Fidelity® Dividend ETF for Rising Rates
Fidelity® High Dividend ETF
Fidelity® Low Volatility Factor ETF
Fidelity® Momentum Factor ETF
Fidelity® Quality Factor ETF
Fidelity® Small-Mid Multifactor ETF
Fidelity® Stocks for Inflation ETF
Fidelity® U.S. Multifactor ETF
Fidelity® Value Factor ETF
 
 
Annual Report
July 31, 2023

Contents

Fidelity® Dividend ETF for Rising Rates

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® High Dividend ETF

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® Low Volatility Factor ETF

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® Momentum Factor ETF

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® Quality Factor ETF

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® Small-Mid Multifactor ETF

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® Stocks for Inflation ETF

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® U.S. Multifactor ETF

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Fidelity® Value Factor ETF

Performance

Management's Discussion of Fund Performance

Investment Summary

Schedule of Investments

Financial Statements

Notes to Financial Statements

Report of Independent Registered Public Accounting Firm

Report of Independent Registered Public Accounting Firm

Trustees and Officers

Shareholder Expense Example

Distributions

Board Approval of Investment Advisory Contracts

To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
 
 
You may also call 1-800-FIDELITY to request a free copy of the proxy voting guidelines.
The funds or securities referred to herein are not sponsored, endorsed, or promoted by Fidelity Product Services LLC (FPS), and FPS bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The prospectus contains a more detailed description of the relationship between FPS and any related funds.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2023 FMR LLC. All rights reserved.
 
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Funds. This report is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Forms N-PORT are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-PORT may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Funds nor Fidelity Distributors Corporation is a bank.
Fidelity® Dividend ETF for Rising Rates
Performance: The Bottom Line
NAV and closing market price average annual returns reflect the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) at NAV and Market Price, respectively, and assumes a constant rate of performance each year. The hypothetical investment and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
 
 
 
 
Periods ended July 31, 2023
 
Past 1
year
Past 5
years
Life of
Fund
Fidelity® Dividend ETF for Rising Rates - NAV A
8.17%
9.73%
11.25%
Fidelity® Dividend ETF for Rising Rates - Market Price B
7.87%
9.67%
11.29%
Fidelity Dividend Index for Rising Rates℠ A
8.47%
10.07%
11.62%
Russell 1000® Index A
12.95%
11.92%
13.38%
 
A   From September 12, 2016
 
B  From September 15, 2016, date initially listed on the NYSE ARCA exchange.
 $10,000 Over Life of Fund
 
Let's say hypothetically that $10,000 was invested in Fidelity® Dividend ETF for Rising Rates - NAV, on September 12, 2016, when the fund started.
 
The chart shows how the value of your investment would have changed, and also shows how the Fidelity Dividend Index for Rising Rates℠ and Russell 1000® Index performed over the same period.
 
Fidelity® Dividend ETF for Rising Rates
Management's Discussion of Fund Performance
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
 
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the exchange-traded fund's (ETF) net asset value gained 8.17%, and its market priced returned 7.87% versus the 8.47% advance for the Fidelity Dividend Index for Rising Rates NR and the 12.95% return for the Russell 1000 Index. By sector, information technology gained 21% and contributed most. Financials stocks also helped (+8%). Consumer discretionary rose approximately 8%, boosted by the consumer discretionary distribution & retail industry (+22%). Conversely, communication services returned approximately -7% and detracted most. Real estate (-11%), hampered by the equity real estate investment trusts (REITS) industry (-11%), and utilities (-4%) also hurt.
Turning to individual stocks, the top contributor was Apple (+22%), from the technology hardware & equipment group. Microsoft (+21%), from the software & services industry, also boosted the fund. Another notable contributor was Broadcom (+74%), a stock in the semiconductors & semiconductor equipment industry. In contrast, the biggest individual detractor was Pfizer (-26%), from the pharmaceuticals, biotechnology & life sciences group. Another notable detractor was Lumen Technologies (-78%), a stock in the telecommunication services category, and Vf (-38%), a stock in the consumer durables & apparel category, also detracted.
 
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization, or Geode Capital Management, LLC, (the ETF's subadviser) or any other person in the Geode organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity and Geode disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
 
 
Fidelity® Dividend ETF for Rising Rates
Investment Summary July 31, 2023 (Unaudited)
Top Holdings (% of Fund's net assets)
 
Apple, Inc.
8.7
  
Microsoft Corp.
7.5
  
Broadcom, Inc.
2.4
  
UnitedHealth Group, Inc.
2.2
  
Johnson & Johnson
2.1
  
Visa, Inc. Class A
2.0
  
JPMorgan Chase & Co.
2.0
  
Cisco Systems, Inc.
1.6
  
Merck & Co., Inc.
1.6
  
AbbVie, Inc.
1.6
  
 
31.7
  
 
Market Sectors (% of Fund's net assets)
 
Information Technology
27.9
  
Financials
14.1
  
Health Care
13.4
  
Consumer Discretionary
9.4
  
Industrials
8.8
  
Consumer Staples
6.8
  
Communication Services
6.2
  
Energy
4.6
  
Materials
2.8
  
Real Estate
2.8
  
Utilities
2.6
  
 
Asset Allocation (% of Fund's net assets)
Futures - 0.5%
 
Fidelity® Dividend ETF for Rising Rates
Schedule of Investments July 31, 2023
Showing Percentage of Net Assets     
Common Stocks - 99.4%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 6.2%
 
 
 
Diversified Telecommunication Services - 1.2%
  
 
 
AT&T, Inc.
 
199,741
2,900,239
Verizon Communications, Inc.
 
107,100
3,649,968
 
 
 
6,550,207
Entertainment - 0.9%
  
 
 
Electronic Arts, Inc.
 
21,370
2,913,800
Warner Music Group Corp. Class A
 
56,635
1,786,834
 
 
 
4,700,634
Media - 4.1%
  
 
 
Cable One, Inc. (a)
  
2,494
1,805,506
Comcast Corp. Class A
 
109,533
4,957,464
Fox Corp. Class A
 
64,827
2,168,463
Interpublic Group of Companies, Inc.
 
58,463
2,001,188
News Corp. Class A
 
102,815
2,037,793
Nexstar Broadcasting Group, Inc. Class A
 
10,201
1,904,731
Omnicom Group, Inc.
 
25,237
2,135,555
Paramount Global Class B (a)
  
88,648
1,421,027
TEGNA, Inc.
 
104,208
1,761,115
The New York Times Co. Class A
 
58,346
2,378,183
 
 
 
22,571,025
TOTAL COMMUNICATION SERVICES
  
 
33,821,866
CONSUMER DISCRETIONARY - 9.4%
 
 
 
Automobiles - 0.8%
  
 
 
Ford Motor Co.
 
332,630
4,394,042
Broadline Retail - 0.6%
  
 
 
Kohl's Corp. (a)
  
118,542
3,372,520
Hotels, Restaurants & Leisure - 2.3%
  
 
 
McDonald's Corp.
 
25,233
7,398,316
Starbucks Corp.
 
52,317
5,313,838
 
 
 
12,712,154
Household Durables - 1.3%
  
 
 
Newell Brands, Inc.
 
247,075
2,757,357
Vistry Group PLC
 
408,886
4,153,506
 
 
 
6,910,863
Specialty Retail - 3.4%
  
 
 
Best Buy Co., Inc.
 
46,342
3,848,703
Lowe's Companies, Inc.
 
26,538
6,217,057
The Home Depot, Inc.
 
25,832
8,623,755
 
 
 
18,689,515
Textiles, Apparel & Luxury Goods - 1.0%
  
 
 
NIKE, Inc. Class B
 
48,226
5,323,668
TOTAL CONSUMER DISCRETIONARY
  
 
51,402,762
CONSUMER STAPLES - 6.8%
 
 
 
Beverages - 2.4%
  
 
 
PepsiCo, Inc.
 
36,550
6,851,663
The Coca-Cola Co.
 
103,157
6,388,513
 
 
 
13,240,176
Consumer Staples Distribution & Retail - 0.7%
  
 
 
Target Corp.
 
28,351
3,869,061
Food Products - 0.5%
  
 
 
Tyson Foods, Inc. Class A
 
49,829
2,776,472
Household Products - 1.5%
  
 
 
Procter & Gamble Co.
 
53,654
8,386,120
Tobacco - 1.7%
  
 
 
Altria Group, Inc.
 
88,257
4,008,633
Philip Morris International, Inc.
 
50,207
5,006,642
 
 
 
9,015,275
TOTAL CONSUMER STAPLES
  
 
37,287,104
ENERGY - 4.6%
 
 
 
Oil, Gas & Consumable Fuels - 4.6%
  
 
 
Chevron Corp.
 
33,159
5,426,802
ConocoPhillips Co.
 
30,298
3,566,681
Coterra Energy, Inc.
 
69,929
1,925,845
Devon Energy Corp.
 
32,974
1,780,596
EOG Resources, Inc.
 
19,806
2,624,889
Exxon Mobil Corp.
 
69,893
7,495,325
Pioneer Natural Resources Co.
 
9,918
2,238,195
 
 
 
25,058,333
FINANCIALS - 14.1%
 
 
 
Banks - 8.2%
  
 
 
Bank of America Corp.
 
208,781
6,680,992
Citigroup, Inc.
 
104,601
4,985,284
ING Groep NV (Certificaten Van Aandelen)
 
292,545
4,283,404
Intesa Sanpaolo SpA
 
1,513,843
4,388,031
JPMorgan Chase & Co.
 
69,701
11,009,970
KBC Group NV
 
53,831
4,059,634
Truist Financial Corp.
 
99,020
3,289,444
Wells Fargo & Co.
 
138,649
6,400,038
 
 
 
45,096,797
Capital Markets - 1.0%
  
 
 
Blackstone, Inc.
 
50,344
5,275,548
Financial Services - 2.8%
  
 
 
The Western Union Co.
 
384,942
4,688,594
Visa, Inc. Class A
 
46,347
11,018,072
 
 
 
15,706,666
Insurance - 1.5%
  
 
 
American Financial Group, Inc.
 
31,148
3,787,908
Old Republic International Corp.
 
158,006
4,356,225
 
 
 
8,144,133
Mortgage Real Estate Investment Trusts - 0.6%
  
 
 
Annaly Capital Management, Inc.
 
175,121
3,518,181
TOTAL FINANCIALS
  
 
77,741,325
HEALTH CARE - 13.4%
 
 
 
Biotechnology - 2.9%
  
 
 
AbbVie, Inc.
 
60,390
9,033,136
Amgen, Inc.
 
28,517
6,677,256
 
 
 
15,710,392
Health Care Equipment & Supplies - 1.2%
  
 
 
Medtronic PLC
 
77,881
6,834,837
Health Care Providers & Services - 2.2%
  
 
 
UnitedHealth Group, Inc.
 
23,960
12,132,625
Pharmaceuticals - 7.1%
  
 
 
Bristol-Myers Squibb Co.
 
100,987
6,280,382
GSK PLC
 
297,078
5,292,431
Johnson & Johnson
 
67,544
11,315,646
Merck & Co., Inc.
 
85,362
9,103,857
Pfizer, Inc.
 
195,002
7,031,772
 
 
 
39,024,088
TOTAL HEALTH CARE
  
 
73,701,942
INDUSTRIALS - 8.8%
 
 
 
Aerospace & Defense - 0.9%
  
 
 
Raytheon Technologies Corp.
 
57,467
5,053,073
Air Freight & Logistics - 1.0%
  
 
 
United Parcel Service, Inc. Class B
 
28,919
5,411,612
Ground Transportation - 1.1%
  
 
 
Union Pacific Corp.
 
25,380
5,888,668
Industrial Conglomerates - 2.3%
  
 
 
3M Co.
 
37,611
4,193,627
Honeywell International, Inc.
 
26,664
5,176,282
Jardine Matheson Holdings Ltd.
 
67,028
3,309,843
 
 
 
12,679,752
Machinery - 1.0%
  
 
 
Caterpillar, Inc.
 
21,908
5,809,344
Marine Transportation - 1.9%
  
 
 
A.P. Moller - Maersk A/S Series B
 
1,525
3,143,946
Mitsui OSK Lines Ltd.
 
142,100
3,675,517
Nippon Yusen KK
 
146,700
3,560,118
 
 
 
10,379,581
Professional Services - 0.6%
  
 
 
Randstad NV
 
54,317
3,190,790
TOTAL INDUSTRIALS
  
 
48,412,820
INFORMATION TECHNOLOGY - 27.9%
 
 
 
Communications Equipment - 1.6%
  
 
 
Cisco Systems, Inc.
 
167,417
8,712,381
Electronic Equipment, Instruments & Components - 1.0%
  
 
 
Corning, Inc.
 
161,126
5,468,616
IT Services - 1.4%
  
 
 
IBM Corp.
 
52,542
7,575,506
Semiconductors & Semiconductor Equipment - 6.6%
  
 
 
Broadcom, Inc.
 
14,606
13,125,682
Intel Corp.
 
237,940
8,511,114
Qualcomm, Inc.
 
55,688
7,360,283
Texas Instruments, Inc.
 
42,099
7,577,820
 
 
 
36,574,899
Software - 7.5%
  
 
 
Microsoft Corp.
 
123,383
41,446,817
Technology Hardware, Storage & Peripherals - 9.8%
  
 
 
Apple, Inc.
 
242,303
47,600,427
HP, Inc.
 
189,741
6,229,197
 
 
 
53,829,624
TOTAL INFORMATION TECHNOLOGY
  
 
153,607,843
MATERIALS - 2.8%
 
 
 
Chemicals - 1.9%
  
 
 
Air Products & Chemicals, Inc.
 
