,947
|
399,330
|
|
Medpace Holdings Inc (a)
|
744
|
429,370
|
|
QIAGEN NV
|
7,514
|
311,080
|
|
Repligen Corp (a)
|
1,827
|
257,625
|
|
6,566,425
|
|||
Pharmaceuticals - 3.5%
|
|||
Elanco Animal Health Inc (a)
|
4,839
|
127,604
|
|
Eli Lilly & Co
|
9,702
|
11,146,047
|
|
Jazz Pharmaceuticals PLC (a)
|
1,052
|
266,009
|
|
Johnson & Johnson
|
36,548
|
9,369,080
|
|
Merck & Co Inc
|
39,402
|
5,130,140
|
|
Organon & Co
|
10,277
|
139,253
|
|
Royalty Pharma PLC Class A
|
10,907
|
637,296
|
|
26,815,429
|
|||
TOTAL HEALTH CARE
|
64,315,249
|
||
Industrials - 8.1%
|
|||
Aerospace & Defense - 2.1%
|
|||
AeroVironment Inc (a)(b)
|
632
|
94,402
|
|
ATI Inc (a)
|
1,013
|
189,877
|
|
Boeing Co (a)
|
13,157
|
2,843,754
|
|
BWX Technologies Inc
|
741
|
125,007
|
|
Carpenter Technology Corp
|
324
|
168,370
|
|
Curtiss-Wright Corp
|
607
|
439,468
|
|
FTAI Aviation Ltd
|
540
|
111,240
|
|
GE Aerospace
|
16,447
|
5,922,071
|
|
HEICO Corp
|
1,372
|
488,926
|
|
Karman Holdings Inc (a)
|
1,273
|
61,295
|
|
Kratos Defense & Security Solutions Inc (a)
|
894
|
41,660
|
|
L3Harris Technologies Inc
|
8,402
|
2,327,858
|
|
Lockheed Martin Corp
|
5,322
|
3,101,342
|
|
Moog Inc Class A
|
362
|
141,126
|
|
Rocket Lab Corp (a)
|
362
|
23,512
|
|
Woodward Inc
|
752
|
271,284
|
|
16,351,192
|
|||
Air Freight & Logistics - 0.4%
|
|||
United Parcel Service Inc Class B
|
27,023
|
2,816,337
|
|
Building Products - 0.5%
|
|||
A O Smith Corp
|
11,038
|
663,715
|
|
AAON Inc
|
1,038
|
92,444
|
|
Advanced Drainage Systems Inc
|
1,048
|
145,127
|
|
Armstrong World Industries Inc
|
1,289
|
225,137
|
|
Carlisle Cos Inc
|
1,166
|
419,667
|
|
Fortune Brands Innovations Inc
|
4,369
|
215,217
|
|
Masco Corp
|
18,298
|
1,307,941
|
|
Owens Corning
|
2,449
|
340,166
|
|
Trex Co Inc (a)
|
3,131
|
135,760
|
|
UFP Industries Inc
|
1,130
|
98,016
|
|
3,643,190
|
|||
Commercial Services & Supplies - 0.7%
|
|||
Cintas Corp
|
13,538
|
2,770,282
|
|
Clean Harbors Inc (a)
|
730
|
228,402
|
|
Republic Services Inc
|
12,277
|
2,584,922
|
|
Tetra Tech Inc
|
2,921
|
96,860
|
|
5,680,466
|
|||
Construction & Engineering - 0.2%
|
|||
AECOM
|
3,446
|
249,456
|
|
API Group Corp (a)
|
5,839
|
231,692
|
|
Dycom Industries Inc (a)
|
563
|
225,802
|
|
Fluor Corp (a)
|
3,349
|
168,019
|
|
MasTec Inc (a)
|
1,729
|
454,901
|
|
Sterling Infrastructure Inc (a)
|
324
|
193,353
|
|
Valmont Industries Inc
|
290
|
139,693
|
|
1,662,916
|
|||
Electrical Equipment - 0.8%
|
|||
Acuity Inc
|
481
|
157,956
|
|
EnerSys
|
761
|
141,584
|
|
GE Vernova Inc
|
3,705
|
3,669,024
|
|
Nextpower Inc Class A (a)
|
1,115
|
100,205
|
|
nVent Electric PLC
|
1,982
|
304,891
|
|
Regal Rexnord Corp
|
750
|
153,923
|
|
Sensata Technologies Holding PLC
|
3,228
|
149,424
|
|
Vertiv Holdings Co Class A
|
6,533
|
1,578,177
|
|
Vicor Corp (a)
|
188
|
38,985
|
|
6,294,169
|
|||
Ground Transportation - 0.7%
|
|||
JB Hunt Transport Services Inc
|
5,361
|
1,456,852
|
|
Knight-Swift Transportation Holdings Inc
|
5,092
|
354,047
|
|
Landstar System Inc
|
1,138
|
198,888
|
|
Lyft Inc Class A (a)
|
4,013
|
63,646
|
|
Ryder System Inc
|
1,174
|
301,037
|
|
Saia Inc (a)
|
348
|
120,975
|
|
U-Haul Holding Co Class N
|
2,552
|
159,704
|
|
Uber Technologies Inc (a)
|
36,451
|
2,564,692
|
|
XPO Inc (a)
|
1,013
|
203,583
|
|
5,423,424
|
|||
Industrial Conglomerates - 0.4%
|
|||
Honeywell International Inc
|
11,363
|
2,761,777
|
|
Machinery - 1.8%
|
|||
AGCO Corp
|
3,788
|
386,982
|
|
Allison Transmission Holdings Inc
|
2,460
|
281,768
|
|
Caterpillar Inc
|
7,802
|
6,357,148
|
|
CNH Industrial NV Class A (b)
|
61,944
|
634,926
|
|
Crane Co
|
556
|
118,684
|
|
Donaldson Co Inc
|
2,703
|
254,731
|
|
Dover Corp
|
10,013
|
2,048,860
|
|
Flowserve Corp
|
1,490
|
113,225
|
|
Graco Inc
|
6,410
|
508,826
|
|
IDEX Corp
|
5,228
|
1,204,793
|
|
ITT Inc
|
2,283
|
447,422
|
|
Lincoln Electric Holdings Inc
|
598
|
156,263
|
|
Middleby Corp/The (a)
|
424
|
56,638
|
|
Midera Food Processing Inc
|
424
|
20,331
|
|
Mueller Industries Inc
|
2,098
|
139,328
|
|
Oshkosh Corp
|
631
|
89,861
|
|
RBC Bearings Inc (a)
|
240
|
132,314
|
|
Timken Co/The
|
1,247
|
171,525
|
|
Toro Co/The
|
4,128
|
379,239
|
|
Watts Water Technologies Inc Class A
|
434
|
150,073
|
|
13,652,937
|
|||
Passenger Airlines - 0.1%
|
|||
Alaska Air Group Inc (a)
|
7,046
|
334,332
|
|
American Airlines Group Inc (a)
|
40,215
|
614,083
|
|
948,415
|
|||
Professional Services - 0.2%
|
|||
Booz Allen Hamilton Holding Corp Class A
|
1,998
|
139,301
|
|
CACI International Inc (a)
|
232
|
115,478
|
|
Parsons Corp (a)
|
885
|
39,126
|
|
Paylocity Holding Corp (a)
|
1,239
|
170,852
|
|
SS&C Technologies Holdings Inc
|
4,638
|
357,358
|
|
TransUnion
|
3,132
|
246,238
|
|
UL Solutions Inc Class A
|
1,496
|
137,093
|
|
1,205,446
|
|||
Trading Companies & Distributors - 0.2%
|
|||
Applied Industrial Technologies Inc
|
532
|
183,652
|
|
Core & Main Inc Class A (a)
|
1,871
|
82,268
|
|
Ferguson Enterprises Inc
|
2,615
|
612,773
|
|
QXO Inc (a)
|
9,332
|
124,116
|
|
Sunbelt Rentals Holdings Inc
|
2,121
|
152,542
|
|
Watsco Inc
|
790
|
244,347
|
|
Wesco International Inc
|
743
|
255,213
|
|
1,654,911
|
|||
TOTAL INDUSTRIALS
|
62,095,180
|
||
Information Technology - 36.0%
|
|||
Communications Equipment - 1.3%
|
|||
Arista Networks Inc (a)
|
16,328
|
2,944,755
|
|
Cisco Systems Inc
|
58,595
|
6,796,434
|
|
Ubiquiti Inc
|
173
|
96,278
|
|
Viavi Solutions Inc (a)
|
3,551
|
131,209
|
|
9,968,676
|
|||
Electronic Equipment, Instruments & Components - 0.8%
|
|||
Advanced Energy Industries Inc
|
493
|
142,733
|
|
Amphenol Corp Class A
|
18,249
|
2,932,614
|
|
Arrow Electronics Inc (a)
|
922
|
199,678
|
|
Avnet Inc
|
1,721
|
152,894
|
|
Cognex Corp
|
2,566
|
167,406
|
|
Corning Inc
|
11,607
|
1,604,668
|
|
Flex Ltd (a)
|
6,561
|
746,314
|
|
IPG Photonics Corp (a)
|
1,250
|
106,325
|
|
Littelfuse Inc
|
384
|
169,778
|
|
TD SYNNEX Corp
|
927
|
237,034
|
|
TTM Technologies Inc (a)
|
543
|
62,683
|
|
6,522,127
|
|||
IT Services - 0.5%
|
|||
Cloudflare Inc Class A (a)
|
1,045
|
291,534
|
|
IBM Corporation
|
13,050
|
2,918,633
|
|
MongoDB Inc Class A (a)
|
314
|
105,968
|
|
Okta Inc Class A (a)
|
1,789
|
253,913
|
|
Snowflake Inc (a)
|
824
|
241,663
|
|
Twilio Inc Class A (a)
|
1,208
|
238,399
|
|
4,050,110
|
|||
Semiconductors & Semiconductor Equipment - 16.5%
|
|||
Advanced Micro Devices Inc (a)
|
19,602
|
9,333,492
|
|
Amkor Technology Inc
|
2,105
|
104,976
|
|
Applied Materials Inc
|
12,251
|
6,219,465
|
|
Astera Labs Inc (a)
|
379
|
117,956
|
|
Broadcom Inc
|
56,190
|
21,873,643
|
|
Entegris Inc
|
1,868
|
222,385
|
|
GlobalFoundries Inc
|
5,137
|
256,799
|
|
Intel Corp (a)
|
57,563
|
5,192,183
|
|
Lam Research Corp
|
19,776
|
5,794,764
|
|
Lattice Semiconductor Corp (a)
|
1,323
|
164,409
|
|
MACOM Technology Solutions Holdings Inc (a)
|
630
|
158,407
|
|
Marvell Technology Inc
|
11,175
|
2,095,983
|
|
Micron Technology Inc
|
13,429
|
11,052,470
|
|
MKS Inc
|
1,129
|
335,821
|
|
NVIDIA Corp
|
283,461
|
56,904,797
|
|
Onto Innovation Inc (a)
|
585
|
151,269
|
|
Qorvo Inc (a)
|
1,427
|
129,243
|
|
QUALCOMM Inc
|
16,347
|
2,412,981
|
|
Rambus Inc (a)
|
1,367
|
124,438
|
|
Texas Instruments Inc
|
13,101
|
3,612,470
|
|
126,257,951
|
|||
Software - 8.8%
|
|||
Adobe Inc (a)
|
11,014
|
2,758,016
|
|
Appfolio Inc Class A (a)
|
873
|
157,306
|
|
AppLovin Corp Class A (a)
|
3,925
|
1,553,908
|
|
Atlassian Corp Class A (a)
|
3,249
|
328,198
|
|
Bentley Systems Inc Class B (b)
|
8,280
|
293,443
|
|
Crowdstrike Holdings Inc Class A (a)
|
13,869
|
2,647,037
|
|
Docusign Inc (a)
|
6,105
|
334,737
|
|
Dropbox Inc Class A (a)
|
5,363
|
174,619
|
|
Dynatrace Inc (a)
|
5,685
|
251,959
|
|
Elastic NV (a)
|
2,314
|
152,238
|
|
Guidewire Software Inc (a)
|
1,746
|
265,287
|
|
HubSpot Inc (a)
|
1,388
|
329,456
|
|
Intuit Inc
|
6,506
|
2,056,351
|
|
Manhattan Associates Inc (a)
|
1,093
|
209,156
|
|
Microsoft Corp
|
90,852
|
42,220,742
|
|
Nutanix Inc Class A (a)
|
2,423
|
142,981
|
|
Oracle Corp
|
22,601
|
2,935,192
|
|
Palantir Technologies Inc Class A (a)
|
29,045
|
3,574,278
|
|
Palo Alto Networks Inc (a)
|
10,850
|
3,600,356
|
|
Pegasystems Inc (b)
|
3,185
|
97,302
|
|
Procore Technologies Inc (a)
|
2,647
|
144,976
|
|
Samsara Inc Class A (a)
|
6,777
|
252,579
|
|
Strategy Inc Class A (a)
|
679
|
63,337
|
|
UiPath Inc Class A (a)
|
6,632
|
84,624
|
|
Unity Software Inc (a)
|
2,759
|
87,488
|
|
Workday Inc Class A (a)
|
8,869
|
1,422,055
|
|
Zoom Communications Inc Class A (a)
|
2,897
|
278,315
|
|
Zscaler Inc (a)
|
2,065
|
312,228
|
|
66,728,164
|
|||
Technology Hardware, Storage & Peripherals - 8.1%
|
|||
Apple Inc
|
173,131
|
53,481,897
|
|
Dell Technologies Inc Class C
|
4,289
|
1,738,631
|
|
Sandisk Corp (a)
|
1,826
|
2,218,280
|
|
Seagate Technology Holdings PLC
|
2,925
|
2,504,180
|
|
Western Digital Corp
|
4,603
|
2,507,899
|
|
62,450,887
|
|||
TOTAL INFORMATION TECHNOLOGY
|
275,977,915
|
||
Materials - 1.8%
|
|||
Chemicals - 1.0%
|
|||
Axalta Coating Systems Ltd (a)
|
3,908
|
139,945
|
|
Celanese Corp
|
2,446
|
109,385
|
|
Eastman Chemical Co
|
4,270
|
298,687
|
|
Linde PLC
|
9,485
|
4,537,435
|
|
PPG Industries Inc
|
15,396
|
1,701,566
|
|
RPM International Inc
|
3,123
|
334,380
|
|
Solstice Advanced Materials Inc
|
1,838
|
110,592
|
|
Westlake Corp
|
1,453
|
102,437
|
|
7,334,427
|
|||
Construction Materials - 0.3%
|
|||
Vulcan Materials Co
|
8,578
|
2,303,793
|
|
Containers & Packaging - 0.3%
|
|||
AptarGroup Inc
|
1,990
|
266,580
|
|
Avery Dennison Corp
|
8,013
|
1,360,047
|
|
Crown Holdings Inc
|
4,744
|
559,080
|
|
Silgan Holdings Inc
|
2,743
|
109,665
|
|
2,295,372
|
|||
Metals & Mining - 0.2%
|
|||
Alcoa Corp
|
1,933
|
87,488
|
|
Cleveland-Cliffs Inc (a)
|
9,195
|
105,926
|
|
Coeur Mining Inc
|
11,486
|
171,256
|
|
Commercial Metals Co
|
1,808
|
124,246
|
|
Hecla Mining Co
|
13,616
|
192,258
|
|
MP Materials Corp (a)
|
1,546
|
63,958
|
|
Reliance Inc
|
1,141
|
463,360
|
|
Royal Gold Inc
|
3,397
|
673,795
|
|
1,882,287
|
|||
TOTAL MATERIALS
|
13,815,879
|
||
Real Estate - 2.0%
|
|||
Diversified REITs - 0.1%
|
|||
WP Carey Inc
|
6,812
|
501,363
|
|
Health Care REITs - 0.0%
|
|||
Omega Healthcare Investors Inc
|
6,492
|
328,690
|
|
Industrial REITs - 0.1%
|
|||
EastGroup Properties Inc
|
1,296
|
270,877
|
|
First Industrial Realty Trust Inc
|
1,775
|
116,866
|
|
Lineage Inc
|
3,419
|
144,863
|
|
STAG Industrial Inc Class A
|
4,627
|
177,029
|
|
709,635
|
|||
Real Estate Management & Development - 0.0%
|
|||
Jones Lang LaSalle Inc (a)
|
730
|
259,172
|
|
Zillow Group Inc Class A (a)
|
5,300
|
183,857
|
|
443,029
|
|||
Residential REITs - 0.9%
|
|||
American Homes 4 Rent Class A
|
8,839
|
295,399
|
|
AvalonBay Communities Inc
|
13,442
|
2,494,970
|
|
Equity LifeStyle Properties Inc
|
4,888
|
318,062
|
|
Mid-America Apartment Communities Inc
|
12,744
|
1,686,541
|
|
Sun Communities Inc
|
3,554
|
438,848
|
|
UDR Inc
|
40,126
|
1,531,208
|
|
6,765,028
|
|||
Retail REITs - 0.7%
|
|||
Agree Realty Corp
|
4,192
|
326,138
|
|
Brixmor Property Group Inc
|
6,029
|
189,973
|
|
Federal Realty Investment Trust
|
10,429
|
1,294,135
|
|
NNN REIT Inc
|
6,815
|
323,849
|
|
Realty Income Corp
|
46,107
|
2,944,854
|
|
5,078,949
|
|||
Specialized REITs - 0.2%
|
|||
CubeSmart
|
5,319
|
220,526
|
|
Gaming and Leisure Properties Inc
|
12,235
|
548,006
|
|
Lamar Advertising Co Class A
|
2,645
|
423,094
|
|
1,191,626
|
|||
TOTAL REAL ESTATE
|
15,018,320
|
||
Utilities - 2.3%
|
|||
Electric Utilities - 1.0%
|
|||
Alliant Energy Corp (b)
|
26,414
|
1,869,583
|
|
Evergy Inc
|
27,419
|
2,276,051
|
|
Exelon Corp
|
57,024
|
2,612,840
|
|
OGE Energy Corp
|
6,724
|
318,381
|
|
7,076,855
|
|||
Gas Utilities - 0.0%
|
|||
National Fuel Gas Co
|
1,060
|
87,248
|
|
UGI Corp
|
2,946
|
106,410
|
|
193,658
|
|||
Independent Power and Renewable Electricity Producers - 0.0%
|
|||
Talen Energy Corp (a)
|
630
|
210,483
|
|
Multi-Utilities - 1.3%
|
|||
Ameren Corp
|
22,981
|
2,518,948
|
|
CMS Energy Corp
|
33,395
|
2,404,106
|
|
DTE Energy Co
|
16,624
|
2,358,447
|
|
NiSource Inc
|
51,651
|
2,294,854
|
|
9,576,355
|
|||
Water Utilities - 0.0%
|
|||
Essential Utilities Inc
|
8,392
|
334,421
|
|
TOTAL UTILITIES
|
17,391,772
|
||
TOTAL UNITED STATES
|
737,924,657
|
||
|
TOTAL COMMON STOCKS
(Cost $553,794,329)
|
742,571,972
|
||
Domestic Equity Funds - 1.9%
|
|||
Shares
|
Value ($)
|
||
iShares Core S&P 500 ETF
(Cost $13,405,643)
|
19,713
|
14,791,058
|
|
Money Market Funds - 1.2%
|
||||
Yield (%)
|
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund (c)
|
3.69
|
5,120,584
|
5,121,608
|
|
Fidelity Securities Lending Cash Central Fund (c)(d)
|
3.72
|
3,720,492
|
3,720,864
|
|
|
TOTAL MONEY MARKET FUNDS
(Cost $8,842,250)
|
8,842,472
|
|||
Purchased Options - 1.0%
|
||||||
Clearinghouse / Counterparty
|
Number
of Contracts
|
Notional Amount ($)
|
Exercise
Price ($)
|
Expiration
Date
|
Value ($)
|
|
Put Options
|
||||||
S&P 500 Index
|
Chicago Board Options Exchange
|
324
|
242,666,928
|
7,220
|
10/2026
|
3,333,960
|
S&P 500 Index
|
Chicago Board Options Exchange
|
272
|
203,720,384
|
6,850
|
9/2026
|
821,440
|
S&P 500 Index
|
Chicago Board Options Exchange
|
294
|
220,197,768
|
7,000
|
8/2026
|
289,590
|
S&P 500 Index
|
Chicago Board Options Exchange
|
262
|
196,230,664
|
4,850
|
7/2027
|
1,427,900
|
S&P 500 Index
|
Chicago Board Options Exchange
|
240
|
179,753,280
|
4,600
|
6/2027
|
999,600
|
S&P 500 Index
|
Chicago Board Options Exchange
|
265
|
198,477,580
|
4,700
|
5/2027
|
1,058,675
|
7,931,165
|
||||||
TOTAL PURCHASED OPTIONS
(Cost $14,666,333)
|
7,931,165
|
|||||
|
TOTAL INVESTMENT IN SECURITIES - 100.8%
(Cost $590,708,555)
|
774,136,667
|
NET OTHER ASSETS (LIABILITIES) - (0.8)%
|
(5,928,515)
|
NET ASSETS - 100.0%
|
768,208,152
|
ETF
|
-
|
EXCHANGE-TRADED FUND
|
(a)
|
Non-income producing.
|
(b)
|
Security or a portion of the security is on loan at period end.
|
(c)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
(d)
|
Investment made with cash collateral received from securities on loan.
|
Affiliate
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
Shares,
end
of period
|
Fidelity Cash Central Fund
|
4,244,203
|
153,641,395
|
152,762,060
|
68,615
|
(2,152)
|
222
|
5,121,608
|
5,120,584
|
Fidelity Securities Lending Cash Central Fund
|
4,267,939
|
32,690,294
|
33,237,369
|
2,616
|
-
|
-
|
3,720,864
|
3,720,492
|
8,512,142
|
186,331,689
|
185,999,429
|
71,231
|
(2,152)
|
222
|
8,842,472
|
Valuation Inputs at Reporting Date:
|
||||
Description
|
Total ($)
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Investments in Securities:
|
||||
Common Stocks
|
||||
Communication Services
|
73,614,195
|
73,614,195
|
-
|
-
|
Consumer Discretionary
|
66,254,502
|
66,254,502
|
-
|
-
|
Consumer Staples
|
34,804,488
|
34,804,488
|
-
|
-
|
Energy
|
22,453,135
|
22,453,135
|
-
|
-
|
Financials
|
95,055,498
|
95,055,498
|
-
|
-
|
Health Care
|
64,315,249
|
64,315,249
|
-
|
-
|
Industrials
|
62,360,751
|
62,360,751
|
-
|
-
|
Information Technology
|
276,167,652
|
276,167,652
|
-
|
-
|
Materials
|
15,004,544
|
15,004,544
|
-
|
-
|
Real Estate
|
15,018,320
|
15,018,320
|
-
|
-
|
Utilities
|
17,523,638
|
17,523,638
|
-
|
-
|
Domestic Equity Funds
|
14,791,058
|
14,791,058
|
-
|
-
|
Money Market Funds
|
8,842,472
|
8,842,472
|
-
|
-
|
Purchased Options
|
7,931,165
|
7,931,165
|
-
|
-
|
Total Investments in Securities:
|
774,136,667
|
774,136,667
|
-
|
-
|
Statement of Assets and Liabilities
|
||
As of July 31, 2026 (Unaudited)
|
||
Assets
|
||
Investments in securities, at value - unaffiliated issuers
|
$
|
765,294,195
|
Investments in securities, at value - affiliated issuers
|
8,842,472
|
|
Cash
|
68
|
|
Receivable for fund shares sold
|
1,153,378
|
|
Dividends receivable
|
363,273
|
|
Distributions receivable from affiliated funds
|
12,114
|
|
Receivable from investment adviser for expense reductions
|
14,914
|
|
Total assets
|
775,680,414
|
|
Liabilities
|
||
Payable for investments purchased
|
3,026,811
|
|
Payable for fund shares redeemed
|
365,772
|
|
Accrued management fee
|
346,683
|
|
Distribution and service plan fees payable
|
12,096
|
|
Collateral on securities loaned
|
3,720,900
|
|
Total liabilities
|
7,472,262
|
|
Net Assets
|
$
|
768,208,152
|
Net assets consist of:
|
||
Paid in capital
|
609,472,360
|
|
Total accumulated earnings (loss)
|
158,735,792
|
|
Net Assets
|
$
|
768,208,152
|
Net Asset Value and Maximum Offering
|
||
Class A
|
||
Net Asset Value and redemption price per share ($16,443,220/1,036,275 shares) a
|
$
|
15.87
|
Maximum offering price per share (100/94.25 of $15.87)
|
$
|
16.84
|
Class M
|
||
Net Asset Value and redemption price per share ($1,817,991/114,461 shares) a
|
$
|
15.88
|
Maximum offering price per share (100/96.50 of $15.88)
|
$
|
16.46
|
Class C
|
||
Net Asset Value and offering price per share ($9,682,579/618,425 shares) a
|
$
|
15.66
|
Fidelity® Hedged Equity Fund
|
||
Net Asset Value, offering price and redemption price per share ($273,652,051/17,144,853 shares)
|
$
|
15.96
|
Class I
|
||
Net Asset Value, offering price and redemption price per share ($404,637,768/25,460,125 shares)
|
$
|
15.89
|
Class Z
|
||
Net Asset Value, offering price and redemption price per share ($61,974,543/3,891,414 shares)
|
$
|
15.93
|
(a)Redemption price per unit is equal to net asset value less any applicable contingent deferred sales charge.
|
||
Other Information
|
||
Unaffiliated issuers, cost
|
581,866,305
|
|
Affiliated issuers, cost
|
8,842,250
|
|
Securities loaned, market value
|
4,112,070
|
|
Statement of Operations
|
||
Six months ended July 31, 2026 (Unaudited)
|
||
Investment Income
|
||
Dividends - unaffiliated issuers
|
$
|
4,004,488
|
Dividends - affiliated issuers
|
71,231
|
|
Security lending income - unaffiliated issuers
|
133
|
|
Total investment income
|
4,075,852
|
|
Expenses
|
||
Management fee
|
1,938,798
|
|
Distribution and service plan fees
|
64,038
|
|
Independent trustees' fees and expenses
|
94,721
|
|
Interest
|
591
|
|
Total expenses
|
2,098,148
|
|
Expense reimbursements and reductions
|
(97,253)
|
|
Total expenses after reductions
|
2,000,895
|
|
Net investment income (loss)
|
2,074,957
|
|
Net realized gain (loss)
|
||
Investments - unaffiliated issuers
|
(6,027,386)
|
|
Investments - affiliated issuers
|
(2,152)
|
|
Net realized gain (loss)
|
(6,029,538)
|
|
Change in net unrealized appreciation (depreciation)
|
||
Investments - unaffiliated issuers
|
43,193,112
|
|
Investments - affiliated issuers
|
222
|
|
Total change in net unrealized appreciation (depreciation)
|
43,193,334
|
|
Net gain (loss)
|
37,163,796
|
|
Net increase (decrease) in net assets resulting from operations
|
$
|
39,238,753
|
Other Information
|
||
Income from securities lending - Affiliated Issuers
|
2,616
|
|
Statement of Changes in Net Assets
|
||||
Six months ended
July 31, 2026
(Unaudited)
|
Year ended
January 31, 2026
|
|||
Increase (Decrease) in Net Assets
|
||||
Operations
|
||||
Net investment income (loss)
|
$
|
2,074,957
|
$
|
2,919,249
|
Net realized gain (loss)
|
(6,029,538)
|
(9,024,515)
|
||
Change in net unrealized appreciation (depreciation)
|
43,193,334
|
64,560,964
|
||
Net increase (decrease) in net assets resulting from operations
|
39,238,753
|
58,455,698
|
||
Distributions to shareholders
|
||||
Distributions to shareholders
|
-
|
(3,009,692)
|
||
Total distributions
|
-
|
(3,009,692)
|
||
Net increase (decrease) in net assets resulting from share transactions
|
67,046,517
|
262,129,329
|
||
Total increase (decrease) in net assets
|
106,285,270
|
317,575,335
|
||
Net Assets
|
||||
Beginning of period
|
661,922,882
|
344,347,547
|
||
End of period
|
$
|
768,208,152
|
$
|
661,922,882
|
Fidelity Advisor® Hedged Equity Fund Class A |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
14.99
|
$
|
13.35
|
$
|
11.24
|
$
|
9.91
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) B, C
|
.03
|
.06
|
.07
|
.08
|
.04
|
|||||
Net realized and unrealized gain (loss)
|
.85
|
1.66
|
2.11
|
1.30
|
(.10)
|
|||||
Total from investment operations
|
.88
|
1.72
|
2.18
|
1.38
|
(.06)
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
-
|
(.08)
|
(.07)
|
(.05)
|
(.03)
|
|||||
Total distributions
|
-
|
(.08)
|
(.07)
|
(.05)
|
(.03)
|
|||||
Net asset value, end of period
|
$
|
15.87
|
$
|
14.99
|
$
|
13.35
|
$
|
11.24
|
$
|
9.91
|
Total Return D, E, F
|
5.87%
|
12.85%
|
19.39%
|
13.95%
|
(.59)%
|
|||||
Ratios and Supplemental Data B, G, H
|
||||||||||
Ratio of expenses to average net assets before reductions
|
.83% I
|
.84%
|
.84%
|
.89%
|
1.34% I
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
.80% I
|
.80%
|
.80%
|
.80%
|
.80% I
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
.80% I
|
.80%
|
.80%
|
.80%
|
.79% I
|
|||||
Ratio of net investment income (loss) to average net assets
|
.34% I
|
.42%
|
.54%
|
.81%
|
.90% I
|
|||||
Net assets, end of period
|
$
|
16,443,220
|
$
|
13,238,578
|
$
|
2,393,291
|
$
|
1,292,316
|
$
|
1,317,089
|
Portfolio turnover rate J
|
98% I
|
107%
|
56%
|
38%
|
21% K
|
|||||
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023.
|
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
CCalculated based on average shares outstanding during the period.
|
DTotal returns do not include the effect of the sales charges.
|
ETotal returns for periods of less than one year are not annualized.
|
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
GExpense 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.
|
HFees 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.
|
IAnnualized.
|
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
KAmount not annualized.
|
Fidelity Advisor® Hedged Equity Fund Class M |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
15.03
|
$
|
13.35
|
$
|
11.23
|
$
|
9.91
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) B, C
|
.01
|
.02
|
.04
|
.06
|
.03
|
|||||
Net realized and unrealized gain (loss)
|
.84
|
1.67
|
2.10
|
1.29
|
(.10)
|
|||||
Total from investment operations
|
.85
|
1.69
|
2.14
|
1.35
|
(.07)
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
-
|
(.01)
|
(.02)
|
(.03)
|
(.02)
|
|||||
Total distributions
|
-
|
(.01)
|
(.02)
|
(.03)
|
(.02)
|
|||||
Net asset value, end of period
|
$
|
15.88
|
$
|
15.03
|
$
|
13.35
|
$
|
11.23
|
$
|
9.91
|
Total Return D, E, F
|
5.66%
|
12.67%
|
19.07%
|
13.64%
|
(.71)%
|
|||||
Ratios and Supplemental Data C, G, H
|
||||||||||
Ratio of expenses to average net assets before reductions
|
1.08% I
|
1.09%
|
1.09%
|
1.14%
|
1.54% I
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.05% I
|
1.05%
|
1.05%
|
1.05%
|
1.05% I
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
1.05% I
|
1.05%
|
1.05%
|
1.05%
|
1.04% I
|
|||||
Ratio of net investment income (loss) to average net assets
|
.11% I
|
.17%
|
.29%
|
.56%
|
.65% I
|
|||||
Net assets, end of period
|
$
|
1,817,991
|
$
|
2,124,060
|
$
|
833,876
|
$
|
644,871
|
$
|
508,521
|
Portfolio turnover rate J
|
98% I
|
107%
|
56%
|
38%
|
21% K
|
|||||
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DTotal returns do not include the effect of the sales charges.
|
ETotal returns for periods of less than one year are not annualized.
|
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
GFees 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.
|
HExpense 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.
|
IAnnualized.
|
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
KAmount not annualized.
|
Fidelity Advisor® Hedged Equity Fund Class C |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
14.85
|
$
|
13.25
|
$
|
11.20
|
$
|
9.90
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) B, C
|
(.03)
|
(.05)
|
(.03)
|
.01
|
.01
|
|||||
Net realized and unrealized gain (loss)
|
.84
|
1.65
|
2.10
|
1.29
|
(.11)
|
|||||
Total from investment operations
|
.81
|
1.60
|
2.07
|
1.30
|
(.10)
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
-
|
-
|
(.02)
|
-
|
- D
|
|||||
Total distributions
|
-
|
-
|
(.02)
|
-
|
- D
|
|||||
Net asset value, end of period
|
$
|
15.66
|
$
|
14.85
|
$
|
13.25
|
$
|
11.20
|
$
|
9.90
|
Total Return E, F, G
|
5.45%
|
12.08%
|
18.50%
|
13.13%
|
(.97)%
|
|||||
Ratios and Supplemental Data C, H, I
|
||||||||||
Ratio of expenses to average net assets before reductions
|
1.57% J
|
1.58%
|
1.59%
|
1.64%
|
2.04% J
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.55% J
|
1.55%
|
1.55%
|
1.55%
|
1.55% J
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
1.55% J
|
1.55%
|
1.54%
|
1.55%
|
1.54% J
|
|||||
Ratio of net investment income (loss) to average net assets
|
(.41)% J
|
(.33)%
|
(.21)%
|
.06%
|
.15% J
|
|||||
Net assets, end of period
|
$
|
9,682,579
|
$
|
6,932,526
|
$
|
1,930,790
|
$
|
678,318
|
$
|
526,288
|
Portfolio turnover rate K
|
98% J
|
107%
|
56%
|
38%
|
21% L
|
|||||
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DAmount represents less than .005%.
|
ETotal returns do not include the effect of the contingent deferred sales charge.
|
FTotal returns for periods of less than one year are not annualized.
|
GTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
HExpense 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.
|
IFees 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.
|
JAnnualized.
|
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
LAmount not annualized.
|
Fidelity® Hedged Equity Fund |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
15.06
|
$
|
13.36
|
$
|
11.23
|
$
|
9.91
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) B, C
|
.05
|
.09
|
.10
|
.11
|
.05
|
|||||
Net realized and unrealized gain (loss)
|
.85
|
1.67
|
2.11
|
1.30
|
(.10)
|
|||||
Total from investment operations
|
.90
|
1.76
|
2.21
|
1.41
|
(.05)
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
-
|
(.06)
|
(.08)
|
(.09)
|
(.04)
|
|||||
Total distributions
|
-
|
(.06)
|
(.08)
|
(.09)
|
(.04)
|
|||||
Net asset value, end of period
|
$
|
15.96
|
$
|
15.06
|
$
|
13.36
|
$
|
11.23
|
$
|
9.91
|
Total Return D, E
|
5.98%
|
13.21%
|
19.69%
|
14.22%
|
(.54)%
|
|||||
Ratios and Supplemental Data C, F, G
|
||||||||||
Ratio of expenses to average net assets before reductions
|
.58% H
|
.59%
|
.59%
|
.61%
|
1.12% H
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
.55% H
|
.55%
|
.55%
|
.55%
|
.55% H
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
.55% H
|
.55%
|
.55%
|
.55%
|
.54% H
|
|||||
Ratio of net investment income (loss) to average net assets
|
.60% H
|
.66%
|
.79%
|
1.06%
|
1.15% H
|
|||||
Net assets, end of period
|
$
|
273,652,051
|
$
|
282,408,012
|
$
|
211,130,688
|
$
|
219,075,549
|
$
|
46,678,041
|
Portfolio turnover rate I
|
98% H
|
107%
|
56%
|
38%
|
21% J
|
|||||
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DTotal returns for periods of less than one year are not annualized.
|
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
FExpense 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.
|
GFees 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.
|
HAnnualized.
|
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
JAmount not annualized.
|
Fidelity Advisor® Hedged Equity Fund Class I |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
15.00
|
$
|
13.33
|
$
|
11.23
|
$
|
9.91
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) B, C
|
.05
|
.09
|
.10
|
.11
|
.05
|
|||||
Net realized and unrealized gain (loss)
|
.84
|
1.66
|
2.12
|
1.30
|
(.10)
|
|||||
Total from investment operations
|
.89
|
1.75
|
2.22
|
1.41
|
(.05)
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
-
|
(.08)
|
(.12)
|
(.09)
|
(.04)
|
|||||
Total distributions
|
-
|
(.08)
|
(.12)
|
(.09)
|
(.04)
|
|||||
Net asset value, end of period
|
$
|
15.89
|
$
|
15.00
|
$
|
13.33
|
$
|
11.23
|
$
|
9.91
|
Total Return D, E
|
5.93%
|
13.17%
|
19.77%
|
14.22%
|
(.54)%
|
|||||
Ratios and Supplemental Data B, F, G
|
||||||||||
Ratio of expenses to average net assets before reductions
|
.58% H
|
.59%
|
.60%
|
.63%
|
1.04% H
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
.55% H
|
.55%
|
.55%
|
.55%
|
.55% H
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
.55% H
|
.55%
|
.54%
|
.55%
|
.55% H
|
|||||
Ratio of net investment income (loss) to average net assets
|
.60% H
|
.66%
|
.79%
|
1.06%
|
1.15% H
|
|||||
Net assets, end of period
|
$
|
404,637,768
|
$
|
313,292,797
|
$
|
69,997,356
|
$
|
984,292
|
$
|
497,367
|
Portfolio turnover rate I
|
98% H
|
107%
|
56%
|
38%
|
21% J
|
|||||
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023.
|
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
CCalculated based on average shares outstanding during the period.
|
DTotal returns for periods of less than one year are not annualized.
|
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
FFees 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.
|
GExpense 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.
|
HAnnualized.
|
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
JAmount not annualized.
|
Fidelity Advisor® Hedged Equity Fund Class Z |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024
|
2023 A
|
||||||
Selected Per Share Data
|
||||||||||
Net asset value, beginning of period
|
$
|
15.02
|
$
|
13.34
|
$
|
11.24
|
$
|
9.91
|
$
|
10.00
|
Income from Investment Operations
|
||||||||||
Net investment income (loss) B, C
|
.05
|
.10
|
.11
|
.12
|
.05
|
|||||
Net realized and unrealized gain (loss)
|
.86
|
1.66
|
2.11
|
1.29
|
(.10)
|
|||||
Total from investment operations
|
.91
|
1.76
|
2.22
|
1.41
|
(.05)
|
|||||
Distributions
|
||||||||||
Distributions from net investment income
|
-
|
(.08)
|
(.12)
|
(.08)
|
(.04)
|
|||||
Total distributions
|
-
|
(.08)
|
(.12)
|
(.08)
|
(.04)
|
|||||
Net asset value, end of period
|
$
|
15.93
|
$
|
15.02
|
$
|
13.34
|
$
|
11.24
|
$
|
9.91
|
Total Return D, E
|
6.06%
|
13.21%
|
19.79%
|
14.30%
|
(.54)%
|
|||||
Ratios and Supplemental Data C, F, G
|
||||||||||
Ratio of expenses to average net assets before reductions
|
.53% H
|
.54%
|
.53%
|
.59%
|
1.01% H
|
|||||
Ratio of expenses to average net assets net of fee waivers, if any
|
.50% H
|
.50%
|
.50%
|
.50%
|
.50% H
|
|||||
Ratio of expenses to average net assets net of all reductions, if any
|
.50% H
|
.50%
|
.50%
|
.50%
|
.50% H
|
|||||
Ratio of net investment income (loss) to average net assets
|
.64% H
|
.71%
|
.84%
|
1.11%
|
1.20% H
|
|||||
Net assets, end of period
|
$
|
61,974,543
|
$
|
43,926,909
|
$
|
58,061,546
|
$
|
1,310,731
|
$
|
719,793
|
Portfolio turnover rate I
|
98% H
|
107%
|
56%
|
38%
|
21% J
|
|||||
AFor the period September 1, 2022 (commencement of operations) through January 31, 2023.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
ETotal returns for periods of less than one year are not annualized.
|
FExpense 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.
|
GFees 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.
|
HAnnualized.
|
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
JAmount not annualized.
|
Fidelity® Hedged Equity Fund
|
Class A, Class M, Class C, Fidelity® Hedged Equity Fund, Class I, and Class Z
|
Tax Cost ($)
|
Gross unrealized appreciation ($)
|
Gross unrealized depreciation ($)
|
Net unrealized appreciation (depreciation) ($)
|
|
Fidelity® Hedged Equity Fund
|
597,958,525
|
206,782,723
|
(30,604,581)
|
176,178,142
|
Short-term ($)
|
Long-term ($)
|
Total capital loss carryforward ($)
|
|
Fidelity® Hedged Equity Fund
|
(7,793,627)
|
(11,087,128)
|
(18,880,755)
|
|
Equity Risk
|
Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
|
Primary Risk Exposure / Derivative Type
|
Values of Derivative Assets ($)
|
Values of Derivative Liabilities ($)
|
Net Realized Gain (Loss) ($)
|
Change in Net Unrealized Appreciation (Depreciation) ($)
|
|||
Fidelity® Hedged Equity Fund
|
|||||||
Equity Risk
|
|||||||
Purchased Options
|
7,931,165
|
-
|
(15,133,533)
|
(2,311,829)
|
|||
Total Equity Risk
|
7,931,165
|
-
|
(15,133,533)
|
(2,311,829)
|
|||
Totals
|
7,931,165
|
-
|
(15,133,533)
|
(2,311,829)
|
Average Amount ($)
|
|
Fidelity® Hedged Equity Fund
|
|
Purchased Options
|
1,179,472,922
|
Purchases ($)
|
Sales ($)
|
|
Fidelity® Hedged Equity Fund
|
396,010,992
|
343,573,992
|
Management Fee
Rate % |
|
Fidelity® Hedged Equity Fund
|
|
Class A
|
0.55%
|
Class M
|
0.55%
|
Class C
|
0.55%
|
Fidelity® Hedged Equity Fund
|
0.55%
|
Class I
|
0.55%
|
Class Z
|
0.50%
|
Distribution Fee %
|
Service Fee %
|
Total Fees ($)
|
Retained by FDC ($)
|
||||
Fidelity® Hedged Equity Fund
|
|||||||
Class A
|
-
|
.25
|
18,613
|
6,772
|
|||
Class M
|
.25
|
.25
|
4,630
|
438
|
|||
Class C
|
.75
|
.25
|
40,795
|
28,045
|
|||
64,038
|
35,255
|
||||||
Front-End Sales
Charge (%) |
Deferred Sales
Charge (%) |
Retained by FDC ($)
|
|||
Fidelity® Hedged Equity Fund
|
|||||
Class A A
|
5.75
|
1.00
|
5,644
|
||
Class M A
|
3.50
|
.25
|
523
|
||
Class C B
|
-
|
1.00
|
15
|
||
6,182
|
|||||
Borrower or Lender
|
Average Loan Balance ($)
|
Weighted Average Interest Rate (%)
|
Interest expense ($)
|
|
Fidelity® Hedged Equity Fund
|
Borrower
|
5,484,000
|
3.88
|
591
|
Purchases ($)
|
Sales ($)
|
Realized Gain (Loss) ($)
|
|
Fidelity® Hedged Equity Fund
|
2,076,583
|
507,355
|
79,331
|
Total Security Lending Fees Paid to NFS ($)
|
Security Lending Income From Securities Loaned to NFS ($)
|
Value of Securities Loaned to NFS at Period End ($)
|
|
Fidelity® Hedged Equity Fund
|
270
|
-
|
-
|
Amount ($)
|
|
Fidelity® Hedged Equity Fund
|
496,847
|
Expense Limitation (%)
|
Expiration Date
|
Reimbursement ($)
|
|
Fidelity® Hedged Equity Fund
|
|||
Class A
|
0.80
|
May 31,2027
|
1,991
|
Class M
|
1.05
|
May 31,2027
|
281
|
Class C
|
1.55
|
May 31,2027
|
1,106
|
Fidelity® Hedged Equity Fund
|
0.55
|
May 31,2027
|
36,610
|
Class I
|
0.55
|
May 31,2027
|
48,613
|
Class Z
|
0.50
|
May 31,2027
|
6,448
|
Custodian Credits ($)
|
|
Fidelity® Hedged Equity Fund
|
2,205
|
Six months ended ($)
|
Year ended ($)
|
|||
July 31, 2026
|
January 31, 2026
|
|||
Fidelity® Hedged Equity Fund
|
||||
Class A
|
-
|
57,638
|
||
Class M
|
-
|
1,186
|
||
Fidelity® Hedged Equity Fund
|
-
|
1,186,134
|
||
Class I
|
-
|
1,542,312
|
||
Class Z
|
-
|
222,422
|
||
Total
|
3,009,692
|
|||
Shares
|
Shares
|
Dollars
|
Dollars
|
||||||
Six months ended
|
Year ended
|
Six months ended ($)
|
Year ended ($)
|
||||||
July 31, 2026
|
January 31, 2026
|
July 31, 2026
|
January 31, 2026
|
||||||
Fidelity® Hedged Equity Fund
|
|||||||||
Class A
|
|||||||||
Shares sold
|
295,368
|
775,697
|
4,491,257
|
11,155,115
|
|||||
Reinvestment of distributions
|
-
|
3,839
|
-
|
56,964
|
|||||
Shares redeemed
|
(142,138)
|
(75,822)
|
(2,134,916)
|
(1,080,371)
|
|||||
Net increase (decrease)
|
153,230
|
703,714
|
2,356,341
|
10,131,708
|
|||||
Class M
|
|||||||||
Shares sold
|
33,607
|
108,495
|
511,426
|
1,546,706
|
|||||
Reinvestment of distributions
|
-
|
79
|
-
|
1,176
|
|||||
Shares redeemed
|
(60,510)
|
(29,666)
|
(903,153)
|
(440,095)
|
|||||
Net increase (decrease)
|
(26,903)
|
78,908
|
(391,727)
|
1,107,787
|
|||||
Class C
|
|||||||||
Shares sold
|
243,552
|
357,047
|
3,703,433
|
5,029,844
|
|||||
Shares redeemed
|
(92,008)
|
(35,880)
|
(1,369,668)
|
(500,985)
|
|||||
Net increase (decrease)
|
151,544
|
321,167
|
2,333,765
|
4,528,859
|
|||||
Fidelity® Hedged Equity Fund
|
|||||||||
Shares sold
|
2,473,384
|
10,947,018
|
37,678,902
|
147,634,095
|
|||||
Reinvestment of distributions
|
-
|
77,603
|
-
|
1,157,055
|
|||||
Shares redeemed
|
(4,078,719)
|
(8,072,891)
|
(59,856,770)
|
(111,004,546)
|
|||||
Net increase (decrease)
|
(1,605,335)
|
2,951,730
|
(22,177,868)
|
37,786,604
|
|||||
Class I
|
|||||||||
Shares sold
|
13,260,755
|
23,991,167
|
205,359,721
|
331,760,602
|
|||||
Reinvestment of distributions
|
-
|
100,320
|
-
|
1,488,750
|
|||||
Shares redeemed
|
(8,690,596)
|
(8,453,043)
|
(135,859,694)
|
(110,217,731)
|
|||||
Net increase (decrease)
|
4,570,159
|
15,638,444
|
69,500,027
|
223,031,621
|
|||||
Class Z
|
|||||||||
Shares sold
|
1,652,795
|
2,747,207
|
25,744,112
|
39,249,016
|
|||||
Reinvestment of distributions
|
-
|
12,922
|
-
|
192,144
|
|||||
Shares redeemed
|
(685,047)
|
(4,188,978)
|
(10,318,133)
|
(53,898,410)
|
|||||
Net increase (decrease)
|
967,748
|
(1,428,849)
|
15,425,979
|
(14,457,250)
|
VIP Funds Manager 60% Portfolio
|
|
Fidelity ® Hedged Equity Fund
|
11%
|
Fund
|
% of shares held
|
Fidelity ® Hedged Equity Fund
|
23
|
 |
Contents
Common Stocks - 28.6%
|
|||
Shares
|
Value ($)
|
||
UNITED STATES - 28.6%
|
|||
Consumer Staples - 6.7%
|
|||
Tobacco - 6.7%
|
|||
Philip Morris International Inc
|
445,000
|
84,914,900
|
|
Energy - 0.5%
|
|||
Oil, Gas & Consumable Fuels - 0.5%
|
|||
Chevron Corp
|
33,000
|
6,495,390
|
|
Financials - 12.6%
|
|||
Banks - 3.4%
|
|||
Citigroup Inc
|
325,000
|
43,046,250
|
|
Capital Markets - 0.7%
|
|||
Morgan Stanley
|
41,700
|
8,774,514
|
|
Financial Services - 8.5%
|
|||
Mastercard Inc Class A
|
188,200
|
107,857,420
|
|
TOTAL FINANCIALS
|
159,678,184
|
||
Health Care - 0.6%
|
|||
Biotechnology - 0.6%
|
|||
AbbVie Inc
|
32,000
|
8,030,080
|
|
Information Technology - 8.2%
|
|||
Semiconductors & Semiconductor Equipment - 4.8%
|
|||
Broadcom Inc
|
75,000
|
29,196,000
|
|
NVIDIA Corp
|
157,000
|
31,517,750
|
|
60,713,750
|
|||
Software - 3.4%
|
|||
Microsoft Corp
|
88,000
|
40,895,360
|
|
Oracle Corp
|
25,900
|
3,363,633
|
|
44,258,993
|
|||
TOTAL INFORMATION TECHNOLOGY
|
104,972,743
|
||
TOTAL UNITED STATES
|
364,091,297
|
||
|
TOTAL COMMON STOCKS
(Cost $294,352,981)
|
364,091,297
|
||
Convertible Corporate Bonds - 36.8%
|
|||
Principal
Amount (a)
|
Value ($)
|
||
AUSTRALIA - 0.8%
|
|||
Information Technology - 0.8%
|
|||
Software - 0.8%
|
|||
IREN Ltd 1% 12/1/2033 (b)
|
14,000,000
|
10,535,000
|
|
CANADA - 0.8%
|
|||
Energy - 0.8%
|
|||
Oil, Gas & Consumable Fuels - 0.8%
|
|||
Denison Mines Corp 4.25% 9/15/2031 (b)
|
7,500,000
|
10,068,750
|
|
MONACO - 0.8%
|
|||
Energy - 0.8%
|
|||
Oil, Gas & Consumable Fuels - 0.8%
|
|||
Scorpio Tankers Inc 1.75% 4/15/2031 (b)
|
10,000,000
|
10,569,000
|
|
UNITED STATES - 34.4%
|
|||
Communication Services - 2.1%
|
|||
Entertainment - 2.1%
|
|||
Liberty Live Holdings Inc 2.375% 9/30/2053 (b)
|
15,250,000
|
26,847,625
|
|
Consumer Discretionary - 5.8%
|
|||
Automobile Components - 3.4%
|
|||
LCI Industries 3% 3/1/2030
|
38,792,000
|
42,613,012
|
|
Broadline Retail - 0.6%
|
|||
Etsy Inc 0.25% 6/15/2028
|
9,000,000
|
8,235,000
|
|
Hotels, Restaurants & Leisure - 1.8%
|
|||
Cheesecake Factory Inc/The 2% 3/15/2030
|
11,861,000
|
18,040,581
|
|
Marriott Vacations Worldwide Corp 3.25% 12/15/2027
|
5,500,000
|
5,398,250
|
|
23,438,831
|
|||
TOTAL CONSUMER DISCRETIONARY
|
74,286,843
|
||
Energy - 0.2%
|
|||
Oil, Gas & Consumable Fuels - 0.2%
|
|||
Northern Oil & Gas Inc 3.625% 4/15/2029
|
2,500,000
|
2,479,445
|
|
Financials - 3.5%
|
|||
Capital Markets - 2.0%
|
|||
Galaxy Digital Holdings LP 2.5% 12/1/2029 (b)
|
20,750,000
|
25,564,000
|
|
Financial Services - 1.5%
|
|||
Euronet Worldwide Inc 0.625% 10/1/2030 (b)
|
20,520,000
|
18,519,300
|
|
TOTAL FINANCIALS
|
44,083,300
|
||
Health Care - 3.0%
|
|||
Biotechnology - 3.0%
|
|||
Alnylam Pharmaceuticals Inc 1% 9/15/2027
|
8,500,000
|
8,783,050
|
|
Cytokinetics Inc 1.75% 10/1/2031 (b)
|
3,920,000
|
5,456,150
|
|
Mirum Pharmaceuticals Inc 0% 6/1/2032 (b)(c)
|
14,630,000
|
14,886,025
|
|
Mirum Pharmaceuticals Inc 4% 5/1/2029
|
2,833,000
|
9,533,045
|
|
TOTAL HEALTH CARE
|
38,658,270
|
||
Industrials - 7.1%
|
|||
Commercial Services & Supplies - 2.6%
|
|||
Pitney Bowes Inc 1.5% 8/15/2030 (b)
|
22,500,000
|
30,228,750
|
|
Tetra Tech Inc 2.25% 8/15/2028
|
3,000,000
|
3,297,000
|
|
33,525,750
|
|||
Electrical Equipment - 1.0%
|
|||
Enovix Corp 4.75% 9/15/2030 (b)
|
19,000,000
|
13,323,750
|
|
Ground Transportation - 3.5%
|
|||
Knight-Swift Transportation Holdings Inc 1% 11/15/2031 (b)
|
40,000,000
|
43,580,000
|
|
TOTAL INDUSTRIALS
|
90,429,500
|
||
Information Technology - 7.7%
|
|||
IT Services - 0.3%
|
|||
Akamai Technologies Inc 1.125% 2/15/2029
|
3,000,000
|
3,535,500
|
|
Software - 3.8%
|
|||
A10 Networks Inc 2.75% 4/1/2030
|
10,000,000
|
14,405,416
|
|
BlackLine Inc 1% 6/1/2029
|
5,000,000
|
4,650,000
|
|
Box Inc 1.5% 9/15/2029
|
3,000,000
|
3,114,000
|
|
Life360 Inc 0% 6/1/2030 (c)
|
21,000,000
|
21,577,500
|
|
Unity Software Inc 0% 11/15/2026 (c)
|
5,172,000
|
5,086,662
|
|
48,833,578
|
|||
Technology Hardware, Storage & Peripherals - 3.6%
|
|||
Western Digital Corp 3% 11/15/2028
|
3,210,000
|
46,131,552
|
|
TOTAL INFORMATION TECHNOLOGY
|
98,500,630
|
||
Real Estate - 4.7%
|
|||
Health Care REITs - 2.3%
|
|||
Healthcare Realty Holdings LP 3% 1/15/2032 (b)
|
28,000,000
|
29,232,000
|
|
Real Estate Management & Development - 1.0%
|
|||
Compass Inc 0.25% 4/15/2031 (b)
|
11,998,000
|
12,504,316
|
|
Retail REITs - 1.4%
|
|||
Kimco Realty OP LLC 3.5% 6/15/2031 (b)
|
5,990,000
|
6,106,805
|
|
Kite Realty Group LP 3.25% 4/15/2032 (b)
|
11,429,000
|
11,360,426
|
|
17,467,231
|
|||
TOTAL REAL ESTATE
|
59,203,547
|
||
Utilities - 0.3%
|
|||
Electric Utilities - 0.3%
|
|||
Southern Co/The 3.25% 6/15/2028
|
3,267,000
|
3,293,136
|
|
TOTAL UNITED STATES
|
437,782,296
|
||
|
TOTAL CONVERTIBLE CORPORATE BONDS
(Cost $470,262,247)
|
468,955,046
|
||
Domestic Equity Funds - 2.0%
|
|||
Shares
|
Value ($)
|
||
Financial Select Sector SPDR ETF
(Cost $21,779,782)
|
438,300
|
24,956,802
|
|
U.S. Treasury Obligations - 28.5%
|
||||
Yield (%) (d)
|
Principal
Amount (a)
|
Value ($)
|
||
US Treasury Bills 0% 10/29/2026 (e)
|
3.82
|
85,000,000
|
84,244,744
|
|
US Treasury Bills 0% 10/8/2026 (e)(f)
|
3.76
|
135,000,000
|
134,090,231
|
|
US Treasury Bills 0% 9/3/2026 (e)
|
3.64 to 3.66
|
145,000,000
|
144,545,594
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $362,773,609)
|
362,880,569
|
|||
Money Market Funds - 4.1%
|
||||
Yield (%)
|
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund (g)
(Cost $51,979,308)
|
3.69
|
51,968,986
|
51,979,380
|
|
|
TOTAL INVESTMENT IN SECURITIES - 100.0%
(Cost $1,201,147,927)
|
1,272,863,094
|
NET OTHER ASSETS (LIABILITIES) - 0.0%
|
(236,822)
|
NET ASSETS - 100.0%
|
1,272,626,272
|
Futures Contracts
|
||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
|
Value and Unrealized
Appreciation/
(Depreciation) ($)
|
|
SHORT
|
||||
CBOT 2Y US Treasury Notes Contracts (United States)
|
(800)
|
9/2026
|
(164,556,250)
|
477,210
|
CBOT 5Y US Treasury Notes Contracts (United States)
|
(1,100)
|
9/2026
|
(116,737,500)
|
913,950
|
TOTAL SHORT
|
1,391,160
|
|||
Total Return Swaps
|
|||||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index of 3.65% plus or minus a specified spread ranging from (0.75)% to 0.55% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap
|
Bank of Montreal
|
10/2026
|
3,048,619,217
|
736,644
|
2,439,595
|
3,176,239
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount (a)
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Convertible Corporate Bonds
|
|||||||
UNITED STATES -128.7%
|
|||||||
Communication Services - (28.7)%
|
|||||||
Entertainment - (31.7)%
|
|||||||
Live Nation Entertainment Inc 3.125% 1/15/2029
|
111,770
|
19,035,130
|
(470,823)
|
||||
Liberty Media Corp-Liberty Formula One 2.25% 8/15/2027
|
243,660
|
30,957,003
|
(538,184)
|
||||
49,992,133
|
(1,009,007)
|
||||||
Interactive Media & Services - 3.0%
|
|||||||
Match Group Financeco 3 Inc 2% 1/15/2030 (1)
|
450,000
|
41,505,293
|
96,358
|
||||
TOTAL COMMUNICATION SERVICES
|
91,497,426
|
(912,649)
|
|||||
Utilities - (38.9)%
|
|||||||
Multi-Utilities - (11.6)%
|
|||||||
WEC Energy Group Inc 4.375% 6/1/2029
|
125,000
|
14,869,184
|
(369,550)
|
||||
Electric Utilities - (24.2)%
|
|||||||
Pinnacle West Capital Corp 4.75% 6/15/2027
|
140,000
|
15,992,667
|
(818,957)
|
||||
Southern Co/The 3.25% 6/15/2028
|
161,330
|
16,331,974
|
51,379
|
||||
32,324,641
|
(767,578)
|
||||||
Gas Utilities - (3.1)%
|
|||||||
UGI Corp 5% 6/1/2028
|
90,000
|
12,444,400
|
(99,440)
|
||||
TOTAL UTILITIES
|
59,638,225
|
(1,236,568)
|
|||||
Health Care - 42.5%
|
|||||||
Biotechnology - 28.1%
|
|||||||
Halozyme Therapeutics Inc 1% 8/15/2028
|
108,330
|
16,554,630
|
892,447
|
||||
Pharmaceuticals - 14.4%
|
|||||||
BofA Finance LLC 0.6% 5/25/2027
|
235,000
|
29,812,883
|
956,998
|
||||
Zoetis Inc 0.25% 6/15/2029 (1)
|
445,000
|
40,799,083
|
75,416
|
||||
Ligand Pharmaceuticals Inc 0.75% 10/1/2030 (1)
|
181,910
|
28,953,541
|
(574,675)
|
||||
99,565,507
|
457,739
|
||||||
TOTAL HEALTH CARE
|
116,120,137
|
1,350,186
|
|||||
Energy - (117.0)%
|
|||||||
Energy Equipment & Services - (116.6)%
|
|||||||
Atlas Energy Solutions Inc 0.5% 4/15/2031 (1)
|
189,520
|
19,461,493
|
(3,704,621)
|
||||
Oil, Gas & Consumable Fuels - (0.4)%
|
|||||||
Green Plains Inc 2.25% 3/15/2027
|
50,000
|
5,019,410
|
(13,382)
|
||||
TOTAL ENERGY
|
24,480,903
|
(3,718,003)
|
|||||
Consumer Staples - 140.6%
|
|||||||
Consumer Staples Distribution & Retail - 136.4%
|
|||||||
Chefs' Warehouse Inc/The 2.375% 12/15/2028
|
110,000
|
29,287,133
|
4,332,285
|
||||
Food Products - 4.2%
|
|||||||
Freshpet Inc 3% 4/1/2028
|
165,000
|
19,233,500
|
133,100
|
||||
TOTAL CONSUMER STAPLES
|
48,520,633
|
4,465,385
|
|||||
Real Estate - (9.9)%
|
|||||||
Health Care REITs - (9.0)%
|
|||||||
Welltower OP LLC 2.75% 5/15/2028 (1)
|
180,000
|
44,099,250
|
(286,225)
|
||||
Retail REITs - (0.9)%
|
|||||||
Kimco Realty OP LLC 3.5% 6/15/2031 (1)
|
170,000
|
17,410,833
|
(29,193)
|
||||
TOTAL REAL ESTATE
|
61,510,083
|
(315,418)
|
|||||
Financials - (15.2)%
|
|||||||
Capital Markets - (26.0)%
|
|||||||
Coinbase Global Inc 0.25% 4/1/2030
|
100,000
|
8,885,621
|
(432,071)
|
||||
Galaxy Digital Holdings LP 2.5% 12/1/2029 (1)
|
37,500
|
4,636,146
|
(393,298)
|
||||
13,521,767
|
(825,369)
|
||||||
Financial Services - 10.8%
|
|||||||
Global Payments Inc 1.5% 3/1/2031
|
330,000
|
30,635,000
|
342,782
|
||||
TOTAL FINANCIALS
|
44,156,767
|
(482,587)
|
|||||
Materials - (476.3)%
|
|||||||
Metals & Mining - (476.3)%
|
|||||||
MP Materials Corp 3% 3/1/2030 (1)
|
429,500
|
88,157,738
|
(15,303,228)
|
||||
Century Aluminum Co 2.75% 5/1/2028
|
37,500
|
9,013,229
|
175,795
|
||||
97,170,967
|
(15,127,433)
|
||||||
TOTAL MATERIALS
|
97,170,967
|
(15,127,433)
|
|||||
Industrials - (28.5)%
|
|||||||
Commercial Services & Supplies - 9.1%
|
|||||||
Tetra Tech Inc 2.25% 8/15/2028
|
138,000
|
15,311,100
|
288,524
|
||||
Ground Transportation - (35.6)%
|
|||||||
Uber Technologies Inc 0.875% 12/1/2028
|
340,000
|
40,120,236
|
(954,611)
|
||||
Lyft Inc 0.625% 3/1/2029
|
200,000
|
21,564,778
|
(174,497)
|
||||
61,685,014
|
(1,129,108)
|
||||||
Construction & Engineering - (2.0)%
|
|||||||
Fluor Corp 1.125% 8/15/2029
|
185,000
|
24,036,125
|
(62,501)
|
||||
TOTAL INDUSTRIALS
|
101,032,239
|
(903,085)
|
|||||
Consumer Discretionary - (18.7)%
|
|||||||
Hotels, Restaurants & Leisure - (5.0)%
|
|||||||
DoorDash Inc 0% 5/15/2030
|
100,000
|
10,075,000
|
107,636
|
||||
Marriott Vacations Worldwide Corp 3.25% 12/15/2027
|
125,000
|
12,322,917
|
(97,691)
|
||||
DraftKings Holdings Inc 0% 3/15/2028
|
217,500
|
20,147,108
|
(167,914)
|
||||
42,545,025
|
(157,969)
|
||||||
Broadline Retail - (13.7)%
|
|||||||
Etsy Inc 0.125% 9/1/2027
|
55,000
|
5,224,603
|
52,025
|
||||
Etsy Inc 1% 6/15/2030
|
140,000
|
17,028,667
|
(486,189)
|
||||
22,253,270
|
(434,164)
|
||||||
TOTAL CONSUMER DISCRETIONARY
|
64,798,295
|
(592,133)
|
|||||
Information Technology - 678.8%
|
|||||||
Semiconductors & Semiconductor Equipment - (253.0)%
|
|||||||
Penguin Solutions Inc 2% 8/15/2030
|
13,980
|
2,904,811
|
(927,008)
|
||||
ON Semiconductor Corp 0% 5/1/2027
|
300,000
|
47,646,000
|
(6,110,400)
|
||||
Penguin Solutions Inc 0% 8/1/2031 (1)
|
82,500
|
7,335,900
|
(996,600)
|
||||
57,886,711
|
(8,034,008)
|
||||||
Electronic Equipment, Instruments & Components - 14.2%
|
|||||||
Itron Inc 0% 3/15/2032 (1)
|
55,000
|
5,607,250
|
449,944
|
||||
Software - (68.2)%
|
|||||||
CyberArk Software Ltd 0% 6/15/2030
|
272,000
|
44,526,400
|
(2,347,632)
|
||||
BlackLine Inc 1% 6/1/2029
|
100,000
|
9,317,222
|
12,352
|
||||
Box Inc 1.5% 9/15/2029
|
95,000
|
9,915,625
|
167,279
|
||||
63,759,247
|
(2,168,001)
|
||||||
Communications Equipment - (231.2)%
|
|||||||
Lumentum Holdings Inc 1.5% 12/15/2029
|
122,920
|
125,646,366
|
(7,344,982)
|
||||
IT Services - 126.7%
|
|||||||
Akamai Technologies Inc 1.125% 2/15/2029
|
610,000
|
72,208,750
|
(1,520,654)
|
||||
Snowflake Inc 0% 10/1/2029
|
475,000
|
94,092,750
|
6,004,475
|
||||
Akamai Technologies Inc 0% 5/15/2030 (1)
|
230,000
|
21,470,500
|
(457,861)
|
||||
187,772,000
|
4,025,960
|
||||||
Technology Hardware, Storage & Peripherals - 1090.3%
|
|||||||
Western Digital Corp 3% 11/15/2028
|
388,070
|
557,955,404
|
34,630,073
|
||||
TOTAL INFORMATION TECHNOLOGY
|
998,626,978
|
21,558,986
|
|||||
TOTAL UNITED STATES
|
1,707,552,653
|
4,086,681
|
|||||
|
TOTAL CONVERTIBLE CORPORATE BONDS
|
|
1,707,552,653
|
4,086,681
|
||||
TOTAL LONG
|
1,707,552,653
|
4,086,681
|
|||||
SHORT
|
|||||||
Common Stocks
|
|||||||
UNITED STATES -(105.3)%
|
|||||||
Communication Services - 46.0%
|
|||||||
Entertainment - 42.8%
|
|||||||
Live Nation Entertainment Inc (2)
|
(221,700)
|
(38,604,621)
|
955,527
|
||||
Liberty Media Corp-Liberty Formula One Class C (2)
|
(215,000)
|
(21,097,950)
|
402,050
|
||||
(59,702,571)
|
1,357,577
|
||||||
Interactive Media & Services - 3.2%
|
|||||||
Match Group Inc
|
(145,300)
|
(5,726,273)
|
101,710
|
||||
TOTAL COMMUNICATION SERVICES
|
(65,428,844)
|
1,459,287
|
|||||
Utilities - 34.0%
|
|||||||
Multi-Utilities - 10.3%
|
|||||||
WEC Energy Group Inc
|
(92,400)
|
(10,110,408)
|
328,020
|
||||
Electric Utilities - 22.9%
|
|||||||
Pinnacle West Capital Corp
|
(119,000)
|
(12,017,810)
|
723,520
|
||||
Southern Co/The
|
(65,000)
|
(6,145,100)
|
3,900
|
||||
(18,162,910)
|
727,420
|
||||||
Gas Utilities - 0.8%
|
|||||||
UGI Corp
|
(257,000)
|
(9,282,840)
|
25,700
|
||||
TOTAL UTILITIES
|
(37,556,158)
|
1,081,140
|
|||||
Health Care - (53.7)%
|
|||||||
Biotechnology - (31.6)%
|
|||||||
Halozyme Therapeutics Inc (2)
|
(170,000)
|
(14,031,800)
|
(1,004,037)
|
||||
Pharmaceuticals - (22.1)%
|
|||||||
Merck & Co Inc
|
(193,000)
|
(25,128,600)
|
(1,174,558)
|
||||
Zoetis Inc Class A
|
(76,100)
|
(5,881,769)
|
(196,659)
|
||||
Ligand Pharmaceuticals Inc (2)
|
(76,800)
|
(22,083,072)
|
669,696
|
||||
(53,093,441)
|
(701,521)
|
||||||
TOTAL HEALTH CARE
|
(67,125,241)
|
(1,705,558)
|
|||||
Energy - 116.3%
|
|||||||
Energy Equipment & Services - 116.4%
|
|||||||
Atlas Energy Solutions Inc
|
(1,050,000)
|
(11,329,500)
|
3,696,000
|
||||
Oil, Gas & Consumable Fuels - (0.1)%
|
|||||||
Green Plains Inc (2)
|
(55,000)
|
(926,750)
|
(4,400)
|
||||
TOTAL ENERGY
|
(12,256,250)
|
3,691,600
|
|||||
Consumer Staples - (142.6)%
|
|||||||
Consumer Staples Distribution & Retail - (132.5)%
|
|||||||
Chefs' Warehouse Inc/The (2)
|
(238,500)
|
(27,510,975)
|
(4,207,140)
|
||||
Food Products - (10.1)%
|
|||||||
Freshpet Inc (2)
|
(97,000)
|
(5,775,380)
|
(321,070)
|
||||
TOTAL CONSUMER STAPLES
|
(33,286,355)
|
(4,528,210)
|
|||||
Real Estate - (9.6)%
|
|||||||
Health Care REITs - (6.7)%
|
|||||||
(184,400)
|
(43,230,736)
|
(212,060)
|
|||||
Retail REITs - (2.9)%
|
|||||||
Kimco Realty Corp
|
(240,000)
|
(6,115,200)
|
(93,600)
|
||||
TOTAL REAL ESTATE
|
(49,345,936)
|
(305,660)
|
|||||
Financials - 11.8%
|
|||||||
Capital Markets - 26.2%
|
|||||||
Galaxy Digital Inc Class A (2)
|
(130,700)
|
(2,746,007)
|
466,599
|
||||
Coinbase Global Inc Class A (2)
|
(17,400)
|
(2,544,924)
|
364,530
|
||||
(5,290,931)
|
831,129
|
||||||
Financial Services - (14.4)%
|
|||||||
Global Payments Inc
|
(78,200)
|
(6,575,056)
|
(458,252)
|
||||
TOTAL FINANCIALS
|
(11,865,987)
|
372,877
|
|||||
Materials - 455.9%
|
|||||||
Metals & Mining - 455.9%
|
|||||||
Century Aluminum Co (2)
|
(197,000)
|
(8,819,690)
|
(163,510)
|
||||
MP Materials Corp (2)
|
(1,810,000)
|
(74,879,700)
|
14,642,900
|
||||
(83,699,390)
|
14,479,390
|
||||||
TOTAL MATERIALS
|
(83,699,390)
|
14,479,390
|
|||||
Industrials - 47.4%
|
|||||||
Commercial Services & Supplies - 13.1%
|
|||||||
Pitney Bowes Inc
|
(1,184,000)
|
(20,755,520)
|
781,440
|
||||
Tetra Tech Inc
|
(200,000)
|
(6,632,000)
|
(366,000)
|
||||
(27,387,520)
|
415,440
|
||||||
Construction & Engineering - 5.3%
|
|||||||
Fluor Corp (2)
|
(281,571)
|
(14,126,417)
|
168,943
|
||||
Ground Transportation - 29.0%
|
|||||||
Lyft Inc Class A (2)
|
(570,000)
|
(9,040,200)
|
210,900
|
||||
Uber Technologies Inc (2)
|
(307,900)
|
(21,663,844)
|
711,249
|
||||
(30,704,044)
|
922,149
|
||||||
TOTAL INDUSTRIALS
|
(72,217,981)
|
1,506,532
|
|||||
Consumer Discretionary - (31.2)%
|
|||||||
Hotels, Restaurants & Leisure - (45.1)%
|
|||||||
Cheesecake Factory Inc/The
|
(64,700)
|
(6,561,874)
|
(1,307,765)
|
||||
DraftKings Inc Class A (2)
|
(11,500)
|
(270,020)
|
20,355
|
||||
DoorDash Inc Class A (2)
|
(24,000)
|
(4,707,840)
|
(144,000)
|
||||
(11,539,734)
|
(1,431,410)
|
||||||
Broadline Retail - 13.9%
|
|||||||
Etsy Inc (2)
|
(109,100)
|
(8,911,288)
|
442,946
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(20,451,022)
|
(988,464)
|
|||||
Information Technology - (579.6)%
|
|||||||
Semiconductors & Semiconductor Equipment - 249.6%
|
|||||||
ON Semiconductor Corp (2)
|
(550,000)
|
(44,885,500)
|
6,011,500
|
||||
Penguin Solutions Inc (2)
|
(94,707)
|
(4,984,429)
|
1,914,976
|
||||
(49,869,929)
|
7,926,476
|
||||||
Electronic Equipment, Instruments & Components - (16.5)%
|
|||||||
Itron Inc (2)
|
(33,500)
|
(3,338,610)
|
(524,945)
|
||||
Software - 63.2%
|
|||||||
Palo Alto Networks Inc (2)
|
(101,500)
|
(33,680,745)
|
2,252,285
|
||||
Box Inc Class A (2)
|
(124,600)
|
(3,931,130)
|
(134,568)
|
||||
BlackLine Inc (2)
|
(57,200)
|
(1,796,080)
|
(111,540)
|
||||
(39,407,955)
|
2,006,177
|
||||||
Communications Equipment - 209.7%
|
|||||||
Lumentum Holdings Inc (2)
|
(175,000)
|
(124,939,500)
|
6,660,500
|
||||
Technology Hardware, Storage & Peripherals - (977.8)%
|
|||||||
Western Digital Corp
|
(1,001,891)
|
(545,870,292)
|
(31,058,621)
|
||||
IT Services - (107.8)%
|
|||||||
Akamai Technologies Inc (2)
|
(427,500)
|
(49,239,450)
|
2,064,825
|
||||
Snowflake Inc (2)
|
(256,300)
|
(75,167,664)
|
(5,487,383)
|
||||
(124,407,114)
|
(3,422,558)
|
||||||
TOTAL INFORMATION TECHNOLOGY
|
(887,833,400)
|
(18,412,971)
|
|||||
TOTAL UNITED STATES
|
(1,341,066,564)
|
(3,350,037)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(1,341,066,564)
|
(3,350,037)
|
||||
TOTAL SHORT
|
(1,341,066,564)
|
(3,350,037)
|
|||||
TOTAL SWAP COMPONENTS
|
366,486,089
|
736,644
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index of 3.63% plus or minus a specified spread ranging from (0.45)% to 0.9% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap
|
BNP Paribas SA
|
8/2026 - 1/2027
|
1,888,456,340
|
(3,710,140)
|
3,398,932
|
(311,208)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount (a)
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Convertible Corporate Bonds
|
|||||||
CANADA -311.3%
|
|||||||
Materials - 311.3%
|
|||||||
Metals & Mining - 311.3%
|
|||||||
B2Gold Corp 2.75% 2/1/2030 (1)
|
32,500,000
|
45,504,965
|
(968,732)
|
||||
TOTAL MATERIALS
|
45,504,965
|
(968,732)
|
|||||
TOTAL CANADA
|
45,504,965
|
(968,732)
|
|||||
UNITED STATES -5339.2%
|
|||||||
Communication Services - 75.9%
|
|||||||
Entertainment - 75.9%
|
|||||||
Sphere Entertainment Co 3.5% 12/1/2028
|
8,000,000
|
32,536,222
|
(236,357)
|
||||
TOTAL COMMUNICATION SERVICES
|
32,536,222
|
(236,357)
|
|||||
Utilities - 107.1%
|
|||||||
Electric Utilities - 107.1%
|
|||||||
NextEra Energy Capital Holdings Inc 3% 3/1/2027
|
10,000,000
|
13,096,667
|
(333,290)
|
||||
TOTAL UTILITIES
|
13,096,667
|
(333,290)
|
|||||
Health Care - 1551.2%
|
|||||||
Health Care Equipment & Supplies - (246.7)%
|
|||||||
Merit Medical Systems Inc 3% 2/1/2029
|
12,732,000
|
14,879,464
|
695,137
|
||||
TransMedics Group Inc 1.5% 6/1/2028
|
7,500,000
|
8,639,125
|
72,547
|
||||
23,518,589
|
767,684
|
||||||
Biotechnology - 1605.6%
|
|||||||
Alnylam Pharmaceuticals Inc 1% 9/15/2027
|
39,818,000
|
41,296,575
|
(4,996,869)
|
||||
Life Sciences Tools & Services - 45.0%
|
|||||||
Repligen Corp 1% 12/15/2028
|
11,500,000
|
11,975,333
|
(140,154)
|
||||
Pharmaceuticals - 147.3%
|
|||||||
Ligand Pharmaceuticals Inc 0.75% 10/1/2030 (1)
|
11,140,000
|
17,730,888
|
(458,399)
|
||||
TOTAL HEALTH CARE
|
94,521,385
|
(4,827,738)
|
|||||
Energy - (716.1)%
|
|||||||
Oil, Gas & Consumable Fuels - (716.1)%
|
|||||||
Northern Oil & Gas Inc 3.625% 4/15/2029
|
15,000,000
|
15,039,797
|
152,931
|
||||
World Kinect Corp 3.25% 7/1/2028
|
25,000,000
|
37,214,722
|
2,075,914
|
||||
52,254,519
|
2,228,845
|
||||||
TOTAL ENERGY
|
52,254,519
|
2,228,845
|
|||||
Consumer Staples - (31.1)%
|
|||||||
Food Products - (31.1)%
|
|||||||
Freshpet Inc 3% 4/1/2028
|
6,000,000
|
6,994,000
|
96,798
|
||||
TOTAL CONSUMER STAPLES
|
6,994,000
|
96,798
|
|||||
Real Estate - 434.0%
|
|||||||
Real Estate Management & Development - 422.9%
|
|||||||
Compass Inc 0.25% 4/15/2031 (1)
|
22,332,000
|
23,306,047
|
(1,316,203)
|
||||
Retail REITs - 11.1%
|
|||||||
Realty Income Corp 3.5% 1/15/2029 (1)
|
9,058,000
|
9,399,940
|
(34,519)
|
||||
TOTAL REAL ESTATE
|
32,705,987
|
(1,350,722)
|
|||||
Financials - 2781.0%
|
|||||||
Capital Markets - 403.3%
|
|||||||
Galaxy Digital Holdings LP 2.5% 12/1/2029 (1)
|
10,250,000
|
12,672,132
|
(1,254,988)
|
||||
Consumer Finance - 2377.7%
|
|||||||
EZCORP Inc 3.75% 12/15/2029 (1)
|
26,994,000
|
73,712,516
|
(7,399,463)
|
||||
TOTAL FINANCIALS
|
86,384,648
|
(8,654,451)
|
|||||
Industrials - 348.8%
|
|||||||
Construction & Engineering - 304.0%
|
|||||||
Granite Construction Inc 3.75% 5/15/2028
|
29,140,000
|
86,216,958
|
1,554,309
|
||||
Granite Construction Inc 3.25% 6/15/2030
|
50,930,000
|
84,000,547
|
(2,500,097)
|
||||
170,217,505
|
(945,788)
|
||||||
Ground Transportation - 20.3%
|
|||||||
Uber Technologies Inc 0.875% 12/1/2028
|
2,500,000
|
2,950,017
|
(63,190)
|
||||
Machinery - 24.5%
|
|||||||
Greenbrier Cos Inc/The 2.875% 4/15/2028
|
23,250,000
|
26,512,556
|
(76,357)
|
||||
TOTAL INDUSTRIALS
|
199,680,078
|
(1,085,335)
|
|||||
Consumer Discretionary - 82.9%
|
|||||||
Diversified Consumer Services - 82.9%
|
|||||||
Stride Inc 1.125% 9/1/2027
|
5,000,000
|
7,941,250
|
(258,036)
|
||||
TOTAL CONSUMER DISCRETIONARY
|
7,941,250
|
(258,036)
|
|||||
Information Technology - 705.5%
|
|||||||
Semiconductors & Semiconductor Equipment - 3308.2%
|
|||||||
MKS Inc 1.25% 6/1/2030
|
30,000,000
|
61,489,583
|
(10,295,481)
|
||||
Electronic Equipment, Instruments & Components - 0.5%
|
|||||||
OSI Systems Inc 2.25% 8/1/2029
|
13,400,000
|
18,023,335
|
(1,514)
|
||||
Software - (1945.7)%
|
|||||||
A10 Networks Inc 2.75% 4/1/2030
|
2,000,000
|
2,899,722
|
(465,286)
|
||||
InterDigital Inc 3.5% 6/1/2027
|
13,472,000
|
53,228,246
|
5,953,788
|
||||
BlackLine Inc 1% 6/1/2029
|
3,750,000
|
3,493,958
|
(10,112)
|
||||
Box Inc 1.5% 9/15/2029
|
4,500,000
|
4,696,875
|
72,094
|
||||
Nutanix Inc 0.25% 10/1/2027
|
13,250,000
|
15,970,851
|
504,521
|
||||
80,289,652
|
6,055,005
|
||||||
Technology Hardware, Storage & Peripherals - (657.5)%
|
|||||||
Western Digital Corp 3% 11/15/2028
|
2,575,000
|
37,022,578
|
2,046,254
|
||||
TOTAL INFORMATION TECHNOLOGY
|
196,825,148
|
(2,195,736)
|
|||||
TOTAL UNITED STATES
|
722,939,904
|
(16,616,022)
|
|||||
ISRAEL -82.8%
|
|||||||
Information Technology - 82.8%
|
|||||||
Software - 82.8%
|
|||||||
Check Point Software Technologies Ltd 0% 12/15/2030 (1)
|
34,000,000
|
31,467,000
|
(257,559)
|
||||
TOTAL INFORMATION TECHNOLOGY
|
31,467,000
|
(257,559)
|
|||||
TOTAL ISRAEL
|
31,467,000
|
(257,559)
|
|||||
|
TOTAL CONVERTIBLE CORPORATE BONDS
|
|
799,911,869
|
(17,842,313)
|
||||
TOTAL LONG
|
799,911,869
|
(17,842,313)
|
|||||
SHORT
|
|||||||
Domestic Equity Funds
|
|||||||
Financial Select Sector SPDR ETF
|
(438,300)
|
(24,956,802)
|
(166,554)
|
||||
Common Stocks
|
|||||||
AUSTRALIA -(78.3)%
|
|||||||
Information Technology - (78.3)%
|
|||||||
Software - (78.3)%
|
|||||||
IREN Ltd (2)
|
(164,700)
|
(6,060,960)
|
243,756
|
||||
TOTAL INFORMATION TECHNOLOGY
|
(6,060,960)
|
243,756
|
|||||
TOTAL AUSTRALIA
|
(6,060,960)
|
243,756
|
|||||
CANADA -(338.3)%
|
|||||||
Energy - (197.9)%
|
|||||||
Oil, Gas & Consumable Fuels - (197.9)%
|
|||||||
Denison Mines Corp (2)
|
(2,200,000)
|
(6,182,000)
|
616,000
|
||||
TOTAL ENERGY
|
(6,182,000)
|
616,000
|
|||||
Materials - (140.4)%
|
|||||||
Metals & Mining - (140.4)%
|
|||||||
B2Gold Corp
|
(8,736,000)
|
(32,760,000)
|
436,800
|
||||
TOTAL MATERIALS
|
(32,760,000)
|
436,800
|
|||||
TOTAL CANADA
|
(38,942,000)
|
1,052,800
|
|||||
MONACO -(13.3)%
|
|||||||
Energy - (13.3)%
|
|||||||
Oil, Gas & Consumable Fuels - (13.3)%
|
|||||||
Scorpio Tankers Inc
|
(59,800)
|
(4,656,028)
|
41,262
|
||||
TOTAL ENERGY
|
(4,656,028)
|
41,262
|
|||||
TOTAL MONACO
|
(4,656,028)
|
41,262
|
|||||
UNITED STATES -(4114.0)%
|
|||||||
Communication Services - (12.2)%
|
|||||||
Entertainment - (12.2)%
|
|||||||
Sphere Entertainment Co Class A (2)
|
(223,000)
|
(31,944,750)
|
37,910
|
||||
TOTAL COMMUNICATION SERVICES
|
(31,944,750)
|
37,910
|
|||||
Utilities - (94.6)%
|
|||||||
Electric Utilities - (94.6)%
|
|||||||
NextEra Energy Inc
|
(135,000)
|
(11,734,200)
|
294,300
|
||||
TOTAL UTILITIES
|
(11,734,200)
|
294,300
|
|||||
Health Care - (2302.7)%
|
|||||||
Biotechnology - (2394.5)%
|
|||||||
AbbVie Inc
|
(32,000)
|
(8,030,080)
|
(218,560)
|
||||
Mirum Pharmaceuticals Inc (2)
|
(161,341)
|
(17,094,079)
|
2,428,182
|
||||
(2)
|
(43,000)
|
(3,316,590)
|
236,070
|
||||
Alnylam Pharmaceuticals Inc (2)
|
(68,000)
|
(13,975,360)
|
5,006,160
|
||||
(42,416,109)
|
7,451,852
|
||||||
Health Care Equipment & Supplies - 298.7%
|
|||||||
Merit Medical Systems Inc (2)
|
(73,300)
|
(6,231,233)
|
(877,401)
|
||||
TransMedics Group Inc (2)
|
(46,400)
|
(3,550,064)
|
(52,432)
|
||||
(9,781,297)
|
(929,833)
|
||||||
Life Sciences Tools & Services - (63.4)%
|
|||||||
Repligen Corp (2)
|
(28,000)
|
(3,948,280)
|
197,400
|
||||
Pharmaceuticals - (143.5)%
|
|||||||
Ligand Pharmaceuticals Inc (2)
|
(51,200)
|
(14,722,048)
|
446,464
|
||||
TOTAL HEALTH CARE
|
(70,867,734)
|
7,165,883
|
|||||
Consumer Staples - 1483.0%
|
|||||||
Tobacco - 1421.3%
|
|||||||
Philip Morris International Inc
|
(445,000)
|
(84,914,900)
|
(4,423,300)
|
||||
Food Products - 61.7%
|
|||||||
Freshpet Inc (2)
|
(58,000)
|
(3,453,320)
|
(191,980)
|
||||
TOTAL CONSUMER STAPLES
|
(88,368,220)
|
(4,615,280)
|
|||||
Energy - 862.6%
|
|||||||
Oil, Gas & Consumable Fuels - 862.6%
|
|||||||
Chevron Corp
|
(33,000)
|
(6,495,390)
|
(502,590)
|
||||
Northern Oil & Gas Inc
|
(183,900)
|
(3,889,485)
|
(145,281)
|
||||
World Kinect Corp
|
(688,000)
|
(27,423,680)
|
(2,036,480)
|
||||
(37,808,555)
|
(2,684,351)
|
||||||
TOTAL ENERGY
|
(37,808,555)
|
(2,684,351)
|
|||||
Real Estate - (540.7)%
|
|||||||
Health Care REITs - 70.0%
|
|||||||
(605,200)
|
(12,715,252)
|
(217,872)
|
|||||
Real Estate Management & Development - (623.9)%
|
|||||||
Compass Inc Class A (2)
|
(1,540,900)
|
(17,550,851)
|
1,941,534
|
||||
Retail REITs - 13.2%
|
|||||||
(145,200)
|
(4,155,624)
|
(10,164)
|
|||||
Realty Income Corp
|
(50,600)
|
(3,231,822)
|
(30,866)
|
||||
(7,387,446)
|
(41,030)
|
||||||
TOTAL REAL ESTATE
|
(37,653,549)
|
1,682,632
|
|||||
Financials - (1597.0)%
|
|||||||
Capital Markets - (1284.7)%
|
|||||||
Morgan Stanley
|
(41,700)
|
(8,774,514)
|
756,021
|
||||
Galaxy Digital Inc Class A (2)
|
(909,300)
|
(19,104,393)
|
3,229,802
|
||||
Coinbase Global Inc Class A (2)
|
(600)
|
(87,756)
|
12,570
|
||||
(27,966,663)
|
3,998,393
|
||||||
Financial Services - 2158.0%
|
|||||||
Mastercard Inc Class A
|
(188,200)
|
(107,857,420)
|
(7,130,989)
|
||||
Euronet Worldwide Inc (2)
|
(60,000)
|
(4,279,800)
|
415,200
|
||||
(112,137,220)
|
(6,715,698)
|
||||||
Banks - (254.8)%
|
|||||||
Citigroup Inc
|
(325,000)
|
(43,046,250)
|
793,000
|
||||
Consumer Finance - (2215.5)%
|
|||||||
EZCORP Inc Class A (2)
|
(2,283,100)
|
(67,967,887)
|
6,894,962
|
||||
TOTAL FINANCIALS
|
(251,118,020)
|
4,970,657
|
|||||
Industrials - (1583.5)%
|
|||||||
Electrical Equipment - (417.7)%
|
|||||||
Enovix Corp Class B (2)
|
(1,274,300)
|
(5,211,887)
|
1,299,786
|
||||
Construction & Engineering - (812.4)%
|
|||||||
Granite Construction Inc
|
(704,275)
|
(85,196,147)
|
2,528,347
|
||||
Ground Transportation - (439.1)%
|
|||||||
Knight-Swift Transportation Holdings Inc
|
(347,300)
|
(24,147,769)
|
1,272,324
|
||||
Uber Technologies Inc (2)
|
(40,800)
|
(2,870,688)
|
94,248
|
||||
(27,018,457)
|
1,366,572
|
||||||
Machinery - 85.7%
|
|||||||
Greenbrier Cos Inc/The
|
(230,000)
|
(11,327,500)
|
(266,800)
|
||||
TOTAL INDUSTRIALS
|
(128,753,991)
|
4,927,905
|
|||||
Consumer Discretionary - 237.4%
|
|||||||
Automobile Components - (102.4)%
|
|||||||
LCI Industries
|
(188,000)
|
(19,243,680)
|
318,670
|
||||
Hotels, Restaurants & Leisure - 427.5%
|
|||||||
Cheesecake Factory Inc/The
|
(62,900)
|
(6,379,318)
|
(1,330,335)
|
||||
Diversified Consumer Services - (87.7)%
|
|||||||
Stride Inc (2)
|
(88,000)
|
(7,065,520)
|
272,800
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(32,688,518)
|
(738,865)
|
|||||
Information Technology - (566.3)%
|
|||||||
Semiconductors & Semiconductor Equipment - (4021.4)%
|
|||||||
MKS Inc
|
(182,700)
|
(54,344,115)
|
10,295,145
|
||||
NVIDIA Corp
|
(157,000)
|
(31,517,750)
|
1,844,750
|
||||
Broadcom Inc
|
(75,000)
|
(29,196,000)
|
375,000
|
||||
(115,057,865)
|
12,514,895
|
||||||
Electronic Equipment, Instruments & Components - 57.6%
|
|||||||
OSI Systems Inc (2)
|
(57,800)
|
(12,796,342)
|
(179,180)
|
||||
Software - 1700.4%
|
|||||||
InterDigital Inc
|
(174,300)
|
(53,130,998)
|
(6,033,395)
|
||||
Microsoft Corp
|
(24,000)
|
(11,153,280)
|
(1,658,160)
|
||||
Oracle Corp
|
(25,900)
|
(3,363,633)
|
67,858
|
||||
A10 Networks Inc
|
(420,000)
|
(12,419,400)
|
2,826,600
|
||||
Box Inc Class A (2)
|
(51,100)
|
(1,612,205)
|
(55,188)
|
||||
Life360 Inc (2)
|
(142,500)
|
(7,702,125)
|
215,175
|
||||
BlackLine Inc (2)
|
(66,000)
|
(2,072,400)
|
(128,700)
|
||||
Nutanix Inc Class A (2)
|
(119,000)
|
(7,022,190)
|
(525,980)
|
||||
(98,476,231)
|
(5,291,790)
|
||||||
Technology Hardware, Storage & Peripherals - 1697.3%
|
|||||||
Western Digital Corp
|
(170,390)
|
(92,835,288)
|
(5,282,090)
|
||||
IT Services - (0.2)%
|
|||||||
Akamai Technologies Inc (2)
|
(100)
|
(11,518)
|
483
|
||||
TOTAL INFORMATION TECHNOLOGY
|
(319,177,244)
|
1,762,318
|
|||||
TOTAL UNITED STATES
|
(1,010,114,781)
|
12,803,109
|
|||||
ISRAEL -(50.7)%
|
|||||||
Information Technology - (50.7)%
|
|||||||
Software - (50.7)%
|
|||||||
Check Point Software Technologies Ltd (2)
|
(30,000)
|
(3,813,900)
|
157,800
|
||||
TOTAL INFORMATION TECHNOLOGY
|
(3,813,900)
|
157,800
|
|||||
TOTAL ISRAEL
|
(3,813,900)
|
157,800
|
|||||
|
TOTAL COMMON STOCKS
|
|
(1,063,587,669)
|
14,298,727
|
||||
TOTAL SHORT
|
(1,088,544,471)
|
14,132,173
|
|||||
TOTAL SWAP COMPONENTS
|
(288,632,602)
|
(3,710,140)
|
|||||
Total Return Swaps
|
|||||||||||
Underlying Reference
|
Pay/
Receive
Reference
|
Reference
Payment
Frequency
|
Financing
Rate
|
Financing
Frequency
|
Counterparty
|
Maturity
Date
|
Notional
Amount
|
Value ($)
|
Upfront
Premium
Received/
(Paid) ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
Microsoft Corp
|
Pay
|
Monthly
|
U.S. SOFR Index plus 62 basis points
|
Monthly
|
Goldman Sachs International
|
10/2026
|
25,204,480
|
(4,504,842)
|
0
|
(4,504,842)
|
|
TOTAL RETURN SWAPS
|
(4,504,842)
|
0
|
(4,504,842)
|
||||||||
ETF
|
-
|
EXCHANGE-TRADED FUND
|
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $268,781,897 or 21.1% of net assets.
|
(c)
|
Zero coupon bond which is issued at a discount.
|
(d)
|
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
|
(e)
|
Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $303,475,503.
|
(f)
|
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 $2,398,725.
|
(g)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
Shares,
end
of period
|
Fidelity Cash Central Fund
|
54,311,952
|
1,035,034,261
|
1,037,363,677
|
2,207,938
|
(3,228)
|
72
|
51,979,380
|
51,968,986
|
54,311,952
|
1,035,034,261
|
1,037,363,677
|
2,207,938
|
(3,228)
|
72
|
51,979,380
|
Valuation Inputs at Reporting Date:
|
||||
Description
|
Total ($)
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Investments in Securities:
|
||||
Common Stocks
|
||||
Consumer Staples
|
84,914,900
|
84,914,900
|
-
|
-
|
Energy
|
6,495,390
|
6,495,390
|
-
|
-
|
Financials
|
159,678,184
|
159,678,184
|
-
|
-
|
Health Care
|
8,030,080
|
8,030,080
|
-
|
-
|
Information Technology
|
104,972,743
|
104,972,743
|
-
|
-
|
Convertible Corporate Bonds
|
||||
Communication Services
|
26,847,625
|
-
|
26,847,625
|
-
|
Consumer Discretionary
|
74,286,843
|
-
|
74,286,843
|
-
|
Energy
|
23,117,195
|
-
|
23,117,195
|
-
|
Financials
|
44,083,300
|
-
|
44,083,300
|
-
|
Health Care
|
38,658,270
|
-
|
38,658,270
|
-
|
Industrials
|
90,429,500
|
-
|
90,429,500
|
-
|
Information Technology
|
109,035,630
|
-
|
109,035,630
|
-
|
Real Estate
|
59,203,547
|
-
|
59,203,547
|
-
|
Utilities
|
3,293,136
|
-
|
3,293,136
|
-
|
Domestic Equity Funds
|
24,956,802
|
24,956,802
|
-
|
-
|
U.S. Treasury Obligations
|
362,880,569
|
-
|
362,880,569
|
-
|
Money Market Funds
|
51,979,380
|
51,979,380
|
-
|
-
|
Total Investments in Securities:
|
1,272,863,094
|
441,027,479
|
831,835,615
|
-
|
Derivative Instruments:
|
||||
Assets
|
||||
Futures Contracts
|
1,391,160
|
1,391,160
|
-
|
-
|
Swaps
|
3,176,239
|
-
|
3,176,239
|
-
|
Total Assets
|
4,567,399
|
1,391,160
|
3,176,239
|
-
|
Liabilities
|
||||
Swaps
|
(4,816,050)
|
-
|
(4,816,050)
|
-
|
Total Liabilities
|
(4,816,050)
|
-
|
(4,816,050)
|
-
|
Total Derivative Instruments:
|
(248,651)
|
1,391,160
|
(1,639,811)
|
-
|
Statement of Assets and Liabilities
|
||
As of July 31, 2026 (Unaudited)
|
||
Assets
|
||
Investments in securities, at value - unaffiliated issuers
|
$
|
1,220,883,714
|
Investments in securities, at value - affiliated issuers
|
51,979,380
|
|
Dividends receivable
|
267,050
|
|
Interest receivable
|
2,130,857
|
|
Distributions receivable from affiliated funds
|
204,358
|
|
Receivable for variation margin on futures contracts
|
342,188
|
|
Bi-lateral OTC swaps, at value
|
3,176,239
|
|
Prepaid expenses
|
17,980
|
|
Receivable from investment adviser for expense reductions
|
11,129
|
|
Total assets
|
1,279,012,895
|
|
Liabilities
|
||
Bi-lateral OTC swaps, at value
|
4,816,050
|
|
Accrued management fee
|
1,481,465
|
|
Other payables and accrued expenses
|
89,108
|
|
Total liabilities
|
6,386,623
|
|
Net Assets
|
$
|
1,272,626,272
|
Net assets consist of:
|
||
Paid in capital
|
1,212,567,180
|
|
Total accumulated earnings (loss)
|
60,059,092
|
|
Net Assets
|
$
|
1,272,626,272
|
Net Asset Value and Maximum Offering
|
||
Net Asset Value, offering price and redemption price per share ($1,272,626,272/111,938,339 shares)
|
$
|
11.37
|
Other Information
|
||
Unaffiliated issuers, cost
|
1,149,168,619
|
|
Affiliated issuers, cost
|
51,979,308
|
|
Statement of Operations
|
||
Six months ended July 31, 2026 (Unaudited)
|
||
Investment Income
|
||
Dividends - unaffiliated issuers
|
$
|
2,732,107
|
Dividends - affiliated issuers
|
2,207,938
|
|
Interest
|
10,091,702
|
|
Total investment income
|
15,031,747
|
|
Expenses
|
||
Management fee
|
8,135,742
|
|
Custodian fees and expenses
|
11,580
|
|
Independent trustees' fees and expenses
|
152,551
|
|
Registration fees
|
53,343
|
|
Audit
|
59,872
|
|
Legal
|
25,274
|
|
Interest
|
590
|
|
Commitment fee
|
396
|
|
Miscellaneous
|
36,217
|
|
Total expenses
|
8,475,565
|
|
Expense reimbursements and reductions
|
(46,090)
|
|
Total expenses after reductions
|
8,429,475
|
|
Net investment income (loss)
|
6,602,272
|
|
Net realized gain (loss)
|
||
Investments - unaffiliated issuers
|
47,824,197
|
|
Investments - affiliated issuers
|
(3,228)
|
|
Futures contracts
|
2,810,553
|
|
Swaps
|
(9,987,142)
|
|
Net realized gain (loss)
|
40,644,380
|
|
Change in net unrealized appreciation (depreciation)
|
||
Investments - unaffiliated issuers
|
22,260,716
|
|
Investments - affiliated issuers
|
72
|
|
Futures contracts
|
869,653
|
|
Swaps
|
(10,160,791)
|
|
Total change in net unrealized appreciation (depreciation)
|
12,969,650
|
|
Net gain (loss)
|
53,614,030
|
|
Net increase (decrease) in net assets resulting from operations
|
$
|
60,216,302
|
Statement of Changes in Net Assets
|
||||
Six months ended
July 31, 2026
(Unaudited)
|
Year ended
January 31, 2026
|
|||
Increase (Decrease) in Net Assets
|
||||
Operations
|
||||
Net investment income (loss)
|
$
|
6,602,272
|
$
|
10,186,464
|
Net realized gain (loss)
|
40,644,380
|
36,945,838
|
||
Change in net unrealized appreciation (depreciation)
|
12,969,650
|
37,607,061
|
||
Net increase (decrease) in net assets resulting from operations
|
60,216,302
|
84,739,363
|
||
Distributions to shareholders
|
||||
Distributions to shareholders
|
(16,501,429)
|
(75,766,031)
|
||
Total distributions
|
(16,501,429)
|
(75,766,031)
|
||
Net increase (decrease) in net assets resulting from share transactions
|
216,501,429
|
575,797,915
|
||
Total increase (decrease) in net assets
|
260,216,302
|
584,771,247
|
||
Net Assets
|
||||
Beginning of period
|
1,012,409,970
|
427,638,723
|
||
End of period
|
$
|
1,272,626,272
|
$
|
1,012,409,970
|
Fidelity® SAI Convertible Arbitrage Fund |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025
|
2024 A
|
|||||
Selected Per Share Data
|
||||||||
Net asset value, beginning of period
|
$
|
10.96
|
$
|
10.61
|
$
|
10.14
|
$
|
10.00
|
Income from Investment Operations
|
||||||||
Net investment income (loss) B, C
|
.06
|
.17
|
.25
|
.13
|
||||
Net realized and unrealized gain (loss)
|
.52
|
1.20
|
.84
|
.05
|
||||
Total from investment operations
|
.58
|
1.37
|
1.09
|
.18
|
||||
Distributions
|
||||||||
Distributions from net investment income
|
(.17)
|
(1.02)
|
(.62)
|
(.04)
|
||||
Distributions from net realized gain
|
-
|
-
|
-
|
(.01)
|
||||
Total distributions
|
(.17)
|
(1.02)
|
(.62)
|
(.04) D
|
||||
Net asset value, end of period
|
$
|
11.37
|
$
|
10.96
|
$
|
10.61
|
$
|
10.14
|
Total Return E, F
|
5.34%
|
13.25%
|
10.92%
|
1.81%
|
||||
Ratios and Supplemental Data C, G, H
|
||||||||
Ratio of expenses to average net assets before reductions
|
1.46% I
|
1.48%
|
1.54%
|
1.61% I, J
|
||||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.45% I
|
1.45%
|
1.45%
|
1.45% I
|
||||
Ratio of expenses to average net assets net of all reductions, if any
|
1.45% I
|
1.45%
|
1.45%
|
1.45% I
|
||||
Ratio of net investment income (loss) to average net assets
|
1.13% I
|
1.52%
|
2.38%
|
3.39% I
|
||||
Net assets, end of period
|
$
|
1,272,626,272
|
$
|
1,012,409,970
|
$
|
427,638,723
|
$
|
152,431,974
|
Portfolio turnover rate K
|
456% I
|
363%
|
345%
|
71% L
|
||||
AFor the period September 12, 2023 (commencement of operations) through January 31, 2024.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DTotal distributions per share do not sum due to rounding.
|
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
FTotal returns for periods of less than one year are not annualized.
|
GExpense 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.
|
HFees 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.
|
IAnnualized.
|
JAudit fees are not annualized.
|
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
LAmount not annualized.
|
Tax Cost ($)
|
Gross unrealized appreciation ($)
|
Gross unrealized depreciation ($)
|
Net unrealized appreciation (depreciation) ($)
|
|
Fidelity® SAI Convertible Arbitrage Fund
|
1,200,519,701
|
110,948,387
|
(38,853,645)
|
72,094,742
|
|
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.