6,976
2,129,982
Dow, Inc.
 
29,013
1,638,364
Linde PLC
 
10,301
4,024,292
LyondellBasell Industries NV Class A
 
15,519
1,534,208
The Mosaic Co.
 
27,462
1,119,351
 
 
 
10,446,197
Containers & Packaging - 0.7%
  
 
 
Amcor PLC
 
115,413
1,184,137
International Paper Co.
 
32,780
1,182,047
Packaging Corp. of America
 
9,256
1,419,408
 
 
 
3,785,592
Metals & Mining - 0.2%
  
 
 
Newmont Corp. (a)
  
33,021
1,417,261
TOTAL MATERIALS
  
 
15,649,050
REAL ESTATE - 2.8%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 2.8%
  
 
 
American Tower Corp.
 
11,137
2,119,482
Crown Castle International Corp.
 
13,005
1,408,311
Healthcare Trust of America, Inc.
 
54,111
1,056,788
Medical Properties Trust, Inc. (a)
  
91,390
922,125
Omega Healthcare Investors, Inc.
 
38,985
1,243,622
Prologis (REIT), Inc.
 
20,696
2,581,826
Public Storage
 
5,622
1,583,999
Realty Income Corp.
 
24,453
1,490,899
Simon Property Group, Inc.
 
12,647
1,575,816
Weyerhaeuser Co.
 
40,180
1,368,531
 
 
 
15,351,399
UTILITIES - 2.6%
 
 
 
Electric Utilities - 2.2%
  
 
 
American Electric Power Co., Inc.
 
19,028
1,612,433
Duke Energy Corp.
 
21,682
2,029,869
Edison International
 
21,690
1,560,812
NextEra Energy, Inc.
 
42,325
3,102,423
NRG Energy, Inc.
 
35,486
1,348,113
Southern Co.
 
31,460
2,275,816
 
 
 
11,929,466
Independent Power and Renewable Electricity Producers - 0.1%
  
 
 
Clearway Energy, Inc. Class C
 
34,377
907,897
Multi-Utilities - 0.3%
  
 
 
Dominion Energy, Inc.
 
29,699
1,590,381
TOTAL UTILITIES
  
 
14,427,744
 
TOTAL COMMON STOCKS
 (Cost $502,490,537)
  
 
 
546,462,188
 
 
 
 
Money Market Funds - 1.5%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.32% (b)
  
2,061,721
2,062,133
Fidelity Securities Lending Cash Central Fund 5.32% (b)(c)
  
6,086,966
6,087,575
 
TOTAL MONEY MARKET FUNDS
 (Cost $8,149,708)
  
 
8,149,708
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.9%
 (Cost $510,640,245)
 
  
 
554,611,896
NET OTHER ASSETS (LIABILITIES) - (0.9)%  
(5,076,195)
NET ASSETS - 100.0%
549,535,701
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
 
 
 
 
 
 
 
 
 
 
Equity Index Contracts
  
 
 
 
 
CME E-mini S&P 500 Index Contracts (United States)
12
Sep 2023
2,768,700
153,385
153,385
 
 
 
 
 
 
The notional amount of futures purchased as a percentage of Net Assets is 0.5%
 
 
 
Legend
 
(a)
Security or a portion of the security is on loan at period end.
 
(b)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
 
(c)
Investment made with cash collateral received from securities on loan.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.32%
1,664,238
37,620,438
37,222,543
49,256
-
-
2,062,133
0.0%
Fidelity Securities Lending Cash Central Fund 5.32%
16,551,925
117,404,415
127,868,765
184,646
-
-
6,087,575
0.0%
Total
18,216,163
155,024,853
165,091,308
233,902
-
-
8,149,708
  
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
  
 
 
 
 Equities:
  
 
 
 
Communication Services
33,821,866
33,821,866
-
-
Consumer Discretionary
51,402,762
51,402,762
-
-
Consumer Staples
37,287,104
37,287,104
-
-
Energy
25,058,333
25,058,333
-
-
Financials
77,741,325
77,741,325
-
-
Health Care
73,701,942
73,701,942
-
-
Industrials
48,412,820
48,412,820
-
-
Information Technology
153,607,843
153,607,843
-
-
Materials
15,649,050
15,649,050
-
-
Real Estate
15,351,399
15,351,399
-
-
Utilities
14,427,744
14,427,744
-
-
  Money Market Funds
8,149,708
8,149,708
-
-
 Total Investments in Securities:
554,611,896
554,611,896
-
-
 Derivative Instruments:
  
 
 
 
 Assets
  
 
 
 
Futures Contracts
153,385
153,385
-
-
  Total Assets
153,385
153,385
-
-
 Total Derivative Instruments:
153,385
153,385
-
-
 
Value of Derivative Instruments
 
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
 
Primary Risk Exposure / Derivative Type                                                                                                                                                                                   
 
Value
Asset ($)
Liability ($)
Equity Risk
  
 
Futures Contracts (a) 
153,385
0
Total Equity Risk
153,385
0
Total Value of Derivatives
153,385
0
 
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
 
 
 
Fidelity® Dividend ETF for Rising Rates
Financial Statements
Statement of Assets and Liabilities
 
 
 
July 31, 2023
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  (including  securities loaned of $5,983,178) - See accompanying schedule:
  
 
 
 
Unaffiliated issuers (cost $502,490,537)
$
546,462,188
  
 
Fidelity Central Funds (cost $8,149,708)
8,149,708
  
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $510,640,245)
  
 
$
554,611,896
Segregated cash with brokers for derivative instruments
  
 
134,400
Foreign currency held at value (cost $182,326)
  
 
183,933
Dividends receivable
  
 
811,244
Distributions receivable from Fidelity Central Funds
  
 
7,729
Receivable for daily variation margin on futures contracts
  
 
4,800
  Total assets
  
 
555,754,002
Liabilities
  
 
 
 
Accrued management fee
$
130,726
  
 
Collateral on securities loaned
6,087,575
  
 
  Total Liabilities
  
 
 
6,218,301
Net Assets  
  
 
$
549,535,701
Net Assets consist of:
  
 
 
 
Paid in capital
  
 
$
565,839,189
Total accumulated earnings (loss)
  
 
 
(16,303,488)
Net Assets
  
 
$
549,535,701
Net Asset Value, offering price and redemption price per share ($549,535,701 ÷ 12,750,000 shares)
  
 
$
43.10
 
Statement of Operations
 
 
 
Year ended
July 31, 2023
Investment Income
  
 
 
 
Dividends
 
 
$
18,446,725
Income from Fidelity Central Funds (including $184,646 from security lending)
 
 
233,902
 Total Income
  
 
 
18,680,627
Expenses
  
 
 
 
Management fee
$
1,625,282
  
 
Independent trustees' fees and expenses
2,921
  
 
Interest
1,254
  
 
 Total expenses before reductions
  
1,629,457
  
 
 Expense reductions
  
(183)
  
 
 Total expenses after reductions
  
 
 
1,629,274
Net Investment income (loss)
  
 
 
17,051,353
Realized and Unrealized Gain (Loss)
  
 
 
 
Net realized gain (loss) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers  
  
(21,299,689)
  
 
   Redemptions in-kind
  
41,388,416
  
 
 Foreign currency transactions
  
(98,236)
  
 
 Futures contracts
  
(157,915)
  
 
Total net realized gain (loss)
  
 
 
19,832,576
Change in net unrealized appreciation (depreciation) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers
  
2,247,029
  
 
 Assets and liabilities in foreign currencies
  
57,752
  
 
 Futures contracts
  
77,600
  
 
Total change in net unrealized appreciation (depreciation)
  
 
 
2,382,381
Net gain (loss)
  
 
 
22,214,957
Net increase (decrease) in net assets resulting from operations
  
 
$
39,266,310
Statement of Changes in Net Assets
 
 
Year ended
July 31, 2023
  
Year ended
July 31, 2022
Increase (Decrease) in Net Assets
  
 
 
 
Operations
  
 
 
Net investment income (loss)
$
17,051,353
$
14,434,863
Net realized gain (loss)
  
19,832,576
 
 
16,773,810
 
Change in net unrealized appreciation (depreciation)
  
2,382,381
  
(47,740,920)
 
Net increase (decrease) in net assets resulting from operations
  
39,266,310
 
 
(16,532,247)
 
Distributions to shareholders
  
(16,860,450)
 
 
(14,425,400)
 
 
 
 
 
 
Share transactions
  
 
 
 
Proceeds from sales of shares
  
115,557,120
  
291,688,328
Cost of shares redeemed
  
(200,570,072)
  
(138,676,589)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
  
(85,012,952)
 
 
153,011,739
 
Total increase (decrease) in net assets
  
(62,607,092)
 
 
122,054,092
 
 
 
 
 
 
Net Assets
  
 
 
 
Beginning of period
  
612,142,793
  
490,088,701
 
End of period
$
549,535,701
$
612,142,793
 
 
 
 
 
Other Information
  
 
 
 
Shares
  
 
 
 
Sold
  
2,750,000
  
6,600,000
Redeemed
  
(4,900,000)
  
(3,200,000)
Net increase (decrease)
  
(2,150,000)
  
3,400,000
 
 
 
 
 
 
Fidelity® Dividend ETF for Rising Rates
 
Years ended July 31,
  
2023  
  
2022 
  
2021  
  
2020 
  
2019 
  Selected Per-Share Data 
  
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
41.08
$
42.62
$
31.72
$
32.31
$
31.54
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
  
1.22
 
1.08
 
.93
 
1.01
 
1.07
     Net realized and unrealized gain (loss)
 
2.02
 
(1.54)
 
10.85
 
(.56)
 
.79
  Total from investment operations
 
3.24  
  
(.46)  
  
11.78  
  
.45  
  
1.86
  Distributions from net investment income
 
(1.22)
 
(1.08)
 
(.88)
 
(1.04)
 
(1.09)
     Total distributions
 
(1.22)
 
(1.08)
 
(.88)
 
(1.04)
 
(1.09)
  Net asset value, end of period
$
43.10
$
41.08
$
42.62
$
31.72
$
32.31
 Total Return C,D
  
8.17%
 
(1.06)%
 
37.57%
 
1.86%
 
6.09%
 Ratios to Average Net Assets B,E,F
  
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of fee waivers, if any
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of all reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Net investment income (loss)
 
3.04%
 
2.54%
 
2.44%
 
3.15%
 
3.42%
 Supplemental Data
  
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
549,536
$
612,143
$
490,089
$
282,317
$
360,229
    Portfolio turnover rate G,H
  
29%
 
28%
 
32%
 
35%
 
35%
 
ACalculated based on average shares outstanding during the period.
 
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.
 
CBased on net asset value.
 
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
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.
 
GPortfolio turnover rate excludes securities received or delivered in-kind.
 
HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity® High Dividend ETF
Performance: The Bottom Line
NAV and closing market price average annual returns reflect the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) at NAV and Market Price, respectively, and assumes a constant rate of performance each year. The hypothetical investment and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
 
 
 
 
Periods ended July 31, 2023
 
Past 1
year
Past 5
years
Life of
Fund
Fidelity® High Dividend ETF - NAV A
12.22%
10.66%
11.49%
Fidelity® High Dividend ETF - Market Price B
12.09%
10.62%
11.60%
Fidelity High Dividend Index℠ A
12.55%
10.98%
11.83%
Russell 1000® Index A
12.95%
11.92%
13.38%
 
A   From September 12, 2016
 
B  From September 15, 2016, date initially listed on the NYSE ARCA exchange.
 $10,000 Over Life of Fund
 
Let's say hypothetically that $10,000 was invested in Fidelity® High Dividend ETF - NAV, on September 12, 2016, when the fund started.
 
The chart shows how the value of your investment would have changed, and also shows how the Fidelity High Dividend Index℠ and Russell 1000® Index performed over the same period.
 
Fidelity® High Dividend ETF
Management's Discussion of Fund Performance
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
 
Comments from Portfolio Manager Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the exchange-traded fund's (ETF) net asset value returned 12.22%, and its market price returned 12.09%, versus the 12.55% advance for the Fidelity High Dividend Index NR and the 12.95% return for the Russell 1000 Index. By sector, information technology gained 34% and contributed most. Financials stocks also helped (+13%). Energy rose 15%, materials gained about 12%, and industrials advanced 11%. Other Notable contributors included the consumer discretionary (+14%), consumer staples (+13%) and health care (+2%) sectors. Conversely, real estate returned -7% and detracted most. Utilities (-3%) and communication services (-6%) also hurt. Turning to individual stocks, the top contributor was Nvidia (+159%), from the semiconductors & semiconductor equipment industry. Also in semiconductors & semiconductor equipment, Broadcom (+74%) helped. Apple (+22%), from the technology hardware & equipment category, also boosted the fund. In contrast, the biggest individual detractor was Crown Castle (-37%), from the equity real estate investment trusts (REITS) industry. Also in equity real estate investment trusts (REITS), American Tower (-27%) and Medical Properties Trust (-35%) hurt. Pfizer (-26%), a stock in the pharmaceuticals, biotechnology & life sciences industry, also hindered the fund.
 