|
Primary Risk Exposure / Derivative Type
|
Values of Derivative Assets ($)
|
Values of Derivative Liabilities ($)
|
Net Realized Gain (Loss) ($)
|
Change in Net Unrealized Appreciation (Depreciation) ($)
|
|||
Fidelity® SAI Convertible Arbitrage Fund
|
|||||||
Equity Risk
|
|||||||
Swaps
|
3,176,239
|
(4,816,050)
|
(9,987,142)
|
(10,160,791)
|
|||
Total Equity Risk
|
3,176,239
|
(4,816,050)
|
(9,987,142)
|
(10,160,791)
|
|||
Interest Rate Risk
|
|||||||
Futures Contracts
|
1,391,160
|
-
|
2,810,553
|
869,653
|
|||
Total Interest Rate Risk
|
1,391,160
|
-
|
2,810,553
|
869,653
|
|||
Totals
|
4,567,399
|
(4,816,050)
|
(7,176,589)
|
(9,291,138)
|
Average Amount ($)
|
|
Fidelity® SAI Convertible Arbitrage Fund
|
|
Futures
|
206,961,806
|
Swaps
|
101,530,627
|
Purchases ($)
|
Sales ($)
|
|
Fidelity® SAI Convertible Arbitrage Fund
|
1,751,981,516
|
1,563,323,851
|
Annual Management Fee Rate (%)
|
|
Fidelity® SAI Convertible Arbitrage Fund
|
1.40
|
Borrower or Lender
|
Average Loan Balance ($)
|
Weighted Average Interest Rate (%)
|
Interest expense ($)
|
|
Fidelity® SAI Convertible Arbitrage Fund
|
Borrower
|
5,569,000
|
3.82
|
590
|
Amount ($)
|
|
Fidelity® SAI Convertible Arbitrage Fund
|
64,177
|
Expense Limitation (%)
|
Expiration Date
|
Reimbursement ($)
|
|
Fidelity® SAI Convertible Arbitrage Fund
|
1.45
|
May 31, 2027
|
41,211
|
Custodian Credits ($)
|
|
Fidelity® SAI Convertible Arbitrage Fund
|
4,879
|
Six months ended ($)
|
Year ended ($)
|
|||
July 31, 2026
|
January 31, 2026
|
|||
Fidelity® SAI Convertible Arbitrage Fund
|
||||
Fidelity® SAI Convertible Arbitrage Fund
|
16,501,429
|
75,766,031
|
||
Total
|
16,501,429
|
75,766,031
|
Shares
|
Shares
|
Dollars
|
Dollars
|
||||||
Six months ended
|
Year ended
|
Six months ended ($)
|
Year ended ($)
|
||||||
July 31, 2026
|
January 31, 2026
|
July 31, 2026
|
January 31, 2026
|
||||||
Fidelity® SAI Convertible Arbitrage Fund
|
|||||||||
Shares sold
|
18,075,909
|
44,980,985
|
200,000,000
|
500,031,917
|
|||||
Reinvestment of distributions
|
1,516,675
|
7,056,448
|
16,501,429
|
75,766,031
|
|||||
Shares redeemed
|
-
|
(3)
|
-
|
(33)
|
|||||
Net increase (decrease)
|
19,592,584
|
52,037,430
|
216,501,429
|
575,797,915
|
Strategic Advisers Alternatives Fund
|
Strategic Advisers Fidelity Alternatives Fund
|
|
Fidelity ® SAI Convertible Arbitrage Fund
|
46%
|
54%
|
Fund
|
% of shares held
|
Fidelity ® SAI Convertible Arbitrage Fund
|
100
|
 |
Contents
Common Stocks - 97.9%
|
|||
Shares
|
Value ($)
|
||
MEXICO - 0.1%
|
|||
Materials - 0.1%
|
|||
Metals & Mining - 0.1%
|
|||
Southern Copper Corp
|
120
|
21,925
|
|
NETHERLANDS - 0.2%
|
|||
Information Technology - 0.2%
|
|||
Semiconductors & Semiconductor Equipment - 0.2%
|
|||
NXP Semiconductors NV
|
226
|
51,790
|
|
SINGAPORE - 0.0%
|
|||
Information Technology - 0.0%
|
|||
Semiconductors & Semiconductor Equipment - 0.0%
|
|||
Kulicke & Soffa Industries Inc
|
32
|
2,854
|
|
UNITED KINGDOM - 0.1%
|
|||
Energy - 0.1%
|
|||
Energy Equipment & Services - 0.1%
|
|||
TechnipFMC PLC
|
328
|
23,504
|
|
UNITED STATES - 97.5%
|
|||
Communication Services - 10.6%
|
|||
Diversified Telecommunication Services - 1.0%
|
|||
AT&T Inc
|
6,528
|
151,776
|
|
Comcast Corp Class A
|
3,643
|
87,286
|
|
239,062
|
|||
Entertainment - 1.2%
|
|||
Electronic Arts Inc
|
576
|
120,879
|
|
Netflix Inc (a)
|
1,621
|
116,242
|
|
Roku Inc Class A (a)
|
148
|
21,461
|
|
Warner Bros Discovery Inc (a)
|
1,015
|
26,695
|
|
285,277
|
|||
Interactive Media & Services - 8.0%
|
|||
Alphabet Inc Class A
|
2,389
|
850,796
|
|
Alphabet Inc Class C
|
1,580
|
563,507
|
|
Meta Platforms Inc Class A
|
879
|
489,348
|
|
1,903,651
|
|||
Media - 0.0%
|
|||
Versant Media Group Inc Class A
|
499
|
17,959
|
|
Wireless Telecommunication Services - 0.4%
|
|||
T-Mobile US Inc
|
516
|
89,118
|
|
TOTAL COMMUNICATION SERVICES
|
2,535,067
|
||
Consumer Discretionary - 8.2%
|
|||
Automobiles - 1.8%
|
|||
Ford Motor Co
|
7,988
|
117,264
|
|
General Motors Co
|
1,354
|
120,316
|
|
Tesla Inc (a)
|
648
|
201,664
|
|
439,244
|
|||
Broadline Retail - 4.3%
|
|||
Amazon.com Inc (a)
|
3,823
|
1,038,250
|
|
Hotels, Restaurants & Leisure - 0.9%
|
|||
Airbnb Inc Class A (a)
|
969
|
146,824
|
|
DraftKings Inc Class A (a)
|
776
|
18,220
|
|
Global Business Travel Group I Class A (a)
|
1,580
|
14,915
|
|
Navan Inc Class A (a)
|
952
|
25,342
|
|
205,301
|
|||
Leisure Products - 0.2%
|
|||
Hasbro Inc
|
524
|
49,225
|
|
Specialty Retail - 1.0%
|
|||
Abercrombie & Fitch Co Class A (a)
|
121
|
12,044
|
|
Five Below Inc (a)
|
184
|
39,952
|
|
Gap Inc/The
|
123
|
2,471
|
|
Ross Stores Inc
|
356
|
89,381
|
|
TJX Cos Inc/The
|
572
|
89,999
|
|
233,847
|
|||
TOTAL CONSUMER DISCRETIONARY
|
1,965,867
|
||
Consumer Staples - 3.3%
|
|||
Beverages - 1.3%
|
|||
Coca-Cola Co/The
|
1,506
|
131,911
|
|
Monster Beverage Corp (a)
|
873
|
84,139
|
|
PepsiCo Inc
|
689
|
96,157
|
|
312,207
|
|||
Consumer Staples Distribution & Retail - 1.4%
|
|||
Costco Wholesale Corp
|
150
|
142,784
|
|
Maplebear Inc (a)
|
761
|
33,940
|
|
Walmart Inc
|
1,510
|
167,912
|
|
344,636
|
|||
Tobacco - 0.6%
|
|||
Philip Morris International Inc
|
729
|
139,108
|
|
TOTAL CONSUMER STAPLES
|
795,951
|
||
Energy - 2.5%
|
|||
Energy Equipment & Services - 0.0%
|
|||
Kodiak Gas Services Inc
|
20
|
1,174
|
|
Oil, Gas & Consumable Fuels - 2.5%
|
|||
Chevron Corp
|
688
|
135,419
|
|
EOG Resources Inc
|
396
|
58,881
|
|
ExxonMobil Holdings Corp
|
1,678
|
260,828
|
|
Kinder Morgan Inc
|
2,583
|
83,121
|
|
Occidental Petroleum Corp
|
1,108
|
63,234
|
|
601,483
|
|||
TOTAL ENERGY
|
602,657
|
||
Financials - 13.4%
|
|||
Banks - 4.1%
|
|||
Bank of America Corp (b)
|
3,906
|
241,977
|
|
JPMorgan Chase & Co (b)
|
1,316
|
462,956
|
|
US Bancorp (b)
|
1,824
|
114,929
|
|
Wells Fargo & Co (b)
|
1,839
|
158,982
|
|
978,844
|
|||
Capital Markets - 3.7%
|
|||
Ameriprise Financial Inc
|
103
|
56,222
|
|
Bank of New York Mellon Corp/The (b)
|
1,036
|
161,958
|
|
Cboe Global Markets Inc
|
148
|
45,914
|
|
Charles Schwab Corp/The (b)
|
1,789
|
188,274
|
|
CME Group Inc Class A
|
305
|
81,676
|
|
KKR & Co Inc Class A
|
525
|
53,251
|
|
Morgan Stanley (b)
|
807
|
169,809
|
|
Morningstar Inc
|
57
|
10,976
|
|
State Street Corp
|
507
|
93,369
|
|
Virtu Financial Inc Class A (b)
|
580
|
34,063
|
|
895,512
|
|||
Financial Services - 4.2%
|
|||
Berkshire Hathaway Inc Class B (a)(b)
|
893
|
456,805
|
|
Equitable Holdings Inc
|
47
|
2,240
|
|
Fiserv Inc (a)(b)
|
1,403
|
75,678
|
|
Mastercard Inc Class A (b)
|
508
|
291,135
|
|
Visa Inc Class A (b)
|
473
|
173,179
|
|
999,037
|
|||
Insurance - 1.4%
|
|||
Allstate Corp/The
|
412
|
108,801
|
|
American Financial Group Inc/OH
|
30
|
4,252
|
|
Oscar Health Inc Class A (a)
|
1,889
|
58,975
|
|
Progressive Corp/The (b)
|
763
|
161,313
|
|
333,341
|
|||
TOTAL FINANCIALS
|
3,206,734
|
||
Health Care - 8.8%
|
|||
Biotechnology - 2.3%
|
|||
AbbVie Inc (b)
|
836
|
209,786
|
|
Alnylam Pharmaceuticals Inc (a)
|
2
|
411
|
|
BioMarin Pharmaceutical Inc (a)
|
212
|
12,724
|
|
Gilead Sciences Inc (b)
|
1,226
|
159,637
|
|
Incyte Corp (a)
|
498
|
59,521
|
|
PTC Therapeutics Inc (a)
|
413
|
28,088
|
|
Regeneron Pharmaceuticals Inc
|
90
|
68,637
|
|
538,804
|
|||
Health Care Equipment & Supplies - 0.8%
|
|||
Abbott Laboratories (b)
|
1,720
|
181,804
|
|
Health Care Providers & Services - 1.5%
|
|||
Centene Corp (a)
|
625
|
38,888
|
|
Elevance Health Inc
|
152
|
57,128
|
|
Option Care Health Inc (a)
|
492
|
11,330
|
|
UnitedHealth Group Inc (b)
|
595
|
246,568
|
|
353,914
|
|||
Life Sciences Tools & Services - 0.2%
|
|||
Illumina Inc (a)(b)
|
333
|
68,298
|
|
Pharmaceuticals - 4.0%
|
|||
Bristol-Myers Squibb Co (b)
|
2,722
|
177,774
|
|
Eli Lilly & Co (b)
|
320
|
367,629
|
|
Johnson & Johnson (b)
|
573
|
146,889
|
|
Merck & Co Inc (b)
|
1,170
|
152,334
|
|
Organon & Co
|
167
|
2,263
|
|
Pfizer Inc (b)
|
4,314
|
107,893
|
|
954,782
|
|||
TOTAL HEALTH CARE
|
2,097,602
|
||
Industrials - 10.7%
|
|||
Aerospace & Defense - 3.6%
|
|||
GE Aerospace
|
702
|
252,769
|
|
General Dynamics Corp
|
116
|
44,476
|
|
Howmet Aerospace Inc
|
503
|
141,977
|
|
L3Harris Technologies Inc
|
177
|
49,040
|
|
Lockheed Martin Corp
|
196
|
114,217
|
|
RTX Corp
|
1,069
|
230,070
|
|
832,549
|
|||
Air Freight & Logistics - 0.3%
|
|||
FedEx Corp
|
238
|
73,161
|
|
Building Products - 1.4%
|
|||
Armstrong World Industries Inc
|
38
|
6,637
|
|
Carlisle Cos Inc
|
120
|
43,190
|
|
Johnson Controls International plc
|
890
|
130,527
|
|
Trane Technologies PLC
|
335
|
152,409
|
|
Zurn Elkay Water Solutions Corp
|
11
|
556
|
|
333,319
|
|||
Commercial Services & Supplies - 0.6%
|
|||
Cintas Corp
|
241
|
49,316
|
|
Veralto Corp
|
1,083
|
101,986
|
|
151,302
|
|||
Construction & Engineering - 0.7%
|
|||
AECOM
|
897
|
64,934
|
|
Comfort Systems USA Inc
|
40
|
69,188
|
|
Tutor Perini Corp
|
405
|
33,918
|
|
168,040
|
|||
Electrical Equipment - 1.7%
|
|||
AMETEK Inc
|
574
|
138,742
|
|
Bloom Energy Corp Class A (a)
|
73
|
15,024
|
|
GE Vernova Inc
|
170
|
168,350
|
|
nVent Electric PLC
|
110
|
16,921
|
|
Rockwell Automation Inc
|
129
|
61,930
|
|
400,967
|
|||
Ground Transportation - 0.9%
|
|||
Landstar System Inc
|
233
|
40,721
|
|
Lyft Inc Class A (a)
|
3,196
|
50,689
|
|
Norfolk Southern Corp
|
16
|
5,368
|
|
Uber Technologies Inc (a)
|
1,784
|
125,522
|
|
222,300
|
|||
Machinery - 1.1%
|
|||
Caterpillar Inc
|
111
|
90,444
|
|
Crane Co
|
280
|
59,769
|
|
Graco Inc
|
105
|
8,335
|
|
Illinois Tool Works Inc
|
232
|
66,572
|
|
Toro Co/The
|
467
|
42,903
|
|
268,023
|
|||
Passenger Airlines - 0.0%
|
|||
American Airlines Group Inc (a)
|
402
|
6,139
|
|
Trading Companies & Distributors - 0.4%
|
|||
Applied Industrial Technologies Inc
|
63
|
21,748
|
|
Fastenal Co
|
1,546
|
73,760
|
|
Ferguson Enterprises Inc
|
10
|
2,343
|
|
97,851
|
|||
TOTAL INDUSTRIALS
|
2,553,651
|
||
Information Technology - 36.8%
|
|||
Communications Equipment - 2.0%
|
|||
Arista Networks Inc (a)
|
777
|
140,132
|
|
Ciena Corp (a)
|
119
|
44,869
|
|
Cisco Systems Inc
|
1,801
|
208,898
|
|
Motorola Solutions Inc
|
192
|
83,664
|
|
477,563
|
|||
Electronic Equipment, Instruments & Components - 1.2%
|
|||
Amphenol Corp Class A
|
1,182
|
189,947
|
|
Keysight Technologies Inc (a)
|
283
|
90,300
|
|
280,247
|
|||
IT Services - 0.3%
|
|||
Cloudflare Inc Class A (a)
|
60
|
16,739
|
|
MongoDB Inc Class A (a)
|
11
|
3,712
|
|
VeriSign Inc
|
185
|
53,654
|
|
74,105
|
|||
Semiconductors & Semiconductor Equipment - 16.1%
|
|||
Advanced Micro Devices Inc (a)
|
325
|
154,749
|
|
Analog Devices Inc
|
192
|
70,543
|
|
Applied Materials Inc
|
159
|
80,720
|
|
Broadcom Inc
|
1,799
|
700,315
|
|
Cirrus Logic Inc (a)
|
367
|
47,471
|
|
Intel Corp (a)
|
1,898
|
171,200
|
|
Lam Research Corp
|
571
|
167,314
|
|
Micron Technology Inc
|
465
|
382,709
|
|
NVIDIA Corp (b)
|
9,129
|
1,832,647
|
|
Qorvo Inc (a)
|
876
|
79,339
|
|
QUALCOMM Inc
|
1,020
|
150,562
|
|
Silicon Laboratories Inc (a)
|
8
|
1,740
|
|
3,839,309
|
|||
Software - 8.5%
|
|||
Adobe Inc (a)
|
704
|
176,289
|
|
Atlassian Corp Class A (a)
|
171
|
17,273
|
|
BILL Holdings Inc (a)
|
236
|
10,650
|
|
Crowdstrike Holdings Inc Class A (a)
|
488
|
93,140
|
|
Docusign Inc (a)
|
1,177
|
64,535
|
|
Elastic NV (a)
|
383
|
25,198
|
|
Fortinet Inc (a)
|
989
|
160,169
|
|
HubSpot Inc (a)
|
149
|
35,367
|
|
Microsoft Corp (b)
|
2,528
|
1,174,812
|
|
Oracle Corp
|
895
|
116,234
|
|
Salesforce Inc
|
459
|
84,465
|
|
Tenable Holdings Inc (a)
|
417
|
13,610
|
|
Unity Software Inc (a)
|
1,252
|
39,701
|
|
Zoom Communications Inc Class A (a)
|
206
|
19,790
|
|
2,031,233
|
|||
Technology Hardware, Storage & Peripherals - 8.7%
|
|||
Apple Inc (b)
|
5,650
|
1,745,342
|
|
NetApp Inc
|
370
|
66,045
|
|
Sandisk Corp (a)
|
64
|
77,749
|
|
Seagate Technology Holdings PLC
|
99
|
84,757
|
|
Western Digital Corp
|
177
|
96,437
|
|
2,070,330
|
|||
TOTAL INFORMATION TECHNOLOGY
|
8,772,787
|
||
Materials - 1.1%
|
|||
Chemicals - 0.1%
|
|||
Solstice Advanced Materials Inc
|
421
|
25,332
|
|
Containers & Packaging - 0.1%
|
|||
Avery Dennison Corp
|
191
|
32,418
|
|
Metals & Mining - 0.9%
|
|||
Commercial Metals Co
|
1,212
|
83,289
|
|
Nucor Corp
|
498
|
128,130
|
|
211,419
|
|||
TOTAL MATERIALS
|
269,169
|
||
Real Estate - 0.9%
|
|||
Health Care REITs - 0.3%
|
|||
Ventas Inc
|
851
|
79,577
|
|
Real Estate Management & Development - 0.0%
|
|||
Zillow Group Inc Class C (a)
|
313
|
10,660
|
|
Specialized REITs - 0.6%
|
|||
Lamar Advertising Co Class A
|
179
|
28,633
|
|
Millrose Properties Inc Class A
|
960
|
26,861
|
|
Outfront Media Inc
|
2,154
|
68,648
|
|
124,142
|
|||
TOTAL REAL ESTATE
|
214,379
|
||
Utilities - 1.2%
|
|||
Electric Utilities - 0.5%
|
|||
Constellation Energy Corp
|
160
|
42,040
|
|
PPL Corp
|
2,150
|
75,702
|
|
117,742
|
|||
Multi-Utilities - 0.7%
|
|||
Consolidated Edison Inc
|
458
|
49,853
|
|
Sempra
|
1,262
|
111,750
|
|
161,603
|
|||
TOTAL UTILITIES
|
279,345
|
||
TOTAL UNITED STATES
|
23,293,209
|
||
|
TOTAL COMMON STOCKS
(Cost $19,352,450)
|
23,393,282
|
||
Money Market Funds - 1.8%
|
||||
Yield (%)
|
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund (c)
(Cost $433,360)
|
3.69
|
433,278
|
433,365
|
|
Purchased Options - 0.4%
|
||||||
Clearinghouse / Counterparty
|
Number
of Contracts
|
Notional Amount ($)
|
Exercise
Price ($)
|
Expiration
Date
|
Value ($)
|
|
Put Options
|
||||||
Mini SPX Index
|
Chicago Board Options Exchange
|
72
|
0
|
720
|
10/2026
|
72,036
|
Mini SPX Index
|
Chicago Board Options Exchange
|
52
|
0
|
685
|
9/2026
|
16,016
|
Mini SPX Index
|
Chicago Board Options Exchange
|
60
|
0
|
700
|
8/2026
|
6,300
|
94,352
|
||||||
TOTAL PURCHASED OPTIONS
(Cost $208,866)
|
94,352
|
|||||
|
TOTAL INVESTMENT IN SECURITIES - 100.1%
(Cost $19,994,676)
|
23,920,999
|
NET OTHER ASSETS (LIABILITIES) - (0.1)%
|
(23,097)
|
NET ASSETS - 100.0%
|
23,897,902
|
Futures Contracts
|
||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
|
Value and Unrealized
Appreciation/
(Depreciation) ($)
|
|
LONG
|
||||
CME E-Mini S&P 500 Index Contracts (United States)
|
8
|
9/2026
|
300,770
|
2,932
|
Written Options
|
||||||
Clearinghouse / Counterparty
|
Number
of Contracts
|
Notional
Amount ($)
|
Exercise
Price ($)
|
Expiration
Date
|
Value ($)
|
|
Call Options
|
||||||
Mini SPX Index
|
Chicago Board Options Exchange
|
75
|
0
|
765.00
|
8/2026
|
(900)
|
Mini SPX Index
|
Chicago Board Options Exchange
|
76
|
0
|
760.00
|
8/2026
|
(18,126)
|
Mini SPX Index
|
Chicago Board Options Exchange
|
75
|
0
|
765.00
|
8/2026
|
(18,075)
|
Mini SPX Index
|
Chicago Board Options Exchange
|
76
|
0
|
760.00
|
8/2026
|
(45,030)
|
(82,131)
|
||||||
TOTAL WRITTEN OPTIONS
(Premiums Received $(108,038)) |
(82,131)
|
|||||
(a)
|
Non-income producing.
|
(b)
|
Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $3,798,668.
|
(c)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
Shares,
end
of period
|
Fidelity Cash Central Fund
|
384,613
|
3,482,491
|
3,433,744
|
8,317
|
-
|
5
|
433,365
|
433,278
|
384,613
|
3,482,491
|
3,433,744
|
8,317
|
-
|
5
|
433,365
|
Valuation Inputs at Reporting Date:
|
||||
Description
|
Total ($)
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Investments in Securities:
|
||||
Common Stocks
|
||||
Communication Services
|
2,535,067
|
2,535,067
|
-
|
-
|
Consumer Discretionary
|
1,965,867
|
1,965,867
|
-
|
-
|
Consumer Staples
|
795,951
|
795,951
|
-
|
-
|
Energy
|
626,161
|
626,161
|
-
|
-
|
Financials
|
3,206,734
|
3,206,734
|
-
|
-
|
Health Care
|
2,097,602
|
2,097,602
|
-
|
-
|
Industrials
|
2,553,651
|
2,553,651
|
-
|
-
|
Information Technology
|
8,827,431
|
8,827,431
|
-
|
-
|
Materials
|
291,094
|
291,094
|
-
|
-
|
Real Estate
|
214,379
|
214,379
|
-
|
-
|
Utilities
|
279,345
|
279,345
|
-
|
-
|
Money Market Funds
|
433,365
|
433,365
|
-
|
-
|
Purchased Options
|
94,352
|
94,352
|
-
|
-
|
Total Investments in Securities:
|
23,920,999
|
23,920,999
|
-
|
-
|
Derivative Instruments:
|
||||
Assets
|
||||
Futures Contracts
|
2,932
|
2,932
|
-
|
-
|
Total Assets
|
2,932
|
2,932
|
-
|
-
|
Liabilities
|
||||
Written Options
|
(82,131)
|
(82,131)
|
-
|
-
|
Total Liabilities
|
(82,131)
|
(82,131)
|
-
|
-
|
Total Derivative Instruments:
|
(79,199)
|
(79,199)
|
-
|
-
|
Statement of Assets and Liabilities
|
||
As of July 31, 2026 (Unaudited)
|
||
Assets
|
||
Investments in securities, at value - unaffiliated issuers
|
$
|
23,487,634
|
Investments in securities, at value - affiliated issuers
|
433,365
|
|
Segregated cash with brokers for derivative instruments
|
52,972
|
|
Dividends receivable
|
16,845
|
|
Distributions receivable from affiliated funds
|
1,416
|
|
Receivable for variation margin on futures contracts
|
1,870
|
|
Receivable from investment adviser for expense reductions
|
411
|
|
Total assets
|
23,994,513
|
|
Liabilities
|
||
Payable to custodian bank
|
5,450
|
|
Accrued management fee
|
9,030
|
|
Written options, at value
|
82,131
|
|
Total liabilities
|
96,611
|
|
Net Assets
|
$
|
23,897,902
|
Net assets consist of:
|
||
Paid in capital
|
20,334,068
|
|
Total accumulated earnings (loss)
|
3,563,834
|
|
Net Assets
|
$
|
23,897,902
|
Net Asset Value and Maximum Offering
|
||
Net Asset Value, offering price and redemption price per share ($23,897,902/725,000 shares)
|
$
|
32.96
|
Other Information
|
||
Unaffiliated issuers, cost
|
19,561,316
|
|
Affiliated issuers, cost
|
433,360
|
|
Written options premium received
|
108,038
|
|
Statement of Operations
|
||
Six months ended July 31, 2026 (Unaudited)
|
||
Investment Income
|
||
Dividends - unaffiliated issuers
|
$
|
100,616
|
Dividends - affiliated issuers
|
8,317
|
|
Interest
|
1,152
|
|
Total investment income
|
110,085
|
|
Expenses
|
||
Management fee
|
47,845
|
|
Independent trustees' fees and expenses
|
2,636
|
|
Total expenses
|
50,481
|
|
Expense reimbursements and reductions
|
(2,878)
|
|
Total expenses after reductions
|
47,603
|
|
Net investment income (loss)
|
62,482
|
|
Net realized gain (loss)
|
||
Investments - unaffiliated issuers
|
(188,082)
|
|
Redemptions in-kind
|
411,893
|
|
Futures contracts
|
(17,965)
|
|
Written options
|
(464,043)
|
|
Net realized gain (loss)
|
(258,197)
|
|
Change in net unrealized appreciation (depreciation)
|
||
Investments - unaffiliated issuers
|
1,323,303
|
|
Investments - affiliated issuers
|
5
|
|
Futures contracts
|
(2,584)
|
|
Written options
|
(12,500)
|
|
Total change in net unrealized appreciation (depreciation)
|
1,308,224
|
|
Net gain (loss)
|
1,050,027
|
|
Net increase (decrease) in net assets resulting from operations
|
$
|
1,112,509
|
Statement of Changes in Net Assets
|
||||
Six months ended
July 31, 2026
(Unaudited)
|
Year ended
January 31, 2026
|
|||
Increase (Decrease) in Net Assets
|
||||
Operations
|
||||
Net investment income (loss)
|
$
|
62,482
|
$
|
91,414
|
Net realized gain (loss)
|
(258,197)
|
(17,526)
|
||
Change in net unrealized appreciation (depreciation)
|
1,308,224
|
1,591,341
|
||
Net increase (decrease) in net assets resulting from operations
|
1,112,509
|
1,665,229
|
||
Distributions to shareholders
|
||||
Distributions to shareholders
|
(68,250)
|
(82,150)
|
||
Total distributions
|
(68,250)
|
(82,150)
|
||
Net increase (decrease) in net assets resulting from share transactions
|
4,100,078
|
7,454,634
|
||
Total increase (decrease) in net assets
|
5,144,337
|
9,037,713
|
||
Net Assets
|
||||
Beginning of period
|
18,753,565
|
9,715,852
|
||
End of period
|
$
|
23,897,902
|
$
|
18,753,565
|
Fidelity® Dynamic Buffered Equity ETF |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025 A
|
||||
Selected Per Share Data
|
||||||
Net asset value, beginning of period
|
$
|
31.26
|
$
|
27.76
|
$
|
24.99
|
Income from Investment Operations
|
||||||
Net investment income (loss) B, C
|
.10
|
.22
|
.17
|
|||
Net realized and unrealized gain (loss)
|
1.71
|
3.48
|
2.75
|
|||
Total from investment operations
|
1.81
|
3.70
|
2.92
|
|||
Distributions
|
||||||
Distributions from net investment income
|
(.11)
|
(.20)
|
(.15)
|
|||
Total distributions
|
(.11)
|
(.20)
|
(.15)
|
|||
Net asset value, end of period
|
$
|
32.96
|
$
|
31.26
|
$
|
27.76
|
Total Return D, E, F
|
5.81%
|
13.39%
|
11.69%
|
|||
Ratios and Supplemental Data C, G, H
|
||||||
Ratio of expenses to average net assets before reductions
|
.51% I
|
.52%
|
.52% I
|
|||
Ratio of expenses to average net assets net of fee waivers, if any
|
.48% I
|
.48%
|
.48% I
|
|||
Ratio of expenses to average net assets net of all reductions, if any
|
.48% I
|
.47%
|
.48% I
|
|||
Ratio of net investment income (loss) to average net assets
|
.63% I
|
.76%
|
.81% I
|
|||
Net assets, end of period
|
$
|
23,897,902
|
$
|
18,753,565
|
$
|
9,715,852
|
Portfolio turnover rate K
|
89% I, J
|
83% J
|
98% I, J
|
|||
AFor the period April 9, 2024 (commencement of operations) through January 31, 2025.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DBased on net asset value.
|
ETotal returns for periods of less than one year are not annualized.
|
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
GFees 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.
|
HExpense 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.
|
IAnnualized.
|
JPortfolio turnover rate excludes securities received or delivered in-kind.
|
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Common Stocks - 97.6%
|
|||
Shares
|
Value ($)
|
||
MEXICO - 0.1%
|
|||
Materials - 0.1%
|
|||
Metals & Mining - 0.1%
|
|||
Southern Copper Corp
|
3,252
|
594,173
|
|
NETHERLANDS - 0.2%
|
|||
Information Technology - 0.2%
|
|||
Semiconductors & Semiconductor Equipment - 0.2%
|
|||
NXP Semiconductors NV
|
9,449
|
2,165,333
|
|
SINGAPORE - 0.1%
|
|||
Information Technology - 0.1%
|
|||
Semiconductors & Semiconductor Equipment - 0.1%
|
|||
Kulicke & Soffa Industries Inc
|
9,784
|
872,733
|
|
UNITED KINGDOM - 0.1%
|
|||
Energy - 0.1%
|
|||
Energy Equipment & Services - 0.1%
|
|||
TechnipFMC PLC
|
8,753
|
627,240
|
|
UNITED STATES - 97.1%
|
|||
Communication Services - 10.4%
|
|||
Diversified Telecommunication Services - 1.0%
|
|||
AT&T Inc
|
241,129
|
5,606,249
|
|
Comcast Corp Class A
|
158,250
|
3,791,670
|
|
9,397,919
|
|||
Entertainment - 1.1%
|
|||
Electronic Arts Inc
|
15,200
|
3,189,872
|
|
Netflix Inc (a)
|
72,370
|
5,189,653
|
|
Roku Inc Class A (a)
|
5,859
|
849,613
|
|
Warner Bros Discovery Inc (a)
|
38,064
|
1,001,083
|
|
10,230,221
|
|||
Interactive Media & Services - 7.9%
|
|||
Alphabet Inc Class A
|
89,329
|
31,812,737
|
|
Alphabet Inc Class C
|
64,463
|
22,990,729
|
|
Meta Platforms Inc Class A
|
32,835
|
18,279,573
|
|
73,083,039
|
|||
Media - 0.1%
|
|||
Versant Media Group Inc Class A
|
20,099
|
723,363
|
|
Wireless Telecommunication Services - 0.3%
|
|||
T-Mobile US Inc
|
17,765
|
3,068,193
|
|
TOTAL COMMUNICATION SERVICES
|
96,502,735
|
||
Consumer Discretionary - 8.0%
|
|||
Automobiles - 1.8%
|
|||
Ford Motor Co
|
367,871
|
5,400,346
|
|
General Motors Co
|
41,009
|
3,644,060
|
|
Tesla Inc (a)
|
25,020
|
7,786,474
|
|
16,830,880
|
|||
Broadline Retail - 4.2%
|
|||
Amazon.com Inc (a)
|
145,152
|
39,420,381
|
|
Hotels, Restaurants & Leisure - 0.8%
|
|||
Airbnb Inc Class A (a)
|
37,685
|
5,710,031
|
|
DraftKings Inc Class A (a)
|
14,385
|
337,760
|
|
Global Business Travel Group I Class A (a)
|
63,241
|
596,995
|
|
Navan Inc Class A (a)
|
26,936
|
717,036
|
|
7,361,822
|
|||
Specialty Retail - 1.2%
|
|||
Abercrombie & Fitch Co Class A (a)
|
3,839
|
382,134
|
|
Five Below Inc (a)
|
10,049
|
2,181,939
|
|
Gap Inc/The
|
14,570
|
292,711
|
|
Ross Stores Inc
|
12,078
|
3,032,423
|
|
TJX Cos Inc/The
|
26,943
|
4,239,213
|
|
Victoria's Secret & Co (a)
|
7,105
|
630,071
|
|
10,758,491
|
|||
TOTAL CONSUMER DISCRETIONARY
|
74,371,574
|
||
Consumer Staples - 3.8%
|
|||
Beverages - 1.4%
|
|||
Coca-Cola Co/The
|
51,257
|
4,489,601
|
|
Coca-Cola Consolidated Inc
|
2,358
|
443,068
|
|
Monster Beverage Corp (a)
|
24,153
|
2,327,866
|
|
PepsiCo Inc
|
43,291
|
6,041,692
|
|
13,302,227
|
|||
Consumer Staples Distribution & Retail - 1.7%
|
|||
Costco Wholesale Corp
|
7,639
|
7,271,488
|
|
Maplebear Inc (a)
|
21,641
|
965,188
|
|
Sysco Corp
|
15,040
|
1,282,010
|
|
Walmart Inc
|
51,108
|
5,683,210
|
|
15,201,896
|
|||
Household Products - 0.4%
|
|||
Procter & Gamble Co/The
|
26,008
|
3,757,896
|
|
Tobacco - 0.3%
|
|||
Altria Group Inc
|
42,147
|
2,879,904
|
|
TOTAL CONSUMER STAPLES
|
35,141,923
|
||
Energy - 2.7%
|
|||
Energy Equipment & Services - 0.1%
|
|||
Baker Hughes Co Class A
|
20,488
|
1,239,319
|
|
Kodiak Gas Services Inc
|
1,278
|
75,031
|
|
Transocean Ltd (a)
|
1,827
|
9,720
|
|
1,324,070
|
|||
Oil, Gas & Consumable Fuels - 2.6%
|
|||
Chevron Corp
|
27,334
|
5,380,151
|
|
ConocoPhillips
|
19,935
|
2,401,769
|
|
EOG Resources Inc
|
13,570
|
2,017,723
|
|
ExxonMobil Holdings Corp
|
63,289
|
9,837,643
|
|
Kinder Morgan Inc
|
74,632
|
2,401,658
|
|
Occidental Petroleum Corp
|
33,405
|
1,906,423
|
|
23,945,367
|
|||
TOTAL ENERGY
|
25,269,437
|
||
Financials - 13.7%
|
|||
Banks - 4.1%
|
|||
Bank of America Corp
|
166,054
|
10,287,045
|
|
JPMorgan Chase & Co
|
50,568
|
17,789,317
|
|
US Bancorp
|
53,889
|
3,395,546
|
|
Wells Fargo & Co
|
75,953
|
6,566,137
|
|
38,038,045
|
|||
Capital Markets - 3.7%
|
|||
Ameriprise Financial Inc
|
6,154
|
3,359,099
|
|
Bank of New York Mellon Corp/The
|
40,368
|
6,310,729
|
|
Cboe Global Markets Inc
|
2,599
|
806,288
|
|
Charles Schwab Corp/The
|
69,583
|
7,322,916
|
|
CME Group Inc Class A
|
8,964
|
2,400,470
|
|
KKR & Co Inc Class A
|
26,868
|
2,725,221
|
|
Morgan Stanley
|
26,044
|
5,480,178
|
|
Morningstar Inc
|
1,472
|
283,463
|
|
S&P Global Inc
|
5,598
|
2,305,984
|
|
State Street Corp
|
16,233
|
2,989,469
|
|
Virtu Financial Inc Class A
|
7,631
|
448,169
|
|
34,431,986
|
|||
Financial Services - 4.5%
|
|||
Berkshire Hathaway Inc Class B (a)
|
35,161
|
17,986,258
|
|
Equitable Holdings Inc
|
1,904
|
90,725
|
|
Fiserv Inc (a)
|
89,121
|
4,807,187
|
|
Mastercard Inc Class A
|
19,902
|
11,405,836
|
|
Visa Inc Class A
|
18,297
|
6,699,081
|
|
40,989,087
|
|||
Insurance - 1.4%
|
|||
Allstate Corp/The
|
19,472
|
5,142,166
|
|
Oscar Health Inc Class A (a)
|
61,010
|
1,904,732
|
|
Progressive Corp/The
|
29,804
|
6,301,162
|
|
13,348,060
|
|||
TOTAL FINANCIALS
|
126,807,178
|
||
Health Care - 8.6%
|
|||
Biotechnology - 2.0%
|
|||
AbbVie Inc
|
33,045
|
8,292,312
|
|
Biogen Inc rights (a)(b)
|
2,040
|
0
|
|
BioMarin Pharmaceutical Inc (a)
|
3,375
|
202,568
|
|
Gilead Sciences Inc
|
48,477
|
6,312,190
|
|
Incyte Corp (a)
|
13,826
|
1,652,484
|
|
Neurocrine Biosciences Inc (a)
|
6,157
|
1,026,988
|
|
PTC Therapeutics Inc (a)
|
18,636
|
1,267,434
|
|
18,753,976
|
|||
Health Care Equipment & Supplies - 0.7%
|
|||
Abbott Laboratories
|
65,844
|
6,959,711
|
|
Health Care Providers & Services - 1.8%
|
|||
Alignment Healthcare Inc (a)
|
1,527
|
22,676
|
|
Centene Corp (a)
|
16,647
|
1,035,776
|
|
Elevance Health Inc
|
8,603
|
3,233,352
|
|
Guardant Health Inc (a)
|
8,719
|
1,412,391
|
|
HealthEquity Inc (a)
|
12,769
|
1,284,689
|
|
Tenet Healthcare Corp (a)
|
3
|
764
|
|
UnitedHealth Group Inc
|
23,120
|
9,580,928
|
|
16,570,576
|
|||
Life Sciences Tools & Services - 0.3%
|
|||
Illumina Inc (a)
|
11,829
|
2,426,128
|
|
Medpace Holdings Inc (a)
|
695
|
401,091
|
|
2,827,219
|
|||
Pharmaceuticals - 3.8%
|
|||
Bristol-Myers Squibb Co
|
105,853
|
6,913,259
|
|
Eli Lilly & Co
|
12,988
|
14,921,134
|
|
Johnson & Johnson
|
26,465
|
6,784,303
|
|
Organon & Co
|
6,852
|
92,845
|
|
Pfizer Inc
|
240,601
|
6,017,431
|
|
34,728,972
|
|||
TOTAL HEALTH CARE
|
79,840,454
|
||
Industrials - 10.5%
|
|||
Aerospace & Defense - 3.5%
|
|||
GE Aerospace
|
27,572
|
9,927,850
|
|
General Dynamics Corp
|
7,715
|
2,958,085
|
|
HEICO Corp
|
414
|
147,533
|
|
Howmet Aerospace Inc
|
22,059
|
6,226,373
|
|
Lockheed Martin Corp
|
6,341
|
3,695,154
|
|
Northrop Grumman Corp
|
1,612
|
874,478
|
|
RTX Corp
|
37,853
|
8,146,723
|
|
31,976,196
|
|||
Air Freight & Logistics - 0.4%
|
|||
FedEx Corp
|
11,935
|
3,668,819
|
|
Building Products - 1.3%
|
|||
Carlisle Cos Inc
|
2,360
|
849,411
|
|
Carrier Global Corp
|
20,071
|
1,240,589
|
|
Johnson Controls International plc
|
25,662
|
3,763,589
|
|
Trane Technologies PLC
|
12,540
|
5,705,073
|
|
Zurn Elkay Water Solutions Corp
|
17,228
|
870,186
|
|
12,428,848
|
|||
Commercial Services & Supplies - 0.4%
|
|||
Veralto Corp
|
39,301
|
3,700,975
|
|
Construction & Engineering - 0.8%
|
|||
AECOM
|
32,376
|
2,343,699
|
|
Comfort Systems USA Inc
|
2,354
|
4,071,690
|
|
Tutor Perini Corp
|
11,897
|
996,374
|
|
7,411,763
|
|||
Electrical Equipment - 1.7%
|
|||
AMETEK Inc
|
20,876
|
5,045,938
|
|
Eaton Corp PLC
|
7,171
|
2,977,399
|
|
GE Vernova Inc
|
7,307
|
7,236,049
|
|
Sensata Technologies Holding PLC
|
11,087
|
513,217
|
|
15,772,603
|
|||
Ground Transportation - 0.8%
|
|||
Landstar System Inc
|
7,357
|
1,285,783
|
|
Lyft Inc Class A (a)
|
112,168
|
1,778,984
|
|
Norfolk Southern Corp
|
798
|
267,713
|
|
Uber Technologies Inc (a)
|
59,805
|
4,207,880
|
|
7,540,360
|
|||
Machinery - 1.2%
|
|||
Caterpillar Inc
|
3,818
|
3,110,945
|
|
Crane Co
|
7,965
|
1,700,209
|
|
Graco Inc
|
11,848
|
940,494
|
|
Illinois Tool Works Inc
|
7,455
|
2,139,212
|
|
Toro Co/The
|
32,248
|
2,962,624
|
|
10,853,484
|
|||
Passenger Airlines - 0.0%
|
|||
American Airlines Group Inc (a)
|
26,207
|
400,181
|
|
Professional Services - 0.0%
|
|||
Mobility Global Inc
|
10
|
204
|
|
Paylocity Holding Corp (a)
|
1
|
138
|
|
342
|
|||
Trading Companies & Distributors - 0.4%
|
|||
Applied Industrial Technologies Inc
|
388
|
133,941
|
|
Fastenal Co
|
65,505
|
3,125,244
|
|
Ferguson Enterprises Inc
|
797
|
186,761
|
|
Rush Enterprises Inc Class A
|
6
|
479
|
|
3,446,425
|
|||
TOTAL INDUSTRIALS
|
97,199,996
|
||
Information Technology - 36.6%
|
|||
Communications Equipment - 1.7%
|
|||
Ciena Corp (a)
|
5,095
|
1,921,070
|
|
Cisco Systems Inc
|
83,506
|
9,685,861
|
|
Motorola Solutions Inc
|
8,734
|
3,805,841
|
|
Vistance Networks Inc
|
7
|
81
|
|
15,412,853
|
|||
Electronic Equipment, Instruments & Components - 1.2%
|
|||
Amphenol Corp Class A
|
46,471
|
7,467,890
|
|
Keysight Technologies Inc (a)
|
11,996
|
3,827,684
|
|
Littelfuse Inc
|
690
|
305,069
|
|
11,600,643
|
|||
IT Services - 0.4%
|
|||
Cloudflare Inc Class A (a)
|
2,910
|
811,832
|
|
MongoDB Inc Class A (a)
|
1,763
|
594,977
|
|
Snowflake Inc (a)
|
3,128
|
917,380
|
|
VeriSign Inc
|
4,195
|
1,216,634
|
|
3,540,823
|
|||
Semiconductors & Semiconductor Equipment - 15.8%
|
|||
Advanced Micro Devices Inc (a)
|
12,645
|
6,020,917
|
|
Applied Materials Inc
|
9,126
|
4,632,996
|
|
Broadcom Inc
|
69,074
|
26,889,127
|
|
Cirrus Logic Inc (a)
|
13,522
|
1,749,071
|
|
Credo Technology Group Holding Ltd (a)
|
477
|
98,734
|
|
Intel Corp (a)
|
71,856
|
6,481,411
|
|
Lam Research Corp
|
21,284
|
6,236,638
|
|
Micron Technology Inc
|
17,022
|
14,009,617
|
|
NVIDIA Corp
|
359,452
|
72,159,989
|
|
Qorvo Inc (a)
|
30,622
|
2,773,435
|
|
QUALCOMM Inc
|
40,946
|
6,044,039
|
|
Silicon Laboratories Inc (a)
|
371
|
80,692
|
|
147,176,666
|
|||
Software - 8.6%
|
|||
Adobe Inc (a)
|
27,987
|
7,008,225
|
|
Atlassian Corp Class A (a)
|
10,391
|
1,049,647
|
|
BILL Holdings Inc (a)
|
6
|
271
|
|
Crowdstrike Holdings Inc Class A (a)
|
17,940
|
3,424,028
|
|
Docusign Inc (a)
|
34,620
|
1,898,215
|
|
Elastic NV (a)
|
13,531
|
890,204
|
|
Fortinet Inc (a)
|
36,487
|
5,909,070
|
|
HubSpot Inc (a)
|
5,868
|
1,392,828
|
|
Microsoft Corp
|
101,034
|
46,952,520
|
|
Oracle Corp
|
22,176
|
2,879,997
|
|
Salesforce Inc
|
21,448
|
3,946,861
|
|
ServiceNow Inc (a)
|
3,615
|
402,096
|
|
Tenable Holdings Inc (a)
|
30,643
|
1,000,188
|
|
Teradata Corp (a)
|
2
|
61
|
|
Unity Software Inc (a)
|
35,805
|
1,135,377
|
|
Zoom Communications Inc Class A (a)
|
16,971
|
1,630,404
|
|
79,519,992
|
|||
Technology Hardware, Storage & Peripherals - 8.9%
|
|||
Apple Inc
|
220,115
|
67,995,725
|
|
NetApp Inc
|
13,073
|
2,333,531
|
|
Sandisk Corp (a)
|
2,172
|
2,638,611
|
|
Seagate Technology Holdings PLC
|
4,673
|
4,000,695
|
|
Western Digital Corp
|
10,336
|
5,631,466
|
|
82,600,028
|
|||
TOTAL INFORMATION TECHNOLOGY
|
339,851,005
|
||
Materials - 1.1%
|
|||
Chemicals - 0.1%
|
|||
Solstice Advanced Materials Inc
|
17,497
|
1,052,794
|
|
Containers & Packaging - 0.0%
|
|||
Avery Dennison Corp
|
1,900
|
322,487
|
|
Metals & Mining - 1.0%
|
|||
Commercial Metals Co
|
52,649
|
3,618,039
|
|
Nucor Corp
|
20,153
|
5,185,166
|
|
8,803,205
|
|||
TOTAL MATERIALS
|
10,178,486
|
||
Real Estate - 0.8%
|
|||
Industrial REITs - 0.3%
|
|||
Prologis Inc
|
19,917
|
2,880,197
|
|
Real Estate Management & Development - 0.1%
|
|||
Zillow Group Inc Class C (a)
|
30,504
|
1,038,966
|
|
Specialized REITs - 0.4%
|
|||
Lamar Advertising Co Class A
|
8,074
|
1,291,517
|
|
Millrose Properties Inc Class A
|
18,237
|
510,271
|
|
Outfront Media Inc
|
74,597
|
2,377,407
|
|
4,179,195
|
|||
TOTAL REAL ESTATE
|
8,098,358
|
||
Utilities - 0.9%
|
|||
Electric Utilities - 0.3%
|
|||
PPL Corp
|
114,385
|
4,027,496
|
|
Multi-Utilities - 0.6%
|
|||
Sempra
|
57,917
|
5,128,550
|
|
TOTAL UTILITIES
|
9,156,046
|
||
TOTAL UNITED STATES
|
902,417,192
|
||
|
TOTAL COMMON STOCKS
(Cost $742,903,443)
|
906,676,671
|
||
Money Market Funds - 1.3%
|
||||
Yield (%)
|
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund (c)
(Cost $11,877,468)
|
3.69
|
11,875,370
|
11,877,745
|
|
Purchased Options - 1.0%
|
||||||
Clearinghouse / Counterparty
|
Number
of Contracts
|
Notional Amount ($)
|
Exercise
Price ($)
|
Expiration
Date
|
Value ($)
|
|
Put Options
|
||||||
S&P 500 Index
|
Chicago Board Options Exchange
|
391
|
292,848,052
|
7,220
|
10/2026
|
4,023,390
|
S&P 500 Index
|
Chicago Board Options Exchange
|
322
|
241,168,984
|
6,850
|
9/2026
|
972,440
|
S&P 500 Index
|
Chicago Board Options Exchange
|
340
|
254,650,480
|
7,000
|
8/2026
|
334,900
|
S&P 500 Index
|
Chicago Board Options Exchange
|
319
|
238,922,068
|
4,850
|
7/2027
|
1,738,550
|
S&P 500 Index
|
Chicago Board Options Exchange
|
285
|
213,457,020
|
4,600
|
6/2027
|
1,187,025
|
S&P 500 Index
|
Chicago Board Options Exchange
|
356
|
266,634,032
|
4,700
|
5/2027
|
1,422,220
|
9,678,525
|
||||||
TOTAL PURCHASED OPTIONS
(Cost $17,794,041)
|
9,678,525
|
|||||
|
TOTAL INVESTMENT IN SECURITIES - 99.9%
(Cost $772,574,952)
|
928,232,941
|
NET OTHER ASSETS (LIABILITIES) - 0.1%
|
662,956
|
NET ASSETS - 100.0%
|
928,895,897
|
Futures Contracts
|
||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
|
Value and Unrealized
Appreciation/
(Depreciation) ($)
|
|
LONG
|
||||
CME E-Mini S&P 500 Index Contracts (United States)
|
16
|
9/2026
|
6,015,400
|
48,417
|
(a)
|
Non-income producing.
|
(b)
|
Level 3 security.
|
(c)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
Shares,
end
of period
|
Fidelity Cash Central Fund
|
12,818,029
|
68,265,216
|
69,205,766
|
202,928
|
(11)
|
277
|
11,877,745
|
11,875,370
|
Fidelity Securities Lending Cash Central Fund
|
-
|
15,977,613
|
15,977,613
|
246,489
|
-
|
-
|
-
|
-
|
12,818,029
|
84,242,829
|
85,183,379
|
449,417
|
(11)
|
277
|
11,877,745
|
Valuation Inputs at Reporting Date:
|
||||
Description
|
Total ($)
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Investments in Securities:
|
||||
Common Stocks
|
||||
Communication Services
|
96,502,735
|
96,502,735
|
-
|
-
|
Consumer Discretionary
|
74,371,574
|
74,371,574
|
-
|
-
|
Consumer Staples
|
35,141,923
|
35,141,923
|
-
|
-
|
Energy
|
25,896,677
|
25,896,677
|
-
|
-
|
Financials
|
126,807,178
|
126,807,178
|
-
|
-
|
Health Care
|
79,840,454
|
79,840,454
|
-
|
-
|
Industrials
|
97,199,996
|
97,199,996
|
-
|
-
|
Information Technology
|
342,889,071
|
342,889,071
|
-
|
-
|
Materials
|
10,772,659
|
10,772,659
|
-
|
-
|
Real Estate
|
8,098,358
|
8,098,358
|
-
|
-
|
Utilities
|
9,156,046
|
9,156,046
|
-
|
-
|
Money Market Funds
|
11,877,745
|
11,877,745
|
-
|
-
|
Purchased Options
|
9,678,525
|
9,678,525
|
-
|
-
|
Total Investments in Securities:
|
928,232,941
|
928,232,941
|
-
|
-
|
Derivative Instruments:
|
||||
Assets
|
||||
Futures Contracts
|
48,417
|
48,417
|
-
|
-
|
Total Assets
|
48,417
|
48,417
|
-
|
-
|
Total Derivative Instruments:
|
48,417
|
48,417
|
-
|
-
|
Statement of Assets and Liabilities
|
||
As of July 31, 2026 (Unaudited)
|
||
Assets
|
||
Investments in securities, at value - unaffiliated issuers
|
$
|
916,355,196
|
Investments in securities, at value - affiliated issuers
|
11,877,745
|
|
Segregated cash with brokers for derivative instruments
|
402,314
|
|
Cash
|
807,075
|
|
Receivable for investments sold
|
28,193
|
|
Dividends receivable
|
505,037
|
|
Distributions receivable from affiliated funds
|
36,497
|
|
Receivable for variation margin on futures contracts
|
37,400
|
|
Receivable from investment adviser for expense reductions
|
18,153
|
|
Other receivables
|
28
|
|
Total assets
|
930,067,638
|
|
Liabilities
|
||
Payable for investments purchased
|
807,103
|
|
Accrued management fee
|
364,641
|
|
Total liabilities
|
1,171,744
|
|
Net Assets
|
$
|
928,895,897
|
Net assets consist of:
|
||
Paid in capital
|
781,785,640
|
|
Total accumulated earnings (loss)
|
147,110,257
|
|
Net Assets
|
$
|
928,895,897
|
Net Asset Value and Maximum Offering
|
||
Net Asset Value, offering price and redemption price per share ($928,895,897/27,825,000 shares)
|
$
|
33.38
|
Other Information
|
||
Unaffiliated issuers, cost
|
760,697,484
|
|
Affiliated issuers, cost
|
11,877,468
|
|
Statement of Operations
|
||
Six months ended July 31, 2026 (Unaudited)
|
||
Investment Income
|
||
Dividends - unaffiliated issuers
|
$
|
4,399,302
|
Dividends - affiliated issuers
|
449,417
|
|
Security lending income - unaffiliated issuers
|
9
|
|
Interest
|
10,066
|
|
Total investment income
|
4,858,794
|
|
Expenses
|
||
Management fee
|
2,042,603
|
|
Independent trustees' fees and expenses
|
114,405
|
|
Total expenses
|
2,157,008
|
|
Expense reimbursements and reductions
|
(117,175)
|
|
Total expenses after reductions
|
2,039,833
|
|
Net investment income (loss)
|
2,818,961
|
|
Net realized gain (loss)
|
||
Investments - unaffiliated issuers
|
(9,932,629)
|
|
Investments - affiliated issuers
|
(11)
|
|
Redemptions in-kind
|
19,921,615
|
|
Futures contracts
|
871,836
|
|
Net realized gain (loss)
|
10,860,811
|
|
Change in net unrealized appreciation (depreciation)
|
||
Investments - unaffiliated issuers
|
45,361,555
|
|
Investments - affiliated issuers
|
277
|
|
Futures contracts
|
(129,429)
|
|
Total change in net unrealized appreciation (depreciation)
|
45,232,403
|
|
Net gain (loss)
|
56,093,214
|
|
Net increase (decrease) in net assets resulting from operations
|
$
|
58,912,175
|
Other Information
|
||
Income from securities lending - Affiliated Issuers
|
246,489
|
|
Statement of Changes in Net Assets
|
||||
Six months ended
July 31, 2026
(Unaudited)
|
Year ended
January 31, 2026
|
|||
Increase (Decrease) in Net Assets
|
||||
Operations
|
||||
Net investment income (loss)
|
$
|
2,818,961
|
$
|
3,908,266
|
Net realized gain (loss)
|
10,860,811
|
3,989,654
|
||
Change in net unrealized appreciation (depreciation)
|
45,232,403
|
67,146,401
|
||
Net increase (decrease) in net assets resulting from operations
|
58,912,175
|
75,044,321
|
||
Distributions to shareholders
|
||||
Distributions to shareholders
|
(2,765,750)
|
(3,497,000)
|
||
Total distributions
|
(2,765,750)
|
(3,497,000)
|
||
Net increase (decrease) in net assets resulting from share transactions
|
40,587,306
|
370,506,178
|
||
Total increase (decrease) in net assets
|
96,733,731
|
442,053,499
|
||
Net Assets
|
||||
Beginning of period
|
832,162,166
|
390,108,667
|
||
End of period
|
$
|
928,895,897
|
$
|
832,162,166
|
Fidelity® Hedged Equity ETF |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025 A
|
||||
Selected Per Share Data
|
||||||
Net asset value, beginning of period
|
$
|
31.14
|
$
|
27.86
|
$
|
24.99
|
Income from Investment Operations
|
||||||
Net investment income (loss) B, C
|
.11
|
.21
|
.17
|
|||
Net realized and unrealized gain (loss)
|
2.23
|
3.26
|
2.84
|
|||
Total from investment operations
|
2.34
|
3.47
|
3.01
|
|||
Distributions
|
||||||
Distributions from net investment income
|
(.10)
|
(.19)
|
(.14)
|
|||
Total distributions
|
(.10)
|
(.19)
|
(.14)
|
|||
Net asset value, end of period
|
$
|
33.38
|
$
|
31.14
|
$
|
27.86
|
Total Return D, E, F
|
7.57%
|
12.52%
|
12.05%
|
|||
Ratios and Supplemental Data C, G, H
|
||||||
Ratio of expenses to average net assets before reductions
|
.51% I
|
.52%
|
.52% I
|
|||
Ratio of expenses to average net assets net of fee waivers, if any
|
.48% I
|
.48%
|
.48% I
|
|||
Ratio of expenses to average net assets net of all reductions, if any
|
.48% I
|
.48%
|
.48% I
|
|||
Ratio of net investment income (loss) to average net assets
|
.66% I
|
.73%
|
.79% I
|
|||
Net assets, end of period
|
$
|
928,895,897
|
$
|
832,162,166
|
$
|
390,108,667
|
Portfolio turnover rate K
|
89% I, J
|
88% J
|
86% I, J
|
|||
AFor the period April 9, 2024 (commencement of operations) through January 31, 2025.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DBased on net asset value.
|
ETotal returns for periods of less than one year are not annualized.
|
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
GFees 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.
|
HExpense 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.
|
IAnnualized.
|
JPortfolio turnover rate excludes securities received or delivered in-kind.
|
KAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Common Stocks - 97.3%
|
|||
Shares
|
Value ($)
|
||
MEXICO - 0.1%
|
|||
Materials - 0.1%
|
|||
Metals & Mining - 0.1%
|
|||
Southern Copper Corp
|
1,087
|
198,605
|
|
NETHERLANDS - 0.3%
|
|||
Information Technology - 0.3%
|
|||
Semiconductors & Semiconductor Equipment - 0.3%
|
|||
NXP Semiconductors NV
|
3,161
|
724,375
|
|
UNITED KINGDOM - 0.1%
|
|||
Energy - 0.1%
|
|||
Energy Equipment & Services - 0.1%
|
|||
TechnipFMC PLC
|
2,924
|
209,534
|
|
UNITED STATES - 96.8%
|
|||
Communication Services - 10.4%
|
|||
Diversified Telecommunication Services - 1.0%
|
|||
AT&T Inc
|
57,178
|
1,329,389
|
|
Comcast Corp Class A
|
32,357
|
775,273
|
|
2,104,662
|
|||
Entertainment - 1.2%
|
|||
Electronic Arts Inc
|
5,013
|
1,052,028
|
|
Netflix Inc (b)
|
15,273
|
1,095,227
|
|
Roku Inc Class A (b)
|
1,346
|
195,183
|
|
Warner Bros Discovery Inc (b)
|
9,375
|
246,563
|
|
2,589,001
|
|||
Interactive Media & Services - 7.9%
|
|||
Alphabet Inc Class A
|
22,348
|
7,958,793
|
|
Alphabet Inc Class C
|
12,826
|
4,574,393
|
|
Meta Platforms Inc Class A
|
8,287
|
4,613,456
|
|
17,146,642
|
|||
Media - 0.0%
|
|||
Versant Media Group Inc Class A
|
3,451
|
124,201
|
|
Wireless Telecommunication Services - 0.3%
|
|||
T-Mobile US Inc
|
4,218
|
728,491
|
|
TOTAL COMMUNICATION SERVICES
|
22,692,997
|
||
Consumer Discretionary - 8.2%
|
|||
Automobiles - 1.8%
|
|||
Ford Motor Co
|
71,372
|
1,047,740
|
|
General Motors Co
|
11,939
|
1,060,900
|
|
Tesla Inc (b)
|
5,793
|
1,802,840
|
|
3,911,480
|
|||
Broadline Retail - 4.2%
|
|||
Amazon.com Inc (b)
|
34,015
|
9,237,794
|
|
Diversified Consumer Services - 0.0%
|
|||
ADT Inc
|
20
|
153
|
|
Hotels, Restaurants & Leisure - 0.8%
|
|||
Airbnb Inc Class A (b)
|
8,808
|
1,334,588
|
|
Global Business Travel Group I Class A (b)
|
19,888
|
187,743
|
|
Navan Inc Class A (b)
|
7,294
|
194,166
|
|
1,716,497
|
|||
Leisure Products - 0.2%
|
|||
Hasbro Inc
|
4,642
|
436,069
|
|
Specialty Retail - 1.1%
|
|||
Abercrombie & Fitch Co Class A (b)
|
1,222
|
121,638
|
|
Five Below Inc (b)
|
1,816
|
394,308
|
|
Gap Inc/The
|
4,247
|
85,322
|
|
Ross Stores Inc
|
3,447
|
865,439
|
|
TJX Cos Inc/The
|
5,004
|
787,329
|
|
Victoria's Secret & Co (b)
|
501
|
44,429
|
|
2,298,465
|
|||
Textiles, Apparel & Luxury Goods - 0.1%
|
|||
NIKE Inc Class B
|
8,051
|
335,807
|
|
TOTAL CONSUMER DISCRETIONARY
|
17,936,265
|
||
Consumer Staples - 3.8%
|
|||
Beverages - 1.5%
|
|||
Coca-Cola Co/The
|
14,150
|
1,239,399
|
|
Coca-Cola Consolidated Inc
|
148
|
27,809
|
|
Monster Beverage Corp (b)
|
9,003
|
867,709
|
|
PepsiCo Inc
|
7,952
|
1,109,781
|
|
3,244,698
|
|||
Consumer Staples Distribution & Retail - 1.6%
|
|||
Costco Wholesale Corp
|
1,353
|
1,287,907
|
|
Maplebear Inc (b)
|
7,417
|
330,798
|
|
Sysco Corp
|
4,062
|
346,245
|
|
Walmart Inc
|
13,367
|
1,486,411
|
|
3,451,361
|
|||
Food Products - 0.0%
|
|||
Darling Ingredients Inc (b)
|
4
|
242
|
|
Tobacco - 0.7%
|
|||
Altria Group Inc
|
5,120
|
349,849
|
|
Philip Morris International Inc
|
5,991
|
1,143,203
|
|
1,493,052
|
|||
TOTAL CONSUMER STAPLES
|
8,189,353
|
||
Energy - 2.5%
|
|||
Energy Equipment & Services - 0.2%
|
|||
Halliburton Co
|
10,116
|
326,241
|
|
Transocean Ltd (b)
|
682
|
3,628
|
|
329,869
|
|||
Oil, Gas & Consumable Fuels - 2.3%
|
|||
Chevron Corp
|
5,933
|
1,167,792
|
|
ConocoPhillips
|
5,076
|
611,556
|
|
ExxonMobil Holdings Corp
|
14,706
|
2,285,902
|
|
Kinder Morgan Inc
|
17,158
|
552,144
|
|
Occidental Petroleum Corp
|
8,553
|
488,120
|
|
5,105,514
|
|||
TOTAL ENERGY
|
5,435,383
|
||
Financials - 13.2%
|
|||
Banks - 3.8%
|
|||
Bank of America Corp (c)
|
33,832
|
2,095,892
|
|
Citigroup Inc (c)
|
7,446
|
986,223
|
|
JPMorgan Chase & Co (c)
|
11,951
|
4,204,243
|
|
Wells Fargo & Co
|
12,803
|
1,106,819
|
|
8,393,177
|
|||
Capital Markets - 3.6%
|
|||
Bank of New York Mellon Corp/The (c)
|
9,417
|
1,472,160
|
|
Cboe Global Markets Inc
|
1,582
|
490,784
|
|
Charles Schwab Corp/The (c)
|
16,265
|
1,711,729
|
|
CME Group Inc Class A (c)
|
2,956
|
791,587
|
|
KKR & Co Inc Class A
|
8,338
|
845,723
|
|
Morgan Stanley (c)
|
7,460
|
1,569,733
|
|
Morningstar Inc
|
494
|
95,129
|
|
State Street Corp
|
3,488
|
642,350
|
|
Virtu Financial Inc Class A (c)
|
5,005
|
293,944
|
|
7,913,139
|
|||
Financial Services - 4.4%
|
|||
Berkshire Hathaway Inc Class B (b)(c)
|
8,124
|
4,155,752
|
|
Equitable Holdings Inc
|
436
|
20,775
|
|
Fiserv Inc (b)(c)
|
18,995
|
1,024,590
|
|
Mastercard Inc Class A (c)
|
4,670
|
2,676,377
|
|
Visa Inc Class A (c)
|
4,131
|
1,512,483
|
|
9,389,977
|
|||
Insurance - 1.4%
|
|||
Allstate Corp/The
|
3,922
|
1,035,722
|
|
Oscar Health Inc Class A (b)
|
19,102
|
596,363
|
|
Progressive Corp/The (c)
|
6,949
|
1,469,158
|
|
3,101,243
|
|||
TOTAL FINANCIALS
|
28,797,536
|
||
Health Care - 8.7%
|
|||
Biotechnology - 2.3%
|
|||
AbbVie Inc (c)
|
8,650
|
2,170,631
|
|
BioMarin Pharmaceutical Inc (b)
|
3,901
|
234,138
|
|
Gilead Sciences Inc (c)
|
12,010
|
1,563,822
|
|
Neurocrine Biosciences Inc (b)
|
110
|
18,348
|
|
PTC Therapeutics Inc (b)
|
3,600
|
244,836
|
|
Regeneron Pharmaceuticals Inc (c)
|
963
|
734,413
|
|
4,966,188
|
|||
Health Care Equipment & Supplies - 0.7%
|
|||
Abbott Laboratories (c)
|
14,751
|
1,559,181
|
|
Health Care Providers & Services - 1.6%
|
|||
Centene Corp (b)
|
5,706
|
355,027
|
|
Elevance Health Inc
|
1,194
|
448,753
|
|
Guardant Health Inc (b)
|
367
|
59,450
|
|
HealthEquity Inc (b)
|
959
|
96,485
|
|
Humana Inc
|
839
|
305,279
|
|
UnitedHealth Group Inc (c)
|
5,430
|
2,250,192
|
|
3,515,186
|
|||
Life Sciences Tools & Services - 0.3%
|
|||
Illumina Inc (b)
|
2,609
|
535,106
|
|
Medpace Holdings Inc (b)
|
310
|
178,904
|
|
714,010
|
|||
Pharmaceuticals - 3.8%
|
|||
Bristol-Myers Squibb Co (c)
|
24,743
|
1,615,965
|
|
Eli Lilly & Co (c)
|
3,053
|
3,507,409
|
|
Johnson & Johnson (c)
|
3,948
|
1,012,070
|
|
Merck & Co Inc (c)
|
10,950
|
1,425,690
|
|
Organon & Co
|
1,522
|
20,622
|
|
Pfizer Inc (c)
|
28,563
|
714,361
|
|
8,296,117
|
|||
TOTAL HEALTH CARE
|
19,050,682
|
||
Industrials - 10.6%
|
|||
Aerospace & Defense - 3.5%
|
|||
GE Aerospace
|
6,365
|
2,291,846
|
|
General Dynamics Corp
|
1,659
|
636,094
|
|
Howmet Aerospace Inc
|
5,063
|
1,429,082
|
|
Lockheed Martin Corp
|
1,554
|
905,578
|
|
Northrop Grumman Corp
|
619
|
335,795
|
|
RTX Corp
|
9,328
|
2,007,572
|
|
7,605,967
|
|||
Air Freight & Logistics - 0.3%
|
|||
FedEx Corp
|
2,076
|
638,162
|
|
Building Products - 1.3%
|
|||
Carlisle Cos Inc
|
720
|
259,142
|
|
Johnson Controls International plc
|
6,974
|
1,022,807
|
|
Trane Technologies PLC
|
3,014
|
1,371,219
|
|
Zurn Elkay Water Solutions Corp
|
4,162
|
210,223
|
|
2,863,391
|
|||
Commercial Services & Supplies - 0.7%
|
|||
Cintas Corp
|
3,649
|
746,695
|
|
Veralto Corp
|
7,290
|
686,499
|
|
1,433,194
|
|||
Construction & Engineering - 0.7%
|
|||
AECOM
|
5,311
|
384,463
|
|
Comfort Systems USA Inc
|
494
|
854,467
|
|
Tutor Perini Corp
|
2,805
|
234,919
|
|
1,473,849
|
|||
Electrical Equipment - 1.7%
|
|||
AMETEK Inc
|
4,630
|
1,119,117
|
|
Bloom Energy Corp Class A (b)
|
635
|
130,689
|
|
GE Vernova Inc
|
1,803
|
1,785,494
|
|
nVent Electric PLC
|
109
|
16,767
|
|
Sensata Technologies Holding PLC
|
7,871
|
364,349
|
|
Vertiv Holdings Co Class A
|
1,448
|
349,793
|
|
3,766,209
|
|||
Ground Transportation - 1.0%
|
|||
Landstar System Inc
|
2,161
|
377,678
|
|
Lyft Inc Class A (b)
|
33,175
|
526,156
|
|
Norfolk Southern Corp
|
153
|
51,328
|
|
Uber Technologies Inc (b)
|
16,289
|
1,146,094
|
|
2,101,256
|
|||
Machinery - 1.0%
|
|||
Caterpillar Inc
|
1,204
|
981,031
|
|
Crane Co
|
2,825
|
603,025
|
|
Graco Inc
|
2,783
|
220,915
|
|
Toro Co/The
|
4,627
|
425,082
|
|
2,230,053
|
|||
Passenger Airlines - 0.0%
|
|||
American Airlines Group Inc (b)
|
439
|
6,704
|
|
Professional Services - 0.0%
|
|||
Paylocity Holding Corp (b)
|
417
|
57,502
|
|
Trading Companies & Distributors - 0.4%
|
|||
Applied Industrial Technologies Inc
|
429
|
148,095
|
|
Fastenal Co
|
16,053
|
765,889
|
|
913,984
|
|||
TOTAL INDUSTRIALS
|
23,090,271
|
||
Information Technology - 36.4%
|
|||
Communications Equipment - 2.0%
|
|||
Arista Networks Inc (b)
|
6,032
|
1,087,871
|
|
Ciena Corp (b)
|
1,096
|
413,246
|
|
Cisco Systems Inc
|
18,426
|
2,137,232
|
|
Motorola Solutions Inc
|
1,782
|
776,507
|
|
4,414,856
|
|||
Electronic Equipment, Instruments & Components - 1.3%
|
|||
Amphenol Corp Class A
|
10,736
|
1,725,276
|
|
Keysight Technologies Inc (b)
|
3,005
|
958,835
|
|
Littelfuse Inc
|
162
|
71,625
|
|
2,755,736
|
|||
IT Services - 0.5%
|
|||
Cloudflare Inc Class A (b)
|
508
|
141,722
|
|
GoDaddy Inc Class A (b)
|
3,288
|
272,049
|
|
MongoDB Inc Class A (b)
|
160
|
53,997
|
|
Snowflake Inc (b)
|
155
|
45,458
|
|
VeriSign Inc
|
1,692
|
490,714
|
|
1,003,940
|
|||
Semiconductors & Semiconductor Equipment - 15.7%
|
|||
Advanced Micro Devices Inc (b)
|
2,957
|
1,407,976
|
|
Applied Materials Inc
|
1,692
|
858,978
|
|
Broadcom Inc (c)
|
16,091
|
6,263,904
|
|
Cirrus Logic Inc (b)
|
2,206
|
285,346
|
|
Credo Technology Group Holding Ltd (b)
|
385
|
79,691
|
|
Intel Corp (b)
|
18,033
|
1,626,577
|
|
Lam Research Corp
|
5,985
|
1,753,725
|
|
Micron Technology Inc
|
3,673
|
3,022,989
|
|
NVIDIA Corp (c)
|
83,831
|
16,829,073
|
|
Qorvo Inc (b)
|
7,573
|
685,887
|
|
QUALCOMM Inc
|
9,545
|
1,408,937
|
|
Silicon Laboratories Inc (b)
|
76
|
16,530
|
|
34,239,613
|
|||
Software - 8.5%
|
|||
Adobe Inc (b)
|
6,470
|
1,620,153
|
|
Atlassian Corp Class A (b)
|
2,065
|
208,596
|
|
Docusign Inc (b)
|
10,125
|
555,154
|
|
Elastic NV (b)
|
2,941
|
193,488
|
|
Fortinet Inc (b)
|
8,996
|
1,456,902
|
|
HubSpot Inc (b)
|
1,747
|
414,668
|
|
Intuit Inc
|
1,103
|
348,625
|
|
Microsoft Corp (c)
|
24,040
|
11,171,870
|
|
Oracle Corp
|
8,052
|
1,045,713
|
|
Salesforce Inc
|
4,004
|
736,816
|
|
Tenable Holdings Inc (b)
|
6,092
|
198,843
|
|
Unity Software Inc (b)
|
5,596
|
177,449
|
|
Zoom Communications Inc Class A (b)
|
3,764
|
361,607
|
|
18,489,884
|
|||
Technology Hardware, Storage & Peripherals - 8.4%
|
|||
Apple Inc (c)
|
51,359
|
15,865,309
|
|
NetApp Inc
|
2,807
|
501,049
|
|
Sandisk Corp (b)
|
700
|
850,381
|
|
Western Digital Corp
|
2,221
|
1,210,090
|
|
18,426,829
|
|||
TOTAL INFORMATION TECHNOLOGY
|
79,330,858
|
||
Materials - 1.0%
|
|||
Chemicals - 0.1%
|
|||
Solstice Advanced Materials Inc
|
2,367
|
142,422
|
|
Metals & Mining - 0.9%
|
|||
Commercial Metals Co
|
11,843
|
813,851
|
|
Nucor Corp
|
4,763
|
1,225,473
|
|
2,039,324
|
|||
TOTAL MATERIALS
|
2,181,746
|
||
Real Estate - 1.2%
|
|||
Health Care REITs - 0.3%
|
|||
Ventas Inc
|
6,500
|
607,815
|
|
Industrial REITs - 0.4%
|
|||
Prologis Inc
|
5,688
|
822,542
|
|
Real Estate Management & Development - 0.0%
|
|||
Zillow Group Inc Class C (b)
|
3,356
|
114,305
|
|
Specialized REITs - 0.5%
|
|||
Lamar Advertising Co Class A
|
1,593
|
254,816
|
|
Millrose Properties Inc Class A
|
9,127
|
255,373
|
|
Outfront Media Inc
|
20,899
|
666,052
|
|
1,176,241
|
|||
TOTAL REAL ESTATE
|
2,720,903
|
||
Utilities - 0.8%
|
|||
Electric Utilities - 0.3%
|
|||
PPL Corp
|
18,929
|
666,490
|
|
Multi-Utilities - 0.5%
|
|||
Sempra
|
12,882
|
1,140,701
|
|
TOTAL UTILITIES
|
1,807,191
|
||
TOTAL UNITED STATES
|
211,233,185
|
||
|
TOTAL COMMON STOCKS
(Cost $194,227,916)
|
212,365,699
|
||
U.S. Treasury Obligations - 0.2%
|
||||
Yield (%) (d)
|
Principal
Amount (a)
|
Value ($)
|
||
US Treasury Bills 0% 8/27/2026 (e)
|
3.65
|
70,000
|
69,832
|
|
US Treasury Bills 0% 9/17/2026 (e)
|
3.69
|
280,000
|
278,720
|
|
US Treasury Bills 0% 9/3/2026 (e)
|
3.66
|
20,000
|
19,937
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $368,413)
|
368,489
|
|||
Money Market Funds - 2.8%
|
||||
Yield (%)
|
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund (f)
(Cost $6,094,986)
|
3.69
|
6,094,312
|
6,095,531
|
|
|
TOTAL INVESTMENT IN SECURITIES - 100.3%
(Cost $200,691,315)
|
218,829,719
|
NET OTHER ASSETS (LIABILITIES) - (0.3)%
|
(569,367)
|
NET ASSETS - 100.0%
|
218,260,352
|
Futures Contracts
|
||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
|
Value and Unrealized
Appreciation/
(Depreciation) ($)
|
|
LONG
|
||||
CME E-Mini S&P 500 Index Contracts (United States)
|
126
|
9/2026
|
4,737,128
|
44,664
|
Written Options
|
||||||
Clearinghouse / Counterparty
|
Number
of Contracts
|
Notional
Amount ($)
|
Exercise
Price ($)
|
Expiration
Date
|
Value ($)
|
|
Call Options
|
||||||
S&P 500 Index
|
Chicago Board Options Exchange
|
69
|
51,679,068
|
7,650.00
|
8/2026
|
(7,935)
|
S&P 500 Index
|
Chicago Board Options Exchange
|
69
|
51,679,068
|
7,600.00
|
8/2026
|
(164,220)
|
S&P 500 Index
|
Chicago Board Options Exchange
|
68
|
50,930,096
|
7,650.00
|
8/2026
|
(155,720)
|
S&P 500 Index
|
Chicago Board Options Exchange
|
69
|
51,679,068
|
7,600.00
|
8/2026
|
(409,170)
|
(737,045)
|
||||||
TOTAL WRITTEN OPTIONS
(Premiums Received $(994,527)) |
(737,045)
|
|||||
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Non-income producing.
|
(c)
|
Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $34,659,354.
|
(d)
|
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
|
(e)
|
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $323,597.
|
(f)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
Shares,
end
of period
|
Fidelity Cash Central Fund
|
4,907,986
|
33,852,207
|
32,665,156
|
79,044
|
(51)
|
545
|
6,095,531
|
6,094,312
|
4,907,986
|
33,852,207
|
32,665,156
|
79,044
|
(51)
|
545
|
6,095,531
|
Valuation Inputs at Reporting Date:
|
||||
Description
|
Total ($)
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Investments in Securities:
|
||||
Common Stocks
|
||||
Communication Services
|
22,692,997
|
22,692,997
|
-
|
-
|
Consumer Discretionary
|
17,936,265
|
17,936,265
|
-
|
-
|
Consumer Staples
|
8,189,353
|
8,189,353
|
-
|
-
|
Energy
|
5,644,917
|
5,644,917
|
-
|
-
|
Financials
|
28,797,536
|
28,797,536
|
-
|
-
|
Health Care
|
19,050,682
|
19,050,682
|
-
|
-
|
Industrials
|
23,090,271
|
23,090,271
|
-
|
-
|
Information Technology
|
80,055,233
|
80,055,233
|
-
|
-
|
Materials
|
2,380,351
|
2,380,351
|
-
|
-
|
Real Estate
|
2,720,903
|
2,720,903
|
-
|
-
|
Utilities
|
1,807,191
|
1,807,191
|
-
|
-
|
U.S. Treasury Obligations
|
368,489
|
-
|
368,489
|
-
|
Money Market Funds
|
6,095,531
|
6,095,531
|
-
|
-
|
Total Investments in Securities:
|
218,829,719
|
218,461,230
|
368,489
|
-
|
Derivative Instruments:
|
||||
Assets
|
||||
Futures Contracts
|
44,664
|
44,664
|
-
|
-
|
Total Assets
|
44,664
|
44,664
|
-
|
-
|
Liabilities
|
||||
Written Options
|
(737,045)
|
(737,045)
|
-
|
-
|
Total Liabilities
|
(737,045)
|
(737,045)
|
-
|
-
|
Total Derivative Instruments:
|
(692,381)
|
(692,381)
|
-
|
-
|
Statement of Assets and Liabilities
|
||
As of July 31, 2026 (Unaudited)
|
||
Assets
|
||
Investments in securities, at value - unaffiliated issuers
|
$
|
212,734,188
|
Investments in securities, at value - affiliated issuers
|
6,095,531
|
|
Cash
|
506,594
|
|
Receivable for investments sold
|
8,541
|
|
Dividends receivable
|
109,170
|
|
Distributions receivable from affiliated funds
|
16,696
|
|
Receivable for variation margin on futures contracts
|
29,453
|
|
Receivable from investment adviser for expense reductions
|
3,736
|
|
Other receivables
|
241
|
|
Total assets
|
219,504,150
|
|
Liabilities
|
||
Payable for investments purchased
|
506,750
|
|
Written options, at value
|
737,045
|
|
Total liabilities
|
1,243,795
|
|
Net Assets
|
$
|
218,260,352
|
Net assets consist of:
|
||
Paid in capital
|
206,818,266
|
|
Total accumulated earnings (loss)
|
11,442,086
|
|
Net Assets
|
$
|
218,260,352
|
Net Asset Value and Maximum Offering
|
||
Net Asset Value, offering price and redemption price per share ($218,260,352/7,375,000 shares)
|
$
|
29.59
|
Other Information
|
||
Unaffiliated issuers, cost
|
194,596,329
|
|
Affiliated issuers, cost
|
6,094,986
|
|
Written options premium received
|
994,527
|
|
Statement of Operations
|
||
Six months ended July 31, 2026 (Unaudited)
|
||
Investment Income
|
||
Dividends - unaffiliated issuers
|
$
|
868,654
|
Dividends - affiliated issuers
|
79,044
|
|
Interest
|
7,165
|
|
Total investment income
|
954,863
|
|
Expenses
|
||
Management fee
|
239,162
|
|
Independent trustees' fees and expenses
|
21,787
|
|
Total expenses
|
260,949
|
|
Expense reimbursements and reductions
|
(260,808)
|
|
Total expenses after reductions
|
141
|
|
Net investment income (loss)
|
954,722
|
|
Net realized gain (loss)
|
||
Investments - unaffiliated issuers
|
(213,684)
|
|
Investments - affiliated issuers
|
(51)
|
|
Redemptions in-kind
|
5,783,971
|
|
Futures contracts
|
101,166
|
|
Written options
|
(4,046,649)
|
|
Net realized gain (loss)
|
1,624,753
|
|
Change in net unrealized appreciation (depreciation)
|
||
Investments - unaffiliated issuers
|
10,731,563
|
|
Investments - affiliated issuers
|
545
|
|
Futures contracts
|
(10,278)
|
|
Written options
|
(40,158)
|
|
Total change in net unrealized appreciation (depreciation)
|
10,681,672
|
|
Net gain (loss)
|
12,306,425
|
|
Net increase (decrease) in net assets resulting from operations
|
$
|
13,261,147
|
Statement of Changes in Net Assets
|
||||
Six months ended
July 31, 2026
(Unaudited)
|
Year ended
January 31, 2026
|
|||
Increase (Decrease) in Net Assets
|
||||
Operations
|
||||
Net investment income (loss)
|
$
|
954,722
|
$
|
572,216
|
Net realized gain (loss)
|
1,624,753
|
1,432,181
|
||
Change in net unrealized appreciation (depreciation)
|
10,681,672
|
6,907,049
|
||
Net increase (decrease) in net assets resulting from operations
|
13,261,147
|
8,911,446
|
||
Distributions to shareholders
|
||||
Distributions to shareholders
|
(9,196,100)
|
(2,370,327)
|
||
Distributions to shareholders from tax return of capital
|
-
|
(1,472,423)
|
||
Total distributions
|
(9,196,100)
|
(3,842,750)
|
||
Net increase (decrease) in net assets resulting from share transactions
|
71,637,814
|
129,274,663
|
||
Total increase (decrease) in net assets
|
75,702,861
|
134,343,359
|
||
Net Assets
|
||||
Beginning of period
|
142,557,491
|
8,214,132
|
||
End of period
|
$
|
218,260,352
|
$
|
142,557,491
|
Fidelity® Yield Enhanced Equity ETF |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025 A
|
||||
Selected Per Share Data
|
||||||
Net asset value, beginning of period
|
$
|
29.09
|
$
|
27.38
|
$
|
24.99
|
Income from Investment Operations
|
||||||
Net investment income (loss) B, C
|
.16
|
.34
|
.21
|
|||
Net realized and unrealized gain (loss)
|
1.90
|
3.40
|
3.64
|
|||
Total from investment operations
|
2.06
|
3.74
|
3.85
|
|||
Distributions
|
||||||
Distributions from net investment income
|
(1.56)
|
(.90) D
|
(.22) D
|
|||
Distributions from net realized gain
|
-
|
(.35) D
|
(.07) D
|
|||
Distributions from tax return of capital
|
-
|
(.78)
|
(1.17)
|
|||
Total distributions
|
(1.56)
|
(2.03)
|
(1.46)
|
|||
Net asset value, end of period
|
$
|
29.59
|
$
|
29.09
|
$
|
27.38
|
Total Return E, F, G
|
7.48%
|
14.60%
|
15.78%
|
|||
Ratios and Supplemental Data C, H, I
|
||||||
Ratio of expenses to average net assets before reductions
|
.30% J
|
.31%
|
.32% J
|
|||
Ratio of expenses to average net assets net of fee waivers, if any
|
-% J, K
|
.04%
|
.28% J
|
|||
Ratio of expenses to average net assets net of all reductions, if any
|
-% J, K
|
.04%
|
.27% J
|
|||
Ratio of net investment income (loss) to average net assets
|
1.11% J
|
1.21%
|
1.02% J
|
|||
Net assets, end of period
|
$
|
218,260,352
|
$
|
142,557,491
|
$
|
8,214,132
|
Portfolio turnover rate M
|
93% J, L
|
90% L
|
101% J, L
|
|||
AFor the period April 9, 2024 (commencement of operations) through January 31, 2025.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DThe amount shown reflects reclassifications related to book to tax differences that were made in the year shown.
|
EBased on net asset value.
|
FTotal returns for periods of less than one year are not annualized.
|
GTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
HFees 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.
|
IExpense 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.
|
JAnnualized.
|
KAmount represents less than .005%.
|
LPortfolio turnover rate excludes securities received or delivered in-kind.
|
MAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Exchange
|
|
Fidelity® Dynamic Buffered Equity ETF
|
Cboe BZX Exchange, Inc.
|
Fidelity® Hedged Equity ETF
|
Cboe BZX Exchange, Inc.
|
Fidelity® Yield Enhanced Equity ETF
|
Cboe BZX Exchange, Inc.
|
Tax Cost ($)
|
Gross unrealized appreciation ($)
|
Gross unrealized depreciation ($)
|
Net unrealized appreciation (depreciation) ($)
|
|
Fidelity® Dynamic Buffered Equity ETF
|
20,011,413
|
4,499,602
|
(590,016)
|
3,909,586
|
Fidelity® Hedged Equity ETF
|
774,421,552
|
182,279,973
|
(28,468,584)
|
153,811,389
|
Fidelity® Yield Enhanced Equity ETF
|
200,945,079
|
24,009,904
|
(6,125,264)
|
17,884,640
|
Short-Term ($)
|
Long-term ($)
|
Total capital loss carryforward ($)
|
|
Fidelity® Dynamic Buffered Equity ETF
|
-
|
(177,721)
|
(177,721)
|
Fidelity® Hedged Equity ETF
|
(6,653,410)
|
(18,410,874)
|
(25,064,284)
|
|
Equity Risk
|
Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
|
Primary Risk Exposure / Derivative Type
|
Values of Derivative Assets ($)
|
Values of Derivative Liabilities ($)
|
Net Realized Gain (Loss) ($)
|
Change in Net Unrealized Appreciation (Depreciation) ($)
|
|||
Fidelity® Dynamic Buffered Equity ETF
|
|||||||
Equity Risk
|
|||||||
Futures Contracts
|
2,932
|
-
|
(17,965)
|
(2,584)
|
|||
Purchased Options
|
94,352
|
-
|
(364,588)
|
(31,187)
|
|||
Written Options
|
-
|
(82,131)
|
(464,043)
|
(12,500)
|
|||
Total Equity Risk
|
97,284
|
(82,131)
|
(846,596)
|
(46,271)
|
|||
Totals
|
97,284
|
(82,131)
|
(846,596)
|
(46,271)
|
|||
Fidelity® Hedged Equity ETF
|
|||||||
Equity Risk
|
|||||||
Futures Contracts
|
48,417
|
-
|
871,836
|
(129,429)
|
|||
Purchased Options
|
9,678,525
|
-
|
(17,915,299)
|
(2,857,250)
|
|||
Total Equity Risk
|
9,726,942
|
-
|
(17,043,463)
|
(2,986,679)
|
|||
Totals
|
9,726,942
|
-
|
(17,043,463)
|
(2,986,679)
|
|||
Fidelity® Yield Enhanced Equity ETF
|
|||||||
Equity Risk
|
|||||||
Futures Contracts
|
44,664
|
-
|
101,166
|
(10,278)
|
|||
Written Options
|
-
|
(737,045)
|
(4,046,649)
|
(40,158)
|
|||
Total Equity Risk
|
44,664
|
(737,045)
|
(3,945,483)
|
(50,436)
|
|||
Totals
|
44,664
|
(737,045)
|
(3,945,483)
|
(50,436)
|
Average Amount ($)
|
|
Fidelity® Hedged Equity ETF
|
|
Futures
|
7,215,390
|
Average Amount ($)
|
|
Fidelity® Dynamic Buffered Equity ETF
|
|
Futures
|
256,042
|
Average Amount ($)
|
|
Fidelity® Yield Enhanced Equity ETF
|
|
Futures
|
3,079,321
|
Purchases ($)
|
Sales ($)
|
|
Fidelity® Dynamic Buffered Equity ETF
|
9,044,323
|
8,310,519
|
Fidelity® Hedged Equity ETF
|
381,308,298
|
361,642,295
|
Fidelity® Yield Enhanced Equity ETF
|
78,830,344
|
72,874,948
|
In-Kind Subscriptions ($)
|
In-Kind Redemptions ($)
|
|
Fidelity® Dynamic Buffered Equity ETF
|
4,404,996
|
1,884,710
|
Fidelity® Hedged Equity ETF
|
96,449,039
|
93,122,753
|
Fidelity® Yield Enhanced Equity ETF
|
78,788,120
|
28,237,843
|
Annual Management Fee Rate (%)
|
|
Fidelity® Dynamic Buffered Equity ETF
|
0.48
|
Fidelity® Hedged Equity ETF
|
0.48
|
Fidelity® Yield Enhanced Equity ETF
|
0.28
|
Purchases ($)
|
Sales ($)
|
Realized Gain (Loss) ($)
|
|
Fidelity® Dynamic Buffered Equity ETF
|
311,179
|
349,021
|
8,281
|
Fidelity® Hedged Equity ETF
|
16,768,259
|
6,242,881
|
401,334
|
Fidelity® Yield Enhanced Equity ETF
|
3,451,838
|
4,072,853
|
100,307
|
Total Security Lending Fees Paid to NFS ($)
|
Security Lending Income From Securities Loaned to NFS ($)
|
Value of Securities Loaned to NFS at Period End ($)
|
|
Fidelity® Dynamic Buffered Equity ETF
|
|||
Fidelity® Hedged Equity ETF
|
25,269
|
-
|
-
|
Fidelity® Yield Enhanced Equity ETF
|
Waiver ($)
|
|
Fidelity Yield® Enhanced Equity ETF
|
239,162
|
Expense Limitation (%)
|
Expiration Date
|
Reimbursement ($)
|
|
Fidelity® Dynamic Buffered Equity ETF
|
|||
Fidelity® Dynamic Buffered Equity ETF
|
0.48
|
May 31, 2027
|
2,636
|
Fidelity® Hedged Equity ETF
|
|||
Fidelity® Hedged Equity ETF
|
0.48
|
May 31, 2027
|
115,077
|
Fidelity® Yield Enhanced Equity ETF
|
|||
Fidelity® Yield Enhanced Equity ETF
|
0.28
|
May 31, 2027
|
21,646
|
Custodian Credits ($)
|
|
Fidelity® Dynamic Buffered Equity ETF
|
242
|
Fidelity® Hedged Equity ETF
|
2,098
|
Six months ended ($)
|
Year ended ($)
|
|||
July 31, 2026
|
January 31, 2026
|
|||
Fidelity® Dynamic Buffered Equity ETF
|
||||
Fidelity® Dynamic Buffered Equity ETF
|
68,250
|
82,150
|
||
Total
|
68,250
|
82,150
|
||
Fidelity® Hedged Equity ETF
|
||||
Fidelity® Hedged Equity ETF
|
2,765,750
|
3,497,000
|
||
Total
|
2,765,750
|
3,497,000
|
||
Fidelity® Yield Enhanced Equity ETF
|
||||
Fidelity® Yield Enhanced Equity ETF
|
9,196,100
|
897,904
|
||
Total
|
9,196,100
|
897,904
|
Shares
|
Shares
|
Dollars
|
Dollars
|
||||||
Six months ended
|
Year ended
|
Six months ended ($)
|
Year ended ($)
|
||||||
July 31, 2026
|
January 31, 2026
|
July 31, 2026
|
January 31, 2026
|
||||||
Fidelity® Dynamic Buffered Equity ETF
|
|||||||||
Shares sold
|
275,000
|
575,000
|
8,694,492
|
16,529,448
|
|||||
Shares redeemed
|
(150,000)
|
(325,000)
|
(4,594,414)
|
(9,074,814)
|
|||||
Net increase (decrease)
|
125,000
|
250,000
|
4,100,078
|
7,454,634
|
|||||
Fidelity® Hedged Equity ETF
|
|||||||||
Shares sold
|
5,200,000
|
20,375,000
|
164,215,925
|
588,580,556
|
|||||
Shares redeemed
|
(4,100,000)
|
(7,650,000)
|
(123,628,619)
|
(218,074,378)
|
|||||
Net increase (decrease)
|
1,100,000
|
12,725,000
|
40,587,306
|
370,506,178
|
|||||
Fidelity® Yield Enhanced Equity ETF
|
|||||||||
Shares sold
|
3,575,000
|
5,050,000
|
103,179,964
|
141,867,373
|
|||||
Shares redeemed
|
(1,100,000)
|
(450,000)
|
(31,542,150)
|
(12,592,710)
|
|||||
Net increase (decrease)
|
2,475,000
|
4,600,000
|
71,637,814
|
129,274,663
|
 |
Contents
Common Stocks - 96.0%
|
|||
Shares
|
Value ($)
|
||
AUSTRALIA - 3.3%
|
|||
Energy - 0.6%
|
|||
Oil, Gas & Consumable Fuels - 0.6%
|
|||
Santos Ltd
|
21,690
|
120,461
|
|
Materials - 2.7%
|
|||
Chemicals - 0.8%
|
|||
Orica Ltd
|
10,475
|
171,116
|
|
Metals & Mining - 1.9%
|
|||
BHP Group Ltd (United Kingdom)
|
8,908
|
376,260
|
|
TOTAL MATERIALS
|
547,376
|
||
TOTAL AUSTRALIA
|
667,837
|
||
BELGIUM - 0.6%
|
|||
Utilities - 0.6%
|
|||
Electric Utilities - 0.6%
|
|||
Elia Group SA/NV
|
828
|
119,064
|
|
CANADA - 3.8%
|
|||
Consumer Discretionary - 0.8%
|
|||
Specialty Retail - 0.8%
|
|||
Aritzia Inc Subordinate Voting Shares (a)
|
1,614
|
160,819
|
|
Financials - 1.6%
|
|||
Banks - 1.6%
|
|||
Royal Bank of Canada
|
1,511
|
316,255
|
|
Materials - 1.4%
|
|||
Containers & Packaging - 1.4%
|
|||
CCL Industries Inc Class B
|
4,260
|
282,460
|
|
TOTAL CANADA
|
759,534
|
||
CHINA - 3.2%
|
|||
Consumer Discretionary - 1.1%
|
|||
Broadline Retail - 1.1%
|
|||
PDD Holdings Inc Class A ADR (a)
|
2,437
|
215,821
|
|
Industrials - 0.4%
|
|||
Ground Transportation - 0.4%
|
|||
Full Truck Alliance Co Ltd ADR
|
10,437
|
99,047
|
|
Real Estate - 1.7%
|
|||
Real Estate Management & Development - 1.7%
|
|||
China Overseas Land & Investment Ltd
|
194,000
|
334,201
|
|
TOTAL CHINA
|
649,069
|
||
FINLAND - 2.3%
|
|||
Consumer Discretionary - 1.6%
|
|||
Textiles, Apparel & Luxury Goods - 1.6%
|
|||
Amer Sports Inc (a)
|
9,144
|
324,704
|
|
Industrials - 0.7%
|
|||
Machinery - 0.7%
|
|||
Kone Oyj B Shares
|
2,341
|
135,246
|
|
TOTAL FINLAND
|
459,950
|
||
FRANCE - 5.8%
|
|||
Energy - 1.2%
|
|||
Oil, Gas & Consumable Fuels - 1.2%
|
|||
TotalEnergies SE
|
2,796
|
246,394
|
|
Financials - 3.8%
|
|||
Banks - 2.5%
|
|||
BNP Paribas SA
|
3,900
|
495,568
|
|
Insurance - 1.3%
|
|||
SCOR SE
|
6,947
|
274,775
|
|
TOTAL FINANCIALS
|
770,343
|
||
Industrials - 0.8%
|
|||
Building Products - 0.8%
|
|||
Cie de Saint-Gobain SA
|
1,644
|
154,515
|
|
TOTAL FRANCE
|
1,171,252
|
||
GERMANY - 4.1%
|
|||
Financials - 2.1%
|
|||
Banks - 2.1%
|
|||
Commerzbank AG
|
9,561
|
415,322
|
|
Industrials - 0.6%
|
|||
Machinery - 0.6%
|
|||
Daimler Truck Holding AG
|
2,635
|
148,707
|
|
Materials - 1.4%
|
|||
Construction Materials - 1.4%
|
|||
Heidelberg Materials AG
|
1,479
|
275,338
|
|
TOTAL GERMANY
|
839,367
|
||
ITALY - 1.2%
|
|||
Financials - 1.2%
|
|||
Financial Services - 1.2%
|
|||
Nexi SpA (b)(c)
|
50,199
|
245,556
|
|
JAPAN - 1.5%
|
|||
Consumer Discretionary - 0.7%
|
|||
Automobile Components - 0.7%
|
|||
Nifco Inc/Japan
|
4,400
|
142,438
|
|
Consumer Staples - 0.8%
|
|||
Household Products - 0.8%
|
|||
Lion Corp
|
15,600
|
167,234
|
|
TOTAL JAPAN
|
309,672
|
||
KOREA (SOUTH) - 4.0%
|
|||
Communication Services - 0.7%
|
|||
Diversified Telecommunication Services - 0.7%
|
|||
KT Corp
|
4,206
|
149,809
|
|
Information Technology - 3.3%
|
|||
Semiconductors & Semiconductor Equipment - 1.5%
|
|||
SK Hynix Inc
|
276
|
309,691
|
|
Technology Hardware, Storage & Peripherals - 1.8%
|
|||
Samsung Electronics Co Ltd
|
2,078
|
357,358
|
|
TOTAL INFORMATION TECHNOLOGY
|
667,049
|
||
TOTAL KOREA (SOUTH)
|
816,858
|
||
NORWAY - 1.1%
|
|||
Financials - 1.1%
|
|||
Insurance - 1.1%
|
|||
Storebrand ASA A Shares
|
10,422
|
221,470
|
|
SPAIN - 6.4%
|
|||
Consumer Discretionary - 1.7%
|
|||
Specialty Retail - 1.7%
|
|||
Industria de Diseno Textil SA
|
5,297
|
345,701
|
|
Industrials - 0.7%
|
|||
Machinery - 0.7%
|
|||
Fluidra SA
|
6,313
|
140,355
|
|
Utilities - 4.0%
|
|||
Electric Utilities - 1.9%
|
|||
Redeia Corp SA
|
21,485
|
378,932
|
|
Gas Utilities - 2.1%
|
|||
Naturgy Energy Group SA
|
12,992
|
433,412
|
|
TOTAL UTILITIES
|
812,344
|
||
TOTAL SPAIN
|
1,298,400
|
||
SWEDEN - 2.2%
|
|||
Consumer Discretionary - 1.2%
|
|||
Automobile Components - 1.2%
|
|||
Autoliv Inc
|
1,892
|
233,038
|
|
Industrials - 1.0%
|
|||
Machinery - 1.0%
|
|||
Volvo AB B Shares
|
5,479
|
209,581
|
|
TOTAL SWEDEN
|
442,619
|
||
SWITZERLAND - 2.7%
|
|||
Consumer Discretionary - 2.0%
|
|||
Textiles, Apparel & Luxury Goods - 2.0%
|
|||
Cie Financiere Richemont SA Series A
|
1,743
|
411,944
|
|
Materials - 0.7%
|
|||
Chemicals - 0.7%
|
|||
DSM-Firmenich AG
|
1,265
|
136,377
|
|
TOTAL SWITZERLAND
|
548,321
|
||
TAIWAN - 2.8%
|
|||
Communication Services - 0.6%
|
|||
Wireless Telecommunication Services - 0.6%
|
|||
Far EasTone Telecommunications Co Ltd
|
37,000
|
120,168
|
|
Information Technology - 2.2%
|
|||
Semiconductors & Semiconductor Equipment - 2.2%
|
|||
Taiwan Semiconductor Manufacturing Co Ltd
|
6,000
|
443,998
|
|
TOTAL TAIWAN
|
564,166
|
||
THAILAND - 1.5%
|
|||
Consumer Staples - 1.5%
|
|||
Consumer Staples Distribution & Retail - 1.5%
|
|||
CP ALL PCL
|
217,000
|
310,951
|
|
UNITED KINGDOM - 5.1%
|
|||
Communication Services - 0.7%
|
|||
Interactive Media & Services - 0.7%
|
|||
Autotrader Group PLC (b)(c)
|
21,131
|
149,210
|
|
Financials - 1.9%
|
|||
Banks - 1.9%
|
|||
Standard Chartered PLC
|
12,886
|
381,008
|
|
Health Care - 1.2%
|
|||
Health Care Equipment & Supplies - 1.2%
|
|||
Convatec Group PLC (b)(c)
|
78,349
|
236,533
|
|
Industrials - 1.3%
|
|||
Professional Services - 1.3%
|
|||
RELX PLC
|
7,246
|
254,856
|
|
TOTAL UNITED KINGDOM
|
1,021,607
|
||
UNITED STATES - 44.4%
|
|||
Communication Services - 1.1%
|
|||
Interactive Media & Services - 1.1%
|
|||
Meta Platforms Inc Class A
|
454
|
252,746
|
|
Consumer Discretionary - 3.7%
|
|||
Automobile Components - 0.5%
|
|||
LCI Industries
|
1,054
|
107,887
|
|
Hotels, Restaurants & Leisure - 2.1%
|
|||
Marriott International Inc/MD Class A1
|
1,132
|
422,044
|
|
Specialty Retail - 1.1%
|
|||
Floor & Decor Holdings Inc Class A (a)
|
3,691
|
212,491
|
|
TOTAL CONSUMER DISCRETIONARY
|
742,422
|
||
Consumer Staples - 3.6%
|
|||
Consumer Staples Distribution & Retail - 3.6%
|
|||
Dollar Tree Inc (a)
|
3,343
|
425,263
|
|
Sprouts Farmers Market Inc (a)
|
3,450
|
300,702
|
|
TOTAL CONSUMER STAPLES
|
725,965
|
||
Energy - 1.5%
|
|||
Energy Equipment & Services - 1.5%
|
|||
Tenaris SA
|
10,557
|
302,876
|
|
Financials - 12.4%
|
|||
Banks - 5.9%
|
|||
JPMorgan Chase & Co
|
905
|
318,369
|
|
Wells Fargo & Co
|
5,502
|
475,648
|
|
Zions Bancorp NA
|
5,518
|
384,605
|
|
1,178,622
|
|||
Capital Markets - 4.7%
|
|||
Franklin Resources Inc
|
9,540
|
323,024
|
|
Morgan Stanley
|
1,970
|
414,527
|
|
Tradeweb Markets Inc Class A
|
2,217
|
222,809
|
|
960,360
|
|||
Financial Services - 1.8%
|
|||
Apollo Global Management Inc
|
2,869
|
360,318
|
|
TOTAL FINANCIALS
|
2,499,300
|
||
Health Care - 4.8%
|
|||
Health Care Equipment & Supplies - 0.6%
|
|||
Insulet Corp (a)
|
753
|
124,508
|
|
Pharmaceuticals - 4.2%
|
|||
Bristol-Myers Squibb Co
|
6,535
|
426,801
|
|
Novartis AG
|
2,704
|
422,884
|
|
849,685
|
|||
TOTAL HEALTH CARE
|
974,193
|
||
Industrials - 4.4%
|
|||
Aerospace & Defense - 1.5%
|
|||
L3Harris Technologies Inc
|
1,042
|
288,697
|
|
Air Freight & Logistics - 1.3%
|
|||
FedEx Corp
|
862
|
264,979
|
|
Commercial Services & Supplies - 1.0%
|
|||
Clean Harbors Inc (a)
|
661
|
206,814
|
|
Electrical Equipment - 0.6%
|
|||
Nextpower Inc Class A (a)
|
1,373
|
123,391
|
|
TOTAL INDUSTRIALS
|
883,881
|
||
Information Technology - 6.1%
|
|||
Communications Equipment - 2.2%
|
|||
Motorola Solutions Inc
|
1,013
|
441,415
|
|
IT Services - 1.7%
|
|||
Cognizant Technology Solutions Corp Class A
|
6,235
|
345,107
|
|
Software - 2.2%
|
|||
Microsoft Corp
|
948
|
440,555
|
|
TOTAL INFORMATION TECHNOLOGY
|
1,227,077
|
||
Materials - 5.4%
|
|||
Chemicals - 3.5%
|
|||
International Flavors & Fragrances Inc
|
4,132
|
327,337
|
|
Linde PLC
|
797
|
381,269
|
|
708,606
|
|||
Construction Materials - 1.9%
|
|||
James Hardie Industries PLC depository receipt (a)
|
14,896
|
384,536
|
|
TOTAL MATERIALS
|
1,093,142
|
||
Utilities - 1.4%
|
|||
Electric Utilities - 0.6%
|
|||
NRG Energy Inc
|
889
|
119,384
|
|
Multi-Utilities - 0.8%
|
|||
Ameren Corp
|
1,446
|
158,496
|
|
TOTAL UTILITIES
|
277,880
|
||
TOTAL UNITED STATES
|
8,979,482
|
||
|
TOTAL COMMON STOCKS
(Cost $16,930,746)
|
19,425,175
|
||
Money Market Funds - 5.1%
|
||||
Yield (%)
|
Shares
|
Value ($)
|
||
Morgan Stanley Institutional Liquidity Prime Portfolio Institutional Class (d)
(Cost $1,023,990)
|
3.71
|
1,024,221
|
1,024,221
|
|
|
TOTAL INVESTMENT IN SECURITIES - 101.1%
(Cost $17,954,736)
|
20,449,396
|
NET OTHER ASSETS (LIABILITIES) - (1.1)%
|
(223,133)
|
NET ASSETS - 100.0%
|
20,226,263
|
Forward Foreign Currency Contracts
|
||||||
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||
AUD
|
28,000
|
USD
|
19,485
|
Goldman Sachs International
|
8/2026
|
208
|
CHF
|
167
|
USD
|
206
|
UBS AG
|
8/2026
|
0
|
EUR
|
87
|
USD
|
100
|
HSBC Bank PLC
|
8/2026
|
0
|
EUR
|
87
|
USD
|
100
|
JPMorgan Chase Bank NA
|
8/2026
|
0
|
EUR
|
34,175
|
USD
|
39,383
|
UBS AG
|
8/2026
|
26
|
EUR
|
1,253
|
USD
|
1,443
|
UBS AG
|
8/2026
|
2
|
GBP
|
22,800
|
USD
|
30,700
|
Goldman Sachs International
|
8/2026
|
29
|
HKD
|
65,812
|
USD
|
8,390
|
HSBC Bank PLC
|
8/2026
|
1
|
HKD
|
196,000
|
USD
|
25,012
|
JPMorgan Chase Bank NA
|
8/2026
|
2
|
HKD
|
132,000
|
USD
|
16,849
|
UBS AG
|
8/2026
|
(3)
|
JPY
|
3,676,000
|
USD
|
22,499
|
Goldman Sachs International
|
8/2026
|
647
|
JPY
|
5,363,000
|
USD
|
32,870
|
UBS AG
|
8/2026
|
899
|
KRW
|
67,309,000
|
USD
|
46,806
|
HSBC Bank PLC
|
8/2026
|
(149)
|
KRW
|
45,265,000
|
USD
|
30,850
|
HSBC Bank PLC
|
8/2026
|
527
|
KRW
|
55,384,000
|
USD
|
38,150
|
HSBC Bank PLC
|
8/2026
|
241
|
KRW
|
45,979,000
|
USD
|
31,841
|
UBS AG
|
8/2026
|
31
|
KRW
|
108,007,000
|
USD
|
73,134
|
UBS AG
|
8/2026
|
1,734
|
KRW
|
189,324,000
|
USD
|
126,979
|
UBS AG
|
8/2026
|
4,258
|
NOK
|
161,000
|
USD
|
16,744
|
Goldman Sachs International
|
8/2026
|
238
|
NOK
|
98,000
|
USD
|
10,177
|
Goldman Sachs International
|
8/2026
|
160
|
TWD
|
242,000
|
USD
|
7,498
|
Goldman Sachs International
|
8/2026
|
4
|
TWD
|
3,275,000
|
USD
|
101,431
|
Goldman Sachs International
|
8/2026
|
94
|
TWD
|
214,000
|
USD
|
6,600
|
HSBC Bank PLC
|
8/2026
|
34
|
TWD
|
218,000
|
USD
|
6,734
|
HSBC Bank PLC
|
8/2026
|
24
|
TWD
|
184,000
|
USD
|
5,672
|
HSBC Bank PLC
|
8/2026
|
32
|
TWD
|
245,000
|
USD
|
7,555
|
HSBC Bank PLC
|
8/2026
|
40
|
TWD
|
1,167,000
|
USD
|
35,992
|
JPMorgan Chase Bank NA
|
8/2026
|
185
|
TWD
|
62,000
|
USD
|
1,917
|
JPMorgan Chase Bank NA
|
8/2026
|
5
|
USD
|
1,712
|
AUD
|
2,435
|
JPMorgan Chase Bank NA
|
8/2026
|
(1)
|
USD
|
1,384
|
AUD
|
1,971
|
UBS AG
|
8/2026
|
(3)
|
USD
|
15,404
|
AUD
|
22,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(69)
|
USD
|
286,756
|
AUD
|
411,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(2,306)
|
USD
|
768,546
|
CAD
|
1,079,000
|
HSBC Bank PLC
|
8/2026
|
(1,930)
|
USD
|
892
|
CHF
|
720
|
JPMorgan Chase Bank NA
|
8/2026
|
2
|
USD
|
767,869
|
CHF
|
620,000
|
Goldman Sachs International
|
8/2026
|
(1,015)
|
USD
|
58,322
|
CHF
|
47,000
|
HSBC Bank PLC
|
8/2026
|
35
|
USD
|
205,982
|
CNY
|
1,392,000
|
UBS AG
|
8/2026
|
(533)
|
USD
|
2,498
|
EUR
|
2,172
|
HSBC Bank PLC
|
8/2026
|
(7)
|
USD
|
237,299
|
EUR
|
206,000
|
HSBC Bank PLC
|
8/2026
|
(474)
|
USD
|
3,962,238
|
EUR
|
3,465,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(37,192)
|
USD
|
2,275
|
GBP
|
1,693
|
HSBC Bank PLC
|
8/2026
|
(7)
|
USD
|
21,708
|
GBP
|
16,141
|
JPMorgan Chase Bank NA
|
8/2026
|
(46)
|
USD
|
72,708
|
GBP
|
54,000
|
Goldman Sachs International
|
8/2026
|
(69)
|
USD
|
1,344,047
|
GBP
|
1,003,000
|
HSBC Bank PLC
|
8/2026
|
(7,719)
|
USD
|
24,501
|
HKD
|
192,000
|
HSBC Bank PLC
|
8/2026
|
(3)
|
USD
|
49,650
|
HKD
|
389,000
|
HSBC Bank PLC
|
8/2026
|
5
|
USD
|
318,465
|
HKD
|
2,493,000
|
UBS AG
|
8/2026
|
306
|
USD
|
31,420
|
JPY
|
5,038,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(303)
|
USD
|
18,338
|
JPY
|
2,969,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(357)
|
USD
|
261,706
|
JPY
|
42,367,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(5,066)
|
USD
|
29,711
|
JPY
|
4,847,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(809)
|
USD
|
122,813
|
KRW
|
181,392,000
|
Goldman Sachs International
|
8/2026
|
(2,925)
|
USD
|
20,564
|
KRW
|
30,143,000
|
HSBC Bank PLC
|
8/2026
|
(330)
|
USD
|
8,844
|
KRW
|
13,080,000
|
HSBC Bank PLC
|
8/2026
|
(223)
|
USD
|
213,619
|
KRW
|
309,400,000
|
HSBC Bank PLC
|
8/2026
|
(852)
|
USD
|
33,610
|
KRW
|
49,698,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(839)
|
USD
|
35,806
|
KRW
|
53,161,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(1,044)
|
USD
|
13,649
|
NOK
|
132,000
|
Goldman Sachs International
|
8/2026
|
(274)
|
USD
|
12,098
|
NOK
|
117,000
|
HSBC Bank PLC
|
8/2026
|
(243)
|
USD
|
185,331
|
NOK
|
1,804,000
|
UBS AG
|
8/2026
|
(4,948)
|
USD
|
15,205
|
SEK
|
147,000
|
HSBC Bank PLC
|
8/2026
|
(252)
|
USD
|
209,321
|
SEK
|
2,023,000
|
HSBC Bank PLC
|
8/2026
|
(3,395)
|
USD
|
260,112
|
THB
|
8,737,000
|
HSBC Bank PLC
|
8/2026
|
(1,884)
|
USD
|
46,620
|
THB
|
1,570,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(459)
|
USD
|
13,925
|
TWD
|
450,000
|
HSBC Bank PLC
|
8/2026
|
(25)
|
USD
|
87,804
|
TWD
|
2,825,000
|
HSBC Bank PLC
|
8/2026
|
229
|
USD
|
7,327
|
TWD
|
237,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(20)
|
USD
|
13,870
|
TWD
|
448,000
|
JPMorgan Chase Bank NA
|
8/2026
|
(18)
|
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
|
(65,794)
|
|||||
Unrealized Appreciation
|
9,998
|
|||||
Unrealized Depreciation
|
(75,792)
|
|||||
Total Return Swaps
|
|||||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark ranging from 3.65 to 3.67% plus or minus a specified spread ranging from (3.00)% to .31% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable.
|
Goldman Sachs International
|
6/2039 - 7/2041
|
7,362,910
|
54,116
|
9,591
|
63,707
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Common Stocks
|
|||||||
UNITED STATES -77.6%
|
|||||||
Health Care - 77.6%
|
|||||||
Health Care Equipment & Supplies - 77.6%
|
|||||||
Dexcom Inc (1)
|
5,551
|
463,231
|
49,460
|
||||
TOTAL HEALTH CARE
|
463,231
|
49,460
|
|||||
TOTAL UNITED STATES
|
463,231
|
49,460
|
|||||
TOTAL LONG
|
463,231
|
49,460
|
|||||
SHORT
|
|||||||
Common Stocks
|
|||||||
KOREA (SOUTH) -(102.4)%
|
|||||||
Financials - (14.3)%
|
|||||||
Banks - (14.3)%
|
|||||||
Hana Financial Group Inc
|
(4,170)
|
(356,138)
|
(9,095)
|
||||
TOTAL FINANCIALS
|
(356,138)
|
(9,095)
|
|||||
Industrials - (88.1)%
|
|||||||
Electrical Equipment - (88.1)%
|
|||||||
LG Energy Solution Ltd (1)
|
(883)
|
(197,371)
|
(56,132)
|
||||
TOTAL INDUSTRIALS
|
(197,371)
|
(56,132)
|
|||||
TOTAL KOREA (SOUTH)
|
(553,509)
|
(65,227)
|
|||||
SINGAPORE -(5.1)%
|
|||||||
Industrials - (5.1)%
|
|||||||
Ground Transportation - (5.1)%
|
|||||||
Grab Holdings Ltd Class A (1)
|
(32,496)
|
(113,736)
|
(3,250)
|
||||
TOTAL INDUSTRIALS
|
(113,736)
|
(3,250)
|
|||||
TOTAL SINGAPORE
|
(113,736)
|
(3,250)
|
|||||
TAIWAN -0.4%
|
|||||||
Communication Services - 0.4%
|
|||||||
Diversified Telecommunication Services - 0.4%
|
|||||||
Chunghwa Telecom Co Ltd
|
(9,000)
|
(38,713)
|
261
|
||||
TOTAL COMMUNICATION SERVICES
|
(38,713)
|
261
|
|||||
TOTAL TAIWAN
|
(38,713)
|
261
|
|||||
UNITED STATES -114.3%
|
|||||||
Communication Services - (6.7)%
|
|||||||
Diversified Telecommunication Services - (6.7)%
|
|||||||
Verizon Communications Inc
|
(6,098)
|
(285,447)
|
(4,269)
|
||||
TOTAL COMMUNICATION SERVICES
|
(285,447)
|
(4,269)
|
|||||
Consumer Discretionary - 12.4%
|
|||||||
Hotels, Restaurants & Leisure - 1.0%
|
|||||||
Royal Caribbean Cruises Ltd
|
(168)
|
(53,474)
|
612
|
||||
Household Durables - 10.0%
|
|||||||
NVR Inc (1)
|
(45)
|
(276,617)
|
6,373
|
||||
Textiles, Apparel & Luxury Goods - 1.4%
|
|||||||
Lululemon Athletica Inc (1)
|
(1,451)
|
(172,480)
|
878
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(502,571)
|
7,863
|
|||||
Consumer Staples - (0.2)%
|
|||||||
Beverages - 1.4%
|
|||||||
Primo Brands Corp Class A
|
(13,062)
|
(296,507)
|
914
|
||||
Consumer Staples Distribution & Retail - (0.5)%
|
|||||||
Walmart Inc
|
(2,979)
|
(331,265)
|
(298)
|
||||
Household Products - (1.1)%
|
|||||||
Procter & Gamble Co/The
|
(1,348)
|
(194,773)
|
(714)
|
||||
TOTAL CONSUMER STAPLES
|
(822,545)
|
(98)
|
|||||
Financials - 192.5%
|
|||||||
Banks - (0.7)%
|
|||||||
Citigroup Inc
|
(3,276)
|
(433,906)
|
(426)
|
||||
Capital Markets - 5.4%
|
|||||||
CME Group Inc Class A
|
(1,351)
|
(361,784)
|
(770)
|
||||
Nasdaq Inc
|
(4,313)
|
(406,241)
|
4,184
|
||||
(768,025)
|
3,414
|
||||||
Consumer Finance - 188.5%
|
|||||||
American Express Co
|
(495)
|
(166,444)
|
120,083
|
||||
Financial Services - (0.9)%
|
|||||||
WEX Inc (1)
|
(1,060)
|
(198,178)
|
(594)
|
||||
Insurance - 0.2%
|
|||||||
Kinsale Capital Group Inc
|
(945)
|
(336,817)
|
(520)
|
||||
Markel Group Inc (1)
|
(164)
|
(308,704)
|
626
|
||||
(645,521)
|
106
|
||||||
TOTAL FINANCIALS
|
(2,212,074)
|
122,583
|
|||||
Industrials - (48.4)%
|
|||||||
Aerospace & Defense - (5.1)%
|
|||||||
Howmet Aerospace Inc
|
(646)
|
(182,340)
|
(3,217)
|
||||
Building Products - 1.0%
|
|||||||
Lennox International Inc
|
(424)
|
(176,333)
|
666
|
||||
Electrical Equipment - (44.3)%
|
|||||||
Eaton Corp PLC
|
(997)
|
(413,954)
|
(28,225)
|
||||
TOTAL INDUSTRIALS
|
(772,627)
|
(30,776)
|
|||||
Information Technology - (35.3)%
|
|||||||
IT Services - (2.8)%
|
|||||||
IBM Corporation
|
(928)
|
(207,547)
|
(1,772)
|
||||
Semiconductors & Semiconductor Equipment - 10.4%
|
|||||||
QUALCOMM Inc
|
(1,663)
|
(245,475)
|
6,635
|
||||
Software - (23.9)%
|
|||||||
Crowdstrike Holdings Inc Class A (1)
|
(1,341)
|
(255,943)
|
(7,563)
|
||||
Palo Alto Networks Inc (1)
|
(1,240)
|
(411,469)
|
(7,626)
|
||||
(667,412)
|
(15,189)
|
||||||
Technology Hardware, Storage & Peripherals - (19.0)%
|
|||||||
NetApp Inc
|
(2,678)
|
(478,023)
|
(12,105)
|
||||
TOTAL INFORMATION TECHNOLOGY
|
(1,598,457)
|
(22,431)
|
|||||
TOTAL UNITED STATES
|
(6,193,721)
|
72,872
|
|||||
|
TOTAL COMMON STOCKS
|
|
(6,899,679)
|
4,656
|
||||
TOTAL SHORT
|
(6,899,679)
|
4,656
|
|||||
TOTAL SWAP COMPONENTS
|
(6,436,448)
|
54,116
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the BBSW-1M benchmark of 4.32% plus or minus a specified spread ranging from (.25)% to (.15)% on short/long CFDs, respectively, which is denominated in AUD based on the local currencies of the positions within the swap as applicable.
|
Goldman Sachs International
|
10/2039 - 7/2041
|
578,199
|
(6,000)
|
1,512
|
(4,488)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
AUSTRALIA -133.6%
|
|||||||
Financials - (55.3)%
|
|||||||
Banks - (41.7)%
|
|||||||
Westpac Banking Corp
|
(10,420)
|
(276,310)
|
1,869
|
||||
Insurance - (13.6)%
|
|||||||
Medibank Pvt Ltd
|
(9,766)
|
(35,399)
|
609
|
||||
TOTAL FINANCIALS
|
(311,709)
|
2,478
|
|||||
Materials - 188.9%
|
|||||||
Metals & Mining - 188.9%
|
|||||||
Mineral Resources Ltd (1)
|
(6,557)
|
(266,490)
|
(8,478)
|
||||
TOTAL MATERIALS
|
(266,490)
|
(8,478)
|
|||||
TOTAL AUSTRALIA
|
(578,199)
|
(6,000)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(578,199)
|
(6,000)
|
||||
TOTAL SHORT
|
(578,199)
|
(6,000)
|
|||||
TOTAL SWAP COMPONENTS
|
(578,199)
|
(6,000)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the CORRA-1D benchmark of 2.31% plus or minus a specified spread of (.29)% on short/long CFDs, respectively, which is denominated in CAD based on the local currencies of the positions within the swap as applicable.
|
Goldman Sachs International
|
5/2041
|
185,939
|
(10,136)
|
303
|
(9,833)
|
|
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SARON-1D benchmark of (.04)% plus or minus a specified spread of (.36)% on short/long CFDs, respectively, which is denominated in CHF based on the local currencies of the positions within the swap as applicable.