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization, or Geode Capital Management, LLC, (the ETF's subadviser) or any other person in the Geode organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity and Geode disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
 
 
 
Fidelity® High Dividend ETF
Investment Summary July 31, 2023 (Unaudited)
Top Holdings (% of Fund's net assets)
 
Apple, Inc.
6.4
  
Microsoft Corp.
5.6
  
NVIDIA Corp.
3.6
  
JPMorgan Chase & Co.
2.6
  
Procter & Gamble Co.
2.5
  
Exxon Mobil Corp.
2.2
  
PepsiCo, Inc.
2.2
  
The Coca-Cola Co.
2.0
  
Chevron Corp.
1.9
  
Philip Morris International, Inc.
1.7
  
 
30.7
  
 
Market Sectors (% of Fund's net assets)
 
Information Technology
23.0
  
Financials
19.1
  
Industrials
14.5
  
Consumer Staples
12.2
  
Energy
11.0
  
Real Estate
8.6
  
Health Care
6.7
  
Consumer Discretionary
3.6
  
Communication Services
0.9
  
 
Asset Allocation (% of Fund's net assets)
Futures - 0.4%
 
Fidelity® High Dividend ETF
Schedule of Investments July 31, 2023
Showing Percentage of Net Assets     
Common Stocks - 99.6%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 0.9%
 
 
 
Diversified Telecommunication Services - 0.2%
  
 
 
AT&T, Inc.
 
92,780
1,347,166
Verizon Communications, Inc.
 
49,690
1,693,435
 
 
 
3,040,601
Entertainment - 0.1%
  
 
 
Electronic Arts, Inc.
 
9,905
1,350,547
Warner Music Group Corp. Class A
 
26,289
829,418
 
 
 
2,179,965
Media - 0.6%
  
 
 
Cable One, Inc. (a)
  
1,139
824,568
Comcast Corp. Class A
 
50,417
2,281,873
Fox Corp. Class A
 
30,048
1,005,106
Interpublic Group of Companies, Inc.
 
27,140
929,002
News Corp. Class A
 
47,771
946,821
Nexstar Broadcasting Group, Inc. Class A
 
4,702
877,957
Omnicom Group, Inc.
 
11,652
985,992
Paramount Global Class B (a)
  
41,144
659,538
TEGNA, Inc.
 
48,377
817,571
The New York Times Co. Class A
 
27,075
1,103,577
 
 
 
10,432,005
TOTAL COMMUNICATION SERVICES
  
 
15,652,571
CONSUMER DISCRETIONARY - 3.6%
 
 
 
Automobiles - 0.3%
  
 
 
Ford Motor Co.
 
403,460
5,329,707
Broadline Retail - 0.3%
  
 
 
Kohl's Corp. (a)
  
144,015
4,097,227
Hotels, Restaurants & Leisure - 0.9%
  
 
 
McDonald's Corp.
 
30,636
8,982,475
Starbucks Corp.
 
63,539
6,453,656
 
 
 
15,436,131
Household Durables - 0.4%
  
 
 
Newell Brands, Inc.
 
300,530
3,353,915
Vistry Group PLC
 
386,894
3,930,109
 
 
 
7,284,024
Specialty Retail - 1.3%
  
 
 
Best Buy Co., Inc.
 
56,199
4,667,327
Lowe's Companies, Inc.
 
32,217
7,547,477
The Home Depot, Inc.
 
31,358
10,468,555
 
 
 
22,683,359
Textiles, Apparel & Luxury Goods - 0.4%
  
 
 
NIKE, Inc. Class B
 
58,481
6,455,718
TOTAL CONSUMER DISCRETIONARY
  
 
61,286,166
CONSUMER STAPLES - 12.2%
 
 
 
Beverages - 4.2%
  
 
 
PepsiCo, Inc.
 
196,737
36,880,318
The Coca-Cola Co.
 
555,130
34,379,201
 
 
 
71,259,519
Consumer Staples Distribution & Retail - 0.3%
  
 
 
Target Corp.
 
34,390
4,693,203
Household Products - 2.5%
  
 
 
Procter & Gamble Co.
 
265,949
41,567,829
Tobacco - 5.2%
  
 
 
Altria Group, Inc.
 
576,089
26,165,962
British American Tobacco PLC (United Kingdom)
 
476,982
16,051,556
Imperial Brands PLC
 
731,173
17,305,349
Philip Morris International, Inc.
 
292,736
29,191,634
 
 
 
88,714,501
TOTAL CONSUMER STAPLES
  
 
206,235,052
ENERGY - 11.0%
 
 
 
Oil, Gas & Consumable Fuels - 11.0%
  
 
 
Chevron Corp.
 
193,848
31,725,164
ConocoPhillips Co.
 
232,461
27,365,309
Coterra Energy, Inc.
 
841,308
23,169,622
Devon Energy Corp.
 
355,552
19,199,808
EOG Resources, Inc.
 
185,113
24,533,026
Exxon Mobil Corp.
 
354,944
38,064,195
Pioneer Natural Resources Co.
 
100,902
22,770,554
 
 
 
186,827,678
FINANCIALS - 19.1%
 
 
 
Banks - 10.6%
  
 
 
Bank of America Corp.
 
900,458
28,814,656
Citigroup, Inc.
 
499,858
23,823,232
ING Groep NV (Certificaten Van Aandelen)
 
1,220,779
17,874,480
Intesa Sanpaolo SpA
 
6,317,624
18,312,290
JPMorgan Chase & Co.
 
281,692
44,496,068
KBC Group NV
 
224,621
16,939,662
Wells Fargo & Co.
 
623,700
28,789,992
 
 
 
179,050,380
Capital Markets - 1.5%
  
 
 
Blackstone, Inc.
 
247,795
25,966,438
Financial Services - 2.0%
  
 
 
The Western Union Co.
 
795,340
9,687,241
Visa, Inc. Class A
 
101,225
24,064,219
 
 
 
33,751,460
Insurance - 2.5%
  
 
 
American Financial Group, Inc.
 
164,705
20,029,775
Old Republic International Corp.
 
837,889
23,100,600
 
 
 
43,130,375
Mortgage Real Estate Investment Trusts - 2.5%
  
 
 
Annaly Capital Management, Inc.
 
923,945
18,562,055
Rithm Capital Corp.
 
2,296,471
23,148,428
 
 
 
41,710,483
TOTAL FINANCIALS
  
 
323,609,136
HEALTH CARE - 6.7%
 
 
 
Biotechnology - 2.2%
  
 
 
AbbVie, Inc.
 
102,631
15,351,545
Amgen, Inc.
 
49,112
11,499,575
Gilead Sciences, Inc.
 
140,766
10,717,923
 
 
 
37,569,043
Health Care Equipment & Supplies - 0.7%
  
 
 
Medtronic PLC
 
134,404
11,795,295
Pharmaceuticals - 3.8%
  
 
 
Bristol-Myers Squibb Co.
 
173,430
10,785,612
GSK PLC
 
407,536
7,260,236
Johnson & Johnson
 
113,356
18,990,531
Merck & Co., Inc.
 
144,982
15,462,330
Pfizer, Inc.
 
331,553
11,955,801
 
 
 
64,454,510
TOTAL HEALTH CARE
  
 
113,818,848
INDUSTRIALS - 14.5%
 
 
 
Aerospace & Defense - 2.9%
  
 
 
Lockheed Martin Corp.
 
54,897
24,504,374
Raytheon Technologies Corp.
 
274,613
24,146,721
 
 
 
48,651,095
Air Freight & Logistics - 1.5%
  
 
 
United Parcel Service, Inc. Class B
 
138,537
25,924,429
Ground Transportation - 1.7%
  
 
 
Union Pacific Corp.
 
122,488
28,419,666
Industrial Conglomerates - 2.7%
  
 
 
3M Co.
 
194,472
21,683,628
Honeywell International, Inc.
 
127,751
24,800,302
 
 
 
46,483,930
Machinery - 1.7%
  
 
 
Caterpillar, Inc.
 
106,122
28,140,371
Marine Transportation - 4.0%
  
 
 
A.P. Moller - Maersk A/S Series B
 
6,739
13,893,149
Kawasaki Kisen Kaisha Ltd.
 
738,100
22,244,821
Mitsui OSK Lines Ltd.
 
627,700
16,235,906
Nippon Yusen KK
 
647,000
15,701,408
 
 
 
68,075,284
TOTAL INDUSTRIALS
  
 
245,694,775
INFORMATION TECHNOLOGY - 23.0%
 
 
 
Communications Equipment - 1.1%
  
 
 
Cisco Systems, Inc.
 
359,651
18,716,238
IT Services - 0.9%
  
 
 
IBM Corp.
 
111,496
16,075,493
Semiconductors & Semiconductor Equipment - 8.2%
  
 
 
Broadcom, Inc.
 
31,520
28,325,448
Intel Corp.
 
505,194
18,070,789
NVIDIA Corp.
 
131,314
61,361,719
Qualcomm, Inc.
 
118,808
15,702,853
Texas Instruments, Inc.
 
89,985
16,197,300
 
 
 
139,658,109
Software - 5.6%
  
 
 
Microsoft Corp.
 
280,205
94,126,464
Technology Hardware, Storage & Peripherals - 7.2%
  
 
 
Apple, Inc.
 
551,400
108,322,529
HP, Inc.
 
394,568
12,953,667
 
 
 
121,276,196
TOTAL INFORMATION TECHNOLOGY
  
 
389,852,500
REAL ESTATE - 8.6%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 8.6%
  
 
 
American Tower Corp.
 
82,109
15,626,164
Crown Castle International Corp.
 
111,328
12,055,709
Digital Realty Trust, Inc.
 
130,391
16,249,326
Healthcare Trust of America, Inc.
 
661,882
12,926,555
Medical Properties Trust, Inc. (a)
  
1,124,256
11,343,743
Omega Healthcare Investors, Inc.
 
482,323
15,386,104
Prologis (REIT), Inc.
 
144,705
18,051,949
Public Storage
 
52,197
14,706,505
Simon Property Group, Inc.
 
121,421
15,129,057
Weyerhaeuser Co.
 
428,147
14,582,687
 
 
 
146,057,799
 
TOTAL COMMON STOCKS
 (Cost $1,559,841,105)
  
 
 
1,689,034,525
 
 
 
 
Money Market Funds - 1.0%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.32% (b)
  
4,258,481
4,259,333
Fidelity Securities Lending Cash Central Fund 5.32% (b)(c)
  
12,023,748
12,024,950
 
TOTAL MONEY MARKET FUNDS
 (Cost $16,284,283)
  
 
16,284,283
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.6%
 (Cost $1,576,125,388)
 
  
 
1,705,318,808
NET OTHER ASSETS (LIABILITIES) - (0.6)%  
(9,551,560)
NET ASSETS - 100.0%
1,695,767,248
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
 
 
 
 
 
 
 
 
 
 
Equity Index Contracts
  
 
 
 
 
CME E-mini S&P 500 Index Contracts (United States)
27
Sep 2023
6,229,575
274,053
274,053
CME Micro E-mini S&P 500 Index Contracts (United States)
20
Sep 2023
461,450
753
753
 
 
 
 
 
 
TOTAL FUTURES CONTRACTS
  
 
 
 
274,806
The notional amount of futures purchased as a percentage of Net Assets is 0.4%
 
 
 
Legend
 
(a)
Security or a portion of the security is on loan at period end.
 
(b)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
 
(c)
Investment made with cash collateral received from securities on loan.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.32%
2,743,400
111,350,344
109,834,411
80,442
-
-
4,259,333
0.0%
Fidelity Securities Lending Cash Central Fund 5.32%
16,059,350
250,186,775
254,221,175
250,098
-
-
12,024,950
0.0%
Total
18,802,750
361,537,119
364,055,586
330,540
-
-
16,284,283
  
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
  
 
 
 
 Equities:
  
 
 
 
Communication Services
15,652,571
15,652,571
-
-
Consumer Discretionary
61,286,166
61,286,166
-
-
Consumer Staples
206,235,052
206,235,052
-
-
Energy
186,827,678
186,827,678
-
-
Financials
323,609,136
323,609,136
-
-
Health Care
113,818,848
113,818,848
-
-
Industrials
245,694,775
245,694,775
-
-
Information Technology
389,852,500
389,852,500
-
-
Real Estate
146,057,799
146,057,799
-
-
  Money Market Funds
16,284,283
16,284,283
-
-
 Total Investments in Securities:
1,705,318,808
1,705,318,808
-
-
 Derivative Instruments:
  
 
 
 
 Assets
  
 
 
 
Futures Contracts
274,806
274,806
-
-
  Total Assets
274,806
274,806
-
-
 Total Derivative Instruments:
274,806
274,806
-
-
 
Value of Derivative Instruments
 
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
 
Primary Risk Exposure / Derivative Type                                                                                                                                                                                   
 
Value
Asset ($)
Liability ($)
Equity Risk
  
 
Futures Contracts (a) 
274,806
0
Total Equity Risk
274,806
0
Total Value of Derivatives
274,806
0
 
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
 
 
 
Fidelity® High Dividend ETF
Financial Statements
Statement of Assets and Liabilities
 
 
 
July 31, 2023
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  (including  securities loaned of $11,592,710) - See accompanying schedule:
  
 
 
 
Unaffiliated issuers (cost $1,559,841,105)
$
1,689,034,525
  
 
Fidelity Central Funds (cost $16,284,283)
16,284,283
  
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $1,576,125,388)
  
 
$
1,705,318,808
Segregated cash with brokers for derivative instruments
  
 
294,560
Foreign currency held at value (cost $16,910)
  
 
17,024
Receivable for fund shares sold
  
 
6,226,804
Dividends receivable
  
 
2,475,289
Distributions receivable from Fidelity Central Funds
  
 
11,588
Receivable for daily variation margin on futures contracts
  
 
10,925
  Total assets
  
 
1,714,354,998
Liabilities
  
 
 