|
Goldman Sachs International
|
6/2041 - 7/2041
|
949,611
|
(5,798)
|
(106)
|
(5,904)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
SWITZERLAND -98.2%
|
|||||||
Financials - (13.2)%
|
|||||||
Insurance - (13.2)%
|
|||||||
Zurich Insurance Group AG
|
(457)
|
(348,110)
|
779
|
||||
TOTAL FINANCIALS
|
(348,110)
|
779
|
|||||
Industrials - 111.4%
|
|||||||
Building Products - 3.9%
|
|||||||
Geberit AG
|
(47)
|
(30,940)
|
(233)
|
||||
Electrical Equipment - 180.2%
|
|||||||
ABB Ltd (Sweden)
|
(2,679)
|
(264,307)
|
(10,639)
|
||||
Professional Services - (72.7)%
|
|||||||
SGS SA
|
(2,585)
|
(306,254)
|
4,295
|
||||
TOTAL INDUSTRIALS
|
(601,501)
|
(6,577)
|
|||||
TOTAL SWITZERLAND
|
(949,611)
|
(5,798)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(949,611)
|
(5,798)
|
||||
TOTAL SHORT
|
(949,611)
|
(5,798)
|
|||||
TOTAL SWAP COMPONENTS
|
(949,611)
|
(5,798)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 2.19% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable.
|
Goldman Sachs International
|
9/2040 - 8/2041
|
2,160,586
|
(6,963)
|
2,396
|
(4,567)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
FRANCE -(24.4)%
|
|||||||
Consumer Discretionary - (27.9)%
|
|||||||
Textiles, Apparel & Luxury Goods - (27.9)%
|
|||||||
LVMH Moet Hennessy Louis Vuitton SE
|
(370)
|
(203,180)
|
(3,522)
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(203,180)
|
(3,522)
|
|||||
Health Care - 3.5%
|
|||||||
Health Care Equipment & Supplies - 3.5%
|
|||||||
EssilorLuxottica SA
|
(605)
|
(114,540)
|
643
|
||||
TOTAL HEALTH CARE
|
(114,540)
|
643
|
|||||
TOTAL FRANCE
|
(317,720)
|
(2,879)
|
|||||
GERMANY -410.5%
|
|||||||
Consumer Discretionary - 356.8%
|
|||||||
Automobiles - 356.8%
|
|||||||
Volkswagen AG non-voting shares
|
(2,540)
|
(219,512)
|
1,276
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(219,512)
|
1,276
|
|||||
Financials - (9.3)%
|
|||||||
Capital Markets - (9.3)%
|
|||||||
Deutsche Bank AG (United States)
|
(9,247)
|
(339,889)
|
(160)
|
||||
TOTAL FINANCIALS
|
(339,889)
|
(160)
|
|||||
Information Technology - 77.1%
|
|||||||
Semiconductors & Semiconductor Equipment - 77.1%
|
|||||||
AIXTRON SE
|
(4,822)
|
(201,679)
|
(16,292)
|
||||
TOTAL INFORMATION TECHNOLOGY
|
(201,679)
|
(16,292)
|
|||||
Utilities - (14.1)%
|
|||||||
Multi-Utilities - (14.1)%
|
|||||||
E.ON SE
|
(13,148)
|
(283,251)
|
423
|
||||
TOTAL UTILITIES
|
(283,251)
|
423
|
|||||
TOTAL GERMANY
|
(1,044,331)
|
(14,753)
|
|||||
ITALY -(8.7)%
|
|||||||
Financials - 17.1%
|
|||||||
Banks - 17.1%
|
|||||||
Banco BPM SpA
|
(1,572)
|
(28,596)
|
(779)
|
||||
TOTAL FINANCIALS
|
(28,596)
|
(779)
|
|||||
Utilities - (25.8)%
|
|||||||
Electric Utilities - (25.8)%
|
|||||||
Enel SpA
|
(28,793)
|
(325,171)
|
1,178
|
||||
TOTAL UTILITIES
|
(325,171)
|
1,178
|
|||||
TOTAL ITALY
|
(353,767)
|
399
|
|||||
UNITED STATES -(224.9)%
|
|||||||
Consumer Discretionary - (340.8)%
|
|||||||
Automobiles - (340.8)%
|
|||||||
Stellantis NV (1)
|
(41,276)
|
(236,178)
|
15,564
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(236,178)
|
15,564
|
|||||
Industrials - 115.9%
|
|||||||
Construction & Engineering - 115.9%
|
|||||||
Ferrovial NV
|
(3,188)
|
(208,590)
|
(5,294)
|
||||
TOTAL INDUSTRIALS
|
(208,590)
|
(5,294)
|
|||||
TOTAL UNITED STATES
|
(444,768)
|
10,270
|
|||||
|
TOTAL COMMON STOCKS
|
|
(2,160,586)
|
(6,963)
|
||||
TOTAL SHORT
|
(2,160,586)
|
(6,963)
|
|||||
TOTAL SWAP COMPONENTS
|
(2,160,586)
|
(6,963)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SONIA-1D benchmark of 3.73% plus or minus a specified spread of (.17)% on short/long CFDs, respectively, which is denominated in GBP based on the local currencies of the positions within the swap as applicable.
|
Goldman Sachs International
|
8/2039 - 5/2041
|
942,414
|
12,576
|
2,200
|
14,776
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
UNITED KINGDOM -85.1%
|
|||||||
Consumer Discretionary - 7.5%
|
|||||||
Textiles, Apparel & Luxury Goods - 7.5%
|
|||||||
Burberry Group PLC (1)
|
(13,024)
|
(208,443)
|
1,111
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(208,443)
|
1,111
|
|||||
Financials - 33.2%
|
|||||||
Banks - 33.2%
|
|||||||
Barclays PLC
|
(71,494)
|
(491,417)
|
4,903
|
||||
TOTAL FINANCIALS
|
(491,417)
|
4,903
|
|||||
Health Care - 44.4%
|
|||||||
Pharmaceuticals - 44.4%
|
|||||||
GSK PLC
|
(9,328)
|
(242,554)
|
6,562
|
||||
TOTAL HEALTH CARE
|
(242,554)
|
6,562
|
|||||
TOTAL UNITED KINGDOM
|
(942,414)
|
12,576
|
|||||
|
TOTAL COMMON STOCKS
|
|
(942,414)
|
12,576
|
||||
TOTAL SHORT
|
(942,414)
|
12,576
|
|||||
TOTAL SWAP COMPONENTS
|
(942,414)
|
12,576
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the HIBOR-1M benchmark of 2.30% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in HKD based on the local currencies of the positions within the swap as applicable.
|
Goldman Sachs International
|
7/2041
|
41,098
|
4,431
|
37
|
4,468
|
|
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark of 3.65% plus or minus a specified spread ranging from (.10)% to .13% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable.
|
JPMorgan Chase Bank NA
|
10/2029 - 8/2031
|
1,049,697
|
(22,694)
|
(1,235)
|
(23,929)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Common Stocks
|
|||||||
UNITED STATES -31.4%
|
|||||||
Consumer Discretionary - 31.4%
|
|||||||
Hotels, Restaurants & Leisure - 31.4%
|
|||||||
Flutter Entertainment PLC (Ireland) (1)
|
1,880
|
196,404
|
(7,520)
|
||||
TOTAL CONSUMER DISCRETIONARY
|
196,404
|
(7,520)
|
|||||
TOTAL UNITED STATES
|
196,404
|
(7,520)
|
|||||
TOTAL LONG
|
196,404
|
(7,520)
|
|||||
SHORT
|
|||||||
Common Stocks
|
|||||||
KOREA (SOUTH) -(17.0)%
|
|||||||
Financials - (17.0)%
|
|||||||
Banks - (17.0)%
|
|||||||
Hana Financial Group Inc
|
(635)
|
(54,232)
|
4,076
|
||||
TOTAL FINANCIALS
|
(54,232)
|
4,076
|
|||||
TOTAL KOREA (SOUTH)
|
(54,232)
|
4,076
|
|||||
TAIWAN -17.3%
|
|||||||
Communication Services - 8.6%
|
|||||||
Diversified Telecommunication Services - 8.6%
|
|||||||
Chunghwa Telecom Co Ltd
|
(13,000)
|
(55,919)
|
(2,052)
|
||||
TOTAL COMMUNICATION SERVICES
|
(55,919)
|
(2,052)
|
|||||
Financials - 8.7%
|
|||||||
Insurance - 8.7%
|
|||||||
Fubon Financial Holding Co Ltd
|
(39,625)
|
(158,017)
|
(2,075)
|
||||
TOTAL FINANCIALS
|
(158,017)
|
(2,075)
|
|||||
TOTAL TAIWAN
|
(213,936)
|
(4,127)
|
|||||
UNITED STATES -63.2%
|
|||||||
Health Care - 122.4%
|
|||||||
Health Care Equipment & Supplies - 121.4%
|
|||||||
Becton Dickinson & Co
|
(1,941)
|
(321,468)
|
(29,057)
|
||||
Life Sciences Tools & Services - 1.0%
|
|||||||
Waters Corp (1)
|
(265)
|
(99,988)
|
(244)
|
||||
TOTAL HEALTH CARE
|
(421,456)
|
(29,301)
|
|||||
Information Technology - (59.2)%
|
|||||||
Software - (59.2)%
|
|||||||
Palantir Technologies Inc Class A (1)
|
(1,330)
|
(163,670)
|
14,178
|
||||
TOTAL INFORMATION TECHNOLOGY
|
(163,670)
|
14,178
|
|||||
TOTAL UNITED STATES
|
(585,126)
|
(15,123)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(853,294)
|
(15,174)
|
||||
TOTAL SHORT
|
(853,294)
|
(15,174)
|
|||||
TOTAL SWAP COMPONENTS
|
(656,890)
|
(22,694)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the BBSW-1M benchmark of 4.32% plus or minus a specified spread ranging from (.29)% to (.10)% on short/long CFDs, respectively, which is denominated in AUD based on the local currencies of the positions within the swap as applicable.
|
JPMorgan Chase Bank NA
|
7/2029 - 6/2030
|
325,330
|
(5,414)
|
465
|
(4,949)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
AUSTRALIA -109.4%
|
|||||||
Financials - 109.4%
|
|||||||
Banks - 58.8%
|
|||||||
Westpac Banking Corp
|
(5,318)
|
(141,019)
|
(2,911)
|
||||
Insurance - 50.6%
|
|||||||
Medibank Pvt Ltd
|
(50,848)
|
(184,311)
|
(2,503)
|
||||
TOTAL FINANCIALS
|
(325,330)
|
(5,414)
|
|||||
TOTAL AUSTRALIA
|
(325,330)
|
(5,414)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(325,330)
|
(5,414)
|
||||
TOTAL SHORT
|
(325,330)
|
(5,414)
|
|||||
TOTAL SWAP COMPONENTS
|
(325,330)
|
(5,414)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SARON-1D benchmark of (.04)% plus or minus a specified spread of (.10)% on short/long CFDs, respectively, which is denominated in CHF based on the local currencies of the positions within the swap as applicable.
|
JPMorgan Chase Bank NA
|
11/2030
|
225,426
|
3,511
|
(82)
|
3,429
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
SWITZERLAND -102.4%
|
|||||||
Communication Services - 102.4%
|
|||||||
Diversified Telecommunication Services - 102.4%
|
|||||||
Swisscom AG
|
(293)
|
(225,426)
|
3,511
|
||||
TOTAL COMMUNICATION SERVICES
|
(225,426)
|
3,511
|
|||||
TOTAL SWITZERLAND
|
(225,426)
|
3,511
|
|||||
TOTAL SHORT
|
(225,426)
|
3,511
|
|||||
TOTAL SWAP COMPONENTS
|
(225,426)
|
3,511
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the CORRA-1D benchmark of 2.31% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in CAD based on the local currencies of the positions within the swap as applicable.
|
JPMorgan Chase Bank NA
|
7/2029
|
214,838
|
(13,918)
|
(1,807)
|
(15,725)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
CANADA -88.5%
|
|||||||
Consumer Discretionary - 88.5%
|
|||||||
Broadline Retail - 88.5%
|
|||||||
Canadian Tire Corp Ltd Class A
|
(1,472)
|
(214,838)
|
(13,918)
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(214,838)
|
(13,918)
|
|||||
TOTAL CANADA
|
(214,838)
|
(13,918)
|
|||||
TOTAL SHORT
|
(214,838)
|
(13,918)
|
|||||
TOTAL SWAP COMPONENTS
|
(214,838)
|
(13,918)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SONIA-1D benchmark of 3.73% plus or minus a specified spread of .40% on short/long CFDs, respectively, which is denominated in GBP based on the local currencies of the positions within the swap as applicable.
|
JPMorgan Chase Bank NA
|
7/2029
|
267,059
|
(10,812)
|
4,788
|
(6,024)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Common Stocks
|
|||||||
UNITED KINGDOM -179.5%
|
|||||||
Utilities - 179.5%
|
|||||||
Electric Utilities - 179.5%
|
|||||||
SSE PLC
|
8,453
|
267,059
|
(10,812)
|
||||
TOTAL UTILITIES
|
267,059
|
(10,812)
|
|||||
TOTAL UNITED KINGDOM
|
267,059
|
(10,812)
|
|||||
TOTAL LONG
|
267,059
|
(10,812)
|
|||||
TOTAL SWAP COMPONENTS
|
267,059
|
(10,812)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the HIBOR-1M benchmark of 2.68% plus or minus a specified spread of (.10)% on short/long CFDs, respectively, which is denominated in HKD based on the local currencies of the positions within the swap as applicable.
|
JPMorgan Chase Bank NA
|
3/2031
|
381,624
|
9,163
|
684
|
9,847
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
CHINA -93.1%
|
|||||||
Health Care - 93.1%
|
|||||||
Pharmaceuticals - 93.1%
|
|||||||
Sino Biopharmaceutical Ltd
|
(595,000)
|
(381,624)
|
9,163
|
||||
TOTAL HEALTH CARE
|
(381,624)
|
9,163
|
|||||
TOTAL CHINA
|
(381,624)
|
9,163
|
|||||
TOTAL SHORT
|
(381,624)
|
9,163
|
|||||
TOTAL SWAP COMPONENTS
|
(381,624)
|
9,163
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the TONAR-1D benchmark of .98% plus or minus a specified spread ranging from (.20)% to .20% on short/long CFDs, respectively, which is denominated in JPY based on the local currencies of the positions within the swap as applicable.
|
JPMorgan Chase Bank NA
|
7/2029 - 6/2031
|
1,744,749
|
2,488
|
(4,369)
|
(1,881)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Common Stocks
|
|||||||
JAPAN -(734.3)%
|
|||||||
Information Technology - (734.3)%
|
|||||||
IT Services - (734.3)%
|
|||||||
Simplex Holdings Inc
|
21,800
|
155,914
|
13,815
|
||||
TOTAL INFORMATION TECHNOLOGY
|
155,914
|
13,815
|
|||||
TOTAL JAPAN
|
155,914
|
13,815
|
|||||
TOTAL LONG
|
155,914
|
13,815
|
|||||
SHORT
|
|||||||
Common Stocks
|
|||||||
JAPAN -602.1%
|
|||||||
Consumer Discretionary - 869.0%
|
|||||||
Automobiles - 1103.7%
|
|||||||
Honda Motor Co Ltd
|
(32,500)
|
(327,588)
|
(20,765)
|
||||
Broadline Retail - (234.7)%
|
|||||||
Ryohin Keikaku Co Ltd
|
(8,800)
|
(230,827)
|
4,416
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(558,415)
|
(16,349)
|
|||||
Consumer Staples - (745.4)%
|
|||||||
Food Products - (2223.1)%
|
|||||||
Ajinomoto Co Inc
|
(9,500)
|
(292,965)
|
41,824
|
||||
Household Products - 444.2%
|
|||||||
Unicharm Corp
|
(25,700)
|
(163,014)
|
(8,357)
|
||||
Personal Care Products - 1033.5%
|
|||||||
Shiseido Co Ltd
|
(10,200)
|
(201,487)
|
(19,443)
|
||||
TOTAL CONSUMER STAPLES
|
(657,466)
|
14,024
|
|||||
Real Estate - 478.5%
|
|||||||
Real Estate Management & Development - 478.5%
|
|||||||
Daiwa House Industry Co Ltd
|
(12,700)
|
(372,954)
|
(9,002)
|
||||
TOTAL REAL ESTATE
|
(372,954)
|
(9,002)
|
|||||
TOTAL JAPAN
|
(1,588,835)
|
(11,327)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(1,588,835)
|
(11,327)
|
||||
TOTAL SHORT
|
(1,588,835)
|
(11,327)
|
|||||
TOTAL SWAP COMPONENTS
|
(1,432,921)
|
2,488
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the STIBO-1M benchmark of 1.90% plus or minus a specified spread of (.05)% on short/long CFDs, respectively, which is denominated in SEK based on the local currencies of the positions within the swap as applicable.
|
JPMorgan Chase Bank NA
|
6/2031
|
119,890
|
24,118
|
420
|
24,538
|
|
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark of 3.64% plus or minus a specified spread ranging from (.25)% to (.10)% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable.
|
Morgan Stanley
|
6/2027 - 8/2027
|
1,392,920
|
37,194
|
2,802
|
39,996
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
KOREA (SOUTH) -(2.0)%
|
|||||||
Financials - (2.0)%
|
|||||||
Banks - (2.0)%
|
|||||||
Hana Financial Group Inc
|
(110)
|
(9,395)
|
(812)
|
||||
TOTAL FINANCIALS
|
(9,395)
|
(812)
|
|||||
TOTAL KOREA (SOUTH)
|
(9,395)
|
(812)
|
|||||
SINGAPORE -77.8%
|
|||||||
Industrials - 77.8%
|
|||||||
Ground Transportation - 77.8%
|
|||||||
Grab Holdings Ltd Class A (1)
|
(79,918)
|
(279,713)
|
31,109
|
||||
TOTAL INDUSTRIALS
|
(279,713)
|
31,109
|
|||||
TOTAL SINGAPORE
|
(279,713)
|
31,109
|
|||||
UNITED STATES -17.4%
|
|||||||
Consumer Discretionary - (80.4)%
|
|||||||
Hotels, Restaurants & Leisure - (80.4)%
|
|||||||
Royal Caribbean Cruises Ltd
|
(1,381)
|
(439,572)
|
(32,169)
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(439,572)
|
(32,169)
|
|||||
Health Care - 0.8%
|
|||||||
Health Care Equipment & Supplies - 0.8%
|
|||||||
Envista Holdings Corp (1)
|
(4,285)
|
(117,023)
|
301
|
||||
TOTAL HEALTH CARE
|
(117,023)
|
301
|
|||||
Industrials - (3.4)%
|
|||||||
Professional Services - (3.4)%
|
|||||||
Equifax Inc
|
(1,257)
|
(216,983)
|
(1,377)
|
||||
TOTAL INDUSTRIALS
|
(216,983)
|
(1,377)
|
|||||
Materials - 100.4%
|
|||||||
Chemicals - 100.4%
|
|||||||
PPG Industries Inc
|
(2,988)
|
(330,234)
|
40,142
|
||||
TOTAL MATERIALS
|
(330,234)
|
40,142
|
|||||
TOTAL UNITED STATES
|
(1,103,812)
|
6,897
|
|||||
|
TOTAL COMMON STOCKS
|
|
(1,392,920)
|
37,194
|
||||
TOTAL SHORT
|
(1,392,920)
|
37,194
|
|||||
TOTAL SWAP COMPONENTS
|
(1,392,920)
|
37,194
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the CORRA-1D benchmark of 2.28% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in CAD based on the local currencies of the positions within the swap as applicable.
|
Morgan Stanley
|
11/2026
|
194,792
|
3,851
|
375
|
4,226
|
|
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SARON-1D benchmark of (.05)% plus or minus a specified spread of .14% on short/long CFDs, respectively, which is denominated in CHF based on the local currencies of the positions within the swap as applicable.
|
Morgan Stanley
|
6/2027
|
270,301
|
10,151
|
268
|
10,419
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Common Stocks
|
|||||||
UNITED STATES -97.4%
|
|||||||
Health Care - 97.4%
|
|||||||
Pharmaceuticals - 97.4%
|
|||||||
Roche Holding AG (1)
|
618
|
270,301
|
10,151
|
||||
TOTAL HEALTH CARE
|
270,301
|
10,151
|
|||||
TOTAL UNITED STATES
|
270,301
|
10,151
|
|||||
TOTAL LONG
|
270,301
|
10,151
|
|||||
TOTAL SWAP COMPONENTS
|
270,301
|
10,151
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 2.19% plus or minus a specified spread of .20% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable.
|
Morgan Stanley
|
6/2027
|
786,261
|
(15,520)
|
(1,320)
|
(16,840)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Common Stocks
|
|||||||
GERMANY -180.8%
|
|||||||
Health Care - (25.9)%
|
|||||||
Health Care Providers & Services - (25.9)%
|
|||||||
Fresenius SE & Co KGaA
|
1,129
|
58,028
|
4,370
|
||||
TOTAL HEALTH CARE
|
58,028
|
4,370
|
|||||
Industrials - 206.7%
|
|||||||
Electrical Equipment - 206.7%
|
|||||||
Siemens Energy AG
|
1,965
|
335,707
|
(34,804)
|
||||
TOTAL INDUSTRIALS
|
335,707
|
(34,804)
|
|||||
TOTAL GERMANY
|
393,735
|
(30,434)
|
|||||
ITALY -(0.1)%
|
|||||||
Financials - (0.1)%
|
|||||||
Capital Markets - (0.1)%
|
|||||||
Banca Generali SpA
|
2,222
|
167,446
|
24
|
||||
TOTAL FINANCIALS
|
167,446
|
24
|
|||||
TOTAL ITALY
|
167,446
|
24
|
|||||
NETHERLANDS -(88.4)%
|
|||||||
Financials - (88.4)%
|
|||||||
Insurance - (88.4)%
|
|||||||
NN Group NV
|
2,392
|
225,080
|
14,890
|
||||
TOTAL FINANCIALS
|
225,080
|
14,890
|
|||||
TOTAL NETHERLANDS
|
225,080
|
14,890
|
|||||
|
TOTAL COMMON STOCKS
|
|
786,261
|
(15,520)
|
||||
TOTAL LONG
|
786,261
|
(15,520)
|
|||||
TOTAL SWAP COMPONENTS
|
786,261
|
(15,520)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the NIBOR-1M benchmark of 4.38% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in NOK based on the local currencies of the positions within the swap as applicable.
|
Morgan Stanley
|
6/2027
|
214,368
|
(37,464)
|
(391)
|
(37,855)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
NORWAY -99.0%
|
|||||||
Energy - 99.0%
|
|||||||
Oil, Gas & Consumable Fuels - 99.0%
|
|||||||
Equinor ASA
|
(5,222)
|
(214,368)
|
(37,464)
|
||||
TOTAL ENERGY
|
(214,368)
|
(37,464)
|
|||||
TOTAL NORWAY
|
(214,368)
|
(37,464)
|
|||||
TOTAL SHORT
|
(214,368)
|
(37,464)
|
|||||
TOTAL SWAP COMPONENTS
|
(214,368)
|
(37,464)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark ranging from 3.57% to 3.65% plus or minus a specified spread ranging from .08% to .13% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable.
|
HSBC Bank PLC
|
10/2026
|
800,657
|
(26,321)
|
(1,924)
|
(28,245)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
TAIWAN -13.5%
|
|||||||
Financials - 13.5%
|
|||||||
Insurance - 13.5%
|
|||||||
Fubon Financial Holding Co Ltd
|
(33,000)
|
(131,598)
|
(3,807)
|
||||
TOTAL FINANCIALS
|
(131,598)
|
(3,807)
|
|||||
TOTAL TAIWAN
|
(131,598)
|
(3,807)
|
|||||
UNITED STATES -79.7%
|
|||||||
Consumer Staples - 10.1%
|
|||||||
Consumer Staples Distribution & Retail - 10.1%
|
|||||||
Costco Wholesale Corp
|
(259)
|
(246,540)
|
(2,854)
|
||||
TOTAL CONSUMER STAPLES
|
(246,540)
|
(2,854)
|
|||||
Industrials - 69.6%
|
|||||||
Trading Companies & Distributors - 69.6%
|
|||||||
Fastenal Co
|
(8,856)
|
(422,520)
|
(19,660)
|
||||
TOTAL INDUSTRIALS
|
(422,520)
|
(19,660)
|
|||||
TOTAL UNITED STATES
|
(669,060)
|
(22,514)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(800,658)
|
(26,321)
|
||||
TOTAL SHORT
|
(800,658)
|
(26,321)
|
|||||
TOTAL SWAP COMPONENTS
|
(800,658)
|
(26,321)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark ranging from 2.18% to 2.19% plus or minus a specified spread of .13% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable.
|
HSBC Bank PLC
|
10/2026
|
20,900
|
(545)
|
10
|
(535)
|
|
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SOFR-1D benchmark of 3.65% plus or minus a specified spread ranging from (.24)% to (.09)% on short/long CFDs, respectively, which is denominated in USD based on the local currencies of the positions within the swap as applicable.
|
UBS AG
|
6/2027 - 7/2027
|
1,017,448
|
(63,117)
|
(7,667)
|
(70,784)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
TAIWAN -2.2%
|
|||||||
Communication Services - 2.2%
|
|||||||
Diversified Telecommunication Services - 2.2%
|
|||||||
Chunghwa Telecom Co Ltd
|
(49,000)
|
(210,771)
|
(1,536)
|
||||
TOTAL COMMUNICATION SERVICES
|
(210,771)
|
(1,536)
|
|||||
TOTAL TAIWAN
|
(210,771)
|
(1,536)
|
|||||
UNITED STATES -87.0%
|
|||||||
Consumer Discretionary - (1.0)%
|
|||||||
Specialty Retail - (1.0)%
|
|||||||
Advance Auto Parts Inc
|
(2,733)
|
(151,791)
|
711
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(151,791)
|
711
|
|||||
Health Care - 84.6%
|
|||||||
Health Care Equipment & Supplies - 84.6%
|
|||||||
Baxter International Inc
|
(15,934)
|
(416,833)
|
(59,912)
|
||||
TOTAL HEALTH CARE
|
(416,833)
|
(59,912)
|
|||||
Industrials - (4.0)%
|
|||||||
Aerospace & Defense - (4.0)%
|
|||||||
Howmet Aerospace Inc
|
(406)
|
(114,598)
|
2,842
|
||||
TOTAL INDUSTRIALS
|
(114,598)
|
2,842
|
|||||
Information Technology - 7.4%
|
|||||||
IT Services - 7.4%
|
|||||||
IBM Corporation
|
(552)
|
(123,455)
|
(5,222)
|
||||
TOTAL INFORMATION TECHNOLOGY
|
(123,455)
|
(5,222)
|
|||||
TOTAL UNITED STATES
|
(806,677)
|
(61,581)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(1,017,448)
|
(63,117)
|
||||
TOTAL SHORT
|
(1,017,448)
|
(63,117)
|
|||||
TOTAL SWAP COMPONENTS
|
(1,017,448)
|
(63,117)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SARON-1D benchmark of (.05)% plus or minus a specified spread of (.20)% on short/long CFDs, respectively, which is denominated in CHF based on the local currencies of the positions within the swap as applicable.
|
UBS AG
|
8/2028
|
484,733
|
(9,662)
|
(122)
|
(9,784)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
SWITZERLAND -98.8%
|
|||||||
Communication Services - (2.0)%
|
|||||||
Diversified Telecommunication Services - (2.0)%
|
|||||||
Swisscom AG
|
(50)
|
(38,469)
|
199
|
||||
TOTAL COMMUNICATION SERVICES
|
(38,469)
|
199
|
|||||
Industrials - 100.8%
|
|||||||
Building Products - 85.6%
|
|||||||
Geberit AG
|
(320)
|
(210,655)
|
(8,376)
|
||||
Marine Transportation - 15.2%
|
|||||||
Kuehne + Nagel International AG
|
(926)
|
(235,609)
|
(1,485)
|
||||
TOTAL INDUSTRIALS
|
(446,264)
|
(9,861)
|
|||||
TOTAL SWITZERLAND
|
(484,733)
|
(9,662)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(484,733)
|
(9,662)
|
||||
TOTAL SHORT
|
(484,733)
|
(9,662)
|
|||||
TOTAL SWAP COMPONENTS
|
(484,733)
|
(9,662)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the ESTR-1D benchmark of 2.18% plus or minus a specified spread ranging from (.15)% to (.05)% on short/long CFDs, respectively, which is denominated in EUR based on the local currencies of the positions within the swap as applicable.
|
UBS AG
|
1/2029 - 2/2029
|
2,738,413
|
17,520
|
697
|
18,217
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Common Stocks
|
|||||||
GERMANY -83.2%
|
|||||||
Health Care - 83.2%
|
|||||||
Health Care Equipment & Supplies - 83.2%
|
|||||||
Fresenius SE & Co KGaA
|
7,733
|
397,456
|
15,159
|
||||
TOTAL HEALTH CARE
|
397,456
|
15,159
|
|||||
TOTAL GERMANY
|
397,456
|
15,159
|
|||||
TOTAL LONG
|
397,456
|
15,159
|
|||||
SHORT
|
|||||||
Common Stocks
|
|||||||
AUSTRIA -33.2%
|
|||||||
Energy - 33.2%
|
|||||||
Oil, Gas & Consumable Fuels - 33.2%
|
|||||||
OMV AG
|
(3,244)
|
(236,233)
|
6,041
|
||||
TOTAL ENERGY
|
(236,233)
|
6,041
|
|||||
TOTAL AUSTRIA
|
(236,233)
|
6,041
|
|||||
FINLAND -(60.4)%
|
|||||||
Industrials - (7.0)%
|
|||||||
Machinery - (7.0)%
|
|||||||
Metso Oyj
|
(7,569)
|
(140,611)
|
(4,416)
|
||||
TOTAL INDUSTRIALS
|
(140,611)
|
(4,416)
|
|||||
Utilities - 53.4%
|
|||||||
Electric Utilities - 53.4%
|
|||||||
Fortum Oyj
|
(12,874)
|
(292,831)
|
14,376
|
||||
TOTAL UTILITIES
|
(292,831)
|
14,376
|
|||||
TOTAL FINLAND
|
(433,442)
|
9,960
|
|||||
GERMANY -14.4%
|
|||||||
Financials - 55.4%
|
|||||||
Insurance - 55.4%
|
|||||||
Hannover Rueck SE
|
(1,015)
|
(293,314)
|
(1,282)
|
||||
TOTAL FINANCIALS
|
(293,314)
|
(1,282)
|
|||||
Materials - (41.0)%
|
|||||||
Chemicals - (41.0)%
|
|||||||
BASF SE
|
(5,784)
|
(335,782)
|
(9,727)
|
||||
TOTAL MATERIALS
|
(335,782)
|
(9,727)
|
|||||
TOTAL GERMANY
|
(629,096)
|
(11,009)
|
|||||
ITALY -54.7%
|
|||||||
Financials - 54.7%
|
|||||||
Banks - 54.7%
|
|||||||
Banco BPM SpA
|
(10,621)
|
(193,206)
|
(5,248)
|
||||
TOTAL FINANCIALS
|
(193,206)
|
(5,248)
|
|||||
TOTAL ITALY
|
(193,206)
|
(5,248)
|
|||||
SPAIN -50.1%
|
|||||||
Financials - 78.9%
|
|||||||
Banks - 78.9%
|
|||||||
CaixaBank SA
|
(28,661)
|
(416,340)
|
10,088
|
||||
TOTAL FINANCIALS
|
(416,340)
|
10,088
|
|||||
Utilities - (28.8)%
|
|||||||
Electric Utilities - (28.8)%
|
|||||||
Endesa SA
|
(8,857)
|
(432,642)
|
(7,471)
|
||||
TOTAL UTILITIES
|
(432,642)
|
(7,471)
|
|||||
TOTAL SPAIN
|
(848,982)
|
2,617
|
|||||
|
TOTAL COMMON STOCKS
|
|
(2,340,959)
|
2,361
|
||||
TOTAL SHORT
|
(2,340,959)
|
2,361
|
|||||
TOTAL SWAP COMPONENTS
|
(1,943,503)
|
17,520
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the SONIA-1D benchmark of 3.73% plus or minus a specified spread ranging from (.15)% to (.10)% on short/long CFDs, respectively, which is denominated in GBP based on the local currencies of the positions within the swap as applicable.
|
UBS AG
|
3/2028
|
355,168
|
(5,440)
|
(102)
|
(5,542)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
CHILE -(30.3)%
|
|||||||
Materials - (30.3)%
|
|||||||
Metals & Mining - (30.3)%
|
|||||||
Antofagasta PLC
|
(3,274)
|
(161,278)
|
1,682
|
||||
TOTAL MATERIALS
|
(161,278)
|
1,682
|
|||||
TOTAL CHILE
|
(161,278)
|
1,682
|
|||||
UNITED KINGDOM -128.5%
|
|||||||
Consumer Discretionary - 128.5%
|
|||||||
Diversified Consumer Services - 128.5%
|
|||||||
Pearson PLC
|
(11,490)
|
(193,890)
|
(7,122)
|
||||
TOTAL CONSUMER DISCRETIONARY
|
(193,890)
|
(7,122)
|
|||||
TOTAL UNITED KINGDOM
|
(193,890)
|
(7,122)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(355,168)
|
(5,440)
|
||||
TOTAL SHORT
|
(355,168)
|
(5,440)
|
|||||
TOTAL SWAP COMPONENTS
|
(355,168)
|
(5,440)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the TONAR-1D benchmark of .98% plus or minus a specified spread of .22% on short/long CFDs, respectively, which is denominated in JPY based on the local currencies of the positions within the swap as applicable.
|
UBS AG
|
6/2027
|
529,049
|
17,658
|
80
|
17,738
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
SHORT
|
|||||||
Common Stocks
|
|||||||
JAPAN -99.6%
|
|||||||
Communication Services - 31.8%
|
|||||||
Wireless Telecommunication Services - 31.8%
|
|||||||
KDDI Corp
|
16,400
|
302,149
|
5,640
|
||||
TOTAL COMMUNICATION SERVICES
|
302,149
|
5,640
|
|||||
Industrials - 67.8%
|
|||||||
Electrical Equipment - 67.8%
|
|||||||
Fuji Electric Co Ltd
|
2,600
|
226,900
|
12,018
|
||||
TOTAL INDUSTRIALS
|
226,900
|
12,018
|
|||||
TOTAL JAPAN
|
529,049
|
17,658
|
|||||
|
TOTAL COMMON STOCKS
|
|
529,049
|
17,658
|
||||
TOTAL SHORT
|
529,049
|
17,658
|
|||||
TOTAL SWAP COMPONENTS
|
529,049
|
17,658
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives appreciation or pays depreciation on underlying contracts for difference (CFDs), receives/pays accrued income on long/short CFDs, respectively, and receives/pays interest based on the TONAR-1D benchmark of 1.90% plus or minus a specified spread of (.10)% on short/long CFDs, respectively, which is denominated in SEK based on the local currencies of the positions within the swap as applicable.
|
UBS AG
|
7/2029
|
18,031
|
(403)
|
(12)
|
(415)
|
|
Benchmark Abbreviations
|
|
BBSW-1M
|
Bank Bill Swap Rate
|
CORRA-1D
|
Canadian Overnight Repo Rate Average
|
ESTR-1D
|
Euro Short-Term Rate
|
HIBOR-1M
|
Hong Kong Interbank Offered Rate
|
NIBOR-1M
|
Norwegian Interbank Offered Rate
|
SARON-1D
|
Swiss Average Rate Overnight
|
SOFR-1D
|
Secured Overnight Financing Rate
|
SONIA-1D
|
Sterling Overnight Average
|
STIBO-1M
|
Stockholm Interbank Offered Rate
|
TONAR-1D
|
Tokyo Overnight Average Rate
|
AUD
|
-
|
Australian Dollar
|
CAD
|
-
|
Canadian Dollar
|
CHF
|
-
|
Swiss Franc
|
CNY
|
-
|
Chinese (Peoples Rep) Yuan
|
EUR
|
-
|
European Monetary Unit (Euro)
|
GBP
|
-
|
British Pound Sterling
|
HKD
|
-
|
Hong Kong Dollar
|
JPY
|
-
|
Japanese Yen
|
KRW
|
-
|
Korean Won
|
NOK
|
-
|
Norwegian Krone
|
SEK
|
-
|
Swedish Krona
|
THB
|
-
|
Thai Baht
|
TWD
|
-
|
Taiwan Dollar
|
USD
|
-
|
United States Dollar
|
(a)
|
Non-income producing.
|
(b)
|
Security exempt from registration under Regulation S of the Securities Act of 1933 and may be resold to qualified foreign investors outside of the United States. At the end of the period, the value of securities amounted to $631,299 or 3.1% of net assets.
|
(c)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $631,299 or 3.1% of net assets.
|
(d)
|
The rate quoted is the annualized seven-day yield of the fund at period end.
|
Valuation Inputs at Reporting Date:
|
||||
Description
|
Total ($)
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Investments in Securities:
|
||||
Common Stocks
|
||||
Communication Services
|
671,933
|
252,746
|
419,187
|
-
|
Consumer Discretionary
|
2,576,887
|
1,676,804
|
900,083
|
-
|
Consumer Staples
|
1,204,150
|
725,965
|
478,185
|
-
|
Energy
|
669,731
|
246,394
|
423,337
|
-
|
Financials
|
4,849,254
|
3,972,678
|
876,576
|
-
|
Health Care
|
1,210,726
|
787,842
|
422,884
|
-
|
Industrials
|
2,026,188
|
1,407,236
|
618,952
|
-
|
Information Technology
|
2,338,124
|
1,227,077
|
1,111,047
|
-
|
Materials
|
2,334,693
|
1,367,326
|
967,367
|
-
|
Real Estate
|
334,201
|
334,201
|
-
|
-
|
Utilities
|
1,209,288
|
396,944
|
812,344
|
-
|
Money Market Funds
|
1,024,221
|
1,024,221
|
-
|
-
|
Total Investments in Securities:
|
20,449,396
|
13,419,434
|
7,029,962
|
-
|
Derivative Instruments:
|
||||
Assets
|
||||
Swaps
|
211,361
|
-
|
211,361
|
-
|
Forward Foreign Currency Contracts
|
9,998
|
-
|
9,998
|
-
|
Total Assets
|
221,359
|
-
|
221,359
|
-
|
Liabilities
|
||||
Swaps
|
(247,300)
|
-
|
(247,300)
|
-
|
Forward Foreign Currency Contracts
|
(75,792)
|
-
|
(75,792)
|
-
|
Total Liabilities
|
(323,092)
|
-
|
(323,092)
|
-
|
Total Derivative Instruments:
|
(101,733)
|
-
|
(101,733)
|
-
|
Statement of Assets and Liabilities
|
||
As of July 31, 2026 (Unaudited)
|
||
Assets
|
||
Investments in securities, at value - unaffiliated issuers
|
$
|
20,449,396
|
Foreign currency held at value
|
1,234
|
|
Unrealized appreciation on forward foreign currency contracts
|
9,998
|
|
Receivable for fund shares sold
|
6
|
|
Dividends receivable
|
7,318
|
|
Reclaims receivable
|
11,355
|
|
Bi-lateral OTC swaps, at value
|
211,361
|
|
Prepaid expenses
|
334
|
|
Receivable from investment adviser for expense reductions
|
10,400
|
|
Total assets
|
20,701,402
|
|
Liabilities
|
||
Payable to custodian bank
|
8,857
|
|
Unrealized depreciation on forward foreign currency contracts
|
75,792
|
|
Payable for unsettled total return swaps
|
71,772
|
|
Payable for fund shares redeemed
|
7,483
|
|
Bi-lateral OTC swaps, at value
|
247,300
|
|
Accrued management fee
|
15,970
|
|
Distribution and service plan fees payable
|
1,560
|
|
Audit fee payable
|
43,442
|
|
Other payables and accrued expenses
|
2,963
|
|
Total liabilities
|
475,139
|
|
Net Assets
|
$
|
20,226,263
|
Net assets consist of:
|
||
Paid in capital
|
17,965,496
|
|
Total accumulated earnings (loss)
|
2,260,767
|
|
Net Assets
|
$
|
20,226,263
|
Net Asset Value and Maximum Offering
|
||
Class A
|
||
Net Asset Value and redemption price per share ($1,188,090/111,535 shares) a
|
$
|
10.65
|
Maximum offering price per share (100/94.25 of $10.65)
|
$
|
11.30
|
Class M
|
||
Net Asset Value and redemption price per share ($1,096,588/103,490 shares) a
|
$
|
10.60
|
Maximum offering price per share (100/96.50 of $10.60)
|
$
|
10.98
|
Class C
|
||
Net Asset Value and offering price per share ($1,050,897/100,228 shares) a
|
$
|
10.49
|
Fidelity® Equity Market Neutral Fund
|
||
Net Asset Value, offering price and redemption price per share ($14,671,784/1,370,074 shares)
|
$
|
10.71
|
Class I
|
||
Net Asset Value, offering price and redemption price per share ($1,137,772/106,250 shares)
|
$
|
10.71
|
Class Z
|
||
Net Asset Value, offering price and redemption price per share ($1,081,132/100,852 shares)
|
$
|
10.72
|
(a)Redemption price per unit is equal to net asset value less any applicable contingent deferred sales charge.
|
||
Other Information
|
||
Unaffiliated issuers, cost
|
17,954,736
|
|
Foreign currency holdings, cost
|
1,222
|
|
Statement of Operations
|
||
Six months ended July 31, 2026 (Unaudited)
|
||
Investment Income
|
||
Dividends - unaffiliated issuers
|
$
|
293,245
|
Total investment income
|
293,245
|
|
Foreign taxes withheld
|
(16,115)
|
|
Total investment income net of foreign taxes
|
277,130
|
|
Expenses
|
||
Management fee
|
90,202
|
|
Distribution and service plan fees
|
9,363
|
|
Custodian fees and expenses
|
1,867
|
|
Independent trustees' fees and expenses
|
2,471
|
|
Registration fees
|
85,440
|
|
Audit
|
60,950
|
|
Legal
|
422
|
|
Commitment fee
|
7
|
|
Miscellaneous
|
668
|
|
Total expenses
|
251,390
|
|
Expense reimbursements and reductions
|
(142,808)
|
|
Total expenses after reductions
|
108,582
|
|
Net investment income (loss)
|
168,548
|
|
Net realized gain (loss)
|
||
Investments - unaffiliated issuers
|
1,060,753
|
|
Forward foreign currency contracts
|
146,982
|
|
Foreign currency transactions
|
(8,143)
|
|
Swaps
|
(1,291,522)
|
|
Net realized gain (loss)
|
(91,930)
|
|
Change in net unrealized appreciation (depreciation)
|
||
Investments - unaffiliated issuers
|
(174,287)
|
|
Forward foreign currency contracts
|
62,073
|
|
Assets and liabilities in foreign currencies
|
(137)
|
|
Swaps
|
(177,195)
|
|
Total change in net unrealized appreciation (depreciation)
|
(289,546)
|
|
Net gain (loss)
|
(381,476)
|
|
Net increase (decrease) in net assets resulting from operations
|
$
|
(212,928)
|
Statement of Changes in Net Assets
|
||||
Six months ended
July 31, 2026
(Unaudited)
|
Year ended
January 31, 2026
|
|||
Increase (Decrease) in Net Assets
|
||||
Operations
|
||||
Net investment income (loss)
|
$
|
168,548
|
$
|
249,177
|
Net realized gain (loss)
|
(91,930)
|
(791,326)
|
||
Change in net unrealized appreciation (depreciation)
|
(289,546)
|
2,132,229
|
||
Net increase (decrease) in net assets resulting from operations
|
(212,928)
|
1,590,080
|
||
Distributions to shareholders
|
||||
Distributions to shareholders
|
-
|
(37,893)
|
||
Total distributions
|
-
|
(37,893)
|
||
Net increase (decrease) in net assets resulting from share transactions
|
1,998,455
|
3,912,470
|
||
Total increase (decrease) in net assets
|
1,785,527
|
5,464,657
|
||
Net Assets
|
||||
Beginning of period
|
18,440,736
|
12,976,079
|
||
End of period
|
$
|
20,226,263
|
$
|
18,440,736
|
Fidelity Advisor® Equity Market Neutral Fund Class A |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025 A
|
||||
Selected Per Share Data
|
||||||
Net asset value, beginning of period
|
$
|
10.79
|
$
|
9.74
|
$
|
10.00
|
Income from Investment Operations
|
||||||
Net investment income (loss) B, C
|
.09
|
.16
|
.08 D
|
|||
Net realized and unrealized gain (loss)
|
(.23)
|
.91
|
(.34)
|
|||
Total from investment operations
|
(.14)
|
1.07
|
(.26)
|
|||
Distributions
|
||||||
Distributions from net realized gain
|
-
|
(.02)
|
-
|
|||
Total distributions
|
-
|
(.02)
|
-
|
|||
Net asset value, end of period
|
$
|
10.65
|
$
|
10.79
|
$
|
9.74
|
Total Return E, F, G
|
(1.30)%
|
10.46% H
|
(2.10)%
|
|||
Ratios and Supplemental Data B, I, J
|
||||||
Ratio of expenses to average net assets before reductions
|
2.95% K
|
2.98%
|
3.25% K, L
|
|||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.35% K
|
1.35%
|
1.36% K
|
|||
Ratio of expenses to average net assets net of all reductions, if any
|
1.35% K
|
1.35%
|
1.34% K
|
|||
Ratio of net investment income (loss) to average net assets
|
1.70% K
|
1.54%
|
.74% D, K
|
|||
Net assets, end of period
|
$
|
1,188,090
|
$
|
1,196,356
|
$
|
1,015,039
|
Portfolio turnover rate M
|
79% K
|
59%
|
78% K
|
|||
AFor the period June 25, 2024 (commencement of operations) through January 31, 2025.
|
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
CCalculated based on average shares outstanding during the period.
|
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $0.09 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been -0.16%.
|
ETotal returns do not include the effect of the sales charges.
|
FTotal returns for periods of less than one year are not annualized.
|
GTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
HAmount includes a reimbursement from the investment adviser for an operational error which amounted to less than $0.02 per share. Excluding this reimbursement, the total return would have been 10.23%.
|
IExpense 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.
|
JFees 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.
|
KAnnualized.
|
LAudit fees are not annualized.
|
MAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity Advisor® Equity Market Neutral Fund Class M |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025 A
|
||||
Selected Per Share Data
|
||||||
Net asset value, beginning of period
|
$
|
10.75
|
$
|
9.73
|
$
|
10.00
|
Income from Investment Operations
|
||||||
Net investment income (loss) B, C
|
.08
|
.13
|
.06 D
|
|||
Net realized and unrealized gain (loss)
|
(.23)
|
.91
|
(.33)
|
|||
Total from investment operations
|
(.15)
|
1.04
|
(.27)
|
|||
Distributions
|
||||||
Distributions from net realized gain
|
-
|
(.02)
|
-
|
|||
Total distributions
|
-
|
(.02)
|
-
|
|||
Net asset value, end of period
|
$
|
10.60
|
$
|
10.75
|
$
|
9.73
|
Total Return E, F, G
|
(1.40)%
|
10.17% H
|
(2.20)%
|
|||
Ratios and Supplemental Data C, I, J
|
||||||
Ratio of expenses to average net assets before reductions
|
3.20% K
|
3.23%
|
3.50% K, L
|
|||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.60% K
|
1.60%
|
1.61% K
|
|||
Ratio of expenses to average net assets net of all reductions, if any
|
1.60% K
|
1.60%
|
1.59% K
|
|||
Ratio of net investment income (loss) to average net assets
|
1.44% K
|
1.29%
|
.49% D, K
|
|||
Net assets, end of period
|
$
|
1,096,588
|
$
|
1,109,981
|
$
|
972,884
|
Portfolio turnover rate M
|
79% K
|
59%
|
78% K
|
|||
AFor the period June 25, 2024 (commencement of operations) through January 31, 2025.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $0.09 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been -0.42%.
|
ETotal returns do not include the effect of the sales charges.
|
FTotal returns for periods of less than one year are not annualized.
|
GTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
HAmount includes a reimbursement from the investment adviser for an operational error which amounted to less than $0.02 per share. Excluding this reimbursement, the total return would have been 9.94%.
|
IFees 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.
|
JExpense 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.
|
KAnnualized.
|
LAudit fees are not annualized.
|
MAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity Advisor® Equity Market Neutral Fund Class C |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025 A
|
||||
Selected Per Share Data
|
||||||
Net asset value, beginning of period
|
$
|
10.66
|
$
|
9.70
|
$
|
10.00
|
Income from Investment Operations
|
||||||
Net investment income (loss) B, C
|
.05
|
.08
|
.03 D
|
|||
Net realized and unrealized gain (loss)
|
(.22)
|
.90
|
(.33)
|
|||
Total from investment operations
|
(.17)
|
.98
|
(.30)
|
|||
Distributions
|
||||||
Distributions from net realized gain
|
-
|
(.02)
|
-
|
|||
Total distributions
|
-
|
(.02)
|
-
|
|||
Net asset value, end of period
|
$
|
10.49
|
$
|
10.66
|
$
|
9.70
|
Total Return E, F, G
|
(1.59)%
|
9.58% H
|
(2.50)%
|
|||
Ratios and Supplemental Data C, I, J
|
||||||
Ratio of expenses to average net assets before reductions
|
3.70% K
|
3.75%
|
4.00% K, L
|
|||
Ratio of expenses to average net assets net of fee waivers, if any
|
2.10% K
|
2.10%
|
2.12% K
|
|||
Ratio of expenses to average net assets net of all reductions, if any
|
2.10% K
|
2.10%
|
2.09% K
|
|||
Ratio of net investment income (loss) to average net assets
|
.94% K
|
.79%
|
(.02)% D, K
|
|||
Net assets, end of period
|
$
|
1,050,897
|
$
|
1,068,880
|
$
|
969,938
|
Portfolio turnover rate M
|
79% K
|
59%
|
78% K
|
|||
AFor the period June 25, 2024 (commencement of operations) through January 31, 2025.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $0.09 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been -0.92%.
|
ETotal returns do not include the effect of the contingent deferred sales charge.
|
FTotal returns for periods of less than one year are not annualized.
|
GTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
HAmount includes a reimbursement from the investment adviser for an operational error which amounted to less than $0.02 per share. Excluding this reimbursement, the total return would have been 9.35%.
|
IExpense 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.
|
JFees 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.
|
KAnnualized.
|
LAudit fees are not annualized.
|
MAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity® Equity Market Neutral Fund |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025 A
|
||||
Selected Per Share Data
|
||||||
Net asset value, beginning of period
|
$
|
10.84
|
$
|
9.76
|
$
|
10.00
|
Income from Investment Operations
|
||||||
Net investment income (loss) B, C
|
.10
|
.18
|
.09 D
|
|||
Net realized and unrealized gain (loss)
|
(.23)
|
.92
|
(.33)
|
|||
Total from investment operations
|
(.13)
|
1.10
|
(.24)
|
|||
Distributions
|
||||||
Distributions from net realized gain
|
-
|
(.02)
|
-
|
|||
Total distributions
|
-
|
(.02)
|
-
|
|||
Net asset value, end of period
|
$
|
10.71
|
$
|
10.84
|
$
|
9.76
|
Total Return E, F
|
(1.20)%
|
10.75% G
|
(1.90)%
|
|||
Ratios and Supplemental Data C, H, I
|
||||||
Ratio of expenses to average net assets before reductions
|
2.67% J
|
2.67%
|
2.97% J, K
|
|||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.10% J
|
1.10%
|
1.11% J
|
|||
Ratio of expenses to average net assets net of all reductions, if any
|
1.10% J
|
1.10%
|
1.08% J
|
|||
Ratio of net investment income (loss) to average net assets
|
1.97% J
|
1.79%
|
.99% D, J
|
|||
Net assets, end of period
|
$
|
14,671,784
|
$
|
12,574,663
|
$
|
8,025,560
|
Portfolio turnover rate L
|
79% J
|
59%
|
78% J
|
|||
AFor the period June 25, 2024 (commencement of operations) through January 31, 2025.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $0.09 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been 0.09%.
|
ETotal returns for periods of less than one year are not annualized.
|
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
GAmount includes a reimbursement from the investment adviser for an operational error which amounted to less than $0.02 per share. Excluding this reimbursement, the total return would have been 10.52%.
|
HExpense 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.
|
IFees 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.
|
JAnnualized.
|
KAudit fees are not annualized.
|
LAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity Advisor® Equity Market Neutral Fund Class I |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025 A
|
||||
Selected Per Share Data
|
||||||
Net asset value, beginning of period
|
$
|
10.84
|
$
|
9.76
|
$
|
10.00
|
Income from Investment Operations
|
||||||
Net investment income (loss) B, C
|
.10
|
.18
|
.09 D
|
|||
Net realized and unrealized gain (loss)
|
(.23)
|
.92
|
(.33)
|
|||
Total from investment operations
|
(.13)
|
1.10
|
(.24)
|
|||
Distributions
|
||||||
Distributions from net realized gain
|
-
|
(.02)
|
-
|
|||
Total distributions
|
-
|
(.02)
|
-
|
|||
Net asset value, end of period
|
$
|
10.71
|
$
|
10.84
|
$
|
9.76
|
Total Return E, F
|
(1.20)%
|
10.75% G
|
(1.90)%
|
|||
Ratios and Supplemental Data B, H, I
|
||||||
Ratio of expenses to average net assets before reductions
|
2.70% J
|
2.74%
|
3.00% J, K
|
|||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.10% J
|
1.10%
|
1.11% J
|
|||
Ratio of expenses to average net assets net of all reductions, if any
|
1.10% J
|
1.10%
|
1.08% J
|
|||
Ratio of net investment income (loss) to average net assets
|
1.94% J
|
1.79%
|
.99% D, J
|
|||
Net assets, end of period
|
$
|
1,137,772
|
$
|
1,151,973
|
$
|
1,016,533
|
Portfolio turnover rate L
|
79% J
|
59%
|
78% J
|
|||
AFor the period June 25, 2024 (commencement of operations) through January 31, 2025.
|
BNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
CCalculated based on average shares outstanding during the period.
|
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $0.09 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been 0.09%.
|
ETotal returns for periods of less than one year are not annualized.
|
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
GAmount includes a reimbursement from the investment adviser for an operational error which amounted to less than $0.02 per share. Excluding this reimbursement, the total return would have been 10.52%.
|
HFees 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.
|
IExpense 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.
|
JAnnualized.
|
KAudit fees are not annualized.
|
LAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity Advisor® Equity Market Neutral Fund Class Z |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 |
2025 A
|
||||
Selected Per Share Data
|
||||||
Net asset value, beginning of period
|
$
|
10.85
|
$
|
9.76
|
$
|
10.00
|
Income from Investment Operations
|
||||||
Net investment income (loss) B, C
|
.11
|
.19
|
.10 D
|
|||
Net realized and unrealized gain (loss)
|
(.24)
|
.92
|
(.34)
|
|||
Total from investment operations
|
(.13)
|
1.11
|
(.24)
|
|||
Distributions
|
||||||
Distributions from net realized gain
|
-
|
(.02)
|
-
|
|||
Total distributions
|
-
|
(.02)
|
-
|
|||
Net asset value, end of period
|
$
|
10.72
|
$
|
10.85
|
$
|
9.76
|
Total Return E, F
|
(1.20)%
|
10.85% G
|
(1.90)%
|
|||
Ratios and Supplemental Data C, H, I
|
||||||
Ratio of expenses to average net assets before reductions
|
2.60% J
|
2.68%
|
2.95% J, K
|
|||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.05% J
|
1.05%
|
1.06% J
|
|||
Ratio of expenses to average net assets net of all reductions, if any
|
1.05% J
|
1.05%
|
1.03% J
|
|||
Ratio of net investment income (loss) to average net assets
|
1.99% J
|
1.84%
|
1.04% D, J
|
|||
Net assets, end of period
|
$
|
1,081,132
|
$
|
1,338,883
|
$
|
976,125
|
Portfolio turnover rate L
|
79% J
|
59%
|
78% J
|
|||
AFor the period June 25, 2024 (commencement of operations) through January 31, 2025.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DNet investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $0.09 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been 0.14%.
|
ETotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
FTotal returns for periods of less than one year are not annualized.
|
GAmount includes a reimbursement from the investment adviser for an operational error which amounted to less than $0.02 per share. Excluding this reimbursement, the total return would have been 10.62%.
|
HExpense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment adviser, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur.
|
IFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses.
|
JAnnualized.
|
KAudit fees are not annualized.
|
LAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Fidelity® Equity Market Neutral Fund
|
Class A, Class M, Class C, Fidelity® Equity Market Neutral Fund, Class I, and Class Z
|
Tax Cost ($)
|
Gross unrealized appreciation ($)
|
Gross unrealized depreciation ($)
|
Net unrealized appreciation (depreciation) ($)
|
|
Fidelity® Equity Market Neutral Fund
|
17,960,926
|
3,295,636
|
(916,390)
|
2,379,246
|
Capital losses ($)
|
Ordinary losses ($)
|
|
Fidelity ® Equity Market Neutral Fund
|
18,730
|
175,712
|
|
Equity Risk
|
Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
|
|
Foreign Exchange Risk
|
Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
|
Primary Risk Exposure / Derivative Type
|
Values of Derivative Assets ($)
|
Values of Derivative Liabilities ($)
|
Net Realized Gain (Loss) ($)
|
Change in Net Unrealized Appreciation (Depreciation) ($)
|
|||
Fidelity® Equity Market Neutral Fund
|
|||||||
Equity Risk
|
|||||||
Swaps
|
211,361
|
(247,300)
|
(1,291,522)
|
(177,195)
|
|||
Total Equity Risk
|
211,361
|
(247,300)
|
(1,291,522)
|
(177,195)
|
|||
Foreign Exchange Risk
|
|||||||
Forward Foreign Currency Contracts
|
9,998
|
(75,792)
|
146,982
|
62,073
|
|||
Total Foreign Exchange Risk
|
9,998
|
(75,792)
|
146,982
|
62,073
|
|||
Totals
|
221,359
|
(323,092)
|
(1,144,540)
|
(115,122)
|
Fidelity® Equity Market Neutral Fund
|
||||||||||
|
Counterparty
|
Value of
Derivative
Assets ($)
|
Value of
Derivative
Liabilities ($)
|
Collateral
Received ($)
|
Collateral
Pledged ($)
|
Net ($)
|
|||||
Goldman Sachs International
|
84,331
|
(29,075)
|
-
|
-
|
55,256
|
|||||
HSBC Bank PLC
|
1,168
|
(46,273)
|
-
|
-
|
(45,105)
|
|||||
JPMorgan Chase Bank NA
|
38,008
|
(101,037)
|
-
|
-
|
(63,029)
|
|||||
Morgan Stanley
|
54,641
|
(54,695)
|
-
|
-
|
(54)
|
|||||
UBS AG
|
43,211
|
(92,012)
|
-
|
-
|
(48,801)
|
|||||
Total
|
$
|
221,359
|
$
|
(323,092)
|
$
|
-
|
$
|
-
|
$
|
(101,733)
|
Average Amount ($)
|
|
Fidelity® Equity Market Neutral Fund
|
|
Forward Foreign Currency Contracts
|
9,036,427
|
Swaps
|
22,375,229
|
Purchases ($)
|
Sales ($)
|
|
Fidelity® Equity Market Neutral Fund
|
9,852,345
|
6,534,450
|
Management Fee
Rate % |
|
Fidelity® Equity Market Neutral Fund
|
|
Class A
|
1.00%
|
Class M
|
1.00%
|
Class C
|
1.00%
|
Fidelity® Equity Market Neutral Fund
|
1.00%
|
Class I
|
1.00%
|
Class Z
|
0.95%
|
Distribution Fee %
|
Service Fee %
|
Total Fees ($)
|
Retained by FDC ($)
|
||||
Fidelity® Equity Market Neutral Fund
|
|||||||
Class A
|
-
|
.25
|
1,462
|
1,319
|
|||
Class M
|
.25
|
.25
|
2,705
|
2,624
|
|||
Class C
|
.75
|
.25
|
5,196
|
5,196
|
|||
9,363
|
9,139
|
||||||
Front-End Sales
Charge (%) |
Deferred Sales
Charge (%) |
Retained by FDC ($)
|
|||
Fidelity® Equity Market Neutral Fund
|
|||||
Class A A
|
5.75
|
1.00
|
9
|
||
Class M A
|
3.50
|
.25
|
12
|
||
Class C B
|
-
|
1.00
|
-
|
||
21
|
|||||
Expense Limitation (%)
|
Expiration Date
|
Reimbursement ($)
|
|
Fidelity® Equity Market Neutral Fund
|
|||
Class A
|
1.35
|
May 31,2027
|
9,350
|
Class M
|
1.60
|
May 31,2027
|
8,649
|
Class C
|
2.10
|
May 31,2027
|
8,308
|
Fidelity® Equity Market Neutral Fund
|
1.10
|
May 31,2027
|
98,874
|
Class I
|
1.10
|
May 31,2027
|
8,970
|
Class Z
|
1.05
|
May 31,2027
|
8,657
|
Six months ended ($)
|
Year ended ($)
|
|||
July 31, 2026
|
January 31, 2026
|
|||
Fidelity® Equity Market Neutral Fund
|
||||
Class A
|
-
|
2,631
|
||
Class M
|
-
|
2,472
|
||
Class C
|
-
|
2,400
|
||
Fidelity® Equity Market Neutral Fund
|
-
|
25,490
|
||
Class I
|
-
|
2,500
|
||
Class Z
|
-
|
2,400
|
||
Total
|
37,893
|
Shares
|
Shares
|
Dollars
|
Dollars
|
||||||
Six months ended
|
Year ended
|
Six months ended ($)
|
Year ended ($)
|
||||||
July 31, 2026
|
January 31, 2026
|
July 31, 2026
|
January 31, 2026
|
||||||
Fidelity® Equity Market Neutral Fund
|
|||||||||
Class A
|
|||||||||
Shares sold
|
699
|
6,549
|
7,325
|
66,906
|
|||||
Reinvestment of distributions
|
-
|
247
|
-
|
2,631
|
|||||
Shares redeemed
|
-
|
(136)
|
-
|
(1,479)
|
|||||
Net increase (decrease)
|
699
|
6,660
|
7,325
|
68,058
|
|||||
Class M
|
|||||||||
Shares sold
|
242
|
3,015
|
2,522
|
29,960
|
|||||
Reinvestment of distributions
|
-
|
233
|
-
|
2,472
|
|||||
Net increase (decrease)
|
242
|
3,248
|
2,522
|
32,432
|
|||||
Class C
|
|||||||||
Reinvestment of distributions
|
-
|
228
|
-
|
2,400
|
|||||
Net increase (decrease)
|
-
|
228
|
-
|
2,400
|
|||||
Fidelity® Equity Market Neutral Fund
|
|||||||||
Shares sold
|
400,549
|
539,684
|
4,234,371
|
5,593,195
|
|||||
Reinvestment of distributions
|
-
|
1,651
|
-
|
17,654
|
|||||
Shares redeemed
|
(190,752)
|
(203,481)
|
(2,009,967)
|
(2,079,697)
|
|||||
Net increase (decrease)
|
209,797
|
337,854
|
2,224,404
|
3,531,152
|
|||||
Class I
|
|||||||||
Shares sold
|
-
|
8,587
|
-
|
87,964
|
|||||
Reinvestment of distributions
|
-
|
234
|
-
|
2,500
|
|||||
Shares redeemed
|
(46)
|
(6,696)
|
(499)
|
(67,964)
|
|||||
Net increase (decrease)
|
(46)
|
2,125
|
(499)
|
22,500
|
|||||
Class Z
|
|||||||||
Shares sold
|
627
|
24,294
|
6,800
|
265,229
|
|||||
Reinvestment of distributions
|
-
|
225
|
-
|
2,400
|
|||||
Shares redeemed
|
(23,217)
|
(1,076)
|
(242,097)
|
(11,701)
|
|||||
Net increase (decrease)
|
(22,590)
|
23,443
|
(235,297)
|
255,928
|
Fund
|
Affiliated %
|
Fidelity ® Equity Market Neutral Fund
|
53
|
 |
Contents
Common Stocks - 2.0%
|
|||
Shares
|
Value ($)
|
||
UNITED STATES - 2.0%
|
|||
Information Technology - 2.0%
|
|||
Semiconductors & Semiconductor Equipment - 0.9%
|
|||
NVIDIA Corp
|
13,500
|
2,710,125
|
|
Software - 1.1%
|
|||
Microsoft Corp
|
6,200
|
2,881,264
|
|
TOTAL UNITED STATES
|
5,591,389
|
||
|
TOTAL COMMON STOCKS
(Cost $4,866,587)
|
5,591,389
|
||
Domestic Equity Funds - 5.8%
|
|||
Shares
|
Value ($)
|
||
iShares Core S&P 500 ETF
|
15,600
|
11,704,992
|
|
Vanguard S&P 500 ETF
|
5,600
|
3,845,240
|
|
|
TOTAL DOMESTIC EQUITY FUNDS
(Cost $14,193,263)
|
15,550,232
|
||
U.S. Treasury Obligations - 50.5%
|
||||
Yield (%) (b)
|
Principal
Amount (a)
|
Value ($)
|
||
US Treasury Bills 0% 10/22/2026 (c)(d)
|
3.80
|
7,700,000
|
7,637,013
|
|
US Treasury Bills 0% 10/6/2026 (c)(d)(e)
|
3.70
|
97,000,000
|
96,368,163
|
|
US Treasury Bills 0% 8/13/2026 (c)(d)(e)
|
3.64
|
6,600,000
|
6,593,391
|
|
US Treasury Bills 0% 9/17/2026 (c)(d)(e)
|
3.71
|
25,500,000
|
25,383,414
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $135,950,434)
|
135,981,981
|
|||
Money Market Funds - 41.4%
|
||||
Yield (%)
|
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund (f)
(Cost $111,372,413)
|
3.69
|
111,350,955
|
111,373,225
|
|
|
TOTAL INVESTMENT IN SECURITIES - 99.7%
(Cost $266,382,697)
|
268,496,827
|
NET OTHER ASSETS (LIABILITIES) - 0.3%
|
795,292
|
NET ASSETS - 100.0%
|
269,292,119
|
Futures Contracts
|
||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
|
Value and Unrealized
Appreciation/
(Depreciation) ($)
|
|
LONG
|
||||
ASX 24 S&P/ASX 200 Index Contracts (Australia)
|
25
|
9/2026
|
3,932,964
|
46,271
|
CBOT E-Mini Dow Jones Industrial Average Index Contracts (United States)
|
16
|
9/2026
|
4,210,800
|
42,408
|
CBOT Hard Red Winter Wheat Contracts (United States)
|
9
|
9/2026
|
318,375
|
32,535
|
CBOT Hard Red Winter Wheat Contracts (United States)
|
46
|
12/2026
|
1,664,625
|
18,531
|
CBOT Soybean Contracts (United States)
|
60
|
1/2027
|
3,603,750
|
(34,141)
|
CBOT Soybean Meal Contracts (United States)
|
16
|
1/2027
|
517,600
|
(3,679)
|
CBOT Soybean Oil Contracts (United States)
|
53
|
1/2027
|
2,125,830
|
(76,715)
|
CBOT Wheat Contracts (United States)
|
10
|
9/2026
|
319,625
|
21,845
|
CBOT Wheat Contracts (United States)
|
41
|
12/2026
|
1,347,875
|
(25,865)
|
CEC Gold Bullion Contracts (United States)
|
2
|
12/2026
|
821,400
|
(11,265)
|
CEC Silver Bullion Contracts (United States)
|
3
|
9/2026
|
866,790
|
(65,093)
|
CME E-Mini Nasdaq 100 Index Contracts (United States)
|
6
|
9/2026
|
3,408,510
|
(138,897)
|
CME E-Mini Russell 2000 Index Contracts (United States)
|
25
|
9/2026
|
3,672,500
|
(33,248)
|
CME E-Mini S&P 500 Index Contracts (United States)
|
10
|
9/2026
|
3,759,625
|
1,876
|
CME E-Mini S&P MidCap 400 Index Contracts (United States)
|
9
|
9/2026
|
3,395,610
|
(29,623)
|
CME Live Cattle Contracts (United States)
|
24
|
12/2026
|
2,178,720
|
(24,877)
|
COMEX Copper Contracts (United States)
|
32
|
12/2026
|
5,248,000
|
88,436
|
Eurex DAX Index Contracts (Germany)
|
2
|
9/2026
|
1,482,374
|
37,396
|
Eurex Euro STOXX 50 Contracts (Germany)
|
67
|
9/2026
|
4,923,847
|
67,923
|
Eurex Euro-OAT Contracts (Germany)
|
4
|
9/2026
|
540,274
|
(12,471)
|
Euronext CAC 40 Index Contracts (France)
|
38
|
8/2026
|
3,733,877
|
60,241
|
HKEX Hang Seng Index Contracts (Hong Kong)
|
31
|
8/2026
|
1,706,850
|
63,171
|
HKEX Hang Seng Index Contracts (Hong Kong)
|
19
|
8/2026
|
3,142,278
|
103,175
|
ICE Brent Crude Oil Contracts (United Kingdom)
|
28
|
9/2026
|
2,368,240
|
242,665
|
ICE Brent Crude Oil Contracts (United Kingdom)
|
57
|
11/2026
|
4,593,630
|
(119,981)
|
ICE Cotton No 2 Contracts (United States)
|
569
|
3/2027
|
23,715,920
|
1,443,765
|
ICE FTSE 100 Index Contracts (United Kingdom)
|
44
|
9/2026
|
6,443,054
|
209,824
|
ICE Gas Oil Contracts (United Kingdom)
|
36
|
1/2027
|
3,561,300
|
334,498
|
ICE Gas Oil Contracts (United Kingdom)
|
34
|
9/2026
|
4,183,700
|
837,942
|
ICE MSCI EAFE Index Contracts (United States)
|
9
|
9/2026
|
1,432,035
|
19,307
|
ICE MSCI Emerging Markets Index Contracts (United States)
|
7
|
9/2026
|
574,805
|
(16,749)
|
IDEM FTSE MIB Index Contracts (Italy)
|
21
|
9/2026
|
6,337,366
|
(27,929)
|
JSE FTSE TOP 40 Index Contracts (South Africa)
|
16
|
9/2026
|
999,537
|
(29,692)
|
KRX 3Y Korea Treasury Bond Contracts (South Korea)
|
139
|
9/2026
|
9,944,087
|
19,510
|
KRX KOSPI 200 Index Contracts (South Korea)
|
3
|
9/2026
|
535,694
|
(60,233)
|
LME Aluminum Contracts (United Kingdom)
|
108
|
9/2026
|
8,608,707
|
(503,443)
|
LME Lead Contracts (United Kingdom)
|
129
|
9/2026
|
5,997,242
|
(206,223)
|
LME Nickel Contracts (United Kingdom)
|
70
|
9/2026
|
7,211,988
|
(193,119)
|
LME Zinc Contracts (United Kingdom)
|
111
|
9/2026
|
10,170,847
|
301,928
|
MEFF IBEX 35 Index Contracts (Spain)
|
28
|
8/2026
|
6,396,841
|
139,687
|
NYMEX Heating Oil Contracts (United States)
|
25
|
12/2026
|
3,691,065
|
250,019
|
NYMEX WTI Crude Contracts (United States)
|
58
|
12/2026
|
4,343,040
|
97,530
|
NYMEX Gasoline RBOB Contracts (United States)
|
46
|
12/2026
|
4,781,507
|
128,381
|
NYMEX Gasoline RBOB Contracts (United States)
|
5
|
8/2026
|
653,982
|
78,224
|
NYMEX Heating Oil Contracts (United States)
|
15
|
8/2026
|
2,580,165
|
266,484
|
NYMEX Natural Gas Contracts (United States)
|
22
|
8/2026
|
604,340
|
(85,468)
|
NYMEX Palladium Contracts (United States)
|
2
|
9/2026
|
256,280
|
(41,655)
|
NYMEX Platinum Bullion Contracts (United States)
|
9
|
10/2026
|
746,415
|
(19,958)
|
NYMEX WTI Crude Contracts (United States)
|
27
|
8/2026
|
2,286,090
|
(70,345)
|
OMX Stockholm 30 Contracts (Sweden)
|
149
|
8/2026
|
5,098,003
|
143,641
|
OSE 10Y Japan Treasury Bond Contracts (Japan)
|
50
|
9/2026
|
39,932,749
|
(154,185)
|
OSE Nikkei 225 Index Contracts (Japan)
|
6
|
9/2026
|
2,402,941
|
(57,996)
|
OSE TOPIX Contracts (Japan)
|
16
|
9/2026
|
4,008,925
|
73,570
|
SGX FTSE China A50 Index Contracts (Singapore)
|
646
|
8/2026
|
9,564,676
|
(99,844)
|
SGX MSCI Singapore Index Contracts (Singapore)
|
322
|
8/2026
|
13,070,069
|
167,543
|
TFEX SET50 Index Contracts (Thailand)
|
897
|
9/2026
|
5,821,237
|
346,283
|
TME S&P/TSX 60 Index Contracts (Canada)
|
24
|
9/2026
|
7,137,426
|
21,802
|
TOTAL LONG
|
3,563,717
|
|||
SHORT
|
||||
ASX 10Y Australian Treasury Bond Contracts (Australia)
|
(278)
|
9/2026
|
(21,150,194)
|
(633)
|
ASX 3Y Australia Treasury Bond Contracts (Australia)
|
(980)
|
9/2026
|
(71,850,017)
|
(60,205)
|
CBOT 10Y US Treasury Notes Contracts (United States)
|
(154)
|
9/2026
|
(16,668,094)
|
115,248
|
CBOT 2Y US Treasury Notes Contracts (United States)
|
(178)
|
9/2026
|
(36,613,766)
|
88,457
|
CBOT 5Y US Treasury Notes Contracts (United States)
|
(372)
|
9/2026
|
(39,478,500)
|
247,612
|
CBOT Corn Contracts (United States)
|
(122)
|
9/2026
|
(2,688,575)
|
(66,813)
|
CBOT Corn Contracts (United States)
|
(46)
|
12/2026
|
(1,067,200)
|
(41,803)
|
CBOT Soybean Contracts (United States)
|
(59)
|
11/2026
|
(3,503,125)
|
(18,588)
|
CBOT Soybean Meal Contracts (United States)
|
(9)
|
12/2026
|
(289,080)
|
2,183
|
CBOT Soybean Oil Contracts (United States)
|
(8)
|
12/2026
|
(321,120)
|
15,898
|
CBOT US Treasury Long Bond Contracts (United States)
|
(65)
|
9/2026
|
(7,062,656)
|
131,975
|
CBOT US Treasury Ultra Bond Contracts (United States)
|
(96)
|
9/2026
|
(10,566,000)
|
263,249
|
CEC Copper Contracts (United States)
|
(3)
|
9/2026
|
(484,913)
|
(5,858)
|
CME 3M US SOFR Index Contracts (United States)
|
(843)
|
12/2026
|
(202,562,363)
|
391,060
|
CME 3M US SOFR Index Contracts (United States)
|
(414)
|
6/2027
|
(99,158,175)
|
438,400
|
CME 3M US SOFR Index Contracts (United States)
|
(527)
|
3/2027
|
(126,374,600)
|
443,221
|
CME 3M US SOFR Index Contracts (United States)
|
(369)
|
9/2027
|
(88,352,438)
|
123,267
|
CME Lean Hogs Contracts (United States)
|
(49)
|
12/2026
|
(1,483,230)
|
(2,338)
|
CME Lean Hogs Contracts (United States)
|
(43)
|
10/2026
|
(1,459,420)
|
3,310
|
CME Live Cattle Contracts (United States)
|
(1)
|
10/2026
|
(90,900)
|
2,647
|
Eurex Euro-BTP Contracts (Germany)
|
(55)
|
9/2026
|
(7,371,050)
|
65,483
|
Eurex Euro-Bobl Contracts (Germany)
|
(229)
|
9/2026
|
(30,061,883)
|
138,863
|
Eurex Euro-Bund Contracts (Germany)
|
(115)
|
9/2026
|
(16,491,659)
|
110,763
|
Eurex Euro-Buxl Contracts (Germany)
|
(88)
|
9/2026
|
(10,738,317)
|
191,717
|
Eurex Euro-Schatz Contracts (Germany)
|
(302)
|
9/2026
|
(36,724,841)
|
79,328
|
ICE 3M EURIBOR Index Contracts (United States)
|
(648)
|
9/2026
|
(181,962,573)
|
192,492
|
ICE 3M EURIBOR Index Contracts (United States)
|
(417)
|
12/2026
|
(116,867,875)
|
219,136
|
ICE 3M EURIBOR Index Contracts (United States)
|
(312)
|
6/2027
|
(87,287,805)
|
96,805
|
ICE 3M EURIBOR Index Contracts (United States)
|
(335)
|
3/2027
|
(93,770,771)
|
189,832
|
ICE 3M SONIA Index Contracts (United Kingdom)
|
(226)
|
6/2027
|
(72,877,324)
|
(14,423)
|
ICE 3M SONIA Index Contracts (United States)
|
(405)
|
12/2026
|
(131,151,406)
|
(153,361)
|
ICE 3M SONIA Index Contracts (United States)
|
(273)
|
3/2027
|
(88,185,001)
|
(72,620)
|
ICE 3M SONIA Index Contracts (United States)
|
(216)
|
9/2027
|
(69,598,080)
|
29,895
|
ICE Cocoa Contracts (United States)
|
(53)
|
9/2026
|
(2,860,410)
|
(712,019)
|
ICE Cocoa Contracts (United States)
|
(3)
|
12/2026
|
(166,080)
|
(20,282)
|
ICE Coffee C Contracts (United States)
|
(1)
|
12/2026
|
(117,994)
|
(17,759)
|
ICE Coffee Contracts (United States)
|
(2)
|
9/2026
|
(249,075)
|
(67,131)
|
ICE Cotton No 2 Contracts (United States)
|
(542)
|
12/2026
|
(22,165,090)
|
(1,319,996)
|
ICE Long GILT Futures (United Kingdom)
|
(63)
|
9/2026
|
(7,343,715)
|
118,001
|
ICE Sugar No 11 Contracts (United States)
|
(52)
|
9/2026
|
(853,798)
|
10,836
|
ICE US Sugar Contracts (United States)
|
(56)
|
2/2027
|
(974,042)
|
(14,666)
|
KRX 10Y Korea Treasury Bond Contracts (South Korea)
|
(107)
|
9/2026
|
(7,846,857)
|
(27,319)
|
LME Aluminum Contracts (United Kingdom)
|
(20)
|
9/2026
|
(1,594,205)
|
42,366
|
LME Lead Contracts (United Kingdom)
|
(34)
|
9/2026
|
(1,580,669)
|
45,894
|
LME Nickel Contracts (United Kingdom)
|
(13)
|
9/2026
|
(1,339,369)
|
8,554
|
LME Zinc Contracts (United Kingdom)
|
(25)
|
9/2026
|
(2,290,731)
|
(65,221)
|
NSE IFSC Nifty 50 Index Contracts (India)
|
(24)
|
8/2026
|
(1,173,504)
|
(30,201)
|
NYMEX Natural Gas Contracts (United States)
|
(30)
|
12/2026
|
(1,249,500)
|
30,057
|
SGX FTSE Taiwan Index Contracts (Singapore)
|
(2)
|
8/2026
|
(296,940)
|
(748)
|
TME 10Y Canadian Bond Contracts (Canada)
|
(64)
|
9/2026
|
(5,422,777)
|
35,947
|
TME 3M CORRA Contracts (Canada)
|
(278)
|
12/2026
|
(48,417,234)
|
(62,222)
|
TME 3M CORRA Contracts (Canada)
|
(425)
|
9/2027
|
(73,568,187)
|
71,156
|
TME 3M CORRA Contracts (Canada)
|
(430)
|
6/2027
|
(74,567,892)
|
(46,849)
|
TME 3M CORRA Contracts (Canada)
|
(404)
|
3/2027
|
(70,217,641)
|
(114,549)
|
TOTAL SHORT
|
1,008,048
|
|||
TOTAL FUTURES CONTRACTS
|
4,571,765
|
|||
Forward Foreign Currency Contracts
|
||||||
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||
AUD
|
8,295,000
|
USD
|
5,742,089
|
Bank of America NA
|
9/2026
|
89,907
|
AUD
|
6,158,000
|
USD
|
4,314,260
|
Bank of America NA
|
9/2026
|
15,267
|
AUD
|
3,806,000
|
USD
|
2,663,531
|
Bank of America NA
|
9/2026
|
12,367
|
AUD
|
4,016,000
|
USD
|
2,811,118
|
JPMorgan Chase Bank NA
|
9/2026
|
12,425
|
AUD
|
6,454,000
|
USD
|
4,448,461
|
JPMorgan Chase Bank NA
|
9/2026
|
89,176
|
AUD
|
2,184,000
|
USD
|
1,541,299
|
State Street Bank & Trust Co
|
9/2026
|
(5,786)
|
AUD
|
3,251,000
|
USD
|
2,236,067
|
State Street Bank & Trust Co
|
9/2026
|
49,625
|
AUD
|
2,085,000
|
USD
|
1,454,454
|
State Street Bank & Trust Co
|
9/2026
|
11,454
|
BRL
|
46,882,000
|
USD
|
8,798,183
|
Bank of America NA
|
10/2026
|
322,032
|
CAD
|
5,214,000
|
USD
|
3,681,053
|
BNP Paribas SA
|
9/2026
|
45,495
|
CAD
|
1,701,000
|
USD
|
1,219,584
|
JPMorgan Chase Bank NA
|
9/2026
|
(3,846)
|
CAD
|
5,267,000
|
USD
|
3,719,229
|
JPMorgan Chase Bank NA
|
9/2026
|
45,200
|
CAD
|
1,994,000
|
USD
|
1,413,918
|
JPMorgan Chase Bank NA
|
9/2026
|
11,234
|
CAD
|
49,158,000
|
USD
|
35,384,840
|
Royal Bank of Canada
|
9/2026
|
(250,647)
|
CAD
|
26,452,000
|
USD
|
18,886,933
|
Royal Bank of Canada
|
9/2026
|
18,833
|
CAD
|
5,203,000
|
USD
|
3,736,845
|
State Street Bank & Trust Co
|
9/2026
|
(18,158)
|
CAD
|
5,396,000
|
USD
|
3,821,427
|
State Street Bank & Trust Co
|
9/2026
|
35,201
|
CHF
|
6,108,000
|
USD
|
7,620,792
|
BNP Paribas SA
|
9/2026
|
(28,979)
|
CHF
|
3,205,000
|
USD
|
3,995,215
|
Bank of America NA
|
9/2026
|
(11,627)
|
CHF
|
1,597,000
|
USD
|
1,985,170
|
Bank of America NA
|
9/2026
|
(211)
|
CHF
|
4,347,000
|
USD
|
5,353,446
|
JPMorgan Chase Bank NA
|
9/2026
|
49,568
|
CHF
|
1,347,000
|
USD
|
1,681,253
|
State Street Bank & Trust Co
|
9/2026
|
(7,027)
|
CHF
|
1,082,000
|
USD
|
1,329,013
|
State Street Bank & Trust Co
|
9/2026
|
15,837
|
CHF
|
3,115,000
|
USD
|
3,866,837
|
State Street Bank & Trust Co
|
9/2026
|
4,888
|
CHF
|
2,902,000
|
USD
|
3,623,722
|
State Street Bank & Trust Co
|
9/2026
|
(16,741)
|
CHF
|
1,842,000
|
USD
|
2,296,429
|
State Street Bank & Trust Co
|
9/2026
|
(6,953)
|
CHF
|
1,747,000
|
USD
|
2,145,659
|
State Street Bank & Trust Co
|
9/2026
|
25,738
|
CLP
|
1,763,448,000
|
USD
|
1,927,687
|
Bank of America NA
|
9/2026
|
(30,367)
|
CNH
|
8,204,000
|
USD
|
1,214,953
|
Bank of America NA
|
9/2026
|
3,871
|
CNH
|
9,372,000
|
USD
|
1,391,649
|
Bank of America NA
|
9/2026
|
698
|
CNH
|
8,051,000
|
USD
|
1,195,625
|
Bank of America NA
|
9/2026
|
468
|
COP
|
45,107,582,000
|
USD
|
12,297,596
|
Bank of America NA
|
9/2026
|
1,854,096
|
CZK
|
31,318,000
|
USD
|
1,500,068
|
Barclays Bank PLC
|
9/2026
|
(8,350)
|
EUR
|
271,000
|
USD
|
314,667
|
JPMorgan Chase Bank NA
|
9/2026
|
(1,614)
|
GBP
|
1,980,000
|
USD
|
2,638,731
|
BNP Paribas SA
|
9/2026
|
29,755
|
GBP
|
3,885,000
|
USD
|
5,173,460
|
BNP Paribas SA
|
9/2026
|
62,433
|
GBP
|
6,790,000
|
USD
|
9,119,173
|
BNP Paribas SA
|
9/2026
|
31,847
|
GBP
|
1,438,000
|
USD
|
1,911,192
|
BNP Paribas SA
|
9/2026
|
26,829
|
GBP
|
3,300,000
|
USD
|
4,438,686
|
Bank of America NA
|
9/2026
|
8,791
|
GBP
|
7,538,000
|
USD
|
10,099,268
|
JPMorgan Chase Bank NA
|
9/2026
|
59,847
|
GBP
|
1,804,000
|
USD
|
2,414,978
|
JPMorgan Chase Bank NA
|
9/2026
|
16,309
|
HUF
|
1,987,956,000
|
USD
|
6,445,776
|
Bank of America NA
|
9/2026
|
(174,922)
|
IDR
|
30,569,190,000
|
USD
|
1,686,855
|
Bank of America NA
|
9/2026
|
4,599
|
INR
|
1,309,267,000
|
USD
|
13,620,321
|
Bank of America NA
|
9/2026
|
53,227
|
MXN
|
145,873,000
|
USD
|
8,318,843
|
State Street Bank & Trust Co
|
9/2026
|
71,566
|
NOK
|
43,500,000
|
USD
|
4,506,612
|
Bank of America NA
|
9/2026
|
80,235
|
NOK
|
10,059,000
|
USD
|
1,054,478
|
Bank of America NA
|
9/2026
|
6,191
|
NOK
|
26,151,000
|
USD
|
2,695,377
|
Royal Bank of Canada
|
9/2026
|
62,108
|
NOK
|
44,075,000
|
USD
|
4,636,599
|
State Street Bank & Trust Co
|
9/2026
|
10,878
|
NOK
|
41,123,000
|
USD
|
4,314,825
|
State Street Bank & Trust Co
|
9/2026
|
21,379
|
NOK
|
96,047,000
|
USD
|
9,651,644
|
State Street Bank & Trust Co
|
9/2026
|
476,008
|
NOK
|
14,374,000
|
USD
|
1,451,541
|
State Street Bank & Trust Co
|
9/2026
|
64,122
|
NZD
|
3,520,000
|
USD
|
1,993,640
|
Bank of America NA
|
9/2026
|
82,580
|
NZD
|
27,886,000
|
USD
|
16,323,544
|
Bank of America NA
|
9/2026
|
124,604
|
NZD
|
5,862,000
|
USD
|
3,337,584
|
JPMorgan Chase Bank NA
|
9/2026
|
120,031
|
NZD
|
8,316,000
|
USD
|
4,708,580
|
JPMorgan Chase Bank NA
|
9/2026
|
196,491
|
NZD
|
10,210,000
|
USD
|
5,917,144
|
Royal Bank of Canada
|
9/2026
|
105,075
|
PEN
|
34,850,000
|
USD
|
10,336,645
|
State Street Bank & Trust Co
|
9/2026
|
(99,568)
|
PLN
|
4,874,000
|
USD
|
1,329,956
|
State Street Bank & Trust Co
|
9/2026
|
(25,310)
|
RON
|
7,978,000
|
USD
|
1,751,222
|
Bank of America NA
|
9/2026
|
(2,637)
|
SEK
|
12,911,000
|
USD
|
1,341,331
|
Bank of America NA
|
9/2026
|
17,738
|
SEK
|
48,394,000
|
USD
|
5,050,216
|
Bank of America NA
|
9/2026
|
43,951
|
SEK
|
16,949,000
|
USD
|
1,754,895
|
Bank of America NA
|
9/2026
|
29,232
|
SEK
|
15,855,000
|
USD
|
1,649,081
|
Bank of America NA
|
9/2026
|
19,886
|
SEK
|
25,135,000
|
USD
|
2,592,599
|
Bank of America NA
|
9/2026
|
53,222
|
SEK
|
13,989,000
|
USD
|
1,474,435
|
Bank of America NA
|
9/2026
|
(1,891)
|
SEK
|
64,045,000
|
USD
|
6,825,206
|
Barclays Bank PLC
|
9/2026
|
(83,546)
|
SEK
|
80,557,000
|
USD
|
8,278,257
|
JPMorgan Chase Bank NA
|
9/2026
|
201,530
|
SEK
|
48,595,000
|
USD
|
5,035,510
|
Royal Bank of Canada
|
9/2026
|
79,816
|
SEK
|
40,689,000
|
USD
|
4,251,725
|
Royal Bank of Canada
|
9/2026
|
31,380
|
TWD
|
91,531,000
|
USD
|
2,881,958
|
Bank of America NA
|
9/2026
|
(41,005)
|
TWD
|
63,045,000
|
USD
|
1,977,138
|
Bank of America NA
|
9/2026
|
(20,337)
|
TWD
|
34,251,000
|
USD
|
1,057,456
|
JPMorgan Chase Bank NA
|
9/2026
|
5,632
|
TWD
|
286,167,000
|
USD
|
9,038,613
|
JPMorgan Chase Bank NA
|
9/2026
|
(156,516)
|
USD
|
2,664,830
|
AUD
|
3,773,000
|
Bank of America NA
|
9/2026
|
12,134
|
USD
|
14,591,813
|
AUD
|
20,869,000
|
Bank of America NA
|
9/2026
|
(80,628)
|
USD
|
2,339,264
|
AUD
|
3,360,000
|
Bank of America NA
|
9/2026
|
(23,064)
|
USD
|
2,292,366
|
AUD
|
3,272,000
|
Bank of America NA
|
9/2026
|
(8,090)
|
USD
|
1,512,619
|
AUD
|
2,192,000
|
Bank of America NA
|
9/2026
|
(28,518)
|
USD
|
14,069,502
|
AUD
|
20,014,000
|
Barclays Bank PLC
|
9/2026
|
(1,812)
|
USD
|
1,173,013
|
AUD
|
1,681,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(8,854)
|
USD
|
1,146,855
|
AUD
|
1,641,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(6,889)
|
USD
|
2,299,277
|
AUD
|
3,291,000
|
Royal Bank of Canada
|
9/2026
|
(14,538)
|
USD
|
2,710,499
|
AUD
|
3,908,000
|
Royal Bank of Canada
|
9/2026
|
(37,113)
|
USD
|
2,089,509
|
AUD
|
2,996,000
|
Royal Bank of Canada
|
9/2026
|
(16,899)
|
USD
|
1,134,813
|
CAD
|
1,582,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
4,127
|
USD
|
2,181,136
|
CAD
|
3,056,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(3,047)
|
USD
|
1,132,752
|
CAD
|
1,601,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(11,514)
|
USD
|
11,856,395
|
CAD
|
16,674,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(60,842)
|
USD
|
2,547,383
|
CAD
|
3,607,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(30,611)
|
USD
|
1,782,991
|
CAD
|
2,473,000
|
JPMorgan Chase Bank NA
|
9/2026
|
15,490
|
USD
|
6,350,412
|
CAD
|
8,993,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(77,062)
|
USD
|
9,852,082
|
CAD
|
13,982,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(141,129)
|
USD
|
1,465,014
|
CAD
|
2,069,000
|
Royal Bank of Canada
|
9/2026
|
(13,741)
|
USD
|
1,540,532
|
CAD
|
2,176,000
|
State Street Bank & Trust Co
|
9/2026
|
(14,698)
|
USD
|
1,356,246
|
CAD
|
1,915,000
|
State Street Bank & Trust Co
|
9/2026
|
(12,443)
|
USD
|
2,832,734
|
CAD
|
3,967,000
|
State Street Bank & Trust Co
|
9/2026
|
(2,559)
|
USD
|
4,844,043
|
CHF
|
3,884,000
|
BNP Paribas SA
|
9/2026
|
16,506
|
USD
|
1,319,042
|
CHF
|
1,051,000
|
Bank of America NA
|
9/2026
|
12,723
|
USD
|
3,084,966
|
CHF
|
2,428,000
|
Bank of America NA
|
9/2026
|
67,134
|
USD
|
1,545,775
|
CHF
|
1,241,000
|
Bank of America NA
|
9/2026
|
3,299
|
USD
|
938,949
|
CHF
|
740,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
19,182
|
USD
|
8,029,503
|
CHF
|
6,487,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(33,380)
|
USD
|
7,441,949
|
CHF
|
5,991,000
|
Royal Bank of Canada
|
9/2026
|
(4,440)
|
USD
|
1,580,007
|
CHF
|
1,257,000
|
State Street Bank & Trust Co
|
9/2026
|
17,645
|
USD
|
1,169,519
|
CLP
|
1,077,946,000
|
State Street Bank & Trust Co
|
9/2026
|
9,741
|
USD
|
1,438,588
|
CLP
|
1,359,466,000
|
State Street Bank & Trust Co
|
9/2026
|
(24,082)
|
USD
|
1,198,071
|
CNH
|
8,089,000
|
BNP Paribas SA
|
9/2026
|
(3,668)
|
USD
|
1,838,218
|
CNH
|
12,435,000
|
Bank of America NA
|
9/2026
|
(9,182)
|
USD
|
1,134,555
|
CNH
|
7,643,000
|
Bank of America NA
|
9/2026
|
(924)
|
USD
|
1,142,622
|
CNH
|
7,705,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(2,067)
|
USD
|
1,095,079
|
CNH
|
7,409,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(5,635)
|
USD
|
1,182,515
|
CNH
|
7,984,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(3,624)
|
USD
|
13,333,549
|
CNH
|
89,682,000
|
Royal Bank of Canada
|
9/2026
|
9,987
|
USD
|
2,314,236
|
CNH
|
15,620,000
|
State Street Bank & Trust Co
|
9/2026
|
(6,341)
|
USD
|
1,009,377
|
COP
|
3,599,440,000
|
State Street Bank & Trust Co
|
9/2026
|
(119,882)
|
USD
|
1,061,596
|
CZK
|
22,478,000
|
Bank of America NA
|
9/2026
|
(9,061)
|
USD
|
1,001,380
|
CZK
|
21,002,000
|
JPMorgan Chase Bank NA
|
9/2026
|
1,026
|
USD
|
1,049,255
|
CZK
|
22,310,000
|
Royal Bank of Canada
|
9/2026
|
(13,400)
|
USD
|
1,355,689
|
EUR
|
1,189,000
|
BNP Paribas SA
|
9/2026
|
(17,816)
|
USD
|
1,112,229
|
EUR
|
976,000
|
BNP Paribas SA
|
9/2026
|
(15,224)
|
USD
|
1,130,393
|
EUR
|
989,000
|
Bank of America NA
|
9/2026
|
(12,077)
|
USD
|
1,278,673
|
EUR
|
1,115,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(9,349)
|
USD
|
1,396,385
|
EUR
|
1,216,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(8,310)
|
USD
|
1,034,981
|
EUR
|
902,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(6,989)
|
USD
|
1,230,289
|
EUR
|
1,067,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(2,285)
|
USD
|
1,050,219
|
EUR
|
918,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(10,233)
|
USD
|
1,136,574
|
EUR
|
977,000
|
State Street Bank & Trust Co
|
9/2026
|
7,966
|
USD
|
1,028,655
|
EUR
|
889,000
|
State Street Bank & Trust Co
|
9/2026
|
1,702
|
USD
|
1,091,761
|
GBP
|
817,000
|
BNP Paribas SA
|
9/2026
|
(9,326)
|
USD
|
3,790,845
|
GBP
|
2,864,000
|
BNP Paribas SA
|
9/2026
|
(69,026)
|
USD
|
4,222,796
|
GBP
|
3,152,000
|
Bank of America NA
|
9/2026
|
(25,219)
|
USD
|
5,920,933
|
GBP
|
4,436,000
|
Bank of America NA
|
9/2026
|
(57,554)
|
USD
|
1,003,733
|
GBP
|
758,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(17,839)
|
USD
|
2,871,809
|
GBP
|
2,141,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(13,660)
|
USD
|
2,648,647
|
GBP
|
1,997,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(42,750)
|
USD
|
5,735,661
|
GBP
|
4,253,000
|
JPMorgan Chase Bank NA
|
9/2026
|
3,807
|
USD
|
1,041,057
|
GBP
|
787,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(19,598)
|
USD
|
6,697,168
|
GBP
|
5,087,000
|
Royal Bank of Canada
|
9/2026
|
(158,685)
|
USD
|
3,050,217
|
GBP
|
2,312,000
|
State Street Bank & Trust Co
|
9/2026
|
(65,712)
|
USD
|
5,650,448
|
GBP
|
4,276,000
|
State Street Bank & Trust Co
|
9/2026
|
(112,404)
|
USD
|
2,591,542
|
GBP
|
1,929,000
|
State Street Bank & Trust Co
|
9/2026
|
(8,210)
|
USD
|
1,064,529
|
HUF
|
329,036,000
|
State Street Bank & Trust Co
|
9/2026
|
26,610
|
USD
|
4,071,572
|
IDR
|
73,629,446,000
|
BNP Paribas SA
|
9/2026
|
(2,493)
|
USD
|
1,127,114
|
IDR
|
20,514,595,000
|
BNP Paribas SA
|
9/2026
|
(8,000)
|
USD
|
432,840
|
ILS
|
1,271,000
|
Bank of America NA
|
9/2026
|
16,402
|
USD
|
1,002,719
|
ILS
|
2,972,000
|
JPMorgan Chase Bank NA
|
9/2026
|
28,957
|
USD
|
1,046,044
|
ILS
|
3,141,000
|
Royal Bank of Canada
|
9/2026
|
16,910
|
USD
|
1,428,043
|
INR
|
135,764,000
|
Bank of America NA
|
9/2026
|
10,168
|
USD
|
1,213,710
|
INR
|
117,299,000
|
State Street Bank & Trust Co
|
9/2026
|
(11,322)
|
USD
|
1,042,078
|
JPY
|
167,526,000
|
Bank of America NA
|
9/2026
|
(14,521)
|
USD
|
1,011,877
|
JPY
|
160,967,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(3,354)
|
USD
|
4,995,153
|
JPY
|
794,060,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(13,042)
|
USD
|
1,771,453
|
JPY
|
284,236,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(21,245)
|
USD
|
1,031,320
|
JPY
|
166,113,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(16,367)
|
USD
|
1,306,292
|
JPY
|
210,909,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(23,927)
|
USD
|
1,093,248
|
KRW
|
1,655,178,000
|
Bank of America NA
|
9/2026
|
(54,487)
|
USD
|
1,056,000
|
KRW
|
1,602,269,000
|
Barclays Bank PLC
|
9/2026
|
(55,047)
|
USD
|
5,410,754
|
KRW
|
8,238,523,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(302,010)
|
USD
|
1,036,492
|
MXN
|
18,183,000
|
Bank of America NA
|
9/2026
|
(9,368)
|
USD
|
2,811,279
|
NOK
|
27,218,000
|
Bank of America NA
|
9/2026
|
(58,716)
|
USD
|
2,219,490
|
NOK
|
21,731,000
|
Bank of America NA
|
9/2026
|
(71,930)
|
USD
|
1,415,108
|
NOK
|
13,868,000
|
Bank of America NA
|
9/2026
|
(47,200)
|
USD
|
3,390,212
|
NOK
|
32,310,000
|
Bank of America NA
|
9/2026
|
(16,708)
|
USD
|
4,793,212
|
NOK
|
46,902,000
|
Bank of America NA
|
9/2026
|
(152,358)
|
USD
|
1,015,170
|
NOK
|
9,997,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(38,962)
|
USD
|
2,833,002
|
NOK
|
27,586,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(75,797)
|
USD
|
2,118,932
|
NOK
|
20,482,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(40,787)
|
USD
|
6,399,616
|
NOK
|
62,098,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(148,292)
|
USD
|
17,743,404
|
NOK
|
168,609,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(35,530)
|
USD
|
6,942,572
|
NOK
|
66,582,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(78,150)
|
USD
|
5,125,587
|
NOK
|
49,314,000
|
State Street Bank & Trust Co
|
9/2026
|
(74,315)
|
USD
|
5,202,961
|
NOK
|
49,716,000
|
State Street Bank & Trust Co
|
9/2026
|
(39,331)
|
USD
|
1,593,515
|
NZD
|
2,798,000
|
Bank of America NA
|
9/2026
|
(56,845)
|
USD
|
2,463,645
|
NZD
|
4,215,000
|
Bank of America NA
|
9/2026
|
(22,511)
|
USD
|
1,645,332
|
NZD
|
2,890,000
|
Bank of America NA
|
9/2026
|
(59,293)
|
USD
|
1,760,169
|
NZD
|
3,005,000
|
Bank of America NA
|
9/2026
|
(12,286)
|
USD
|
1,306,573
|
NZD
|
2,254,000
|
Bank of America NA
|
9/2026
|
(22,915)
|
USD
|
2,198,170
|
NZD
|
3,761,000
|
Bank of America NA
|
9/2026
|
(20,201)
|
USD
|
5,768,586
|
NZD
|
9,984,000
|
Bank of America NA
|
9/2026
|
(120,330)
|
USD
|
4,983,223
|
NZD
|
8,755,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(180,785)
|
USD
|
1,063,624
|
NZD
|
1,836,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(19,314)
|
USD
|
1,176,561
|
NZD
|
2,008,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(7,828)
|
USD
|
4,668,386
|
NZD
|
7,997,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(48,527)
|
USD
|
1,993,416
|
NZD
|
3,417,000
|
State Street Bank & Trust Co
|
9/2026
|
(22,051)
|
USD
|
1,813,783
|
NZD
|
3,092,000
|
State Street Bank & Trust Co
|
9/2026
|
(9,988)
|
USD
|
1,080,094
|
PEN
|
3,668,000
|
Bank of America NA
|
9/2026
|
2,631
|
USD
|
3,124,931
|
PHP
|
192,832,000
|
BNP Paribas SA
|
9/2026
|
(22,871)
|
USD
|
1,030,938
|
PHP
|
63,547,000
|
Barclays Bank PLC
|
9/2026
|
(6,408)
|
USD
|
1,007,884
|
PHP
|
62,131,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(6,347)
|
USD
|
1,107,559
|
PHP
|
68,703,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(13,953)
|
USD
|
1,155,386
|
PLN
|
4,384,000
|
Bank of America NA
|
9/2026
|
(18,099)
|
USD
|
1,011,338
|
PLN
|
3,711,000
|
Bank of America NA
|
9/2026
|
17,997
|
USD
|
1,008,511
|
PLN
|
3,819,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(13,738)
|
USD
|
1,036,772
|
PLN
|
3,906,000
|
State Street Bank & Trust Co
|
9/2026
|
(8,765)
|
USD
|
1,057,303
|
RON
|
4,882,000
|
Bank of America NA
|
9/2026
|
(12,714)
|
USD
|
1,218,960
|
RON
|
5,596,000
|
Bank of America NA
|
9/2026
|
(7,548)
|
USD
|
1,117,443
|
RON
|
5,167,000
|
Bank of America NA
|
9/2026
|
(15,039)
|
USD
|
1,022,533
|
RON
|
4,701,000
|
Bank of America NA
|
9/2026
|
(7,812)
|
USD
|
1,085,642
|
RON
|
4,965,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(2,566)
|
USD
|
2,985,443
|
SEK
|
28,769,000
|
Bank of America NA
|
9/2026
|
(42,910)
|
USD
|
3,408,750
|
SEK
|
32,999,000
|
Bank of America NA
|
9/2026
|
(64,872)
|
USD
|
3,535,098
|
SEK
|
33,001,000
|
Bank of America NA
|
9/2026
|
61,266
|
USD
|
3,327,869
|
SEK
|
32,249,000
|
Bank of America NA
|
9/2026
|
(66,804)
|
USD
|
3,708,470
|
SEK
|
36,007,000
|
Bank of America NA
|
9/2026
|
(81,787)
|
USD
|
1,491,911
|
SEK
|
13,944,000
|
Bank of America NA
|
9/2026
|
24,104
|
USD
|
2,064,865
|
SEK
|
19,863,000
|
Bank of America NA
|
9/2026
|
(26,002)
|
USD
|
7,269,468
|
SEK
|
69,564,000
|
Royal Bank of Canada
|
9/2026
|
(53,147)
|
USD
|
1,252,812
|
SEK
|
11,808,000
|
State Street Bank & Trust Co
|
9/2026
|
9,850
|
USD
|
2,971,857
|
SEK
|
27,715,000
|
State Street Bank & Trust Co
|
9/2026
|
54,453
|
USD
|
1,080,222
|
SGD
|
1,390,000
|
Bank of America NA
|
9/2026
|
(7,096)
|
USD
|
1,115,320
|
SGD
|
1,436,000
|
Bank of America NA
|
9/2026
|
(7,981)
|
USD
|
1,186,042
|
SGD
|
1,529,000
|
Bank of America NA
|
9/2026
|
(10,008)
|
USD
|
1,246,252
|
SGD
|
1,603,000
|
Bank of America NA
|
9/2026
|
(7,684)
|
USD
|
1,212,098
|
SGD
|
1,546,000
|
Bank of America NA
|
9/2026
|
2,751
|
USD
|
1,090,444
|
SGD
|
1,403,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(7,043)
|
USD
|
20,224,989
|
SGD
|
25,828,000
|
JPMorgan Chase Bank NA
|
9/2026
|
21,214
|
USD
|
1,213,148
|
SGD
|
1,564,000
|
State Street Bank & Trust Co
|
9/2026
|
(10,280)
|
USD
|
1,440,905
|
SGD
|
1,854,000
|
State Street Bank & Trust Co
|
9/2026
|
(9,373)
|
USD
|
1,085,027
|
SGD
|
1,397,000
|
State Street Bank & Trust Co
|
9/2026
|
(7,766)
|
USD
|
1,019,279
|
THB
|
33,885,000
|
JPMorgan Chase Bank NA
|
9/2026
|
1,500
|
USD
|
1,064,836
|
THB
|
34,929,000
|
JPMorgan Chase Bank NA
|
9/2026
|
15,700
|
USD
|
1,296,238
|
THB
|
43,777,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(18,659)
|
USD
|
1,027,878
|
THB
|
34,302,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(2,426)
|
USD
|
5,174,583
|
THB
|
169,509,000
|
JPMorgan Chase Bank NA
|
9/2026
|
83,167
|
USD
|
1,011,761
|
TWD
|
32,605,000
|
Bank of America NA
|
9/2026
|
(238)
|
USD
|
7,989,585
|
TWD
|
252,375,000
|
Bank of America NA
|
9/2026
|
156,330
|
USD
|
12,365,703
|
TWD
|
397,545,000
|
Bank of America NA
|
9/2026
|
26,639
|
USD
|
1,179,676
|
TWD
|
38,192,000
|
State Street Bank & Trust Co
|
9/2026
|
(5,734)
|
ZAR
|
68,649,000
|
USD
|
4,147,097
|
State Street Bank & Trust Co
|
9/2026
|
(6,279)
|
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
|
593,667
|
|||||
Unrealized Appreciation
|
5,689,790
|
|||||
Unrealized Depreciation
|
(5,096,123)
|
|||||
Credit Default Swaps
|
||||||||||
Underlying Reference
|
Rating(3)
|
Maturity
Date
|
Clearinghouse /
Counterparty(1)
|
Fixed
Payment
Received/
(Paid)
|
Payment
Frequency
|
Notional
Amount(2)(4)
|
Value ($)(3)
|
Upfront
Premium
Received/
(Paid) ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
Buy Protection
|
||||||||||
5Y CDX NA IG Series 46 Index
|
6/2031
|
ICE
|
(1%)
|
Quarterly
|
130,634,000
|
(2,703,730)
|
2,255,544
|
(448,186)
|
||
5Y CDX EM CDSI Series 45 Index
|
6/2031
|
ICE
|
(1%)
|
Quarterly
|
37,999,000
|
607,058
|
(1,292,570)
|
(685,512)
|
||
iTraxx Europe Series 45 Index
|
6/2031
|
ICE
|
(1%)
|
Quarterly
|
EUR
|
107,433,000
|
(2,634,959)
|
1,982,044
|
(652,915)
|
|
TOTAL BUY PROTECTION
|
(4,731,631)
|
2,945,018
|
(1,786,613)
|
|||||||
Sell Protection
|
||||||||||
iTraxx Crossover Series 45 Index
|
NR
|
6/2031
|
ICE
|
5%
|
Quarterly
|
EUR
|
26,742,000
|
3,131,027
|
(2,111,646)
|
1,019,381
|
CDX NA HY Series 46 Index
|
NR
|
6/2031
|
ICE
|
5%
|
Quarterly
|
65,575,620
|
5,177,753
|
(3,004,594)
|
2,173,159
|
|
TOTAL SELL PROTECTION
|
8,308,780
|
(5,116,240)
|
3,192,540
|
|||||||
TOTAL CREDIT DEFAULT SWAPS
|
3,577,149
|
(2,171,222)
|
1,405,927
|
|||||||
Total Return Swaps
|
|||||||||||
Underlying Reference
|
Pay/
Receive
Reference
|
Reference
Payment
Frequency
|
Financing
Rate
|
Financing
Frequency
|
Counterparty
|
Maturity
Date
|
Notional
Amount
|
Value ($)
|
Upfront
Premium
Received/
(Paid) ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
iShares Core S&P 500 ETF
|
Pay
|
Monthly
|
U.S. SOFR Index plus 65 basis points
|
Monthly
|
Goldman Sachs International
|
10/2026
|
2,441,684
|
(436,407)
|
0
|
(436,407)
|
|
iShares Core S&P 500 ETF
|
Pay
|
Monthly
|
U.S. SOFR Index plus 65 basis points
|
Monthly
|
Goldman Sachs International
|
9/2026
|
6,741,900
|
13,422
|
0
|
13,422
|
|
iShares Core S&P 500 ETF
|
Pay
|
Monthly
|
U.S. SOFR Index plus 78 basis points
|
Monthly
|
Goldman Sachs International
|
9/2026
|
2,247,300
|
4,423
|
0
|
4,423
|
|
Vanguard S&P 500 ETF
|
Pay
|
Monthly
|
U.S. SOFR Index plus 78 basis points
|
Monthly
|
Goldman Sachs International
|
9/2026
|
2,696,760
|
5,385
|
0
|
5,385
|
|
Microsoft Corp
|
Pay
|
Monthly
|
U.S. SOFR Index plus 62 basis points
|
Monthly
|
Goldman Sachs International
|
9/2026
|
3,838,576
|
7,251
|
0
|
7,251
|
|
NVIDIA Corp (Germany)
|
Pay
|
At Maturity
|
U.S. SOFR Index plus 45 basis points
|
At Maturity
|
Goldman Sachs International
|
8/2026
|
2,652,885
|
(56,334)
|
0
|
(56,334)
|
|
TOTAL RETURN SWAPS
|
(462,260)
|
0
|
(462,260)
|
||||||||
AUD
|
-
|
Australian Dollar
|
BRL
|
-
|
Brazilian Real
|
CAD
|
-
|
Canadian Dollar
|
CHF
|
-
|
Swiss Franc
|
CLP
|
-
|
Chilean Peso
|
CNH
|
-
|
Chinese Offshore Currency
|
COP
|
-
|
Colombian Peso
|
CZK
|
-
|
Czech Koruna
|
EUR
|
-
|
European Monetary Unit (Euro)
|
GBP
|
-
|
British Pound Sterling
|
HUF
|
-
|
Hungarian Forint
|
IDR
|
-
|
Indonesian Rupiah
|
ILS
|
-
|
Israeli Shekel
|
INR
|
-
|
Indian Rupee
|
JPY
|
-
|
Japanese Yen
|
KRW
|
-
|
Korean Won
|
MXN
|
-
|
Mexican Peso
|
NOK
|
-
|
Norwegian Krone
|
NZD
|
-
|
New Zealand Dollar
|
PEN
|
-
|
Peruvian New Sol
|
PHP
|
-
|
Philippines
|
PLN
|
-
|
Polish Zloty
|
RON
|
-
|
Romanian Leu
|
SEK
|
-
|
Swedish Krona
|
SGD
|
-
|
Singapore Dollar
|
THB
|
-
|
Thai Baht
|
TWD
|
-
|
Taiwan Dollar
|
USD
|
-
|
United States Dollar
|
ZAR
|
-
|
South African Rand
|
ETF
|
-
|
EXCHANGE-TRADED FUND
|
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
|
(c)
|
Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $3,391,680.
|
(d)
|
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $27,069,961.
|
(e)
|
Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $8,659,698.