 
Payable for investments purchased
$
6,170,687
  
 
Accrued management fee
392,108
  
 
Other payables and accrued expenses
5
  
 
Collateral on securities loaned
12,024,950
  
 
  Total Liabilities
  
 
 
18,587,750
Net Assets  
  
 
$
1,695,767,248
Net Assets consist of:
  
 
 
 
Paid in capital
  
 
$
1,643,310,853
Total accumulated earnings (loss)
  
 
 
52,456,395
Net Assets
  
 
$
1,695,767,248
Net Asset Value, offering price and redemption price per share ($1,695,767,248 ÷ 40,850,000 shares)
  
 
$
41.51
 
Statement of Operations
 
 
 
Year ended
July 31, 2023
Investment Income
  
 
 
 
Dividends
 
 
$
54,352,353
Income from Fidelity Central Funds (including $250,098 from security lending)
 
 
330,540
 Total Income
  
 
 
54,682,893
Expenses
  
 
 
 
Management fee
$
4,015,094
  
 
Independent trustees' fees and expenses
6,738
  
 
Interest
6,792
  
 
 Total expenses before reductions
  
4,028,624
  
 
 Expense reductions
  
(328)
  
 
 Total expenses after reductions
  
 
 
4,028,296
Net Investment income (loss)
  
 
 
50,654,597
Realized and Unrealized Gain (Loss)
  
 
 
 
Net realized gain (loss) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers  
  
(21,424,138)
  
 
   Redemptions in-kind
  
64,640,243
  
 
 Foreign currency transactions
  
(295,558)
  
 
 Futures contracts
  
66,001
  
 
Total net realized gain (loss)
  
 
 
42,986,548
Change in net unrealized appreciation (depreciation) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers
  
77,519,102
  
 
 Assets and liabilities in foreign currencies
  
(22,089)
  
 
 Futures contracts
  
(37,105)
  
 
Total change in net unrealized appreciation (depreciation)
  
 
 
77,459,908
Net gain (loss)
  
 
 
120,446,456
Net increase (decrease) in net assets resulting from operations
  
 
$
171,101,053
Statement of Changes in Net Assets
 
 
Year ended
July 31, 2023
  
Year ended
July 31, 2022
Increase (Decrease) in Net Assets
  
 
 
 
Operations
  
 
 
Net investment income (loss)
$
50,654,597
$
34,784,807
Net realized gain (loss)
  
42,986,548
 
 
95,057,679
 
Change in net unrealized appreciation (depreciation)
  
77,459,908
  
(104,029,877)
 
Net increase (decrease) in net assets resulting from operations
  
171,101,053
 
 
25,812,609
 
Distributions to shareholders
  
(52,210,250)
 
 
(36,931,550)
 
 
 
 
 
 
Share transactions
  
 
 
 
Proceeds from sales of shares
  
615,856,682
  
758,176,457
Cost of shares redeemed
  
(317,034,432)
  
(521,124,909)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
  
298,822,250
 
 
237,051,548
 
Total increase (decrease) in net assets
  
417,713,053
 
 
225,932,607
 
 
 
 
 
 
Net Assets
  
 
 
 
Beginning of period
  
1,278,054,195
  
1,052,121,588
 
End of period
$
1,695,767,248
$
1,278,054,195
 
 
 
 
 
Other Information
  
 
 
 
Shares
  
 
 
 
Sold
  
15,700,000
  
19,000,000
Redeemed
  
(8,100,000)
  
(13,400,000)
Net increase (decrease)
  
7,600,000
  
5,600,000
 
 
 
 
 
 
Fidelity® High Dividend ETF
 
Years ended July 31,
  
2023  
  
2022 
  
2021  
  
2020 
  
2019 
  Selected Per-Share Data 
  
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
38.44
$
38.05
$
27.56
$
30.12
$
30.15
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
  
1.39
 
1.21
 
1.02
 
1.10
 
1.23
     Net realized and unrealized gain (loss)
 
3.11
 
.44 C
  
10.48
 
(2.52)
 
(.03)
  Total from investment operations
 
4.50  
  
1.65  
  
11.50  
  
(1.42)  
  
1.20
  Distributions from net investment income
 
(1.43)
 
(1.26)
 
(1.01)
 
(1.14)
 
(1.23)
     Total distributions
 
(1.43)
 
(1.26)
 
(1.01)
 
(1.14)
 
(1.23)
  Net asset value, end of period
$
41.51
$
38.44
$
38.05
$
27.56
$
30.12
 Total Return D,E
  
12.22%
 
4.43%
 
42.42%
 
(4.54)%
 
4.16%
 Ratios to Average Net Assets B,F,G
  
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of fee waivers, if any
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of all reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Net investment income (loss)
 
3.66%
 
3.11%
 
3.04%
 
3.85%
 
4.15%
 Supplemental Data
  
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
1,695,767
$
1,278,054
$
1,052,122
$
520,795
$
362,952
    Portfolio turnover rate H,I
  
52%
 
38%
 
32%
 
49%
 
50%
 
ACalculated based on average shares outstanding during the period.
 
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.
 
CThe amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
 
DBased on net asset value.
 
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. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
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.
 
HPortfolio turnover rate excludes securities received or delivered in-kind.
 
IAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity® Low Volatility Factor ETF
Performance: The Bottom Line
NAV and closing market price average annual returns reflect the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) at NAV and Market Price, respectively, and assumes a constant rate of performance each year. The hypothetical investment and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
 
 
 
 
Periods ended July 31, 2023
 
Past 1
year
Past 5
years
Life of
Fund
Fidelity® Low Volatility Factor ETF - NAV A
8.96%
11.22%
12.47%
Fidelity® Low Volatility Factor ETF - Market Price B
9.11%
11.21%
12.63%
Fidelity U.S. Low Volatility Factor Index℠ A
9.27%
11.47%
12.77%
Russell 1000® Index A
12.95%
11.92%
13.38%
 
A   From September 12, 2016
 
B  From September 15, 2016, date initially listed on the NYSE ARCA exchange.
 $10,000 Over Life of Fund
 
Let's say hypothetically that $10,000 was invested in Fidelity® Low Volatility Factor ETF - NAV, on September 12, 2016, when the fund started.
 
The chart shows how the value of your investment would have changed, and also shows how the Fidelity U.S. Low Volatility Factor Index℠ and Russell 1000® Index performed over the same period.
 
Fidelity® Low Volatility Factor ETF
Management's Discussion of Fund Performance
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
 
Comments from Portfolio Manager Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the exchange-traded fund's (ETF) net asset value returned 8.96%, and its market price returned 9.11%, versus the 9.27% gain for the Fidelity U.S. Low Volatility Factor Index TR and the 12.95% return of the Russell 1000 Index. By sector, information technology gained roughly 16% and contributed most. Consumer discretionary stocks also helped (+25%), while industrials rose about 9%. In contrast, real estate returned about -13% and detracted most. This group was hampered by the equity real estate investment trusts (REITS) industry (-14%). Utilities (-9%) also hurt. Turning to individual stocks, the top contributor was Microsoft (+21%), from the software & services group. In technology hardware & equipment, Apple gained 15%, while Amazon.com, within the consumer discretionary distribution & retail category, gained 41% and lifted the fund. Conversely, the biggest individual detractor was Dollar General (-31%), from the consumer staples distribution & retail category. Other notable detractors were Verizon Communications (-21%), a stock in the telecommunication services group and Cable One (-44%), a stock in the media & entertainment category.
 
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization, or Geode Capital Management, LLC, (the ETF's subadviser) or any other person in the Geode organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity and Geode disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
 
 
 
Fidelity® Low Volatility Factor ETF
Investment Summary July 31, 2023 (Unaudited)
Top Holdings (% of Fund's net assets)
 
Apple, Inc.
8.0
  
Microsoft Corp.
6.9
  
Alphabet, Inc. Class A
4.0
  
Amazon.com, Inc.
3.4
  
UnitedHealth Group, Inc.
1.7
  
Visa, Inc. Class A
1.7
  
Eli Lilly & Co.
1.7
  
Johnson & Johnson
1.6
  
MasterCard, Inc. Class A
1.6
  
Procter & Gamble Co.
1.3
  
 
31.9
  
 
Market Sectors (% of Fund's net assets)
 
Information Technology
21.1
  
Financials
16.3
  
Health Care
13.6
  
Industrials
11.4
  
Consumer Discretionary
10.3
  
Communication Services
7.8
  
Consumer Staples
6.3
  
Energy
4.3
  
Real Estate
3.2
  
Materials
2.9
  
Utilities
2.5
  
 
Asset Allocation (% of Fund's net assets)
Futures - 0.2%
 
Fidelity® Low Volatility Factor ETF
Schedule of Investments July 31, 2023
Showing Percentage of Net Assets     
Common Stocks - 99.7%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 7.8%
 
 
 
Diversified Telecommunication Services - 1.2%
  
 
 
AT&T, Inc.
 
191,386
2,778,925
Verizon Communications, Inc.
 
102,616
3,497,153
 
 
 
6,276,078
Entertainment - 0.6%
  
 
 
Activision Blizzard, Inc.
 
34,991
3,245,765
Interactive Media & Services - 4.0%
  
 
 
Alphabet, Inc. Class A (a)
  
167,757
22,264,709
Media - 1.5%
  
 
 
Comcast Corp. Class A
 
104,949
4,749,992
Omnicom Group, Inc.
 
24,179
2,046,027
TEGNA, Inc.
 
99,859
1,687,617
 
 
 
8,483,636
Wireless Telecommunication Services - 0.5%
  
 
 
T-Mobile U.S., Inc. (a)
  
21,311
2,936,016
TOTAL COMMUNICATION SERVICES
  
 
43,206,204
CONSUMER DISCRETIONARY - 10.3%
 
 
 
Broadline Retail - 3.4%
  
 
 
Amazon.com, Inc. (a)
  
140,344
18,761,186
Hotels, Restaurants & Leisure - 2.4%
  
 
 
McDonald's Corp.
 
19,610
5,749,652
Starbucks Corp.
 
39,125
3,973,926
Yum! Brands, Inc.
 
24,126
3,321,426
 
 
 
13,045,004
Specialty Retail - 3.8%
  
 
 
AutoZone, Inc. (a)
  
1,321
3,278,352
O'Reilly Automotive, Inc. (a)
  
4,073
3,770,743
The Home Depot, Inc.
 
21,214
7,082,082
TJX Companies, Inc.
 
47,874
4,142,537
Tractor Supply Co.
 
12,789
2,864,608
 
 
 
21,138,322
Textiles, Apparel & Luxury Goods - 0.7%
  
 
 
NIKE, Inc. Class B
 
36,902
4,073,612
TOTAL CONSUMER DISCRETIONARY
  
 
57,018,124
CONSUMER STAPLES - 6.3%
 
 
 
Beverages - 2.1%
  
 
 
PepsiCo, Inc.
 
31,443
5,894,305
The Coca-Cola Co.
 
88,757
5,496,721
 
 
 
11,391,026
Consumer Staples Distribution & Retail - 0.4%
  
 
 
Dollar General Corp.
 
14,289
2,412,841
Food Products - 1.4%
  
 
 
General Mills, Inc.
 
37,518
2,804,095
Hormel Foods Corp.
 
53,512
2,187,571
The Hershey Co.
 
11,551
2,671,862
 
 
 
7,663,528
Household Products - 2.4%
  
 
 
Colgate-Palmolive Co.
 
41,583
3,171,120
Kimberly-Clark Corp.
 
21,762
2,809,474
Procter & Gamble Co.
 
47,131
7,366,575
 
 
 
13,347,169
TOTAL CONSUMER STAPLES
  
 
34,814,564
ENERGY - 4.3%
 
 
 
Oil, Gas & Consumable Fuels - 4.3%
  
 
 
Chevron Corp.
 
29,568
4,839,099
ConocoPhillips Co.
 
25,686
3,023,756
Coterra Energy, Inc.
 
51,977
1,431,447
DT Midstream, Inc.
 
19,988
1,069,758
EOG Resources, Inc.
 
15,994
2,119,685
Exxon Mobil Corp.
 
63,617
6,822,287
Kinder Morgan, Inc.
 
81,830
1,449,209
Pioneer Natural Resources Co.
 
7,808
1,762,031
The Williams Companies, Inc.
 
47,995
1,653,428
 
 
 
24,170,700
FINANCIALS - 16.3%
 
 
 
Banks - 0.6%
  
 
 
Commerce Bancshares, Inc.
 
58,889
3,131,717
Capital Markets - 2.7%
  
 
 
Cboe Global Markets, Inc.
 
33,340
4,656,931
CME Group, Inc.
 
26,675
5,307,258
Intercontinental Exchange, Inc.
 
42,997
4,936,056
 
 
 
14,900,245
Financial Services - 5.1%
  
 
 
Fiserv, Inc. (a)
  
47,347
5,975,665
Jack Henry & Associates, Inc.
 
23,939
4,011,458
MasterCard, Inc. Class A
 
22,388
8,827,141
Visa, Inc. Class A
 
39,848
9,473,065
 
 
 
28,287,329
Insurance - 7.9%
  
 
 
Allstate Corp.
 
32,760
3,691,397
Arthur J. Gallagher & Co.
 
22,606
4,855,769
Assurant, Inc.
 
29,587
3,979,747
Brown & Brown, Inc.
 
68,890
4,853,301
Chubb Ltd.
 
23,840
4,873,134
Erie Indemnity Co. Class A
 
16,156
3,585,986
Marsh & McLennan Companies, Inc.
 
28,559
5,381,087
Progressive Corp.
 
36,316
4,575,090
The Travelers Companies, Inc.
 
24,326
4,198,911
W.R. Berkley Corp.
 
60,650
3,741,499
 
 
 
43,735,921
TOTAL FINANCIALS
  
 
90,055,212
HEALTH CARE - 13.6%
 
 
 
Biotechnology - 3.0%
  
 
 
AbbVie, Inc.
 
45,334
6,781,060
Amgen, Inc.
 
19,962
4,674,102
Vertex Pharmaceuticals, Inc. (a)
  
13,872
4,887,660
 
 
 
16,342,822
Health Care Equipment & Supplies - 1.7%
  
 
 
Abbott Laboratories
 
51,390
5,721,249
ResMed, Inc.
 
15,987
3,554,709
 
 
 
9,275,958
Health Care Providers & Services - 1.7%
  
 
 
UnitedHealth Group, Inc.
 
19,098
9,670,654
Life Sciences Tools & Services - 1.0%
  
 
 
Thermo Fisher Scientific, Inc.
 
10,602
5,816,893
Pharmaceuticals - 6.2%
  
 
 
Bristol-Myers Squibb Co.
 
71,833
4,467,294
Eli Lilly & Co.
 
20,042
9,110,091
Johnson & Johnson
 
53,754
9,005,408
Merck & Co., Inc.
 
64,253
6,852,582
Zoetis, Inc. Class A
 
24,777
4,660,306
 
 
 
34,095,681
TOTAL HEALTH CARE
  
 
75,202,008
INDUSTRIALS - 11.4%
 
 
 
Aerospace & Defense - 2.2%
  
 
 
General Dynamics Corp.
 
12,676
2,834,100
L3Harris Technologies, Inc.
 
13,104
2,483,077
Lockheed Martin Corp.
 
7,990
3,566,496
Northrop Grumman Corp.
 
7,004
3,116,780
 
 
 
12,000,453
Commercial Services & Supplies - 1.1%
  
 
 
Republic Services, Inc.
 
21,037
3,178,901
Waste Management, Inc.
 
19,868
3,254,180
 
 
 
6,433,081
Ground Transportation - 0.8%
  
 
 
Union Pacific Corp.
 
18,638
4,324,389
Industrial Conglomerates - 1.2%
  
 
 
3M Co.
 
25,965
2,895,098
Honeywell International, Inc.
 
19,704
3,825,138
 
 
 
6,720,236
Machinery - 1.7%
  
 
 
Illinois Tool Works, Inc.
 
12,653
3,331,788
Otis Worldwide Corp.
 
32,278
2,936,007
PACCAR, Inc.
 
37,067
3,192,581
 
 
 
9,460,376
Professional Services - 4.4%
  
 
 
Automatic Data Processing, Inc.
 
23,784
5,880,832
Booz Allen Hamilton Holding Corp. Class A
 
25,267
3,059,328
FTI Consulting, Inc. (a)(b)
  
14,399
2,522,129
Maximus, Inc.
 
56,438
4,727,247
Paychex, Inc.
 
38,997
4,892,954
Verisk Analytics, Inc.
 
14,071
3,221,415
 
 
 
24,303,905
TOTAL INDUSTRIALS
  
 
63,242,440
INFORMATION TECHNOLOGY - 21.1%
 
 
 
Communications Equipment - 1.3%
  
 
 
Cisco Systems, Inc.
 
139,211
7,244,540
IT Services - 1.6%
  
 
 
Akamai Technologies, Inc. (a)
  
48,005
4,536,473
Amdocs Ltd.
 
46,087
4,315,587
 
 
 
8,852,060
Semiconductors & Semiconductor Equipment - 2.4%
  
 
 
Intel Corp.
 
193,352
6,916,201
Texas Instruments, Inc.
 
34,677
6,241,860
 
 
 
13,158,061
Software - 7.8%
  
 
 
Microsoft Corp.
 
114,257
38,381,211
Tyler Technologies, Inc. (a)
  
12,691
5,033,631
 
 
 
43,414,842
Technology Hardware, Storage & Peripherals - 8.0%
  
 
 
Apple, Inc.
 
225,213
44,243,088
TOTAL INFORMATION TECHNOLOGY
  
 
116,912,591
MATERIALS - 2.9%
 
 
 
Chemicals - 1.8%
  
 
 
Air Products & Chemicals, Inc.
 
5,768
1,761,143
Balchem Corp.
 
6,432
866,648
Ecolab, Inc.
 
8,540
1,564,016
FMC Corp.
 
8,184
787,546
Linde PLC
 
9,054
3,537,126
Sherwin-Williams Co.
 
6,535
1,806,928
 
 
 
10,323,407
Construction Materials - 0.5%
  
 
 
Martin Marietta Materials, Inc.
 
3,087
1,378,222
Vulcan Materials Co.
 
6,230
1,373,715
 
 
 
2,751,937
Containers & Packaging - 0.4%
  
 
 
Aptargroup, Inc.
 
8,017
973,745
Packaging Corp. of America
 
7,007
1,074,523
 
 
 
2,048,268
Metals & Mining - 0.2%
  
 
 
Newmont Corp.
 
26,489
1,136,908
TOTAL MATERIALS
  
 
16,260,520
REAL ESTATE - 3.2%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 2.7%
  
 
 
Agree Realty Corp.
 
13,208
855,614
American Tower Corp.
 
10,102
1,922,512
Crown Castle International Corp.
 
11,613
1,257,572
CubeSmart
 
22,147
960,294
Equinix, Inc.
 
2,416
1,956,767
Equity Lifestyle Properties, Inc.
 
14,550
1,035,669
Essex Property Trust, Inc.
 
4,651
1,132,751
Extra Space Storage, Inc.
 
7,215
1,006,998
Mid-America Apartment Communities, Inc.
 
6,690
1,001,225
Public Storage
 
4,974
1,401,425
Realty Income Corp.
 
21,534
1,312,928
Sun Communities, Inc.
 
7,152
931,906
 
 
 
14,775,661
Real Estate Management & Development - 0.5%
  
 
 
CoStar Group, Inc. (a)
  
33,435
2,807,537
TOTAL REAL ESTATE
  
 
17,583,198
UTILITIES - 2.5%
 
 
 
Electric Utilities - 1.5%
  
 
 
American Electric Power Co., Inc.
 
18,016
1,526,676
Duke Energy Corp.
 
20,574
1,926,138
Eversource Energy
 
17,332
1,253,624
Southern Co.
 
29,849
2,159,277
Xcel Energy, Inc.
 
22,492
1,410,923
 
 
 
8,276,638
Multi-Utilities - 1.0%
  
 
 
Ameren Corp.
 
15,658
1,341,421
CMS Energy Corp.
 
20,499
1,251,874
Consolidated Edison, Inc. (b)
  
15,845
1,503,057
WEC Energy Group, Inc.
 
15,352
1,379,531
 
 
 
5,475,883
TOTAL UTILITIES
  
 
13,752,521
 
TOTAL COMMON STOCKS
 (Cost $503,837,258)
  
 
 
552,218,082
 
 
 
 
Money Market Funds - 0.8%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.32% (c)
  
909,559
909,740
Fidelity Securities Lending Cash Central Fund 5.32% (c)(d)
  
3,428,106
3,428,449
 
TOTAL MONEY MARKET FUNDS
 (Cost $4,338,189)
  
 
4,338,189
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.5%
 (Cost $508,175,447)
 
  
 
556,556,271
NET OTHER ASSETS (LIABILITIES) - (0.5)%  
(2,951,538)
NET ASSETS - 100.0%
553,604,733
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
 
 
 
 
 
 
 
 
 
 
Equity Index Contracts
  
 
 
 
 
CME Micro E-mini S&P 500 Index Contracts (United States)
50
Sep 2023
1,153,625
72,421
72,421
 
 
 
 
 
 
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
 
 
 
Legend
 
(a)
Non-income producing
 
(b)
Security or a portion of the security is on loan at period end.
 
(c)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
 
(d)
Investment made with cash collateral received from securities on loan.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.32%
1,126,798
14,495,936
14,712,994
34,067
-
-
909,740
0.0%
Fidelity Securities Lending Cash Central Fund 5.32%
1,748,660
29,274,831
27,595,042
8,042
-
-
3,428,449
0.0%
Total
2,875,458
43,770,767
42,308,036
42,109
-
-
4,338,189
  
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
  
 
 
 
 Equities:
  
 
 
 
Communication Services
43,206,204
43,206,204
-
-
Consumer Discretionary
57,018,124
57,018,124
-
-
Consumer Staples
34,814,564
34,814,564
-
-
Energy
24,170,700
24,170,700
-
-
Financials
90,055,212
90,055,212
-
-
Health Care
75,202,008
75,202,008
-
-
Industrials
63,242,440
63,242,440
-
-
Information Technology
116,912,591
116,912,591
-
-
Materials
16,260,520
16,260,520
-
-
Real Estate
17,583,198
17,583,198
-
-
Utilities
13,752,521
13,752,521
-
-
  Money Market Funds
4,338,189
4,338,189
-
-
 Total Investments in Securities:
556,556,271
556,556,271
-
-
 Derivative Instruments:
  
 
 
 
 Assets
  
 
 
 
Futures Contracts
72,421
72,421
-
-
  Total Assets
72,421
72,421
-
-
 Total Derivative Instruments:
72,421
72,421
-
-
 
Value of Derivative Instruments
 
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
 
Primary Risk Exposure / Derivative Type                                                                                                                                                                                   
 
Value
Asset ($)
Liability ($)
Equity Risk
  
 
Futures Contracts (a) 
72,421
0
Total Equity Risk
72,421
0
Total Value of Derivatives
72,421
0
 
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
 
 
 
Fidelity® Low Volatility Factor ETF
Financial Statements
Statement of Assets and Liabilities
 
 
 
July 31, 2023
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  (including  securities loaned of $3,327,026) - See accompanying schedule:
  
 
 
 
Unaffiliated issuers (cost $503,837,258)
$
552,218,082
  
 
Fidelity Central Funds (cost $4,338,189)
4,338,189
  
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $508,175,447)
  
 
$
556,556,271
Segregated cash with brokers for derivative instruments
  
 
56,000
Cash
  
 
45,224
Dividends receivable
  
 
501,501
Distributions receivable from Fidelity Central Funds
  
 
3,848
Receivable for daily variation margin on futures contracts
  
 
2,000
  Total assets
  
 
557,164,844
Liabilities
  
 
 
 
Accrued management fee
$
131,686
  
 
Collateral on securities loaned
3,428,425
  
 
  Total Liabilities
  
 
 
3,560,111
Net Assets  
  
 
$
553,604,733
Net Assets consist of:
  
 
 
 
Paid in capital
  
 
$
545,183,306
Total accumulated earnings (loss)
  
 
 
8,421,427
Net Assets
  
 
$
553,604,733
Net Asset Value, offering price and redemption price per share ($553,604,733 ÷ 10,850,000 shares)
  
 
$
51.02
 
Statement of Operations
 
 
 
Year ended
July 31, 2023
Investment Income
  
 
 
 
Dividends
 
 
$
8,867,661
Income from Fidelity Central Funds (including $8,042 from security lending)
 
 
42,109
 Total Income
  
 
 
8,909,770
Expenses
  
 
 
 
Management fee
$
1,389,867
  
 
Independent trustees' fees and expenses
2,393
  
 
 Total expenses before reductions
  
1,392,260
  
 
 Expense reductions
  
(270)
  
 
 Total expenses after reductions
  
 
 
1,391,990
Net Investment income (loss)
  
 
 
7,517,780
Realized and Unrealized Gain (Loss)
  
 
 
 
Net realized gain (loss) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers  
  
(7,333,706)
  
 
   Redemptions in-kind
  
8,225,322
  
 
 Futures contracts
  
145,567
  
 
Total net realized gain (loss)
  
 
 
1,037,183
Change in net unrealized appreciation (depreciation) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers
  
36,488,563
  
 
 Futures contracts
  
(42,574)
  
 
Total change in net unrealized appreciation (depreciation)
  
 
 
36,445,989
Net gain (loss)
  
 
 
37,483,172
Net increase (decrease) in net assets resulting from operations
  
 
$
45,000,952
Statement of Changes in Net Assets
 
 
Year ended
July 31, 2023
  
Year ended
July 31, 2022
Increase (Decrease) in Net Assets
  
 
 
 
Operations
  
 
 
Net investment income (loss)
$
7,517,780
$
6,029,946
Net realized gain (loss)
  
1,037,183
 
 
57,400,773
 
Change in net unrealized appreciation (depreciation)
  
36,445,989
  
(66,352,118)
 
Net increase (decrease) in net assets resulting from operations
  
45,000,952
 
 
(2,921,399)
 
Distributions to shareholders
  
(7,460,700)
 
 
(5,937,600)
 
 
 
 
 
 
Share transactions
  
 
 
 
Proceeds from sales of shares
  
126,351,905
  
286,611,056
Cost of shares redeemed
  
(55,150,184)
  
(344,785,919)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
  
71,201,721
 
 
(58,174,863)
 
Total increase (decrease) in net assets
  
108,741,973
 
 
(67,033,862)
 
 
 
 
 
 
Net Assets
  
 
 
 
Beginning of period
  
444,862,760
  
511,896,622
 
End of period
$
553,604,733
$
444,862,760
 
 
 
 
 
Other Information
  
 
 
 
Shares
  
 
 
 
Sold
  
2,700,000
  
5,950,000
Redeemed
  
(1,200,000)
  
(7,100,000)
Net increase (decrease)
  
1,500,000
  
(1,150,000)
 
 
 
 
 
 
Fidelity® Low Volatility Factor ETF
 
Years ended July 31,
  
2023  
  
2022 
  
2021  
  
2020 
  
2019 
  Selected Per-Share Data 
  
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
47.58
$
48.75
$
38.33
$
36.37
$
32.40
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
  
.74
 
.62
 
.56
 
.62
 
.62
     Net realized and unrealized gain (loss)
 
3.44
 
(1.17)
 
10.43
 
1.95
 
3.92
  Total from investment operations
 
4.18  
  
(.55)  
  
10.99  
  
2.57  
  
4.54
  Distributions from net investment income
 
(.74)
 
(.62)
 
(.57)
 
(.61)
 
(.57)
     Total distributions
 
(.74)
 
(.62)
 
(.57)
 
(.61)
 
(.57)
  Net asset value, end of period
$
51.02
$
47.58
$
48.75
$
38.33
$
36.37
 Total Return C,D
  
8.96%
 
(1.12)%
 
28.90%
 
7.29%
 
14.20%
 Ratios to Average Net Assets B,E,F
  
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of fee waivers, if any
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of all reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Net investment income (loss)
 
1.57%
 
1.27%
 
1.31%
 
1.69%
 
1.83%
 Supplemental Data
  
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
553,605
$
444,863
$
511,897
$
350,708
$
245,502
    Portfolio turnover rate G,H
  
46%
 
28%
 
46%
 
31%
 
36%
 
ACalculated based on average shares outstanding during the period.
 