|
(f)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
Shares,
end
of period
|
Fidelity Cash Central Fund
|
80,528,727
|
125,906,900
|
95,062,476
|
1,830,464
|
(4,902)
|
4,976
|
111,373,225
|
111,350,955
|
80,528,727
|
125,906,900
|
95,062,476
|
1,830,464
|
(4,902)
|
4,976
|
111,373,225
|
Valuation Inputs at Reporting Date:
|
||||
Description
|
Total ($)
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Investments in Securities:
|
||||
Common Stocks
|
||||
Information Technology
|
5,591,389
|
5,591,389
|
-
|
-
|
Domestic Equity Funds
|
15,550,232
|
15,550,232
|
-
|
-
|
U.S. Treasury Obligations
|
135,981,981
|
-
|
135,981,981
|
-
|
Money Market Funds
|
111,373,225
|
111,373,225
|
-
|
-
|
Total Investments in Securities:
|
268,496,827
|
132,514,846
|
135,981,981
|
-
|
Derivative Instruments:
|
||||
Assets
|
||||
Futures Contracts
|
9,650,063
|
9,650,063
|
-
|
-
|
Forward Foreign Currency Contracts
|
5,689,790
|
-
|
5,689,790
|
-
|
Swaps
|
8,946,319
|
-
|
8,946,319
|
-
|
Total Assets
|
24,286,172
|
9,650,063
|
14,636,109
|
-
|
Liabilities
|
||||
Futures Contracts
|
(5,078,298)
|
(5,078,298)
|
-
|
-
|
Forward Foreign Currency Contracts
|
(5,096,123)
|
-
|
(5,096,123)
|
-
|
Swaps
|
(5,831,430)
|
-
|
(5,831,430)
|
-
|
Total Liabilities
|
(16,005,851)
|
(5,078,298)
|
(10,927,553)
|
-
|
Total Derivative Instruments:
|
8,280,321
|
4,571,765
|
3,708,556
|
-
|
Consolidated Statement of Assets and Liabilities
|
||
As of July 31, 2026 (Unaudited)
|
||
Assets
|
||
Investments in securities, at value - unaffiliated issuers
|
$
|
157,123,602
|
Investments in securities, at value - affiliated issuers
|
111,373,225
|
|
Foreign currency held at value
|
27,756
|
|
Unrealized appreciation on forward foreign currency contracts
|
5,689,790
|
|
Distributions receivable from affiliated funds
|
334,731
|
|
Receivable for variation margin on futures contracts
|
505,283
|
|
Receivable for variation margin on centrally cleared swaps
|
45,049
|
|
Bi-lateral OTC swaps, at value
|
30,481
|
|
Prepaid expenses
|
2,369
|
|
Receivable from investment adviser for expense reductions
|
13,189
|
|
Total assets
|
275,145,475
|
|
Liabilities
|
||
Unrealized depreciation on forward foreign currency contracts
|
5,096,123
|
|
Bi-lateral OTC swaps, at value
|
492,741
|
|
Accrued management fee
|
215,600
|
|
Other payables and accrued expenses
|
48,892
|
|
Total liabilities
|
5,853,356
|
|
Net Assets
|
$
|
269,292,119
|
Net assets consist of:
|
||
Paid in capital
|
246,469,540
|
|
Total accumulated earnings (loss)
|
22,822,579
|
|
Net Assets
|
$
|
269,292,119
|
Net Asset Value and Maximum Offering
|
||
Net Asset Value, offering price and redemption price per share ($269,292,119/23,237,571 shares)
|
$
|
11.59
|
Other Information
|
||
Unaffiliated issuers, cost
|
155,010,284
|
|
Affiliated issuers, cost
|
111,372,413
|
|
Foreign currency holdings, cost
|
27,756
|
|
Consolidated Statement of Operations
|
||
Six months ended July 31, 2026 (Unaudited)
|
||
Investment Income
|
||
Dividends - unaffiliated issuers
|
$
|
67,068
|
Dividends - affiliated issuers
|
1,830,464
|
|
Interest
|
1,967,331
|
|
Total investment income
|
3,864,863
|
|
Expenses
|
||
Management fee
|
1,128,327
|
|
Custodian fees and expenses
|
6,830
|
|
Independent trustees' fees and expenses
|
28,341
|
|
Registration fees
|
44,330
|
|
Audit
|
42,011
|
|
Legal
|
4,659
|
|
Commitment fee
|
51
|
|
Miscellaneous
|
23,477
|
|
Total expenses
|
1,278,026
|
|
Expense reimbursements and reductions
|
(89,867)
|
|
Total expenses after reductions
|
1,188,159
|
|
Net investment income (loss)
|
2,676,704
|
|
Net realized gain (loss)
|
||
Investments - unaffiliated issuers
|
(107,390)
|
|
Investments - affiliated issuers
|
(4,902)
|
|
Forward foreign currency contracts
|
(1,563,513)
|
|
Foreign currency transactions
|
(6,178)
|
|
Futures contracts
|
22,144,899
|
|
Swaps
|
(1,837,347)
|
|
Net realized gain (loss)
|
18,625,569
|
|
Change in net unrealized appreciation (depreciation)
|
||
Investments - unaffiliated issuers
|
1,468,803
|
|
Investments - affiliated issuers
|
4,976
|
|
Forward foreign currency contracts
|
(963,444)
|
|
Assets and liabilities in foreign currencies
|
228
|
|
Futures contracts
|
(1,947,687)
|
|
Swaps
|
828,757
|
|
Total change in net unrealized appreciation (depreciation)
|
(608,367)
|
|
Net gain (loss)
|
18,017,202
|
|
Net increase (decrease) in net assets resulting from operations
|
$
|
20,693,906
|
Consolidated Statement of Changes in Net Assets
|
||||
Six months ended
July 31, 2026
(Unaudited)
|
For the period June 17, 2025 (commencement of operations) through January 31, 2026
|
|||
Increase (Decrease) in Net Assets
|
||||
Operations
|
||||
Net investment income (loss)
|
$
|
2,676,704
|
$
|
1,855,045
|
Net realized gain (loss)
|
18,625,569
|
3,206,059
|
||
Change in net unrealized appreciation (depreciation)
|
(608,367)
|
8,831,714
|
||
Net increase (decrease) in net assets resulting from operations
|
20,693,906
|
13,892,818
|
||
Distributions to shareholders
|
||||
Distributions to shareholders
|
(7,726,768)
|
(4,037,377)
|
||
Total distributions
|
(7,726,768)
|
(4,037,377)
|
||
Net increase (decrease) in net assets resulting from share transactions
|
77,623,181
|
168,846,359
|
||
Total increase (decrease) in net assets
|
90,590,319
|
178,701,800
|
||
Net Assets
|
||||
Beginning of period
|
178,701,800
|
-
|
||
End of period
|
$
|
269,292,119
|
$
|
178,701,800
|
Fidelity® SAI Managed Futures Fund |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 A |
|||
Selected Per Share Data
|
||||
Net asset value, beginning of period
|
$
|
10.92
|
$
|
10.00
|
Income from Investment Operations
|
||||
Net investment income (loss) B, C
|
.13
|
.18
|
||
Net realized and unrealized gain (loss)
|
.95
|
1.07
|
||
Total from investment operations
|
1.08
|
1.25
|
||
Distributions
|
||||
Distributions from net investment income
|
(.23)
|
(.13)
|
||
Distributions from net realized gain
|
(.18)
|
(.20)
|
||
Total distributions
|
(.41)
|
(.33)
|
||
Net asset value, end of period
|
$
|
11.59
|
$
|
10.92
|
Total Return D, E
|
10.14%
|
12.63%
|
||
Ratios and Supplemental Data C, F, G
|
||||
Ratio of expenses to average net assets before reductions
|
1.13% H
|
1.18% H, I
|
||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.05% H
|
1.05% H
|
||
Ratio of expenses to average net assets net of all reductions, if any
|
1.05% H
|
1.05% H
|
||
Ratio of net investment income (loss) to average net assets
|
2.37% H
|
2.75% H
|
||
Net assets, end of period
|
$
|
269,292,119
|
$
|
178,701,800
|
Portfolio turnover rate J
|
27% H
|
-%
|
||
AFor the period June 17, 2025 (commencement of operations) through January 31, 2026.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
ETotal returns for periods of less than one year are not annualized.
|
FExpense 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.
|
GFees 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.
|
HAnnualized.
|
IAudit fees are not annualized.
|
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Subsidiary Name
|
Net Assets of Subsidiary ($)
|
% of Fund's Total Assets
|
|
Fidelity® SAI Managed Futures Fund
|
Fidelity SAI Managed Futures Cayman Ltd.
|
53,923,302
|
20.0
|
Tax Cost ($)
|
Gross unrealized appreciation ($)
|
Gross unrealized depreciation ($)
|
Net unrealized appreciation (depreciation) ($)
|
|
Fidelity® SAI Managed Futures Fund
|
266,162,185
|
20,897,516
|
(12,453,775)
|
8,443,741
|
|
Commodity Risk
|
Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.
|
|
Credit Risk
|
Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.
|
|
Equity Risk
|
Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
|
|
Foreign Exchange Risk
|
Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
|
|
Interest Rate Risk
|
Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
|
Primary Risk Exposure / Derivative Type
|
Values of Derivative Assets ($)
|
Values of Derivative Liabilities ($)
|
Net Realized Gain (Loss) ($)
|
Change in Net Unrealized Appreciation (Depreciation) ($)
|
|||
Fidelity® SAI Managed Futures Fund
|
|||||||
Commodity Risk
|
|||||||
Futures Contracts
|
4,304,528
|
(3,834,301)
|
14,891,992
|
(3,266,814)
|
|||
Total Commodity Risk
|
4,304,528
|
(3,834,301)
|
14,891,992
|
(3,266,814)
|
|||
Credit Risk
|
|||||||
Swaps
|
8,915,838
|
(5,338,689)
|
(955,439)
|
1,171,429
|
|||
Total Credit Risk
|
8,915,838
|
(5,338,689)
|
(955,439)
|
1,171,429
|
|||
Equity Risk
|
|||||||
Futures Contracts
|
1,544,118
|
(525,160)
|
6,073,951
|
(1,536,068)
|
|||
Swaps
|
30,481
|
(492,741)
|
(881,908)
|
(342,672)
|
|||
Total Equity Risk
|
1,574,599
|
(1,017,901)
|
5,192,043
|
(1,878,740)
|
|||
Foreign Exchange Risk
|
|||||||
Forward Foreign Currency Contracts
|
5,689,790
|
(5,096,123)
|
(1,563,513)
|
(963,444)
|
|||
Total Foreign Exchange Risk
|
5,689,790
|
(5,096,123)
|
(1,563,513)
|
(963,444)
|
|||
Interest Rate Risk
|
|||||||
Futures Contracts
|
3,801,417
|
(718,837)
|
1,178,956
|
2,855,195
|
|||
Total Interest Rate Risk
|
3,801,417
|
(718,837)
|
1,178,956
|
2,855,195
|
|||
Totals
|
24,286,172
|
(16,005,851)
|
18,744,039
|
(2,082,374)
|
Fidelity® SAI Managed Futures Fund
|
||||||||||
|
Counterparty
|
Value of
Derivative
Assets ($)
|
Value of
Derivative
Liabilities ($)
|
Collateral
Received ($)
|
Collateral
Pledged ($)
|
Net ($)
|
|||||
Bank of America NA
|
3,236,540
|
(1,653,577)
|
(1,582,963)
|
-
|
-
|
|||||
Barclays Bank PLC
|
-
|
(155,163)
|
-
|
-
|
(155,163)
|
|||||
BNP Paribas SA
|
212,865
|
(177,403)
|
-
|
-
|
35,462
|
|||||
Brown Brothers Harriman & Co
|
23,309
|
(379,743)
|
-
|
301,026
|
(55,408)
|
|||||
Goldman Sachs International
|
30,481
|
(492,741)
|
-
|
462,260
|
-
|
|||||
JPMorgan Chase Bank NA
|
978,304
|
(1,416,549)
|
-
|
438,245
|
-
|
|||||
Royal Bank of Canada
|
324,109
|
(562,610)
|
-
|
238,501
|
-
|
|||||
State Street Bank & Trust Co
|
914,663
|
(751,078)
|
-
|
-
|
163,585
|
|||||
Total
|
$
|
5,720,271
|
$
|
(5,588,864)
|
$
|
(1,582,963)
|
$
|
1,440,032
|
$
|
(11,524)
|
Average Amount ($)
|
|
Fidelity® SAI Managed Futures Fund
|
|
Forward Foreign Currency Contracts
|
644,880,823
|
Futures
|
1,665,411,891
|
Swaps
|
349,539,648
|
Purchases ($)
|
Sales ($)
|
|
Fidelity® SAI Managed Futures Fund
|
24,461,172
|
8,000,000
|
Annual Management Fee Rate (%)
|
|
Fidelity® SAI Managed Futures Fund
|
1.00
|
Expense Limitation (%)
|
Expiration Date
|
Reimbursement ($)
|
|
Fidelity® SAI Managed Futures Fund
|
1.05
|
May 31, 2027
|
89,655
|
Custodian Credits ($)
|
|
Fidelity® SAI Managed Futures Fund
|
212
|
Six months ended ($)
|
Year ended ($)
|
|||
July 31, 2026
|
January 31, 2026
|
|||
Fidelity® SAI Managed Futures Fund
|
||||
Fidelity® SAI Managed Futures Fund (Commencement of sale of shares June 17, 2025)
|
7,726,768
|
4,037,377
|
||
Total
|
7,726,768
|
4,037,377
|
Shares
|
Shares
|
Dollars
|
Dollars
|
||||||
Six months ended
|
Year ended
|
Six months ended ($)
|
Year ended ($)
|
||||||
July 31, 2026
|
January 31, 2026
|
July 31, 2026
|
January 31, 2026
|
||||||
Fidelity® SAI Managed Futures Fund (Commencement of sale of shares June 17, 2025)
|
|||||||||
Shares sold
|
8,829,747
|
15,978,816
|
100,000,001
|
164,809,139
|
|||||
Reinvestment of distributions
|
718,101
|
385,983
|
7,726,768
|
4,037,377
|
|||||
Shares redeemed
|
(2,675,059)
|
(16)
|
(30,103,588)
|
(157)
|
|||||
Net increase (decrease)
|
6,872,789
|
16,364,783
|
77,623,181
|
168,846,359
|
Strategic Advisers Fidelity Alternatives Fund
|
|
Fidelity ® SAI Managed Futures Fund
|
100%
|
 |
Contents
Common Stocks - 2.9%
|
|||
Shares
|
Value ($)
|
||
UNITED STATES - 2.9%
|
|||
Information Technology - 2.9%
|
|||
Semiconductors & Semiconductor Equipment - 2.1%
|
|||
NVIDIA Corp
|
34,000
|
6,825,500
|
|
Software - 0.8%
|
|||
Microsoft Corp
|
6,500
|
3,020,680
|
|
TOTAL UNITED STATES
|
9,846,180
|
||
|
TOTAL COMMON STOCKS
(Cost $8,456,775)
|
9,846,180
|
||
Domestic Equity Funds - 3.8%
|
|||
Shares
|
Value ($)
|
||
iShares Core S&P 500 ETF
(Cost $11,177,862)
|
16,600
|
12,455,312
|
|
U.S. Treasury Obligations - 49.6%
|
||||
Yield (%) (b)
|
Principal
Amount (a)
|
Value ($)
|
||
US Treasury Bills 0% 10/22/2026 (c)(d)(e)
|
3.80
|
103,000,000
|
102,157,444
|
|
US Treasury Bills 0% 10/6/2026 (c)(d)(e)
|
3.70
|
62,400,000
|
61,993,540
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $164,095,857)
|
164,150,984
|
|||
Money Market Funds - 42.6%
|
||||
Yield (%)
|
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund (f)
(Cost $140,973,951)
|
3.69
|
140,950,397
|
140,978,587
|
|
|
TOTAL INVESTMENT IN SECURITIES - 98.9%
(Cost $324,704,445)
|
327,431,063
|
NET OTHER ASSETS (LIABILITIES) - 1.1%
|
3,675,023
|
NET ASSETS - 100.0%
|
331,106,086
|
Futures Contracts
|
||||
Number
of contracts
|
Expiration
Date
|
Notional
Amount ($)
|
Value and Unrealized
Appreciation/
(Depreciation) ($)
|
|
LONG
|
||||
Bursa Malaysia Crude Palm Oil Contracts (Malaysia)
|
119
|
10/2026
|
3,380,136
|
42,762
|
CBOT Hard Red Winter Wheat Contracts (United States)
|
13
|
9/2026
|
459,875
|
47,123
|
CBOT Hard Red Winter Wheat Contracts (United States)
|
83
|
12/2026
|
3,003,563
|
9,192
|
CBOT Soybean Contracts (United States)
|
96
|
1/2027
|
5,766,000
|
(86,711)
|
CBOT Soybean Meal Contracts (United States)
|
30
|
1/2027
|
970,500
|
(9,512)
|
CBOT Soybean Oil Contracts (United States)
|
85
|
1/2027
|
3,409,350
|
(148,400)
|
CBOT Wheat Contracts (United States)
|
15
|
9/2026
|
479,438
|
32,767
|
CBOT Wheat Contracts (United States)
|
67
|
12/2026
|
2,202,625
|
(26,262)
|
CEC Gold Bullion Contracts (United States)
|
4
|
12/2026
|
1,642,800
|
(26,410)
|
CEC Silver Bullion Contracts (United States)
|
3
|
9/2026
|
866,790
|
(39,818)
|
CME E-Mini Russell 2000 Index Contracts (United States)
|
9
|
9/2026
|
1,322,100
|
(19,604)
|
CME E-Mini S&P MidCap 400 Index Contracts (United States)
|
1
|
9/2026
|
377,290
|
(9,452)
|
CME Live Cattle Contracts (United States)
|
42
|
12/2026
|
3,812,760
|
(12,884)
|
COMEX Copper Contracts (United States)
|
30
|
12/2026
|
4,920,000
|
82,582
|
COMEX US Midwest Hot-Rolled Coil Steel Contracts (United States)
|
75
|
9/2026
|
1,803,000
|
27,581
|
EEX French Financial Baseload Contracts (Germany)
|
19
|
9/2026
|
1,533,344
|
368,997
|
EEX Italian Power Base Contracts (Germany)
|
18
|
9/2026
|
2,505,219
|
(17,237)
|
EEX Phelix DE Baseload Contracts (Germany)
|
25
|
9/2026
|
2,864,386
|
435,560
|
Eurex Euro STOXX 50 Contracts (Germany)
|
34
|
9/2026
|
2,493,035
|
28,481
|
Eurex Euro-OAT Contracts (Germany)
|
38
|
9/2026
|
5,121,029
|
(69,044)
|
Euronext MATIF Rapeseed Contracts (France)
|
208
|
10/2026
|
6,138,414
|
(182,371)
|
Euronext MATIF Wheat Contracts (France)
|
14
|
12/2026
|
183,628
|
(6,878)
|
HKEX Hang Seng Index Contracts (Hong Kong)
|
7
|
8/2026
|
1,157,799
|
38,010
|
ICE Rotterdam Coal Contracts (United Kingdom)
|
5
|
8/2026
|
610,000
|
(5,805)
|
ICE Rotterdam Coal Contracts (United Kingdom)
|
20
|
9/2026
|
2,460,000
|
96,982
|
ICE Cotton No 2 Contracts (United States)
|
932
|
3/2027
|
38,845,760
|
2,009,152
|
ICE Crude Oil Contracts (United Kingdom)
|
37
|
10/2026
|
2,830,537
|
(49,283)
|
ICE Endex Bull Carbon Emission Contracts (Netherlands)
|
9
|
12/2026
|
841,443
|
4,037
|
ICE FTSE 100 Index Contracts (United Kingdom)
|
21
|
9/2026
|
3,070,530
|
92,462
|
ICE Gas Oil Contracts (United Kingdom)
|
33
|
1/2027
|
3,264,525
|
304,553
|
ICE Gas Oil Contracts (United Kingdom)
|
57
|
9/2026
|
7,013,850
|
1,139,305
|
ICE Murban Crude Contracts (United Arab Emirates)
|
5
|
9/2026
|
397,350
|
(9)
|
ICE Murban Crude Contracts (United Arab Emirates)
|
17
|
8/2026
|
1,453,330
|
289,129
|
ICE Natural Gas Contracts (Netherlands)
|
35
|
8/2026
|
1,712,696
|
145,986
|
ICE Natural Gas Contracts (United Kingdom)
|
5
|
9/2026
|
303,605
|
(12)
|
ICE Natural Gas Contracts (United Kingdom)
|
25
|
8/2026
|
1,456,236
|
288,520
|
ICE White Sugar Contracts (United Kingdom)
|
37
|
9/2026
|
853,960
|
2,598
|
IDEM FTSE MIB Index Contracts (Italy)
|
13
|
9/2026
|
3,914,286
|
(27,006)
|
KRX 3Y Korea Treasury Bond Contracts (South Korea)
|
395
|
9/2026
|
28,600,582
|
69,180
|
LME Aluminum Contracts (United Kingdom)
|
105
|
9/2026
|
8,369,576
|
(503,082)
|
LME Lead Contracts (United Kingdom)
|
27
|
9/2026
|
1,255,237
|
(73,119)
|
LME Nickel Contracts (United Kingdom)
|
66
|
9/2026
|
6,799,874
|
(224,383)
|
LME Tin Contracts (United Kingdom)
|
10
|
9/2026
|
2,757,400
|
110,399
|
LME Zinc Contracts (United Kingdom)
|
114
|
9/2026
|
10,445,735
|
307,696
|
MEFF IBEX 35 Index Contracts (Spain)
|
23
|
8/2026
|
5,242,701
|
100,803
|
MIAX Wheat Contracts (United States)
|
44
|
9/2026
|
1,517,450
|
155
|
NYMEX Heating Oil Contracts (United States)
|
23
|
12/2026
|
3,395,780
|
214,578
|
NYMEX Ethanol Contracts (United States)
|
75
|
9/2026
|
6,142,500
|
95,369
|
NYMEX Gasoline RBOB Contracts (United States)
|
44
|
12/2026
|
4,573,615
|
102,523
|
NYMEX Gasoline RBOB Contracts (United States)
|
9
|
8/2026
|
1,177,168
|
115,311
|
NYMEX Heating Oil Contracts (United States)
|
24
|
8/2026
|
4,128,264
|
415,220
|
NYMEX Natural Gas Contracts (United States)
|
37
|
8/2026
|
1,016,390
|
(112,611)
|
NYMEX Palladium Contracts (United States)
|
2
|
9/2026
|
256,280
|
(21,025)
|
NYMEX Platinum Bullion Contracts (United States)
|
14
|
10/2026
|
1,161,090
|
(36,089)
|
NYMEX Propane Contracts (United States)
|
50
|
9/2026
|
1,466,493
|
(103,378)
|
OMX Stockholm 30 Contracts (Sweden)
|
78
|
8/2026
|
2,663,774
|
61,489
|
OSE 10Y Japan Treasury Bond Contracts (Japan)
|
92
|
9/2026
|
73,420,882
|
(229,562)
|
OSE Nikkei 225 Index Contracts (Japan)
|
3
|
9/2026
|
1,200,565
|
(28,755)
|
OSE Platinum Bullion Contracts (Japan)
|
83
|
6/2027
|
2,170,068
|
22,222
|
OSE TOPIX Contracts (Japan)
|
8
|
9/2026
|
2,002,952
|
30,039
|
SGX FTSE China A50 Index Contracts (Singapore)
|
755
|
8/2026
|
11,178,530
|
(107,834)
|
SGX Iron Ore Index Contracts (Singapore)
|
302
|
9/2026
|
2,895,576
|
(66,645)
|
SGX MSCI Singapore Index Contracts (Singapore)
|
389
|
8/2026
|
15,773,014
|
206,151
|
SGX Natural Rubber Contracts (Singapore)
|
14
|
10/2026
|
148,275
|
(30)
|
SGX Natural Rubber Contracts (Singapore)
|
565
|
9/2026
|
5,957,925
|
(72,523)
|
TFEX SET50 Index Contracts (Thailand)
|
578
|
9/2026
|
3,752,997
|
196,273
|
TME 3M CORRA Contracts (Canada)
|
56
|
12/2026
|
9,746,160
|
(1,739)
|
TME S&P/TSX 60 Index Contracts (Canada)
|
15
|
9/2026
|
4,457,711
|
13,702
|
TOTAL LONG
|
5,229,416
|
|||
SHORT
|
||||
ASX 10Y Australian Treasury Bond Contracts (Australia)
|
(396)
|
9/2026
|
(30,071,953)
|
(29,862)
|
ASX 24 S&P/ASX 200 Index Contracts (Australia)
|
(1)
|
9/2026
|
(157,028)
|
(3,040)
|
ASX 3Y Australia Treasury Bond Contracts (Australia)
|
(1,444)
|
9/2026
|
(105,673,206)
|
(100,327)
|
CBOT 10Y US Treasury Notes Contracts (United States)
|
(195)
|
9/2026
|
(21,105,703)
|
138,033
|
CBOT 2Y US Treasury Notes Contracts (United States)
|
(201)
|
9/2026
|
(41,344,758)
|
96,788
|
CBOT 5Y US Treasury Notes Contracts (United States)
|
(526)
|
9/2026
|
(55,821,750)
|
299,408
|
CBOT Corn Contracts (United States)
|
(201)
|
9/2026
|
(4,429,538)
|
(60,566)
|
CBOT Corn Contracts (United States)
|
(68)
|
12/2026
|
(1,577,600)
|
(39,922)
|
CBOT E-Mini Dow Jones Industrial Average Index Contracts (United States)
|
(2)
|
9/2026
|
(526,350)
|
(13,914)
|
CBOT Soybean Contracts (United States)
|
(95)
|
11/2026
|
(5,640,625)
|
22,576
|
CBOT Soybean Meal Contracts (United States)
|
(14)
|
12/2026
|
(449,680)
|
4,947
|
CBOT Soybean Oil Contracts (United States)
|
(15)
|
12/2026
|
(602,100)
|
34,217
|
CBOT US Treasury Long Bond Contracts (United States)
|
(79)
|
9/2026
|
(8,583,844)
|
153,235
|
CBOT US Treasury Ultra Bond Contracts (United States)
|
(134)
|
9/2026
|
(14,748,375)
|
344,982
|
CEC Copper Contracts (United States)
|
(5)
|
9/2026
|
(808,188)
|
(12,500)
|
CME 3M US SOFR Index Contracts (United States)
|
(1,048)
|
12/2026
|
(251,821,300)
|
466,797
|
CME 3M US SOFR Index Contracts (United States)
|
(514)
|
6/2027
|
(123,109,425)
|
451,294
|
CME 3M US SOFR Index Contracts (United States)
|
(655)
|
3/2027
|
(157,069,000)
|
506,035
|
CME 3M US SOFR Index Contracts (United States)
|
(458)
|
9/2027
|
(109,662,375)
|
128,083
|
CME Bitcoin Contracts (United States)
|
(9)
|
8/2026
|
(2,840,850)
|
89,184
|
CME Butter Contracts (United States)
|
(24)
|
9/2026
|
(771,600)
|
68,938
|
CME Cheese Contracts (United States)
|
(40)
|
9/2026
|
(1,348,800)
|
(23,301)
|
CME E-Mini S&P 500 Index Contracts (United States)
|
(2)
|
9/2026
|
(751,925)
|
(6,039)
|
CME Ether Contracts (United States)
|
(15)
|
8/2026
|
(1,404,000)
|
26,346
|
CME Lean Hogs Contracts (United States)
|
(90)
|
12/2026
|
(2,724,300)
|
22,686
|
CME Lean Hogs Contracts (United States)
|
(74)
|
10/2026
|
(2,511,560)
|
26,544
|
CME Live Cattle Contracts (United States)
|
(2)
|
10/2026
|
(181,800)
|
4,144
|
CME Milk Contracts (United States)
|
(99)
|
9/2026
|
(3,470,940)
|
(76,859)
|
Eurex DAX Index Contracts (Germany)
|
(3)
|
9/2026
|
(2,218,548)
|
(53,336)
|
Eurex Euro-BTP Contracts (Germany)
|
(63)
|
9/2026
|
(8,424,166)
|
62,779
|
Eurex Euro-Bobl Contracts (Germany)
|
(309)
|
9/2026
|
(40,472,391)
|
162,477
|
Eurex Euro-Bund Contracts (Germany)
|
(155)
|
9/2026
|
(22,177,772)
|
131,439
|
Eurex Euro-Buxl Contracts (Germany)
|
(123)
|
9/2026
|
(14,975,398)
|
254,323
|
Eurex Euro-Schatz Contracts (Germany)
|
(350)
|
9/2026
|
(42,465,937)
|
73,320
|
Euronext CAC 40 Index Contracts (France)
|
(4)
|
8/2026
|
(392,153)
|
(7,380)
|
HKEX Hang Seng Index Contracts (Hong Kong)
|
(11)
|
8/2026
|
(605,718)
|
(1,641)
|
ICE 3M EURIBOR Index Contracts (United States)
|
(792)
|
9/2026
|
(221,897,258)
|
410,062
|
ICE 3M EURIBOR Index Contracts (United States)
|
(491)
|
12/2026
|
(137,296,756)
|
483,343
|
ICE 3M EURIBOR Index Contracts (United States)
|
(379)
|
6/2027
|
(105,793,230)
|
91,730
|
ICE 3M EURIBOR Index Contracts (United States)
|
(400)
|
3/2027
|
(111,712,652)
|
227,724
|
ICE 3M SONIA Index Contracts (United Kingdom)
|
(283)
|
6/2027
|
(91,122,465)
|
(49,175)
|
ICE 3M SONIA Index Contracts (United States)
|
(524)
|
12/2026
|
(169,435,442)
|
(176,716)
|
ICE 3M SONIA Index Contracts (United States)
|
(336)
|
3/2027
|
(108,374,324)
|
(148,091)
|
ICE 3M SONIA Index Contracts (United States)
|
(272)
|
9/2027
|
(87,511,969)
|
32,375
|
ICE Cocoa Contracts (United Kingdom)
|
(27)
|
12/2026
|
(1,477,028)
|
(292,219)
|
ICE Cocoa Contracts (United States)
|
(87)
|
9/2026
|
(4,695,390)
|
(1,050,533)
|
ICE Cocoa Contracts (United States)
|
(4)
|
12/2026
|
(221,440)
|
(27,042)
|
ICE Coffee C Contracts (United States)
|
(3)
|
12/2026
|
(353,981)
|
(56,522)
|
ICE Coffee Contracts (United States)
|
(2)
|
9/2026
|
(249,075)
|
(66,250)
|
ICE Coffee Robusta Contracts (United Kingdom)
|
(13)
|
9/2026
|
(491,660)
|
(57,835)
|
ICE Cotton No 2 Contracts (United States)
|
(900)
|
12/2026
|
(36,805,500)
|
(1,881,021)
|
ICE Long GILT Futures (United Kingdom)
|
(81)
|
9/2026
|
(9,427,907)
|
133,534
|
ICE MSCI EAFE Index Contracts (United States)
|
(20)
|
9/2026
|
(3,182,300)
|
(22,918)
|
ICE MSCI Emerging Markets Index Contracts (United States)
|
(31)
|
9/2026
|
(2,545,565)
|
176,089
|
ICE Sugar No 11 Contracts (United States)
|
(87)
|
9/2026
|
(1,428,470)
|
16,698
|
ICE US Sugar Contracts (United States)
|
(89)
|
2/2027
|
(1,548,030)
|
(17,292)
|
JSE FTSE TOP 40 Index Contracts (South Africa)
|
(50)
|
9/2026
|
(3,117,891)
|
36,182
|
JSE Maize Contracts (South Africa)
|
(229)
|
12/2026
|
(5,196,731)
|
(448,405)
|
JSE Maize Contracts (South Africa)
|
(211)
|
12/2026
|
(4,706,666)
|
(326,512)
|
JSE Wheat Contracts (South Africa)
|
(594)
|
12/2026
|
(11,068,022)
|
(443,461)
|
KRX 10Y Korea Treasury Bond Contracts (South Korea)
|
(117)
|
9/2026
|
(8,684,113)
|
(35,341)
|
KRX KOSPI 200 Index Contracts (South Korea)
|
(7)
|
9/2026
|
(1,265,089)
|
210,499
|
LME Aluminum Contracts (United Kingdom)
|
(18)
|
9/2026
|
(1,434,785)
|
53,137
|
LME Lead Contracts (United Kingdom)
|
(33)
|
9/2026
|
(1,534,178)
|
39,311
|
LME Nickel Contracts (United Kingdom)
|
(15)
|
9/2026
|
(1,545,426)
|
19,792
|
LME Zinc Contracts (United Kingdom)
|
(26)
|
9/2026
|
(2,382,361)
|
(78,567)
|
NSE IFSC Nifty 50 Index Contracts (India)
|
(136)
|
8/2026
|
(6,649,856)
|
(159,857)
|
NYMEX Natural Gas Contracts (United States)
|
(48)
|
12/2026
|
(1,999,200)
|
43,942
|
SGX FTSE Taiwan Index Contracts (Singapore)
|
(24)
|
8/2026
|
(3,563,280)
|
(48,615)
|
TME 10Y Canadian Bond Contracts (Canada)
|
(51)
|
9/2026
|
(4,318,195)
|
26,544
|
TME 3M CORRA Contracts (Canada)
|
(493)
|
9/2027
|
(85,278,264)
|
69,038
|
TME 3M CORRA Contracts (Canada)
|
(473)
|
6/2027
|
(81,966,212)
|
(77,560)
|
TME 3M CORRA Contracts (Canada)
|
(386)
|
3/2027
|
(67,041,309)
|
(83,561)
|
TOTAL SHORT
|
(337,605)
|
|||
TOTAL FUTURES CONTRACTS
|
4,891,811
|
|||
Forward Foreign Currency Contracts
|
||||||
Currency
Purchased
|
Currency
Sold
|
Counterparty
|
Settlement
Date
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||
AUD
|
11,470,000
|
USD
|
7,939,934
|
Bank of America NA
|
9/2026
|
109,447
|
AUD
|
4,885,000
|
USD
|
3,418,642
|
Bank of America NA
|
9/2026
|
9,538
|
AUD
|
9,245,000
|
USD
|
6,476,995
|
Bank of America NA
|
9/2026
|
10,932
|
AUD
|
9,820,000
|
USD
|
6,768,498
|
JPMorgan Chase Bank NA
|
9/2026
|
122,951
|
AUD
|
8,312,000
|
USD
|
5,818,230
|
JPMorgan Chase Bank NA
|
9/2026
|
14,939
|
AUD
|
5,342,000
|
USD
|
3,674,276
|
State Street Bank & Trust Co
|
9/2026
|
74,617
|
AUD
|
3,813,000
|
USD
|
2,659,873
|
State Street Bank & Trust Co
|
9/2026
|
16,003
|
AUD
|
3,276,000
|
USD
|
2,311,949
|
State Street Bank & Trust Co
|
9/2026
|
(12,927)
|
BRL
|
9,123,000
|
USD
|
1,774,557
|
Bank of America NA
|
10/2026
|
(3,837)
|
BRL
|
5,210,000
|
USD
|
1,007,133
|
Bank of America NA
|
10/2026
|
4,097
|
BRL
|
55,925,000
|
USD
|
10,495,252
|
Bank of America NA
|
10/2026
|
359,464
|
CAD
|
7,680,000
|
USD
|
5,422,035
|
BNP Paribas SA
|
9/2026
|
63,080
|
CAD
|
5,925,000
|
USD
|
4,217,066
|
JPMorgan Chase Bank NA
|
9/2026
|
14,615
|
CAD
|
2,307,000
|
USD
|
1,639,321
|
JPMorgan Chase Bank NA
|
9/2026
|
8,356
|
CAD
|
2,487,000
|
USD
|
1,763,497
|
JPMorgan Chase Bank NA
|
9/2026
|
12,738
|
CAD
|
8,079,000
|
USD
|
5,704,889
|
JPMorgan Chase Bank NA
|
9/2026
|
65,195
|
CAD
|
2,438,000
|
USD
|
1,747,999
|
JPMorgan Chase Bank NA
|
9/2026
|
(6,761)
|
CAD
|
42,175,000
|
USD
|
30,113,277
|
Royal Bank of Canada
|
9/2026
|
8,431
|
CAD
|
64,191,000
|
USD
|
46,205,872
|
Royal Bank of Canada
|
9/2026
|
(360,168)
|
CAD
|
2,322,000
|
USD
|
1,652,273
|
State Street Bank & Trust Co
|
9/2026
|
6,117
|
CAD
|
5,826,000
|
USD
|
4,125,951
|
State Street Bank & Trust Co
|
9/2026
|
35,023
|
CAD
|
9,325,000
|
USD
|
6,697,305
|
State Street Bank & Trust Co
|
9/2026
|
(37,319)
|
CHF
|
8,215,000
|
USD
|
10,249,641
|
BNP Paribas SA
|
9/2026
|
(46,745)
|
CHF
|
3,865,000
|
USD
|
4,817,943
|
Bank of America NA
|
9/2026
|
(17,676)
|
CHF
|
2,095,000
|
USD
|
2,604,214
|
Bank of America NA
|
9/2026
|
(2,258)
|
CHF
|
885,000
|
USD
|
1,100,161
|
Bank of America NA
|
9/2026
|
(1,006)
|
CHF
|
6,083,000
|
USD
|
7,491,377
|
JPMorgan Chase Bank NA
|
9/2026
|
63,610
|
CHF
|
4,046,000
|
USD
|
5,052,233
|
State Street Bank & Trust Co
|
9/2026
|
(27,167)
|
CHF
|
2,631,000
|
USD
|
3,231,639
|
State Street Bank & Trust Co
|
9/2026
|
36,020
|
CHF
|
2,006,000
|
USD
|
2,463,762
|
State Street Bank & Trust Co
|
9/2026
|
27,657
|
CHF
|
1,131,000
|
USD
|
1,390,730
|
State Street Bank & Trust Co
|
9/2026
|
13,954
|
CHF
|
1,749,000
|
USD
|
2,183,008
|
State Street Bank & Trust Co
|
9/2026
|
(10,779)
|
CHF
|
2,435,000
|
USD
|
3,035,724
|
State Street Bank & Trust Co
|
9/2026
|
(11,494)
|
CHF
|
1,095,000
|
USD
|
1,383,601
|
State Street Bank & Trust Co
|
9/2026
|
(23,629)
|
CHF
|
5,340,000
|
USD
|
6,628,863
|
State Street Bank & Trust Co
|
9/2026
|
3,330
|
CHF
|
1,434,000
|
USD
|
1,789,949
|
State Street Bank & Trust Co
|
9/2026
|
(8,945)
|
CLP
|
1,280,746,000
|
USD
|
1,400,028
|
Bank of America NA
|
9/2026
|
(20,137)
|
CNH
|
7,327,000
|
USD
|
1,089,249
|
Bank of America NA
|
9/2026
|
(873)
|
COP
|
7,011,405,000
|
USD
|
2,160,680
|
Bank of America NA
|
9/2026
|
45,137
|
COP
|
59,171,467,000
|
USD
|
16,131,807
|
Bank of America NA
|
9/2026
|
2,483,773
|
COP
|
3,951,707,000
|
USD
|
1,218,711
|
JPMorgan Chase Bank NA
|
9/2026
|
24,512
|
CZK
|
4,581,000
|
USD
|
219,421
|
Barclays Bank PLC
|
9/2026
|
(1,528)
|
GBP
|
2,815,000
|
USD
|
3,751,529
|
BNP Paribas SA
|
9/2026
|
36,669
|
GBP
|
1,210,000
|
USD
|
1,608,166
|
BNP Paribas SA
|
9/2026
|
20,154
|
GBP
|
8,932,000
|
USD
|
11,995,943
|
BNP Paribas SA
|
9/2026
|
24,017
|
GBP
|
3,588,000
|
USD
|
4,777,960
|
BNP Paribas SA
|
9/2026
|
50,479
|
GBP
|
780,000
|
USD
|
1,037,221
|
Bank of America NA
|
9/2026
|
12,440
|
GBP
|
4,059,000
|
USD
|
5,459,584
|
Bank of America NA
|
9/2026
|
2,688
|
GBP
|
8,645,000
|
USD
|
11,582,406
|
JPMorgan Chase Bank NA
|
9/2026
|
51,332
|
GBP
|
2,352,000
|
USD
|
3,148,575
|
JPMorgan Chase Bank NA
|
9/2026
|
16,556
|
HUF
|
2,096,575,000
|
USD
|
6,797,964
|
Bank of America NA
|
9/2026
|
(194,759)
|
HUF
|
330,611,000
|
USD
|
1,039,381
|
JPMorgan Chase Bank NA
|
9/2026
|
1,885
|
IDR
|
48,863,220,000
|
USD
|
2,696,348
|
Bank of America NA
|
9/2026
|
7,352
|
IDR
|
19,076,061,000
|
USD
|
1,058,899
|
JPMorgan Chase Bank NA
|
9/2026
|
(3,382)
|
INR
|
168,018,000
|
USD
|
1,732,323
|
Bank of America NA
|
9/2026
|
21,943
|
INR
|
1,577,572,000
|
USD
|
16,411,502
|
Bank of America NA
|
9/2026
|
59,833
|
INR
|
147,031,000
|
USD
|
1,529,788
|
JPMorgan Chase Bank NA
|
9/2026
|
5,354
|
MXN
|
21,349,000
|
USD
|
1,219,194
|
JPMorgan Chase Bank NA
|
9/2026
|
6,591
|
MXN
|
18,237,000
|
USD
|
1,043,312
|
JPMorgan Chase Bank NA
|
9/2026
|
3,794
|
MXN
|
169,336,000
|
USD
|
9,656,891
|
State Street Bank & Trust Co
|
9/2026
|
65,796
|
NOK
|
10,201,000
|
USD
|
1,069,363
|
Bank of America NA
|
9/2026
|
5,518
|
NOK
|
49,545,000
|
USD
|
5,132,876
|
Bank of America NA
|
9/2026
|
87,689
|
NOK
|
12,359,000
|
USD
|
1,249,161
|
JPMorgan Chase Bank NA
|
9/2026
|
53,109
|
NOK
|
42,726,000
|
USD
|
4,403,758
|
Royal Bank of Canada
|
9/2026
|
98,287
|
NOK
|
64,740,000
|
USD
|
6,810,515
|
State Street Bank & Trust Co
|
9/2026
|
11,150
|
NOK
|
129,421,000
|
USD
|
13,005,355
|
State Street Bank & Trust Co
|
9/2026
|
631,757
|
NOK
|
20,698,000
|
USD
|
2,090,163
|
State Street Bank & Trust Co
|
9/2026
|
90,789
|
NOK
|
64,902,000
|
USD
|
6,809,834
|
State Street Bank & Trust Co
|
9/2026
|
28,901
|
NZD
|
36,159,000
|
USD
|
21,166,285
|
Bank of America NA
|
9/2026
|
110,868
|
NZD
|
12,354,000
|
USD
|
6,994,925
|
JPMorgan Chase Bank NA
|
9/2026
|
274,578
|
NZD
|
10,129,000
|
USD
|
5,767,039
|
JPMorgan Chase Bank NA
|
9/2026
|
193,200
|
NZD
|
15,370,000
|
USD
|
8,907,591
|
Royal Bank of Canada
|
9/2026
|
136,626
|
NZD
|
2,548,000
|
USD
|
1,442,713
|
State Street Bank & Trust Co
|
9/2026
|
56,614
|
NZD
|
1,927,000
|
USD
|
1,093,168
|
State Street Bank & Trust Co
|
9/2026
|
40,743
|
PEN
|
4,846,000
|
USD
|
1,422,783
|
Bank of America NA
|
9/2026
|
1,294
|
PEN
|
4,523,000
|
USD
|
1,326,977
|
JPMorgan Chase Bank NA
|
9/2026
|
2,182
|
PEN
|
39,606,000
|
USD
|
11,747,293
|
State Street Bank & Trust Co
|
9/2026
|
(108,415)
|
SEK
|
65,630,000
|
USD
|
6,848,900
|
Bank of America NA
|
9/2026
|
46,753
|
SEK
|
22,601,000
|
USD
|
2,350,734
|
Bank of America NA
|
9/2026
|
23,922
|
SEK
|
37,696,000
|
USD
|
3,888,228
|
Bank of America NA
|
9/2026
|
72,438
|
SEK
|
16,343,000
|
USD
|
1,722,546
|
Bank of America NA
|
9/2026
|
(5,410)
|
SEK
|
16,289,000
|
USD
|
1,692,274
|
Bank of America NA
|
9/2026
|
19,189
|
SEK
|
29,274,000
|
USD
|
3,031,023
|
Bank of America NA
|
9/2026
|
44,756
|
SEK
|
68,951,000
|
USD
|
7,348,033
|
Barclays Bank PLC
|
9/2026
|
(103,448)
|
SEK
|
33,276,000
|
USD
|
3,443,468
|
JPMorgan Chase Bank NA
|
9/2026
|
52,795
|
SEK
|
115,969,000
|
USD
|
11,917,290
|
JPMorgan Chase Bank NA
|
9/2026
|
267,411
|
SEK
|
61,338,000
|
USD
|
6,409,405
|
Royal Bank of Canada
|
9/2026
|
35,293
|
SEK
|
61,757,000
|
USD
|
6,399,382
|
Royal Bank of Canada
|
9/2026
|
89,340
|
SEK
|
12,363,000
|
USD
|
1,270,032
|
State Street Bank & Trust Co
|
9/2026
|
28,931
|
TWD
|
97,019,000
|
USD
|
3,042,588
|
Bank of America NA
|
9/2026
|
(32,658)
|
TWD
|
100,815,000
|
USD
|
3,174,276
|
Bank of America NA
|
9/2026
|
(46,578)
|
TWD
|
327,243,000
|
USD
|
10,336,002
|
JPMorgan Chase Bank NA
|
9/2026
|
(183,572)
|
TWD
|
50,170,000
|
USD
|
1,548,935
|
JPMorgan Chase Bank NA
|
9/2026
|
7,546
|
USD
|
2,778,543
|
AUD
|
3,934,000
|
Bank of America NA
|
9/2026
|
17,753
|
USD
|
3,610,542
|
AUD
|
5,186,000
|
Bank of America NA
|
9/2026
|
(28,873)
|
USD
|
19,840,084
|
AUD
|
28,375,000
|
Bank of America NA
|
9/2026
|
(72,836)
|
USD
|
3,442,753
|
AUD
|
4,914,000
|
Bank of America NA
|
9/2026
|
(5,778)
|
USD
|
21,647,659
|
AUD
|
30,794,000
|
Barclays Bank PLC
|
9/2026
|
37,141
|
USD
|
1,551,224
|
AUD
|
2,223,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(8,826)
|
USD
|
1,939,530
|
AUD
|
2,786,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(15,621)
|
USD
|
4,128,213
|
AUD
|
5,906,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(16,481)
|
USD
|
1,090,603
|
AUD
|
1,571,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(11,888)
|
USD
|
3,803,800
|
AUD
|
5,454,000
|
Royal Bank of Canada
|
9/2026
|
(23,692)
|
USD
|
3,614,230
|
AUD
|
5,211,000
|
Royal Bank of Canada
|
9/2026
|
(42,730)
|
USD
|
3,172,597
|
AUD
|
4,541,000
|
Royal Bank of Canada
|
9/2026
|
(14,172)
|
USD
|
1,667,021
|
AUD
|
2,393,000
|
State Street Bank & Trust Co
|
9/2026
|
(12,331)
|
USD
|
18,057,643
|
CAD
|
25,395,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(79,661)
|
USD
|
1,226,392
|
CAD
|
1,701,000
|
JPMorgan Chase Bank NA
|
9/2026
|
11,525
|
USD
|
8,072,008
|
CAD
|
11,431,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(92,100)
|
USD
|
4,557,323
|
CAD
|
6,453,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(51,459)
|
USD
|
13,033,469
|
CAD
|
18,497,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(177,230)
|
USD
|
2,663,613
|
CAD
|
3,732,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(1,811)
|
USD
|
1,007,182
|
CAD
|
1,412,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(1,279)
|
USD
|
1,485,328
|
CAD
|
2,068,000
|
Royal Bank of Canada
|
9/2026
|
8,347
|
USD
|
1,581,847
|
CAD
|
2,234,000
|
Royal Bank of Canada
|
9/2026
|
(13,693)
|
USD
|
4,260,169
|
CAD
|
5,966,000
|
State Street Bank & Trust Co
|
9/2026
|
(794)
|
USD
|
1,587,258
|
CAD
|
2,242,000
|
State Street Bank & Trust Co
|
9/2026
|
(13,996)
|
USD
|
5,261,848
|
CHF
|
4,219,000
|
BNP Paribas SA
|
9/2026
|
21,919
|
USD
|
1,204,082
|
CHF
|
964,000
|
BNP Paribas SA
|
9/2026
|
6,810
|
USD
|
3,562,704
|
CHF
|
2,804,000
|
Bank of America NA
|
9/2026
|
80,182
|
USD
|
1,016,578
|
CHF
|
810,000
|
Bank of America NA
|
9/2026
|
10,571
|
USD
|
3,781,174
|
CHF
|
2,980,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
80,063
|
USD
|
13,809,953
|
CHF
|
11,157,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(46,859)
|
USD
|
10,633,131
|
CHF
|
8,560,000
|
Royal Bank of Canada
|
9/2026
|
1,751
|
USD
|
1,851,512
|
CHF
|
1,473,000
|
State Street Bank & Trust Co
|
9/2026
|
22,070
|
USD
|
1,029,562
|
CLP
|
948,741,000
|
Bank of America NA
|
9/2026
|
7,377
|
USD
|
1,047,021
|
CLP
|
974,253,000
|
Bank of America NA
|
9/2026
|
(2,651)
|
USD
|
1,158,747
|
CLP
|
1,095,016,000
|
State Street Bank & Trust Co
|
9/2026
|
(21,036)
|
USD
|
1,161,913
|
CNH
|
7,862,000
|
Bank of America NA
|
9/2026
|
(5,935)
|
USD
|
4,482,676
|
CNH
|
30,258,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(11,947)
|
USD
|
1,370,033
|
CNH
|
9,247,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(3,547)
|
USD
|
24,521,111
|
CNH
|
164,930,000
|
Royal Bank of Canada
|
9/2026
|
21,864
|
USD
|
3,099,180
|
CNH
|
20,918,000
|
State Street Bank & Trust Co
|
9/2026
|
(8,049)
|
USD
|
1,362,815
|
CNH
|
9,204,000
|
State Street Bank & Trust Co
|
9/2026
|
(4,377)
|
USD
|
1,436,696
|
CNH
|
9,723,000
|
State Street Bank & Trust Co
|
9/2026
|
(7,590)
|
USD
|
1,070,951
|
COP
|
3,819,010,000
|
State Street Bank & Trust Co
|
9/2026
|
(130,525)
|
USD
|
1,011,092
|
COP
|
3,329,526,000
|
State Street Bank & Trust Co
|
9/2026
|
(36,390)
|
USD
|
1,012,447
|
CZK
|
21,494,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(9,901)
|
USD
|
1,375,551
|
CZK
|
29,120,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(9,522)
|
USD
|
1,060,329
|
CZK
|
22,510,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(10,344)
|
USD
|
1,093,682
|
CZK
|
22,879,000
|
State Street Bank & Trust Co
|
9/2026
|
5,458
|
USD
|
1,081,835
|
CZK
|
22,991,000
|
State Street Bank & Trust Co
|
9/2026
|
(11,716)
|
USD
|
1,311,422
|
EUR
|
1,146,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(9,430)
|
USD
|
2,057,316
|
EUR
|
1,799,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(16,168)
|
USD
|
1,353,811
|
EUR
|
1,179,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(5,076)
|
USD
|
1,412,416
|
EUR
|
1,239,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(15,625)
|
USD
|
2,027,335
|
EUR
|
1,746,000
|
JPMorgan Chase Bank NA
|
9/2026
|
14,938
|
USD
|
1,044,452
|
EUR
|
915,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(10,154)
|
USD
|
1,345,323
|
EUR
|
1,174,000
|
State Street Bank & Trust Co
|
9/2026
|
(7,801)
|
USD
|
1,284,199
|
EUR
|
1,128,000
|
State Street Bank & Trust Co
|
9/2026
|
(15,907)
|
USD
|
1,091,886
|
EUR
|
948,000
|
State Street Bank & Trust Co
|
9/2026
|
(756)
|
USD
|
5,573,759
|
GBP
|
4,211,000
|
BNP Paribas SA
|
9/2026
|
(93,062)
|
USD
|
5,240,982
|
GBP
|
3,912,000
|
Bank of America NA
|
9/2026
|
(23,469)
|
USD
|
7,024,768
|
GBP
|
5,263,000
|
Bank of America NA
|
9/2026
|
(57,750)
|
USD
|
1,475,805
|
GBP
|
1,104,000
|
Bank of America NA
|
9/2026
|
(9,869)
|
USD
|
3,804,040
|
GBP
|
2,836,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(12,418)
|
USD
|
2,920,542
|
GBP
|
2,202,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(42,731)
|
USD
|
7,916,372
|
GBP
|
5,870,000
|
JPMorgan Chase Bank NA
|
9/2026
|
17,003
|
USD
|
9,019,520
|
GBP
|
6,851,000
|
Royal Bank of Canada
|
9/2026
|
(199,999)
|
USD
|
2,868,154
|
GBP
|
2,174,000
|
State Street Bank & Trust Co
|
9/2026
|
(57,439)
|
USD
|
2,901,882
|
GBP
|
2,160,000
|
State Street Bank & Trust Co
|
9/2026
|
(4,870)
|
USD
|
7,315,453
|
GBP
|
5,536,000
|
State Street Bank & Trust Co
|
9/2026
|
(134,446)
|
USD
|
9,303,469
|
IDR
|
168,241,973,000
|
BNP Paribas SA
|
9/2026
|
(5,696)
|
USD
|
1,174,969
|
IDR
|
21,150,625,000
|
Bank of America NA
|
9/2026
|
4,663
|
USD
|
1,127,013
|
IDR
|
20,505,998,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(7,625)
|
USD
|
1,022,246
|
ILS
|
2,980,000
|
Bank of America NA
|
9/2026
|
47,667
|
USD
|
2,572,518
|
ILS
|
7,554,000
|
Bank of America NA
|
9/2026
|
102,059
|
USD
|
1,079,457
|
INR
|
104,513,000
|
Bank of America NA
|
9/2026
|
(11,757)
|
USD
|
1,084,009
|
INR
|
103,241,000
|
Bank of America NA
|
9/2026
|
6,076
|
USD
|
1,720,663
|
INR
|
163,549,000
|
Bank of America NA
|
9/2026
|
13,058
|
USD
|
1,374,664
|
JPY
|
224,262,000
|
Bank of America NA
|
9/2026
|
(38,716)
|
USD
|
8,582,289
|
JPY
|
1,364,293,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(15,979)
|
USD
|
1,145,756
|
JPY
|
184,588,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(17,584)
|
USD
|
2,394,831
|
JPY
|
388,909,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(56,214)
|
USD
|
1,052,385
|
JPY
|
168,859,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(11,825)
|
USD
|
1,616,211
|
KRW
|
2,383,911,000
|
Bank of America NA
|
9/2026
|
(56,873)
|
USD
|
1,377,246
|
KRW
|
2,004,347,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(29,451)
|
USD
|
9,763,307
|
KRW
|
14,865,807,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(669,858)
|
USD
|
1,101,535
|
KRW
|
1,709,384,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(98,150)
|
USD
|
1,104,914
|
MXN
|
19,405,000
|
Bank of America NA
|
9/2026
|
(9,253)
|
USD
|
3,552,640
|
NOK
|
33,858,000
|
Bank of America NA
|
9/2026
|
(14,983)
|
USD
|
6,408,834
|
NOK
|
62,711,000
|
Bank of America NA
|
9/2026
|
(199,035)
|
USD
|
4,194,918
|
NOK
|
40,614,000
|
Bank of America NA
|
9/2026
|
(84,586)
|
USD
|
2,642,634
|
NOK
|
25,874,000
|
Bank of America NA
|
9/2026
|
(83,714)
|
USD
|
1,356,332
|
NOK
|
13,292,000
|
Bank of America NA
|
9/2026
|
(44,248)
|
USD
|
2,786,620
|
NOK
|
26,936,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(51,630)
|
USD
|
3,710,138
|
NOK
|
36,127,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(96,570)
|
USD
|
1,207,571
|
NOK
|
11,858,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(41,908)
|
USD
|
27,494,179
|
NOK
|
261,267,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(35,569)
|
USD
|
3,247,673
|
NOK
|
31,204,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(40,297)
|
USD
|
10,562,966
|
NOK
|
101,303,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(111,348)
|
USD
|
1,159,169
|
NOK
|
11,107,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(11,178)
|
USD
|
8,647,283
|
NOK
|
83,908,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(194,118)
|
USD
|
1,507,571
|
NOK
|
14,505,000
|
State Street Bank & Trust Co
|
9/2026
|
(20,823)
|
USD
|
8,431,316
|
NOK
|
80,564,000
|
State Street Bank & Trust Co
|
9/2026
|
(57,726)
|
USD
|
6,700,556
|
NOK
|
64,467,000
|
State Street Bank & Trust Co
|
9/2026
|
(92,343)
|
USD
|
3,384,808
|
NZD
|
5,791,000
|
Bank of America NA
|
9/2026
|
(22,808)
|
USD
|
1,788,278
|
NZD
|
3,085,000
|
Bank of America NA
|
9/2026
|
(27,038)
|
USD
|
2,044,574
|
NZD
|
3,590,000
|
Bank of America NA
|
9/2026
|
(67,901)
|
USD
|
2,536,869
|
NZD
|
4,331,000
|
Bank of America NA
|
9/2026
|
(11,635)
|
USD
|
2,732,161
|
NZD
|
4,799,000
|
Bank of America NA
|
9/2026
|
(91,729)
|
USD
|
7,352,290
|
NZD
|
12,725,000
|
Bank of America NA
|
9/2026
|
(135,522)
|
USD
|
2,974,923
|
NZD
|
5,090,000
|
Bank of America NA
|
9/2026
|
(20,201)
|
USD
|
1,246,996
|
NZD
|
2,129,000
|
Bank of America NA
|
9/2026
|
(5,778)
|
USD
|
6,388,544
|
NZD
|
11,224,000
|
Brown Brothers Harriman & Co.