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.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DBased on net asset value.
 
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
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.
 
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
HPortfolio turnover rate excludes securities received or delivered in-kind.
 
Fidelity® Momentum Factor ETF
Performance: The Bottom Line
NAV and closing market price average annual returns reflect the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) at NAV and Market Price, respectively, and assumes a constant rate of performance each year. The hypothetical investment and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
 
 
 
 
Periods ended July 31, 2023
 
Past 1
year
Past 5
years
Life of
Fund
Fidelity® Momentum Factor ETF - NAV A
9.02%
9.12%
11.34%
Fidelity® Momentum Factor ETF - Market Price B
8.81%
9.07%
11.43%
Fidelity U.S. Momentum Factor Index℠ A
9.34%
9.44%
11.68%
Russell 1000® Index A
12.95%
11.92%
13.38%
 
A   From September 12, 2016
 
B  From September 15, 2016, date initially listed on the NYSE ARCA exchange.
 $10,000 Over Life of Fund
 
Let's say hypothetically that $10,000 was invested in Fidelity® Momentum Factor ETF - NAV, on September 12, 2016, when the fund started.
 
The chart shows how the value of your investment would have changed, and also shows how the Fidelity U.S. Momentum Factor Index℠ and Russell 1000® Index performed over the same period.
 
Fidelity® Momentum Factor ETF
Management's Discussion of Fund Performance
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the exchange-traded fund's (ETF) net asset value returned 9.02%, and its market price returned 8.81%, versus the 9.34% gain for the Fidelity U.S. Momentum Factor Index TR and the 12.95% for the Russell 1000 Index. By sector, information technology gained roughly 23% and contributed most. Financials stocks also helped, gaining 14%. The communication services sector rose about 17%. Conversely, consumer discretionary returned approximately -10% and detracted most. Health care (-2%) also hurt. Other detractors were the utilities (-8%) sector and the real estate (-3%) sector, especially the equity real estate investment trusts (REITS) industry (-4%). Turning to individual stocks, the biggest contributor was Apple (+22%), from the technology hardware & equipment industry. Also in technology hardware & equipment, Super Micro Computer (+113%) helped. Nvidia (+47%), from the semiconductors & semiconductor equipment category, also boosted the fund. In contrast, the biggest individual detractor was Amazon.com (-28%), from the consumer discretionary distribution & retail industry. Tesla, within the automobiles & components category, returned -30% and hurt the fund. Another notable detractor was Rogers (-62%), a stock in the technology hardware & equipment group.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization, or Geode Capital Management, LLC, (the ETF's subadviser) or any other person in the Geode organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity and Geode disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
 
 
 
Fidelity® Momentum Factor ETF
Investment Summary July 31, 2023 (Unaudited)
Top Holdings (% of Fund's net assets)
 
Apple, Inc.
7.7
  
Microsoft Corp.
6.6
  
Alphabet, Inc. Class A
3.9
  
NVIDIA Corp.
3.7
  
Meta Platforms, Inc. Class A
2.1
  
Berkshire Hathaway, Inc. Class B
2.0
  
Eli Lilly & Co.
1.8
  
Broadcom, Inc.
1.8
  
JPMorgan Chase & Co.
1.6
  
Super Micro Computer, Inc.
1.4
  
 
32.6
  
 
Market Sectors (% of Fund's net assets)
 
Information Technology
28.5
  
Financials
12.7
  
Health Care
11.9
  
Industrials
9.6
  
Consumer Discretionary
9.5
  
Communication Services
8.7
  
Consumer Staples
6.2
  
Energy
4.5
  
Materials
2.9
  
Real Estate
2.7
  
Utilities
2.6
  
 
Asset Allocation (% of Fund's net assets)
Futures - 0.2%
 
Fidelity® Momentum Factor ETF
Schedule of Investments July 31, 2023
Showing Percentage of Net Assets     
Common Stocks - 99.8%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 8.7%
 
 
 
Diversified Telecommunication Services - 0.3%
  
 
 
Iridium Communications, Inc.
 
7,859
412,990
Entertainment - 1.6%
  
 
 
Atlanta Braves Holdings, Inc.
 
231
9,406
Liberty Media Corp. Liberty Formula One Series C (a)
  
7,995
580,437
Netflix, Inc. (a)
  
3,110
1,365,197
World Wrestling Entertainment, Inc. Class A (b)
  
4,670
490,350
 
 
 
2,445,390
Interactive Media & Services - 6.0%
  
 
 
Alphabet, Inc. Class A (a)
  
45,373
6,021,905
Meta Platforms, Inc. Class A (a)
  
10,170
3,240,162
 
 
 
9,262,067
Media - 0.8%
  
 
 
Comcast Corp. Class A
 
27,198
1,230,981
TOTAL COMMUNICATION SERVICES
  
 
13,351,428
CONSUMER DISCRETIONARY - 9.5%
 
 
 
Hotels, Restaurants & Leisure - 4.4%
  
 
 
Booking Holdings, Inc. (a)
  
537
1,595,320
Las Vegas Sands Corp.
 
17,904
1,070,838
McDonald's Corp.
 
6,168
1,808,458
Starbucks Corp.
 
14,041
1,426,144
Wingstop, Inc.
 
5,074
855,375
 
 
 
6,756,135
Household Durables - 1.7%
  
 
 
D.R. Horton, Inc.
 
10,753
1,365,846
Lennar Corp. Class A
 
10,146
1,286,817
 
 
 
2,652,663
Specialty Retail - 2.6%
  
 
 
AutoZone, Inc. (a)
  
456
1,131,664
O'Reilly Automotive, Inc. (a)
  
1,332
1,233,152
TJX Companies, Inc.
 
17,594
1,522,409
 
 
 
3,887,225
Textiles, Apparel & Luxury Goods - 0.8%
  
 
 
Deckers Outdoor Corp. (a)
  
2,249
1,222,759
TOTAL CONSUMER DISCRETIONARY
  
 
14,518,782
CONSUMER STAPLES - 6.2%
 
 
 
Beverages - 2.2%
  
 
 
Monster Beverage Corp.
 
11,053
635,437
PepsiCo, Inc.
 
7,505
1,406,887
The Coca-Cola Co.
 
21,725
1,345,429
 
 
 
3,387,753
Consumer Staples Distribution & Retail - 0.9%
  
 
 
Walmart, Inc.
 
8,302
1,327,158
Food Products - 1.5%
  
 
 
General Mills, Inc.
 
7,503
560,774
Lamb Weston Holdings, Inc.
 
4,827
500,222
Lancaster Colony Corp.
 
2,294
441,893
Mondelez International, Inc.
 
11,168
827,884
 
 
 
2,330,773
Household Products - 1.2%
  
 
 
Procter & Gamble Co.
 
11,695
1,827,929
Personal Care Products - 0.4%
  
 
 
elf Beauty, Inc. (a)
  
5,532
645,695
TOTAL CONSUMER STAPLES
  
 
9,519,308
ENERGY - 4.5%
 
 
 
Energy Equipment & Services - 0.9%
  
 
 
Schlumberger Ltd.
 
10,717
625,230
TechnipFMC PLC
 
20,350
373,219
Weatherford International PLC (a)
  
4,466
371,125
 
 
 
1,369,574
Oil, Gas & Consumable Fuels - 3.6%
  
 
 
Chevron Corp.
 
8,095
1,324,828
ConocoPhillips Co.
 
7,031
827,689
Exxon Mobil Corp.
 
17,396
1,865,547
Hess Corp.
 
2,917
442,596
Marathon Petroleum Corp.
 
4,030
536,071
Phillips 66 Co.
 
4,402
491,043
 
 
 
5,487,774
TOTAL ENERGY
  
 
6,857,348
FINANCIALS - 12.7%
 
 
 
Banks - 1.6%
  
 
 
JPMorgan Chase & Co.
 
15,769
2,490,871
Capital Markets - 2.8%
  
 
 
Goldman Sachs Group, Inc.
 
3,346
1,190,741
Interactive Brokers Group, Inc.
 
9,863
861,336
Morgan Stanley
 
12,975
1,187,991
MSCI, Inc.
 
1,760
964,621
 
 
 
4,204,689
Financial Services - 5.3%
  
 
 
Berkshire Hathaway, Inc. Class B (a)
  
8,700
3,062,052
Fiserv, Inc. (a)
  
8,072
1,018,767
MasterCard, Inc. Class A
 
4,884
1,925,664
Visa, Inc. Class A
 
8,940
2,125,306
 
 
 
8,131,789
Insurance - 3.0%
  
 
 
Aon PLC
 
2,863
911,866
Arch Capital Group Ltd. (a)
  
10,642
826,777
Arthur J. Gallagher & Co.
 
3,988
856,622
Marsh & McLennan Companies, Inc.
 
5,629
1,060,616
Progressive Corp.
 
7,510
946,110
 
 
 
4,601,991
TOTAL FINANCIALS
  
 
19,429,340
HEALTH CARE - 11.9%
 
 
 
Biotechnology - 3.6%
  
 
 
Biogen, Inc. (a)
  
4,663
1,259,896
Gilead Sciences, Inc.
 
21,075
1,604,651
Regeneron Pharmaceuticals, Inc. (a)
  
2,113
1,567,656
Sarepta Therapeutics, Inc. (a)
  
10,285
1,114,791
 
 
 
5,546,994
Health Care Equipment & Supplies - 3.1%
  
 
 
Boston Scientific Corp. (a)
  
30,206
1,566,181
DexCom, Inc. (a)
  
12,458
1,551,768
Stryker Corp.
 
5,789
1,640,660
 
 
 
4,758,609
Health Care Providers & Services - 2.0%
  
 
 
Cardinal Health, Inc.
 
16,988
1,553,892
HCA Holdings, Inc.
 
5,447
1,485,996
 
 
 
3,039,888
Pharmaceuticals - 3.2%
  
 
 
Eli Lilly & Co.
 
5,909
2,685,936
Merck & Co., Inc.
 
20,315
2,166,595
 
 
 
4,852,531
TOTAL HEALTH CARE
  
 
18,198,022
INDUSTRIALS - 9.6%
 
 
 
Aerospace & Defense - 2.5%
  
 
 
Axon Enterprise, Inc. (a)
  
3,050
567,087
Lockheed Martin Corp.
 
2,189
977,104
Raytheon Technologies Corp.
 
11,756
1,033,705
The Boeing Co. (a)
  
5,172
1,235,332
 
 
 
3,813,228
Building Products - 0.6%
  
 
 
Trane Technologies PLC
 
4,327
862,977
Commercial Services & Supplies - 1.0%
  
 
 
Clean Harbors, Inc. (a)
  
4,682
778,429
Copart, Inc. (a)
  
9,417
832,369
 
 
 
1,610,798
Construction & Engineering - 0.5%
  
 
 
Quanta Services, Inc.
 
4,237
854,264
Electrical Equipment - 1.3%
  
 
 
Eaton Corp. PLC
 
5,100
1,047,132
Rockwell Automation, Inc.
 
2,619
880,744
 
 
 
1,927,876
Industrial Conglomerates - 0.8%
  
 
 
General Electric Co.
 
10,164
1,161,135
Machinery - 2.4%
  
 
 
Deere & Co.
 
2,632
1,130,707
Illinois Tool Works, Inc.
 
3,718
979,024
PACCAR, Inc.
 
10,556
909,188
Toro Co.
 
6,331
643,546
 
 
 
3,662,465
Trading Companies & Distributors - 0.5%
  
 
 
W.W. Grainger, Inc.
 
1,084
800,523
TOTAL INDUSTRIALS
  
 
14,693,266
INFORMATION TECHNOLOGY - 28.5%
 
 
 
Communications Equipment - 1.5%
  
 
 
Arista Networks, Inc. (a)
  
7,462
1,157,282
Motorola Solutions, Inc.
 
3,667
1,051,072
 
 
 
2,208,354
Semiconductors & Semiconductor Equipment - 8.6%
  
 
 
Analog Devices, Inc.
 
6,747
1,346,229
Broadcom, Inc.
 
2,982
2,679,774
First Solar, Inc. (a)
  
5,535
1,147,959
Lattice Semiconductor Corp. (a)
  
11,387
1,035,534
NVIDIA Corp.
 
12,209
5,705,144
Rambus, Inc. (a)
  
19,386
1,213,757
 
 
 
13,128,397
Software - 9.3%
  
 
 
Cadence Design Systems, Inc. (a)
  
5,331
1,247,507
Fair Isaac Corp. (a)
  
1,297
1,086,847
Microsoft Corp.
 
30,105
10,112,872
Oracle Corp.
 
14,961
1,753,878
 
 
 
14,201,104
Technology Hardware, Storage & Peripherals - 9.1%
  
 
 
Apple, Inc.
 
59,697
11,727,477
Super Micro Computer, Inc. (a)
  
6,678
2,205,543
 
 
 
13,933,020
TOTAL INFORMATION TECHNOLOGY
  
 
43,470,875
MATERIALS - 2.9%
 
 
 
Chemicals - 1.6%
  
 
 
Air Products & Chemicals, Inc.
 
1,476
450,667
Corteva, Inc.
 
6,004
338,806
DuPont de Nemours, Inc.
 
4,692
364,240
Linde PLC
 
2,336
912,605
PPG Industries, Inc.
 
2,286
328,955
 
 
 
2,395,273
Metals & Mining - 1.3%
  
 
 
ATI, Inc. (a)
  
5,941
283,267
Commercial Metals Co.
 
4,939
282,610
Freeport-McMoRan, Inc.
 
10,712
478,291
Nucor Corp.
 
2,307
397,012
Reliance Steel & Aluminum Co.
 
1,021
299,010
Steel Dynamics, Inc.
 
2,616
278,813
 
 
 
2,019,003
TOTAL MATERIALS
  
 
4,414,276
REAL ESTATE - 2.7%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 2.5%
  
 
 
American Tower Corp.
 
2,662
506,605
Americold Realty Trust
 
7,379
239,227
Equinix, Inc.
 
594
481,092
Gaming & Leisure Properties
 
4,635
219,977
Iron Mountain, Inc.
 
4,418
271,265
Prologis (REIT), Inc.
 
4,868
607,283
Public Storage
 
1,221
344,017
Realty Income Corp.
 
5,307
323,568
Simon Property Group, Inc.
 
2,926
364,580
VICI Properties, Inc.
 
9,430
296,856
WP Carey, Inc.
 
3,355
226,563
 
 
 
3,881,033
Real Estate Management & Development - 0.2%
  
 
 
Zillow Group, Inc. Class C (a)
  
4,810
260,510
TOTAL REAL ESTATE
  
 
4,141,543
UTILITIES - 2.6%
 
 
 
Electric Utilities - 1.3%
  
 
 
Constellation Energy Corp.
 
5,057
488,759
NextEra Energy, Inc.
 
11,280
826,824
PG&E Corp. (a)
  
23,487
413,606
PNM Resources, Inc.
 
6,660
298,501
 
 
 
2,027,690
Gas Utilities - 0.2%
  
 
 
New Jersey Resources Corp.
 
6,288
281,074
Independent Power and Renewable Electricity Producers - 0.2%
  
 
 
The AES Corp.
 
15,942
344,825
Multi-Utilities - 0.6%
  
 
 
Consolidated Edison, Inc. (b)
  
4,377
415,202
Sempra Energy
 
3,126
465,837
 
 
 
881,039
Water Utilities - 0.3%
  
 
 
American Water Works Co., Inc.
 
2,758
406,612
TOTAL UTILITIES
  
 
3,941,240
 
TOTAL COMMON STOCKS
 (Cost $132,445,827)
  
 
 
152,535,428
 
 
 
 
Money Market Funds - 0.6%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.32% (c)
  
267,644
267,697
Fidelity Securities Lending Cash Central Fund 5.32% (c)(d)
  
632,637
632,700
 
TOTAL MONEY MARKET FUNDS
 (Cost $900,397)
  
 
900,397
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.4%
 (Cost $133,346,224)
 
  
 
153,435,825
NET OTHER ASSETS (LIABILITIES) - (0.4)%  
(605,010)
NET ASSETS - 100.0%
152,830,815
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
 
 
 
 
 
 
 
 
 
 
Equity Index Contracts
  
 
 
 
 
CME Micro E-mini S&P 500 Index Contracts (United States)
12
Sep 2023
276,870
14,984
14,984
 
 
 
 
 
 
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
 
 
 
Legend
 
(a)
Non-income producing
 
(b)
Security or a portion of the security is on loan at period end.
 
(c)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
 
(d)
Investment made with cash collateral received from securities on loan.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.32%
180,280
5,140,550
5,053,133
10,750
-
-
267,697
0.0%
Fidelity Securities Lending Cash Central Fund 5.32%
1,004,850
9,007,233
9,379,383
1,346
-
-
632,700
0.0%
Total
1,185,130
14,147,783
14,432,516
12,096
-
-
900,397
  
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
  
 
 
 
 Equities:
  
 
 
 
Communication Services
13,351,428
13,351,428
-
-
Consumer Discretionary
14,518,782
14,518,782
-
-
Consumer Staples
9,519,308
9,519,308
-
-
Energy
6,857,348
6,857,348
-
-
Financials
19,429,340
19,429,340
-
-
Health Care
18,198,022
18,198,022
-
-
Industrials
14,693,266
14,693,266
-
-
Information Technology
43,470,875
43,470,875
-
-
Materials
4,414,276
4,414,276
-
-
Real Estate
4,141,543
4,141,543
-
-
Utilities
3,941,240
3,941,240
-
-
  Money Market Funds
900,397
900,397
-
-
 Total Investments in Securities:
153,435,825
153,435,825
-
-
 Derivative Instruments:
  
 
 
 
 Assets
  
 
 
 
Futures Contracts
14,984
14,984
-
-
  Total Assets
14,984
14,984
-
-
 Total Derivative Instruments:
14,984
14,984
-
-
 
Value of Derivative Instruments
 
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
 
Primary Risk Exposure / Derivative Type                                                                                                                                                                                   
 
Value
Asset ($)
Liability ($)
Equity Risk
  
 
Futures Contracts (a) 
14,984
0
Total Equity Risk
14,984
0
Total Value of Derivatives
14,984
0
 
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
 
 
 
Fidelity® Momentum Factor ETF
Financial Statements
Statement of Assets and Liabilities
 
 
 
July 31, 2023
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  (including  securities loaned of $613,776) - See accompanying schedule:
  
 
 
 
Unaffiliated issuers (cost $132,445,827)
$
152,535,428
  
 
Fidelity Central Funds (cost $900,397)
900,397
  
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $133,346,224)
  
 
$
153,435,825
Segregated cash with brokers for derivative instruments
  
 
13,440
Dividends receivable
  
 
49,344
Distributions receivable from Fidelity Central Funds
  
 
899
Receivable for daily variation margin on futures contracts
  
 
480
  Total assets
  
 
153,499,988
Liabilities
  
 
 
 
Accrued management fee
$
36,473
  
 
Collateral on securities loaned
632,700
  
 
  Total Liabilities
  
 
 
669,173
Net Assets  
  
 
$
152,830,815
Net Assets consist of:
  
 
 
 
Paid in capital
  
 
$
165,302,152
Total accumulated earnings (loss)
  
 
 
(12,471,337)
Net Assets
  
 
$
152,830,815
Net Asset Value, offering price and redemption price per share ($152,830,815 ÷ 3,100,000 shares)
  
 
$
49.30
 
Statement of Operations
 
 
 
Year ended
July 31, 2023
Investment Income
  
 
 
 
Dividends
 
 
$
1,809,469
Income from Fidelity Central Funds (including $1,346 from security lending)
 
 
12,096
 Total Income
  
 
 
1,821,565
Expenses
  
 
 
 
Management fee
$
357,227
  
 
Independent trustees' fees and expenses
606
  
 
 Total expenses before reductions
  
357,833
  
 
 Expense reductions
  
(609)
  
 
 Total expenses after reductions
  
 
 
357,224
Net Investment income (loss)
  
 
 
1,464,341
Realized and Unrealized Gain (Loss)
  
 
 
 
Net realized gain (loss) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers  
  
(6,064,059)
  
 
   Redemptions in-kind
  
3,256,474
  
 
 Futures contracts
  
14,499
  
 
Total net realized gain (loss)
  
 
 
(2,793,086)
Change in net unrealized appreciation (depreciation) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers
  
13,282,846
  
 
 Futures contracts
  
(2,634)
  
 
Total change in net unrealized appreciation (depreciation)
  
 
 
13,280,212
Net gain (loss)
  
 
 
10,487,126
Net increase (decrease) in net assets resulting from operations
  
 
$
11,951,467
Statement of Changes in Net Assets
 
 
Year ended
July 31, 2023
  
Year ended
July 31, 2022
Increase (Decrease) in Net Assets
  
 
 
 
Operations
  
 
 
Net investment income (loss)
$
1,464,341
$
1,047,146
Net realized gain (loss)
  
(2,793,086)
 
 
9,388,516
 
Change in net unrealized appreciation (depreciation)
  
13,280,212
  
(18,448,115)
 
Net increase (decrease) in net assets resulting from operations
  
11,951,467
 
 
(8,012,453)
 
Distributions to shareholders
  
(1,506,200)
 
 
(999,550)
 
 
 
 
 
 
Share transactions
  
 
 
 
Proceeds from sales of shares
  
52,044,612
  
86,253,555
Cost of shares redeemed
  
(26,407,433)
  
(117,256,850)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
  
25,637,179
 
 
(31,003,295)
 
Total increase (decrease) in net assets
  
36,082,446
 
 
(40,015,298)
 
 
 
 
 
 
Net Assets
  
 
 
 
Beginning of period
  
116,748,369
  
156,763,667
 
End of period
$
152,830,815
$
116,748,369
 
 
 
 
 
Other Information
  
 
 
 
Shares
  
 
 
 
Sold
  
1,150,000
  
1,700,000
Redeemed
  
(600,000)
  
(2,300,000)
Net increase (decrease)
  
550,000
  
(600,000)
 
 
 
 
 
 
Fidelity® Momentum Factor ETF
 
Years ended July 31,
  
2023  
  
2022 
  
2021  
  
2020 
  
2019 
  Selected Per-Share Data 
  
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
45.78
$
49.77
$
39.26
$
35.80
$
33.58
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
  
.53
 
.43
 
.25
 
.42
 
.40
     Net realized and unrealized gain (loss)
 
3.53
 
(4.01)
 
10.54
 
3.47
 
2.22
  Total from investment operations
 
4.06  
  
(3.58)  
  
10.79  
  
3.89  
  
2.62
  Distributions from net investment income
 
(.54)
 
(.41)
 
(.28)
 
(.43)
 
(.40)
     Total distributions
 
(.54)
 
(.41)
 
(.28)
 
(.43)
 
(.40)
  Net asset value, end of period
$
49.30
$
45.78
$
49.77
$
39.26
$
35.80
 Total Return C,D
  
9.02%
 
(7.20)%
 
27.58%
 
11.06%
 
7.91%
 Ratios to Average Net Assets B,E,F
  
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of fee waivers, if any
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of all reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Net investment income (loss)
 
1.19%
 
.88%
 
.55%
 
1.18%
 
1.18%
 Supplemental Data
  
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
152,831
$
116,748
$
156,764
$
88,329
$
121,736
    Portfolio turnover rate G,H
  
137%
 
123%
 
128%
 
138%
 
133%
 
ACalculated based on average shares outstanding during the period.
 
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.
 
CBased on net asset value.
 
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
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.
 
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
HPortfolio turnover rate excludes securities received or delivered in-kind.
 
Fidelity® Quality Factor ETF
Performance: The Bottom Line
NAV and closing market price average annual returns reflect the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) at NAV and Market Price, respectively, and assumes a constant rate of performance each year. The hypothetical investment and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
 
 
 
 
Periods ended July 31, 2023
 
Past 1
year
Past 5
years
Life of
Fund
Fidelity® Quality Factor ETF - NAV A
10.46%
11.06%
12.82%
Fidelity® Quality Factor ETF - Market Price B
10.22%
11.03%
12.86%
Fidelity U.S. Quality Factor Index℠ A
10.75%
11.37%
13.15%
Russell 1000® Index A
12.95%
11.92%
13.38%
 
A   From September 12, 2016
 
B  From September 15, 2016, date initially listed on the NYSE ARCA exchange.
 $10,000 Over Life of Fund
 
Let's say hypothetically that $10,000 was invested in Fidelity® Quality Factor ETF - NAV, on September 12, 2016, when the fund started.
 
The chart shows how the value of your investment would have changed, and also shows how the Fidelity U.S. Quality Factor Index℠ and Russell 1000® Index performed over the same period.
 
Fidelity® Quality Factor ETF
Management's Discussion of Fund Performance
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
 
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the exchange-traded fund's (ETF) net asset value returned 10.46%, and its market price returned 10.22%, versus the 10.75% advance for the Fidelity U.S. Quality Factor Index TR and 12.95% return for the Russell 1000 Index. By sector, information technology gained approximately 27% and contributed most. Industrials stocks also helped (+17%). Communication services rose about 19%, consumer discretionary gained 12%, and materials advanced approximately 22%. In contrast, health care returned roughly -8% and detracted most. Utilities (-9%) and real estate (-8%) also hurt. Turning to individual stocks, the top contributor was Apple (+22%), from the technology hardware & equipment category. Microsoft, within the software & services group, gained 21% and lifted the fund. In media & entertainment, Meta Platforms (+100%) and Alphabet (+14%) helped. Conversely, the biggest individual detractor was Pfizer (-26%), from the pharmaceuticals, biotechnology & life sciences group. Also in pharmaceuticals, biotechnology & life sciences, Moderna (-37%) and Royalty Pharma (-28%) hurt. Lastly, in banks, Signature Bank (-34%) and Western Alliance Bancorp (-30%) detracted.
 