|
9/2026
|
(216,030)
|
USD
|
1,722,654
|
NZD
|
2,940,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(7,339)
|
USD
|
6,219,456
|
NZD
|
10,654,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(49,711)
|
USD
|
2,818,637
|
NZD
|
4,805,000
|
State Street Bank & Trust Co
|
9/2026
|
(8,784)
|
USD
|
1,532,545
|
NZD
|
2,627,000
|
State Street Bank & Trust Co
|
9/2026
|
(13,269)
|
USD
|
1,041,606
|
PEN
|
3,580,000
|
Bank of America NA
|
9/2026
|
(10,436)
|
USD
|
1,036,419
|
PEN
|
3,543,000
|
Royal Bank of Canada
|
9/2026
|
(4,750)
|
USD
|
7,902,463
|
PHP
|
487,642,000
|
BNP Paribas SA
|
9/2026
|
(58,161)
|
USD
|
1,028,763
|
PHP
|
63,557,000
|
Bank of America NA
|
9/2026
|
(8,787)
|
USD
|
1,027,338
|
PHP
|
62,719,000
|
Bank of America NA
|
9/2026
|
3,468
|
USD
|
1,526,867
|
PHP
|
94,765,000
|
Bank of America NA
|
9/2026
|
(20,146)
|
USD
|
1,092,969
|
PHP
|
67,728,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(12,672)
|
USD
|
1,174,689
|
PLN
|
4,415,000
|
Bank of America NA
|
9/2026
|
(4,649)
|
USD
|
679,246
|
PLN
|
2,490,000
|
Barclays Bank PLC
|
9/2026
|
14,116
|
USD
|
1,190,132
|
PLN
|
4,452,000
|
JPMorgan Chase Bank NA
|
9/2026
|
910
|
USD
|
1,343,860
|
PLN
|
5,120,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(23,798)
|
USD
|
1,021,577
|
PLN
|
3,878,000
|
State Street Bank & Trust Co
|
9/2026
|
(14,316)
|
USD
|
1,067,497
|
PLN
|
4,023,000
|
State Street Bank & Trust Co
|
9/2026
|
(7,130)
|
USD
|
1,095,466
|
RON
|
5,049,000
|
Bank of America NA
|
9/2026
|
(9,385)
|
USD
|
1,116,171
|
RON
|
5,129,000
|
Bank of America NA
|
9/2026
|
(6,187)
|
USD
|
1,038,566
|
RON
|
4,787,000
|
Bank of America NA
|
9/2026
|
(8,952)
|
USD
|
1,437,602
|
RON
|
6,638,000
|
Bank of America NA
|
9/2026
|
(14,963)
|
USD
|
1,152,552
|
RON
|
5,344,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(16,852)
|
USD
|
623,590
|
RON
|
2,842,000
|
JPMorgan Chase Bank NA
|
9/2026
|
1,687
|
USD
|
999,895
|
RON
|
4,539,000
|
JPMorgan Chase Bank NA
|
9/2026
|
6,645
|
USD
|
998,275
|
RON
|
4,595,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(7,229)
|
USD
|
2,550,440
|
SEK
|
24,534,000
|
Bank of America NA
|
9/2026
|
(27,313)
|
USD
|
1,284,558
|
SEK
|
12,418,000
|
Bank of America NA
|
9/2026
|
(20,184)
|
USD
|
3,863,673
|
SEK
|
37,232,000
|
Bank of America NA
|
9/2026
|
(48,241)
|
USD
|
4,832,975
|
SEK
|
45,117,000
|
Bank of America NA
|
9/2026
|
92,595
|
USD
|
3,236,853
|
SEK
|
31,367,000
|
Bank of America NA
|
9/2026
|
(58,834)
|
USD
|
4,264,220
|
SEK
|
41,403,000
|
Bank of America NA
|
9/2026
|
(85,936)
|
USD
|
5,469,040
|
SEK
|
52,944,000
|
Bank of America NA
|
9/2026
|
(93,713)
|
USD
|
1,977,124
|
SEK
|
18,479,000
|
Bank of America NA
|
9/2026
|
35,561
|
USD
|
12,144,205
|
SEK
|
116,212,000
|
Royal Bank of Canada
|
9/2026
|
(66,028)
|
USD
|
3,728,037
|
SEK
|
34,767,000
|
State Street Bank & Trust Co
|
9/2026
|
75,117
|
USD
|
1,009,691
|
SGD
|
1,300,000
|
Bank of America NA
|
9/2026
|
(6,084)
|
USD
|
1,013,009
|
SGD
|
1,302,000
|
Bank of America NA
|
9/2026
|
(4,328)
|
USD
|
1,048,535
|
SGD
|
1,337,000
|
Bank of America NA
|
9/2026
|
3,851
|
USD
|
1,184,750
|
SGD
|
1,526,000
|
Barclays Bank PLC
|
9/2026
|
(7,612)
|
USD
|
2,459,710
|
SGD
|
3,169,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(16,435)
|
USD
|
6,038,767
|
SGD
|
7,769,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(31,657)
|
USD
|
1,150,731
|
SGD
|
1,480,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(5,689)
|
USD
|
32,543,375
|
SGD
|
41,559,000
|
JPMorgan Chase Bank NA
|
9/2026
|
70,634
|
USD
|
1,351,135
|
SGD
|
1,741,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(9,221)
|
USD
|
2,425,960
|
SGD
|
3,126,000
|
State Street Bank & Trust Co
|
9/2026
|
(16,586)
|
USD
|
1,020,563
|
SGD
|
1,314,000
|
State Street Bank & Trust Co
|
9/2026
|
(6,151)
|
USD
|
1,611,887
|
SGD
|
2,074,000
|
State Street Bank & Trust Co
|
9/2026
|
(8,664)
|
USD
|
1,970,334
|
THB
|
66,531,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(29,059)
|
USD
|
1,486,462
|
THB
|
50,088,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(18,786)
|
USD
|
1,101,004
|
THB
|
36,553,000
|
JPMorgan Chase Bank NA
|
9/2026
|
2,511
|
USD
|
1,440,753
|
THB
|
46,665,000
|
JPMorgan Chase Bank NA
|
9/2026
|
38,373
|
USD
|
1,014,712
|
THB
|
33,871,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(3,182)
|
USD
|
1,039,758
|
THB
|
34,770,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(5,152)
|
USD
|
1,122,857
|
THB
|
37,763,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(11,999)
|
USD
|
8,928,506
|
THB
|
292,480,000
|
JPMorgan Chase Bank NA
|
9/2026
|
138,880
|
USD
|
1,108,135
|
TWD
|
35,662,000
|
BNP Paribas SA
|
9/2026
|
1,752
|
USD
|
1,965,426
|
TWD
|
63,611,000
|
Bank of America NA
|
9/2026
|
(8,050)
|
USD
|
15,865,812
|
TWD
|
510,070,000
|
Bank of America NA
|
9/2026
|
41,333
|
USD
|
12,115,740
|
TWD
|
382,712,000
|
Bank of America NA
|
9/2026
|
242,433
|
USD
|
1,017,215
|
TWD
|
32,971,000
|
JPMorgan Chase Bank NA
|
9/2026
|
(5,681)
|
USD
|
1,484,108
|
TWD
|
48,048,000
|
State Street Bank & Trust Co
|
9/2026
|
(6,539)
|
USD
|
1,043,594
|
ZAR
|
17,328,000
|
State Street Bank & Trust Co
|
9/2026
|
286
|
ZAR
|
85,188,000
|
USD
|
5,146,220
|
State Street Bank & Trust Co
|
9/2026
|
(17,103)
|
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS
|
1,113,022
|
|||||
Unrealized Appreciation
|
7,840,545
|
|||||
Unrealized Depreciation
|
(6,727,523)
|
|||||
Credit Default Swaps
|
||||||||||
Underlying Reference
|
Rating(3)
|
Maturity
Date
|
Clearinghouse /
Counterparty(1)
|
Fixed
Payment
Received/
(Paid)
|
Payment
Frequency
|
Notional
Amount(2)(4)
|
Value ($)(3)
|
Upfront
Premium
Received/
(Paid) ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
Buy Protection
|
||||||||||
5Y CDX NA IG Series 46 Index
|
6/2031
|
ICE
|
(1%)
|
Quarterly
|
214,121,000
|
(4,465,281)
|
3,778,307
|
(686,974)
|
||
5Y CDX EM CDSI Series 45 Index
|
6/2031
|
ICE
|
(1%)
|
Quarterly
|
61,886,000
|
1,004,135
|
(2,019,381)
|
(1,015,246)
|
||
iTraxx Europe Series 45 Index
|
6/2031
|
ICE
|
(1%)
|
Quarterly
|
EUR
|
174,062,000
|
(4,292,618)
|
3,306,888
|
(985,730)
|
|
TOTAL BUY PROTECTION
|
(7,753,764)
|
5,065,814
|
(2,687,950)
|
|||||||
Sell Protection
|
||||||||||
iTraxx Crossover Series 45 Index
|
NR
|
6/2031
|
ICE
|
5%
|
Quarterly
|
EUR
|
43,832,000
|
5,159,887
|
(3,719,475)
|
1,440,412
|
CDX NA HY Series 46 Index
|
NR
|
6/2031
|
ICE
|
5%
|
Quarterly
|
108,586,300
|
8,615,923
|
(5,303,420)
|
3,312,503
|
|
TOTAL SELL PROTECTION
|
13,775,810
|
(9,022,895)
|
4,752,915
|
|||||||
TOTAL CREDIT DEFAULT SWAPS
|
6,022,046
|
(3,957,081)
|
2,064,965
|
|||||||
Total Return Swaps
|
|||||||||||
Underlying Reference
|
Pay/
Receive
Reference
|
Reference
Payment
Frequency
|
Financing
Rate
|
Financing
Frequency
|
Counterparty
|
Maturity
Date
|
Notional
Amount
|
Value ($)
|
Upfront
Premium
Received/
(Paid) ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
iShares Core S&P 500 ETF
|
Pay
|
Monthly
|
U.S. SOFR Index plus 78 basis points
|
Monthly
|
Goldman Sachs International
|
10/2026
|
2,559,830
|
(457,523)
|
0
|
(457,523)
|
|
NVIDIA CORP
|
Pay
|
Monthly
|
U.S. SOFR Index plus 59 basis points
|
Monthly
|
Goldman Sachs International
|
9/2026
|
12,435,060
|
24,833
|
0
|
24,833
|
|
MICROSOFT CORP
|
Pay
|
Monthly
|
U.S. SOFR Index plus 62 basis points
|
Monthly
|
Goldman Sachs International
|
10/2026
|
7,225,000
|
412,189
|
0
|
412,189
|
|
TOTAL RETURN SWAPS
|
(20,501)
|
0
|
(20,501)
|
||||||||
AUD
|
-
|
Australian Dollar
|
BRL
|
-
|
Brazilian Real
|
CAD
|
-
|
Canadian Dollar
|
CHF
|
-
|
Swiss Franc
|
CLP
|
-
|
Chilean Peso
|
CNH
|
-
|
Chinese Offshore Currency
|
COP
|
-
|
Colombian Peso
|
CZK
|
-
|
Czech Koruna
|
EUR
|
-
|
European Monetary Unit (Euro)
|
GBP
|
-
|
British Pound Sterling
|
HUF
|
-
|
Hungarian Forint
|
IDR
|
-
|
Indonesian Rupiah
|
ILS
|
-
|
Israeli Shekel
|
INR
|
-
|
Indian Rupee
|
JPY
|
-
|
Japanese Yen
|
KRW
|
-
|
Korean Won
|
MXN
|
-
|
Mexican Peso
|
NOK
|
-
|
Norwegian Krone
|
NZD
|
-
|
New Zealand Dollar
|
PEN
|
-
|
Peruvian New Sol
|
PHP
|
-
|
Philippines
|
PLN
|
-
|
Polish Zloty
|
RON
|
-
|
Romanian Leu
|
SEK
|
-
|
Swedish Krona
|
SGD
|
-
|
Singapore Dollar
|
THB
|
-
|
Thai Baht
|
TWD
|
-
|
Taiwan Dollar
|
USD
|
-
|
United States Dollar
|
ZAR
|
-
|
South African Rand
|
ETF
|
-
|
EXCHANGE-TRADED FUND
|
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
|
(c)
|
Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $12,154,188.
|
(d)
|
Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $5,548,469.
|
(e)
|
Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $44,476,804.
|
(f)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
Shares,
end
of period
|
Fidelity Cash Central Fund
|
101,111,060
|
154,752,709
|
114,888,488
|
2,008,455
|
(4,496)
|
7,802
|
140,978,587
|
140,950,397
|
101,111,060
|
154,752,709
|
114,888,488
|
2,008,455
|
(4,496)
|
7,802
|
140,978,587
|
Valuation Inputs at Reporting Date:
|
||||
Description
|
Total ($)
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Investments in Securities:
|
||||
Common Stocks
|
||||
Information Technology
|
9,846,180
|
9,846,180
|
-
|
-
|
Domestic Equity Funds
|
12,455,312
|
12,455,312
|
-
|
-
|
U.S. Treasury Obligations
|
164,150,984
|
-
|
164,150,984
|
-
|
Money Market Funds
|
140,978,587
|
140,978,587
|
-
|
-
|
Total Investments in Securities:
|
327,431,063
|
163,280,079
|
164,150,984
|
-
|
Derivative Instruments:
|
||||
Assets
|
||||
Futures Contracts
|
13,185,464
|
13,185,464
|
-
|
-
|
Forward Foreign Currency Contracts
|
7,840,545
|
-
|
7,840,545
|
-
|
Swaps
|
15,216,967
|
-
|
15,216,967
|
-
|
Total Assets
|
36,242,976
|
13,185,464
|
23,057,512
|
-
|
Liabilities
|
||||
Futures Contracts
|
(8,293,653)
|
(8,293,653)
|
-
|
-
|
Forward Foreign Currency Contracts
|
(6,727,523)
|
-
|
(6,727,523)
|
-
|
Swaps
|
(9,215,422)
|
-
|
(9,215,422)
|
-
|
Total Liabilities
|
(24,236,598)
|
(8,293,653)
|
(15,942,945)
|
-
|
Total Derivative Instruments:
|
12,006,378
|
4,891,811
|
7,114,567
|
-
|
Consolidated Statement of Assets and Liabilities
|
||
As of July 31, 2026 (Unaudited)
|
||
Assets
|
||
Investments in securities, at value - unaffiliated issuers
|
$
|
186,452,476
|
Investments in securities, at value - affiliated issuers
|
140,978,587
|
|
Unrealized appreciation on forward foreign currency contracts
|
7,840,545
|
|
Receivable for fund shares sold
|
2,409,950
|
|
Distributions receivable from affiliated funds
|
344,771
|
|
Receivable for variation margin on centrally cleared swaps
|
84,061
|
|
Bi-lateral OTC swaps, at value
|
437,022
|
|
Receivable from investment adviser for expense reductions
|
5,166
|
|
Other receivables
|
5,007
|
|
Total assets
|
338,557,585
|
|
Liabilities
|
||
Payable to custodian bank
|
18,512
|
|
Unrealized depreciation on forward foreign currency contracts
|
6,727,523
|
|
Bi-lateral OTC swaps, at value
|
457,523
|
|
Accrued management fee
|
180,915
|
|
Payable for variation margin on futures contracts
|
66,652
|
|
Other payables and accrued expenses
|
374
|
|
Total liabilities
|
7,451,499
|
|
Net Assets
|
$
|
331,106,086
|
Net assets consist of:
|
||
Paid in capital
|
296,475,202
|
|
Total accumulated earnings (loss)
|
34,630,884
|
|
Net Assets
|
$
|
331,106,086
|
Net Asset Value and Maximum Offering
|
||
Net Asset Value, offering price and redemption price per share ($331,106,086/5,500,000 shares)
|
$
|
60.20
|
Other Information
|
||
Unaffiliated issuers, cost
|
183,730,494
|
|
Affiliated issuers, cost
|
140,973,951
|
|
Consolidated Statement of Operations
|
||
Six months ended July 31, 2026 (Unaudited)
|
||
Investment Income
|
||
Dividends - unaffiliated issuers
|
$
|
58,595
|
Dividends - affiliated issuers
|
2,008,455
|
|
Interest
|
2,162,144
|
|
Total investment income
|
4,229,194
|
|
Expenses
|
||
Management fee
|
1,007,672
|
|
Custodian fees and expenses
|
1,867
|
|
Independent trustees' fees and expenses
|
33,700
|
|
Total expenses
|
1,043,239
|
|
Expense reimbursements and reductions
|
(34,325)
|
|
Total expenses after reductions
|
1,008,914
|
|
Net investment income (loss)
|
3,220,280
|
|
Net realized gain (loss)
|
||
Investments - unaffiliated issuers
|
(65,487)
|
|
Investments - affiliated issuers
|
(4,496)
|
|
Forward foreign currency contracts
|
1,073,326
|
|
Foreign currency transactions
|
(5,342)
|
|
Futures contracts
|
48,525,900
|
|
Swaps
|
(2,809,869)
|
|
Net realized gain (loss)
|
46,714,032
|
|
Change in net unrealized appreciation (depreciation)
|
||
Investments - unaffiliated issuers
|
1,512,932
|
|
Investments - affiliated issuers
|
7,802
|
|
Forward foreign currency contracts
|
(1,321,736)
|
|
Assets and liabilities in foreign currencies
|
1,426
|
|
Futures contracts
|
(31,638,935)
|
|
Swaps
|
1,749,820
|
|
Total change in net unrealized appreciation (depreciation)
|
(29,688,691)
|
|
Net gain (loss)
|
17,025,341
|
|
Net increase (decrease) in net assets resulting from operations
|
$
|
20,245,621
|
Consolidated Statement of Changes in Net Assets
|
||||
Six months ended
July 31, 2026
(Unaudited)
|
For the period June 3, 2025 (commencement of operations) through January 31, 2026
|
|||
Increase (Decrease) in Net Assets
|
||||
Operations
|
||||
Net investment income (loss)
|
$
|
3,220,280
|
$
|
2,653,654
|
Net realized gain (loss)
|
46,714,032
|
(24,024,384)
|
||
Change in net unrealized appreciation (depreciation)
|
(29,688,691)
|
40,465,523
|
||
Net increase (decrease) in net assets resulting from operations
|
20,245,621
|
19,094,793
|
||
Distributions to shareholders
|
||||
Distributions to shareholders
|
-
|
(4,736,080)
|
||
Total distributions
|
-
|
(4,736,080)
|
||
Net increase (decrease) in net assets resulting from share transactions
|
75,100,335
|
221,401,417
|
||
Total increase (decrease) in net assets
|
95,345,956
|
235,760,130
|
||
Net Assets
|
||||
Beginning of period
|
235,760,130
|
-
|
||
End of period
|
$
|
331,106,086
|
$
|
235,760,130
|
Fidelity® Managed Futures ETF |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 A |
|||
Selected Per Share Data
|
||||
Net asset value, beginning of period
|
$
|
55.34
|
$
|
50.00
|
Income from Investment Operations
|
||||
Net investment income (loss) B, C
|
.74
|
1.04
|
||
Net realized and unrealized gain (loss)
|
4.12
|
5.42
|
||
Total from investment operations
|
4.86
|
6.46
|
||
Distributions
|
||||
Distributions from net investment income
|
-
|
(.44)
|
||
Distributions from net realized gain
|
-
|
(.68)
|
||
Total distributions
|
-
|
(1.12)
|
||
Net asset value, end of period
|
$
|
60.20
|
$
|
55.34
|
Total Return D, E, F
|
8.79%
|
13.01%
|
||
Ratios and Supplemental Data C, G, H
|
||||
Ratio of expenses to average net assets before reductions
|
.83% I
|
.82% I
|
||
Ratio of expenses to average net assets net of fee waivers, if any
|
.80% I
|
.80% I
|
||
Ratio of expenses to average net assets net of all reductions, if any
|
.80% I
|
.79% I
|
||
Ratio of net investment income (loss) to average net assets
|
2.55% I
|
3.00% I
|
||
Net assets, end of period
|
$
|
331,106,086
|
$
|
235,760,130
|
Portfolio turnover rate J
|
19% I
|
1% I
|
||
AFor the period June 3, 2025 (commencement of operations) through January 31, 2026.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DBased on net asset value.
|
ETotal returns for periods of less than one year are not annualized.
|
FTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
GFees 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.
|
HExpense 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.
|
IAnnualized.
|
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Subsidiary Name
|
Net Assets of Subsidiary ($)
|
% of Fund's Total Assets
|
|
Fidelity® Managed Futures ETF
|
Fidelity Managed Futures Cayman Ltd
|
67,093,529
|
19.8
|
Exchange
|
|
Fidelity® Managed Futures ETF
|
NASDAQ/NMS Global Market
|
Tax Cost ($)
|
Gross unrealized appreciation ($)
|
Gross unrealized depreciation ($)
|
Net unrealized appreciation (depreciation) ($)
|
|
Fidelity® Managed Futures ETF
|
324,704,445
|
29,462,330
|
(18,686,415)
|
10,775,915
|
|
Commodity Risk
|
Commodity risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.
|
|
Credit Risk
|
Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to a fund.
|
|
Equity Risk
|
Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
|
|
Foreign Exchange Risk
|
Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.
|
|
Interest Rate Risk
|
Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.
|
Primary Risk Exposure / Derivative Type
|
Values of Derivative Assets ($)
|
Values of Derivative Liabilities ($)
|
Net Realized Gain (Loss) ($)
|
Change in Net Unrealized Appreciation (Depreciation) ($)
|
|||
Fidelity® Managed Futures ETF
|
|||||||
Commodity Risk
|
|||||||
Futures Contracts
|
7,182,761
|
(6,783,284)
|
44,600,287
|
(33,518,626)
|
|||
Total Commodity Risk
|
7,182,761
|
(6,783,284)
|
44,600,287
|
(33,518,626)
|
|||
Credit Risk
|
|||||||
Swaps
|
14,779,945
|
(8,757,899)
|
(1,462,660)
|
1,601,897
|
|||
Total Credit Risk
|
14,779,945
|
(8,757,899)
|
(1,462,660)
|
1,601,897
|
|||
Equity Risk
|
|||||||
Futures Contracts
|
1,190,180
|
(509,391)
|
1,560,929
|
(1,913,135)
|
|||
Swaps
|
437,022
|
(457,523)
|
(1,347,209)
|
147,923
|
|||
Total Equity Risk
|
1,627,202
|
(966,914)
|
213,720
|
(1,765,212)
|
|||
Foreign Exchange Risk
|
|||||||
Forward Foreign Currency Contracts
|
7,840,545
|
(6,727,523)
|
1,073,326
|
(1,321,736)
|
|||
Total Foreign Exchange Risk
|
7,840,545
|
(6,727,523)
|
1,073,326
|
(1,321,736)
|
|||
Interest Rate Risk
|
|||||||
Futures Contracts
|
4,812,523
|
(1,000,978)
|
2,364,684
|
3,792,826
|
|||
Total Interest Rate Risk
|
4,812,523
|
(1,000,978)
|
2,364,684
|
3,792,826
|
|||
Totals
|
36,242,976
|
(24,236,598)
|
46,789,357
|
(31,210,851)
|
Fidelity® Managed Futures ETF
|
||||||||||
|
Counterparty
|
Value of
Derivative
Assets ($)
|
Value of
Derivative
Liabilities ($)
|
Collateral
Received ($)
|
Collateral
Pledged ($)
|
Net ($)
|
|||||
Bank of America NA
|
4,247,718
|
(1,894,318)
|
(2,353,400)
|
-
|
-
|
|||||
Barclays Bank PLC
|
51,257
|
(112,588)
|
-
|
-
|
(61,331)
|
|||||
BNP Paribas SA
|
224,880
|
(203,664)
|
-
|
-
|
21,216
|
|||||
Brown Brothers Harriman & Co
|
80,063
|
(389,639)
|
-
|
301,026
|
(8,550)
|
|||||
Goldman Sachs International
|
437,022
|
(457,523)
|
-
|
20,501
|
-
|
|||||
JPMorgan Chase Bank NA
|
1,566,355
|
(2,423,950)
|
-
|
857,595
|
-
|
|||||
Royal Bank of Canada
|
399,939
|
(725,232)
|
-
|
325,293
|
-
|
|||||
State Street Bank & Trust Co
|
1,270,333
|
(978,132)
|
(292,201)
|
-
|
-
|
|||||
Total
|
$
|
8,277,567
|
$
|
(7,185,046)
|
$
|
(2,645,601)
|
$
|
1,504,415
|
$
|
(48,665)
|
Average Amount ($)
|
|
Fidelity® Managed Futures ETF
|
|
Forward Foreign Currency Contracts
|
874,832,452
|
Futures
|
2,122,781,045
|
Swaps
|
521,340,094
|
Purchases ($)
|
Sales ($)
|
|
Fidelity® Managed Futures ETF
|
21,470,390
|
6,600,000
|
Annual Management Fee Rate (%)
|
|
Fidelity® Managed Futures ETF
|
0.80
|
Expense Limitation (%)
|
Expiration Date
|
Reimbursement ($)
|
|
Fidelity® Managed Futures ETF
|
0.80
|
May 31, 2027
|
33,234
|
Custodian Credits ($)
|
|
Fidelity® Managed Futures ETF
|
1,091
|
Six months ended ($)
|
Year ended ($)
|
|||
July 31, 2026
|
January 31, 2026
|
|||
Fidelity® Managed Futures ETF
|
||||
Fidelity® Managed Futures ETF (Commencement of sale of shares June 3, 2025)
|
-
|
4,736,080
|
||
Total
|
4,736,080
|
|||
Shares
|
Shares
|
Dollars
|
Dollars
|
||||||
Six months ended
|
Year ended
|
Six months ended ($)
|
Year ended ($)
|
||||||
July 31, 2026
|
January 31, 2026
|
July 31, 2026
|
January 31, 2026
|
||||||
Fidelity® Managed Futures ETF (Commencement of sale of shares June 3, 2025)
|
|||||||||
Shares sold
|
1,280,000
|
4,260,000
|
77,404,351
|
221,401,417
|
|||||
Shares redeemed
|
(40,000)
|
-
|
(2,304,016)
|
-
|
|||||
Net increase (decrease)
|
1,240,000
|
4,260,000
|
75,100,335
|
221,401,417
|
 |
Contents
Common Stocks - 87.6%
|
|||
Shares
|
Value ($)
|
||
UNITED STATES - 87.6%
|
|||
Communication Services - 18.6%
|
|||
Entertainment - 18.6%
|
|||
Electronic Arts Inc
|
250,000
|
52,465,000
|
|
Roku Inc Class A (b)
|
25,000
|
3,625,250
|
|
Warner Bros Discovery Inc (b)
|
2,375,000
|
62,462,500
|
|
TOTAL COMMUNICATION SERVICES
|
118,552,750
|
||
Consumer Discretionary - 2.2%
|
|||
Hotels, Restaurants & Leisure - 2.2%
|
|||
Caesars Entertainment Inc (b)
|
475,000
|
14,131,250
|
|
Consumer Staples - 9.0%
|
|||
Personal Care Products - 9.0%
|
|||
Kenvue Inc
|
2,977,475
|
57,286,619
|
|
Financials - 22.1%
|
|||
Banks - 1.5%
|
|||
Webster Financial Corp
|
125,000
|
9,652,500
|
|
Capital Markets - 5.5%
|
|||
DigitalBridge Group Inc Class A
|
2,001,000
|
31,755,870
|
|
MarketAxess Holdings Inc
|
20,000
|
3,246,000
|
|
TPG Inc rights (b)(c)
|
295,581
|
2,956
|
|
35,004,826
|
|||
Financial Services - 15.1%
|
|||
Mastercard Inc Class A
|
167,000
|
95,707,700
|
|
TOTAL FINANCIALS
|
140,365,026
|
||
Health Care - 21.8%
|
|||
Biotechnology - 6.8%
|
|||
Apogee Therapeutics Inc (b)
|
236,819
|
31,755,060
|
|
Atrium Therapeutics Inc
|
15,000
|
170,250
|
|
Forte Biosciences Inc (b)
|
150,900
|
11,558,940
|
|
43,484,250
|
|||
Health Care Equipment & Supplies - 4.0%
|
|||
Penumbra Inc (b)
|
80,000
|
25,695,200
|
|
Health Care Providers & Services - 0.6%
|
|||
Talkspace Inc Class A (b)
|
677,108
|
3,534,504
|
|
Life Sciences Tools & Services - 4.2%
|
|||
Bio-Techne Corp
|
375,537
|
27,072,462
|
|
Pharmaceuticals - 6.2%
|
|||
Crinetics Pharmaceuticals Inc (b)
|
325,000
|
27,144,000
|
|
Organon & Co
|
879,457
|
11,916,642
|
|
Pfizer Inc rights (b)(c)
|
30,000
|
161,700
|
|
39,222,342
|
|||
TOTAL HEALTH CARE
|
139,008,758
|
||
Industrials - 6.0%
|
|||
Commercial Services & Supplies - 1.6%
|
|||
UniFirst Corp/MA
|
35,000
|
10,254,300
|
|
Ground Transportation - 4.2%
|
|||
Norfolk Southern Corp
|
80,000
|
26,838,400
|
|
Trading Companies & Distributors - 0.2%
|
|||
QXO Inc (b)
|
100,000
|
1,330,000
|
|
TOTAL INDUSTRIALS
|
38,422,700
|
||
Information Technology - 7.9%
|
|||
Semiconductors & Semiconductor Equipment - 7.9%
|
|||
NVIDIA Corp
|
250,000
|
50,187,500
|
|
TOTAL UNITED STATES
|
557,954,603
|
||
|
TOTAL COMMON STOCKS
(Cost $536,831,427)
|
557,954,603
|
||
U.S. Treasury Obligations - 12.3%
|
||||
Yield (%) (d)
|
Principal
Amount (a)
|
Value ($)
|
||
US Treasury Bills 0% 10/22/2026 (e)(f)
|
3.74
|
20,000,000
|
19,836,397
|
|
US Treasury Bills 0% 9/10/2026 (f)
|
3.64
|
6,000,000
|
5,977,010
|
|
US Treasury Bills 0% 9/17/2026 (f)
|
3.62 to 3.71
|
53,000,000
|
52,757,684
|
|
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $78,554,032)
|
78,571,091
|
|||
Money Market Funds - 4.1%
|
||||
Yield (%)
|
Shares
|
Value ($)
|
||
Fidelity Cash Central Fund (g)
(Cost $26,345,952)
|
3.69
|
26,343,317
|
26,348,586
|
|
Purchased Options - 0.2%
|
||||||
Clearinghouse / Counterparty
|
Number
of Contracts
|
Notional Amount ($)
|
Exercise
Price ($)
|
Expiration
Date
|
Value ($)
|
|
Call Options
|
||||||
Warner Bros Discovery Inc
|
Chicago Board Options Exchange
|
3,020
|
7,942,600
|
30
|
10/2026
|
48,320
|
Warner Bros Discovery Inc
|
Chicago Board Options Exchange
|
3,001
|
7,892,630
|
30
|
9/2026
|
36,012
|
84,332
|
||||||
Put Options
|
||||||
Warner Bros Discovery Inc
|
Chicago Board Options Exchange
|
10,000
|
26,300,000
|
22
|
12/2026
|
1,110,000
|
1,110,000
|
||||||
TOTAL PURCHASED OPTIONS
(Cost $698,530)
|
1,194,332
|
|||||
|
TOTAL INVESTMENT IN SECURITIES - 104.2%
(Cost $642,429,941)
|
664,068,612
|
NET OTHER ASSETS (LIABILITIES) - (4.2)%
|
(27,018,306)
|
NET ASSETS - 100.0%
|
637,050,306
|
Written Options
|
||||||
Clearinghouse / Counterparty
|
Number
of Contracts
|
Notional
Amount ($)
|
Exercise
Price ($)
|
Expiration
Date
|
Value ($)
|
|
Call Options
|
||||||
Warner Bros Discovery Inc
|
Chicago Board Options Exchange
|
2,000
|
5,260,000
|
29.00
|
8/2026
|
(26,000)
|
(26,000)
|
||||||
Put Options
|
||||||
Warner Bros Discovery Inc
|
Chicago Board Options Exchange
|
5,000
|
13,150,000
|
25.00
|
8/2026
|
(125,000)
|
(125,000)
|
||||||
TOTAL WRITTEN OPTIONS
(Premiums Received $(316,502)) |
(151,000)
|
|||||
Total Return Swaps
|
|||||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index of 3.63% plus or minus a specified spread ranging from (0.15)% to 0.72% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap
|
BNP Paribas SA
|
8/2026 - 6/2027
|
187,923,736
|
(6,674,287)
|
198,240
|
(6,476,047)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount (a)
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Common Stocks
|
|||||||
UNITED STATES -(7.1)%
|
|||||||
Communication Services - (5.5)%
|
|||||||
Entertainment - (5.5)%
|
|||||||
Roku Inc Class A (1)
|
193,406
|
28,045,804
|
356,136
|
||||
TOTAL COMMUNICATION SERVICES
|
28,045,804
|
356,136
|
|||||
Industrials - (1.6)%
|
|||||||
Commercial Services & Supplies - (1.6)%
|
|||||||
UniFirst Corp/MA
|
8,805
|
2,579,689
|
103,195
|
||||
TOTAL INDUSTRIALS
|
2,579,689
|
103,195
|
|||||
TOTAL UNITED STATES
|
30,625,493
|
459,331
|
|||||
|
TOTAL COMMON STOCKS
|
|
30,625,493
|
459,331
|
||||
TOTAL LONG
|
30,625,493
|
459,331
|
|||||
SHORT
|
|||||||
Common Stocks
|
|||||||
UNITED STATES -110.1%
|
|||||||
Communication Services - 6.6%
|
|||||||
Media - 6.6%
|
|||||||
Fox Corp Class A
|
(211,702)
|
(12,327,407)
|
(427,449)
|
||||
TOTAL COMMUNICATION SERVICES
|
(12,327,407)
|
(427,449)
|
|||||
Health Care - 4.1%
|
|||||||
Health Care Equipment & Supplies - 4.1%
|
|||||||
Boston Scientific Corp (1)
|
(73,455)
|
(3,432,552)
|
(266,525)
|
||||
TOTAL HEALTH CARE
|
(3,432,552)
|
(266,525)
|
|||||
Financials - 97.7%
|
|||||||
Financial Services - 97.7%
|
|||||||
Mastercard Inc Class A
|
(167,000)
|
(95,707,700)
|
(6,327,630)
|
||||
TOTAL FINANCIALS
|
(95,707,700)
|
(6,327,630)
|
|||||
Industrials - 3.0%
|
|||||||
Commercial Services & Supplies - 0.6%
|
|||||||
Cintas Corp
|
(33,814)
|
(6,919,359)
|
(41,931)
|
||||
Ground Transportation - 2.4%
|
|||||||
Union Pacific Corp
|
(41,204)
|
(12,036,925)
|
(155,339)
|
||||
TOTAL INDUSTRIALS
|
(18,956,284)
|
(197,270)
|
|||||
Information Technology - (1.3)%
|
|||||||
Semiconductors & Semiconductor Equipment - (1.3)%
|
|||||||
Silicon Laboratories Inc (1)
|
(123,560)
|
(26,874,300)
|
85,256
|
||||
TOTAL INFORMATION TECHNOLOGY
|
(26,874,300)
|
85,256
|
|||||
TOTAL UNITED STATES
|
(157,298,243)
|
(7,133,618)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(157,298,243)
|
(7,133,618)
|
||||
TOTAL SHORT
|
(157,298,243)
|
(7,133,618)
|
|||||
TOTAL SWAP COMPONENTS
|
(126,672,750)
|
(6,674,287)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index of 3.65% plus or minus a specified spread ranging from (0.65)% to 0.4% , which is denominated in U.S. dollars based on the local currencies of the positions within the swap
|
Goldman Sachs International
|
8/2030 - 6/2031
|
100,573,178
|
(694,755)
|
(8,004)
|
(702,759)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount (a)
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Common Stocks
|
|||||||
UNITED STATES -(55.6)%
|
|||||||
Financials - (55.6)%
|
|||||||
Banks - (55.6)%
|
|||||||
Webster Financial Corp
|
622,675
|
48,082,964
|
390,405
|
||||
TOTAL FINANCIALS
|
48,082,964
|
390,405
|
|||||
TOTAL UNITED STATES
|
48,082,964
|
390,405
|
|||||
TOTAL LONG
|
48,082,964
|
390,405
|
|||||
SHORT
|
|||||||
Common Stocks
|
|||||||
UNITED STATES -93.9%
|
|||||||
Consumer Staples - 75.8%
|
|||||||
Household Products - 75.8%
|
|||||||
Kimberly-Clark Corp
|
(191,720)
|
(20,956,913)
|
(532,982)
|
||||
TOTAL CONSUMER STAPLES
|
(20,956,913)
|
(532,982)
|
|||||
Industrials - 18.1%
|
|||||||
Ground Transportation - 18.1%
|
|||||||
Union Pacific Corp
|
(33,796)
|
(9,872,825)
|
(127,411)
|
||||
TOTAL INDUSTRIALS
|
(9,872,825)
|
(127,411)
|
|||||
Information Technology - 0.0%
|
|||||||
Semiconductors & Semiconductor Equipment - 0.0%
|
|||||||
Silicon Laboratories Inc (1)
|
(75)
|
(16,313)
|
52
|
||||
TOTAL INFORMATION TECHNOLOGY
|
(16,313)
|
52
|
|||||
TOTAL UNITED STATES
|
(30,846,051)
|
(660,341)
|
|||||
SPAIN -60.5%
|
|||||||
Financials - 60.5%
|
|||||||
Banks - 60.5%
|
|||||||
Banco Santander SA ADR
|
(1,535,047)
|
(21,644,163)
|
(424,819)
|
||||
TOTAL FINANCIALS
|
(21,644,163)
|
(424,819)
|
|||||
TOTAL SPAIN
|
(21,644,163)
|
(424,819)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(52,490,214)
|
(1,085,160)
|
||||
TOTAL SHORT
|
(52,490,214)
|
(1,085,160)
|
|||||
TOTAL SWAP COMPONENTS
|
(4,407,250)
|
(694,755)
|
|||||
Underlying Reference
|
Counterparty
|
Maturity Date
|
Absolute Notional Value
($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
Net Cash and Other Receivables/
(Payables) ($)
|
Value ($)
|
|
The Fund receives the total return on a portfolio of long and short positions and pays or receives the U.S. SOFR Index of 3.63% plus or minus a specified spread ranging from (0.15)% to 0.3%, which is denominated in U.S. dollars based on the local currencies of the positions within the swap
|
Bank of America Merrill Lynch International Ltd
|
11/2026 - 7/2027
|
47,550,220
|
(694,419)
|
(90,332)
|
(784,751)
|
|
The following table represents disclosures associated with the underlying components of the total return basket swap at period end, and percentages shown are based on total swap value.
|
|||||||
Reference Entity
|
Shares/Principal
Amount (a)
|
Notional Value ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
||||
LONG
|
|||||||
Common Stocks
|
|||||||
UNITED STATES -(23.7)%
|
|||||||
Communication Services - (21.5)%
|
|||||||
Entertainment - (21.5)%
|
|||||||
Roku Inc Class A (1)
|
100,000
|
14,501,000
|
169,000
|
||||
TOTAL COMMUNICATION SERVICES
|
14,501,000
|
169,000
|
|||||
Consumer Staples - (2.2)%
|
|||||||
Personal Care Products - (2.2)%
|
|||||||
Kenvue Inc
|
31,000
|
596,440
|
17,208
|
||||
TOTAL CONSUMER STAPLES
|
596,440
|
17,208
|
|||||
TOTAL UNITED STATES
|
15,097,440
|
186,208
|
|||||
|
TOTAL COMMON STOCKS
|
|
15,097,440
|
186,208
|
||||
TOTAL LONG
|
15,097,440
|
186,208
|
|||||
SHORT
|
|||||||
Common Stocks
|
|||||||
UNITED STATES -112.3%
|
|||||||
Communication Services - 27.7%
|
|||||||
Media - 27.7%
|
|||||||
Fox Corp Class A
|
(96,930)
|
(5,644,234)
|
(217,123)
|
||||
TOTAL COMMUNICATION SERVICES
|
(5,644,234)
|
(217,123)
|
|||||
Consumer Staples - 82.2%
|
|||||||
Household Products - 82.2%
|
|||||||
Kimberly-Clark Corp
|
(231,890)
|
(25,347,896)
|
(644,654)
|
||||
TOTAL CONSUMER STAPLES
|
(25,347,896)
|
(644,654)
|
|||||
Industrials - 2.4%
|
|||||||
Ground Transportation - 2.4%
|
|||||||
Union Pacific Corp
|
(5,000)
|
(1,460,650)
|
(18,850)
|
||||
TOTAL INDUSTRIALS
|
(1,460,650)
|
(18,850)
|
|||||
TOTAL UNITED STATES
|
(32,452,780)
|
(880,627)
|
|||||
|
TOTAL COMMON STOCKS
|
|
(32,452,780)
|
(880,627)
|
||||
TOTAL SHORT
|
(32,452,780)
|
(880,627)
|
|||||
TOTAL SWAP COMPONENTS
|
(17,355,340)
|
(694,419)
|
|||||
Total Return Swaps
|
|||||||||||
Underlying Reference
|
Pay/
Receive
Reference
|
Reference
Payment
Frequency
|
Financing
Rate
|
Financing
Frequency
|
Counterparty
|
Maturity
Date
|
Notional
Amount
|
Value ($)
|
Upfront
Premium
Received/
(Paid) ($)
|
Unrealized
Appreciation/
(Depreciation) ($)
|
|
NVIDIA Corp
|
Pay
|
At Maturity
|
U.S. SOFR Index plus 49 basis points
|
At Maturity
|
Goldman Sachs International
|
8/2026
|
47,502,500
|
(2,679,537)
|
0
|
(2,679,537)
|
|
TOTAL RETURN SWAPS
|
(2,679,537)
|
0
|
(2,679,537)
|
||||||||
(a)
|
Amount is stated in United States dollars unless otherwise noted.
|
(b)
|
Non-income producing.
|
(c)
|
Level 3 security.
|
(d)
|
Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.
|
(e)
|
Security or a portion of the security is pledged as collateral for options written. At period end, the value of securities pledged amounted to $1,760,480.
|
(f)
|
Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $74,301,560.
|
(g)
|
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
|
Affiliate
|
Value,
beginning
of period ($)
|
Purchases ($)
|
Sales
Proceeds ($)
|
Dividend
Income ($)
|
Realized
Gain (loss) ($)
|
Change in
Unrealized
appreciation
(depreciation) ($)
|
Value,
end
of period ($)
|
Shares,
end
of period
|
Fidelity Cash Central Fund
|
20,604,739
|
605,987,322
|
600,244,374
|
1,028,217
|
(1,735)
|
2,634
|
26,348,586
|
26,343,317
|
20,604,739
|
605,987,322
|
600,244,374
|
1,028,217
|
(1,735)
|
2,634
|
26,348,586
|
Valuation Inputs at Reporting Date:
|
||||
Description
|
Total ($)
|
Level 1 ($)
|
Level 2 ($)
|
Level 3 ($)
|
Investments in Securities:
|
||||
Common Stocks
|
||||
Communication Services
|
118,552,750
|
118,552,750
|
-
|
-
|
Consumer Discretionary
|
14,131,250
|
14,131,250
|
-
|
-
|
Consumer Staples
|
57,286,619
|
57,286,619
|
-
|
-
|
Financials
|
140,365,026
|
140,362,070
|
-
|
2,956
|
Health Care
|
139,008,758
|
138,847,058
|
-
|
161,700
|
Industrials
|
38,422,700
|
38,422,700
|
-
|
-
|
Information Technology
|
50,187,500
|
50,187,500
|
-
|
-
|
U.S. Treasury Obligations
|
78,571,091
|
-
|
78,571,091
|
-
|
Money Market Funds
|
26,348,586
|
26,348,586
|
-
|
-
|
Purchased Options
|
1,194,332
|
1,194,332
|
-
|
-
|
Total Investments in Securities:
|
664,068,612
|
585,332,865
|
78,571,091
|
164,656
|
Derivative Instruments:
|
||||
Liabilities
|
||||
Swaps
|
(10,643,094)
|
-
|
(10,643,094)
|
-
|
Written Options
|
(151,000)
|
(151,000)
|
-
|
-
|
Total Liabilities
|
(10,794,094)
|
(151,000)
|
(10,643,094)
|
-
|
Total Derivative Instruments:
|
(10,794,094)
|
(151,000)
|
(10,643,094)
|
-
|
Statement of Assets and Liabilities
|
||
As of July 31, 2026 (Unaudited)
|
||
Assets
|
||
Investments in securities, at value - unaffiliated issuers
|
$
|
637,720,026
|
Investments in securities, at value - affiliated issuers
|
26,348,586
|
|
Segregated cash with brokers for derivative instruments
|
1,730,000
|
|
Cash
|
512,032
|
|
Receivable for investments sold
|
10,104
|
|
Dividends receivable
|
146,690
|
|
Distributions receivable from affiliated funds
|
97,920
|
|
Prepaid expenses
|
3,634
|
|
Total assets
|
666,568,992
|
|
Liabilities
|
||
Payable for investments purchased
|
18,104,394
|
|
Bi-lateral OTC swaps, at value
|
10,643,094
|
|
Accrued management fee
|
556,134
|
|
Written options, at value
|
151,000
|
|
Other payables and accrued expenses
|
64,064
|
|
Total liabilities
|
29,518,686
|
|
Net Assets
|
$
|
637,050,306
|
Net assets consist of:
|
||
Paid in capital
|
625,908,584
|
|
Total accumulated earnings (loss)
|
11,141,722
|
|
Net Assets
|
$
|
637,050,306
|
Net Asset Value and Maximum Offering
|
||
Net Asset Value, offering price and redemption price per share ($637,050,306/60,791,512 shares)
|
$
|
10.48
|
Other Information
|
||
Unaffiliated issuers, cost
|
616,083,989
|
|
Affiliated issuers, cost
|
26,345,952
|
|
Written options premium received
|
316,502
|
|
Statement of Operations
|
||
Six months ended July 31, 2026 (Unaudited)
|
||
Investment Income
|
||
Dividends - unaffiliated issuers
|
$
|
1,663,889
|
Dividends - affiliated issuers
|
1,028,217
|
|
Interest
|
1,009,151
|
|
Total investment income
|
3,701,257
|
|
Expenses
|
||
Management fee
|
2,914,471
|
|
Custodian fees and expenses
|
7,735
|
|
Independent trustees' fees and expenses
|
69,017
|
|
Registration fees
|
66,052
|
|
Audit
|
64,209
|
|
Legal
|
11,264
|
|
Interest
|
3,181
|
|
Commitment fee
|
126
|
|
Miscellaneous
|
7,315
|
|
Total expenses
|
3,143,370
|
|
Expense reimbursements and reductions
|
(91,822)
|
|
Total expenses after reductions
|
3,051,548
|
|
Net investment income (loss)
|
649,709
|
|
Net realized gain (loss)
|
||
Investments - unaffiliated issuers
|
9,049,234
|
|
Investments - affiliated issuers
|
(1,735)
|
|
Foreign currency transactions
|
7,422
|
|
Swaps
|
(7,997,404)
|
|
Written options
|
311,092
|
|
Net realized gain (loss)
|
1,368,609
|
|
Change in net unrealized appreciation (depreciation)
|
||
Investments - unaffiliated issuers
|
18,720,708
|
|
Investments - affiliated issuers
|
2,634
|
|
Assets and liabilities in foreign currencies
|
2
|
|
Swaps
|
(9,675,491)
|
|
Written options
|
165,502
|
|
Total change in net unrealized appreciation (depreciation)
|
9,213,355
|
|
Net gain (loss)
|
10,581,964
|
|
Net increase (decrease) in net assets resulting from operations
|
$
|
11,231,673
|
Statement of Changes in Net Assets
|
||||
Six months ended
July 31, 2026
(Unaudited)
|
For the period June 17, 2025 (commencement of operations) through January 31, 2026
|
|||
Increase (Decrease) in Net Assets
|
||||
Operations
|
||||
Net investment income (loss)
|
$
|
649,709
|
$
|
590,504
|
Net realized gain (loss)
|
1,368,609
|
5,697,017
|
||
Change in net unrealized appreciation (depreciation)
|
9,213,355
|
1,947,726
|
||
Net increase (decrease) in net assets resulting from operations
|
11,231,673
|
8,235,247
|
||
Distributions to shareholders
|
||||
Distributions to shareholders
|
(4,877,387)
|
(3,447,811)
|
||
Total distributions
|
(4,877,387)
|
(3,447,811)
|
||
Net increase (decrease) in net assets resulting from share transactions
|
220,611,490
|
405,297,094
|
||
Total increase (decrease) in net assets
|
226,965,776
|
410,084,530
|
||
Net Assets
|
||||
Beginning of period
|
410,084,530
|
-
|
||
End of period
|
$
|
637,050,306
|
$
|
410,084,530
|
Fidelity® SAI Merger Arbitrage Fund |
Six months ended
July 31, 2026 (Unaudited) |
Years ended
January 31, 2026 A |
|||
Selected Per Share Data
|
||||
Net asset value, beginning of period
|
$
|
10.36
|
$
|
10.00
|
Income from Investment Operations
|
||||
Net investment income (loss) B, C
|
.01
|
.03
|
||
Net realized and unrealized gain (loss)
|
.21
|
.45
|
||
Total from investment operations
|
.22
|
.48
|
||
Distributions
|
||||
Distributions from net investment income
|
(.06)
|
(.10)
|
||
Distributions from net realized gain
|
(.04)
|
(.02)
|
||
Total distributions
|
(.10)
|
(.12)
|
||
Net asset value, end of period
|
$
|
10.48
|
$
|
10.36
|
Total Return D, E
|
2.14%
|
4.80%
|
||
Ratios and Supplemental Data C, F, G
|
||||
Ratio of expenses to average net assets before reductions
|
1.13% H
|
1.18% H, I
|
||
Ratio of expenses to average net assets net of fee waivers, if any
|
1.10% H
|
1.10% H
|
||
Ratio of expenses to average net assets net of all reductions, if any
|
1.10% H
|
1.10% H
|
||
Ratio of net investment income (loss) to average net assets
|
.23% H
|
.49% H
|
||
Net assets, end of period
|
$
|
637,050,306
|
$
|
410,084,530
|
Portfolio turnover rate J
|
113% H
|
110% H
|
||
AFor the period June 17, 2025 (commencement of operations) through January 31, 2026.
|
BCalculated based on average shares outstanding during the period.
|
CNet investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any mutual funds or ETFs is not included in the Fund's net investment income (loss) ratio.
|
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
|
ETotal returns for periods of less than one year are not annualized.
|
FExpense 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.
|
GFees 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.
|
HAnnualized.
|
IAudit fees are not annualized.
|
JAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs), derivatives or securities that mature within one year from acquisition.
|
Tax Cost ($)
|
Gross unrealized appreciation ($)
|
Gross unrealized depreciation ($)
|
Net unrealized appreciation (depreciation) ($)
|
|
Fidelity® SAI Merger Arbitrage Fund
|
642,277,454
|
30,735,210
|
(19,738,146)
|
10,997,064
|
|
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.
|
Primary Risk Exposure / Derivative Type
|
Values of Derivative Assets ($)
|
Values of Derivative Liabilities ($)
|
Net Realized Gain (Loss) ($)
|
Change in Net Unrealized Appreciation (Depreciation) ($)
|
|||
Fidelity® SAI Merger Arbitrage Fund
|
|||||||
Equity Risk
|
|||||||
Purchased Options
|
1,194,332
|
-
|
(439,103)
|
506,973
|
|||
Written Options
|
-
|
(151,000)
|
311,092
|
165,502
|
|||
Swaps
|
-
|
(10,643,094)
|
(7,997,404)
|
(9,675,491)
|
|||
Total Equity Risk
|
1,194,332
|
(10,794,094)
|
(8,125,415)
|
(9,003,016)
|
|||
Totals
|
1,194,332
|
(10,794,094)
|
(8,125,415)
|
(9,003,016)
|
Fidelity® SAI Merger Arbitrage Fund
|
||||||||||
|
Counterparty
|
Value of
Derivative
Assets ($)
|
Value of
Derivative
Liabilities ($)
|
Collateral
Received ($)
|
Collateral
Pledged ($)
|
Net ($)
|
|||||
Goldman Sachs International
|
-
|
(3,382,296)
|
-
|
3,382,296
|
-
|
|||||
Bank of America Merrill Lynch International Ltd.
|
-
|
(784,751)
|
-
|
784,751
|
-
|
|||||
BNP Paribas SA
|
-
|
(6,476,047)
|
-
|
6,476,047
|
-
|
|||||
Total
|
$
|
-
|
$
|
(10,643,094)
|
$
|
-
|
$
|
10,643,094
|
$
|
-
|
Average Amount ($)
|
|
Fidelity® SAI Merger Arbitrage Fund
|
|
Purchased Options
|
33,503,705
|
Written Options
|
8,128,833
|
Swaps
|
194,659,879
|
Purchases ($)
|
Sales ($)
|
|
Fidelity® SAI Merger Arbitrage Fund
|
813,752,127
|
255,538,610
|
Annual Management Fee Rate (%)
|
|
Fidelity® SAI Merger Arbitrage Fund
|
1.05
|
Borrower or Lender
|
Average Loan Balance ($)
|
Weighted Average Interest Rate (%)
|
Interest expense ($)
|
|
Fidelity® SAI Merger Arbitrage Fund
|
Borrower
|
14,809,500
|
3.87
|
3,181
|
Purchases ($)
|
Sales ($)
|
Realized Gain (Loss) ($)
|
|
Fidelity® SAI Merger Arbitrage Fund
|
36,071,850
|
-
|
-
|
Expense Limitation (%)
|
Expiration Date
|
Reimbursement ($)
|
|
Fidelity® SAI Merger Arbitrage Fund
|
1.10
|
May 31, 2027
|
83,145
|
Custodian Credits ($)
|
|
Fidelity® SAI Merger Arbitrage Fund
|
8,677
|
Six months ended ($)
|
Year ended ($)
|
|||
July 31, 2026
|
January 31, 2026
|
|||
Fidelity® SAI Merger Arbitrage Fund
|
||||
Fidelity® SAI Merger Arbitrage Fund (Commencement of sale of shares June 17, 2025)
|
4,877,387
|
3,447,811
|
||
Total
|
4,877,387
|
3,447,811
|
Shares
|
Shares
|
Dollars
|
Dollars
|
||||||
Six months ended
|
Year ended
|
Six months ended ($)
|
Year ended ($)
|
||||||
July 31, 2026
|
January 31, 2026
|
July 31, 2026
|
January 31, 2026
|
||||||
Fidelity® SAI Merger Arbitrage Fund (Commencement of sale of shares June 17, 2025)
|
|||||||||
Shares sold
|
21,236,430
|
39,252,589
|
221,000,000
|
401,849,448
|
|||||
Reinvestment of distributions
|
474,916
|
333,444
|
4,877,387
|
3,447,811
|
|||||
Shares redeemed
|
(505,850)
|
(17)
|
(5,265,897)
|
(165)
|
|||||
Net increase (decrease)
|
21,205,496
|
39,586,016
|
220,611,490
|
405,297,094
|
Strategic Advisers Fidelity Alternatives Fund
|
|
Fidelity ® SAI Merger Arbitrage Fund
|
99%
|
 |
Item 8.
Changes in and Disagreements with Accountants for Open-End Management Investment Companies
See Item 7.
Item 9.
Proxy Disclosures for Open-End Management Investment Companies
See Item 7.
Item 10.
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies
See Item 7.
Item 11.
Statement Regarding Basis for Approval of Investment Advisory Contract
See Item 7.
Item 12.
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 13.
Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 14.
Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 15.
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 16.
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 17.
Disclosure of Securities Lending Activities for Closed-End Management Investment Companies
Not applicable.
Item 18.
Recovery of Erroneously Awarded Compensation
(a)
Not applicable.
(b)
Not applicable.
Item 19.
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/Heather Bonner |
|
| Heather Bonner |
|
| President and Treasurer (Principal Executive Officer) |
|
|
|
| Date: | September 22, 2026 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/Heather Bonner |
|
| Heather Bonner |
|
| President and Treasurer (Principal Executive Officer) |
|
|
|
| Date: | September 22, 2026 |
| By: | /s/Stephanie Caron |
|
| Stephanie Caron |
|
| Chief Financial Officer (Principal Financial Officer) |
|
|
|
| Date: | September 22, 2026 |