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization, or Geode Capital Management, LLC, (the ETF's subadviser) or any other person in the Geode organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity and Geode disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
 
 
Fidelity® Quality Factor ETF
Investment Summary July 31, 2023 (Unaudited)
Top Holdings (% of Fund's net assets)
 
Apple, Inc.
7.8
  
Microsoft Corp.
6.7
  
Alphabet, Inc. Class A
3.9
  
Tesla, Inc.
2.5
  
Meta Platforms, Inc. Class A
2.1
  
Broadcom, Inc.
1.8
  
UnitedHealth Group, Inc.
1.8
  
Johnson & Johnson
1.7
  
Visa, Inc. Class A
1.6
  
Adobe, Inc.
1.5
  
 
31.4
  
 
Market Sectors (% of Fund's net assets)
 
Information Technology
26.2
  
Financials
13.7
  
Health Care
12.2
  
Consumer Discretionary
11.5
  
Industrials
9.8
  
Communication Services
8.6
  
Consumer Staples
5.7
  
Energy
4.3
  
Materials
2.8
  
Real Estate
2.5
  
Utilities
2.5
  
 
Asset Allocation (% of Fund's net assets)
Futures - 0.2%
 
Fidelity® Quality Factor ETF
Schedule of Investments July 31, 2023
Showing Percentage of Net Assets     
Common Stocks - 99.8%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 8.6%
 
 
 
Diversified Telecommunication Services - 1.2%
  
 
 
AT&T, Inc.
 
95,753
1,390,334
Liberty Global PLC Class A (a)
  
41,288
766,718
Verizon Communications, Inc.
 
52,144
1,777,068
 
 
 
3,934,120
Entertainment - 0.4%
  
 
 
Activision Blizzard, Inc.
 
16,253
1,507,628
Interactive Media & Services - 6.0%
  
 
 
Alphabet, Inc. Class A (a)
  
94,750
12,575,220
Meta Platforms, Inc. Class A (a)
  
21,691
6,910,753
 
 
 
19,485,973
Media - 1.0%
  
 
 
Comcast Corp. Class A
 
53,387
2,416,296
Nexstar Broadcasting Group, Inc. Class A
 
4,196
783,477
 
 
 
3,199,773
TOTAL COMMUNICATION SERVICES
  
 
28,127,494
CONSUMER DISCRETIONARY - 11.5%
 
 
 
Automobiles - 2.5%
  
 
 
Tesla, Inc. (a)
  
30,589
8,180,416
Hotels, Restaurants & Leisure - 4.4%
  
 
 
Airbnb, Inc. Class A (a)
  
18,869
2,871,673
Booking Holdings, Inc. (a)
  
1,061
3,152,019
Domino's Pizza, Inc.
 
5,469
2,169,771
McDonald's Corp.
 
12,748
3,737,714
Yum! Brands, Inc.
 
16,780
2,310,103
 
 
 
14,241,280
Specialty Retail - 3.8%
  
 
 
AutoZone, Inc. (a)
  
912
2,263,329
Lowe's Companies, Inc.
 
13,228
3,098,924
O'Reilly Automotive, Inc. (a)
  
2,806
2,597,767
The Home Depot, Inc.
 
13,385
4,468,448
 
 
 
12,428,468
Textiles, Apparel & Luxury Goods - 0.8%
  
 
 
NIKE, Inc. Class B
 
24,202
2,671,659
TOTAL CONSUMER DISCRETIONARY
  
 
37,521,823
CONSUMER STAPLES - 5.7%
 
 
 
Beverages - 1.5%
  
 
 
Brown-Forman Corp. Class B (non-vtg.)
 
21,554
1,521,712
The Coca-Cola Co.
 
52,255
3,236,152
 
 
 
4,757,864
Food Products - 0.5%
  
 
 
The Hershey Co.
 
6,872
1,589,562
Household Products - 2.4%
  
 
 
Colgate-Palmolive Co.
 
24,684
1,882,402
Kimberly-Clark Corp.
 
12,936
1,670,038
Procter & Gamble Co.
 
27,686
4,327,322
 
 
 
7,879,762
Tobacco - 1.3%
  
 
 
Altria Group, Inc.
 
42,449
1,928,034
Philip Morris International, Inc.
 
24,926
2,485,621
 
 
 
4,413,655
TOTAL CONSUMER STAPLES
  
 
18,640,843
ENERGY - 4.3%
 
 
 
Oil, Gas & Consumable Fuels - 4.3%
  
 
 
APA Corp.
 
17,522
709,466
Chevron Corp.
 
17,455
2,856,685
ConocoPhillips Co.
 
15,315
1,802,882
Coterra Energy, Inc.
 
31,837
876,791
EOG Resources, Inc.
 
9,626
1,275,734
Exxon Mobil Corp.
 
37,407
4,011,527
Marathon Oil Corp.
 
29,220
767,609
Occidental Petroleum Corp.
 
15,793
997,012
Texas Pacific Land Corp.
 
377
567,875
 
 
 
13,865,581
FINANCIALS - 13.7%
 
 
 
Banks - 2.4%
  
 
 
Comerica, Inc.
 
32,257
1,740,588
East West Bancorp, Inc.
 
30,752
1,913,082
Popular, Inc.
 
33,675
2,443,121
Western Alliance Bancorp.
 
29,888
1,552,682
 
 
 
7,649,473
Capital Markets - 3.5%
  
 
 
Ameriprise Financial, Inc.
 
7,549
2,630,449
Blackstone, Inc.
 
28,796
3,017,533
CME Group, Inc.
 
16,064
3,196,093
MSCI, Inc.
 
4,732
2,593,515
 
 
 
11,437,590
Consumer Finance - 0.7%
  
 
 
Discover Financial Services
 
21,944
2,316,189
Financial Services - 3.9%
  
 
 
Essent Group Ltd.
 
53,660
2,661,536
MasterCard, Inc. Class A
 
12,252
4,830,719
Visa, Inc. Class A
 
21,922
5,211,517
 
 
 
12,703,772
Insurance - 3.2%
  
 
 
Aon PLC
 
8,836
2,814,266
Kinsale Capital Group, Inc.
 
8,436
3,143,507
Principal Financial Group, Inc.
 
26,954
2,152,816
RLI Corp.
 
18,276
2,438,201
 
 
 
10,548,790
TOTAL FINANCIALS
  
 
44,655,814
HEALTH CARE - 12.2%
 
 
 
Biotechnology - 4.6%
  
 
 
AbbVie, Inc.
 
28,599
4,277,838
Amgen, Inc.
 
12,916
3,024,281
Moderna, Inc. (a)
  
14,861
1,748,545
Regeneron Pharmaceuticals, Inc. (a)
  
3,715
2,756,196
Vertex Pharmaceuticals, Inc. (a)
  
9,128
3,216,160
 
 
 
15,023,020
Health Care Providers & Services - 1.8%
  
 
 
UnitedHealth Group, Inc.
 
11,799
5,974,660
Life Sciences Tools & Services - 1.2%
  
 
 
Mettler-Toledo International, Inc. (a)
  
1,543
1,940,276
Waters Corp. (a)
  
6,770
1,869,942
 
 
 
3,810,218
Pharmaceuticals - 4.6%
  
 
 
Johnson & Johnson
 
33,227
5,566,519
Merck & Co., Inc.
 
40,495
4,318,792
Pfizer, Inc.
 
92,172
3,323,722
Royalty Pharma PLC
 
58,724
1,842,759
 
 
 
15,051,792
TOTAL HEALTH CARE
  
 
39,859,690
INDUSTRIALS - 9.8%
 
 
 
Aerospace & Defense - 0.6%
  
 
 
Lockheed Martin Corp.
 
4,617
2,060,890
Air Freight & Logistics - 1.2%
  
 
 
Expeditors International of Washington, Inc.
 
12,088
1,538,802
United Parcel Service, Inc. Class B
 
12,362
2,313,301
 
 
 
3,852,103
Commercial Services & Supplies - 1.1%
  
 
 
Cintas Corp.
 
3,567
1,790,777
Copart, Inc. (a)
  
21,813
1,928,051
 
 
 
3,718,828
Electrical Equipment - 0.5%
  
 
 
Atkore, Inc. (a)
  
9,470
1,502,605
Ground Transportation - 2.8%
  
 
 
CSX Corp.
 
55,743
1,857,357
Landstar System, Inc.
 
7,311
1,488,446
Norfolk Southern Corp.
 
6,847
1,599,391
Old Dominion Freight Lines, Inc.
 
4,173
1,750,532
Union Pacific Corp.
 
10,779
2,500,944
 
 
 
9,196,670
Industrial Conglomerates - 0.7%
  
 
 
Honeywell International, Inc.
 
11,398
2,212,694
Machinery - 0.6%
  
 
 
Illinois Tool Works, Inc.
 
7,304
1,923,289
Professional Services - 1.3%
  
 
 
Paychex, Inc.
 
20,270
2,543,277
Verisk Analytics, Inc.
 
8,107
1,856,017
 
 
 
4,399,294
Trading Companies & Distributors - 1.0%
  
 
 
Fastenal Co.
 
27,756
1,626,779
W.W. Grainger, Inc.
 
2,258
1,667,510
 
 
 
3,294,289
TOTAL INDUSTRIALS
  
 
32,160,662
INFORMATION TECHNOLOGY - 26.2%
 
 
 
Communications Equipment - 1.2%
  
 
 
Cisco Systems, Inc.
 
75,095
3,907,944
IT Services - 1.2%
  
 
 
Accenture PLC Class A
 
12,144
3,841,754
Semiconductors & Semiconductor Equipment - 6.0%
  
 
 
Applied Materials, Inc.
 
23,891
3,621,637
Broadcom, Inc.
 
6,657
5,982,313
KLA Corp.
 
6,272
3,223,494
Lam Research Corp.
 
5,016
3,603,946
Texas Instruments, Inc.
 
18,599
3,347,820
 
 
 
19,779,210
Software - 10.0%
  
 
 
Adobe, Inc. (a)
  
9,047
4,941,200
Cadence Design Systems, Inc. (a)
  
13,453
3,148,137
Fair Isaac Corp. (a)
  
3,301
2,766,139
Microsoft Corp.
 
65,428
21,978,574
 
 
 
32,834,050
Technology Hardware, Storage & Peripherals - 7.8%
  
 
 
Apple, Inc.
 
129,208
25,382,905
TOTAL INFORMATION TECHNOLOGY
  
 
85,745,863
MATERIALS - 2.8%
 
 
 
Chemicals - 1.6%
  
 
 
CF Industries Holdings, Inc.
 
7,559
620,443
Dow, Inc.
 
14,009
791,088
Linde PLC
 
5,352
2,090,866
LyondellBasell Industries NV Class A
 
7,292
720,887
Olin Corp.
 
9,142
527,311
The Mosaic Co.
 
12,734
519,038
 
 
 
5,269,633
Construction Materials - 0.2%
  
 
 
Eagle Materials, Inc.
 
3,691
680,510
Metals & Mining - 1.0%
  
 
 
Freeport-McMoRan, Inc.
 
22,765
1,016,457
Nucor Corp.
 
4,885
840,660
Reliance Steel & Aluminum Co.
 
2,643
774,029
Steel Dynamics, Inc.
 
5,375
572,868
 
 
 
3,204,014
TOTAL MATERIALS
  
 
9,154,157
REAL ESTATE - 2.5%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 2.5%
  
 
 
Agree Realty Corp.
 
8,170
529,253
Essex Property Trust, Inc.
 
2,862
697,040
Extra Space Storage, Inc.
 
4,459
622,343
Gaming & Leisure Properties
 
12,390
588,029
NNN (REIT), Inc.
 
13,134
560,559
Prologis (REIT), Inc.
 
11,257
1,404,311
Public Storage
 
3,012
848,631
Realty Income Corp.
 
13,065
796,573
Simon Property Group, Inc.
 
6,760
842,296
VICI Properties, Inc.
 
23,599
742,897
WP Carey, Inc.
 
8,254
557,393
 
 
 
8,189,325
UTILITIES - 2.5%
 
 
 
Electric Utilities - 1.6%
  
 
 
FirstEnergy Corp.
 
20,692
815,058
IDACORP, Inc.
 
6,589
677,481
NextEra Energy, Inc.
 
24,243
1,777,012
NRG Energy, Inc.
 
21,151
803,526
Southern Co.
 
18,247
1,319,988
 
 
 
5,393,065
Gas Utilities - 0.4%
  
 
 
National Fuel Gas Co.
 
12,386
657,820
ONE Gas, Inc. (b)
  
8,495
672,209
 
 
 
1,330,029
Independent Power and Renewable Electricity Producers - 0.2%
  
 
 
Clearway Energy, Inc. Class C
 
20,548
542,673
Multi-Utilities - 0.3%
  
 
 
WEC Energy Group, Inc.
 
9,568
859,780
TOTAL UTILITIES
  
 
8,125,547
 
TOTAL COMMON STOCKS
 (Cost $297,911,498)
  
 
 
326,046,799
 
 
 
 
Money Market Funds - 0.2%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.32% (c)
  
508,726
508,828
Fidelity Securities Lending Cash Central Fund 5.32% (c)(d)
  
161,984
162,000
 
TOTAL MONEY MARKET FUNDS
 (Cost $670,828)
  
 
670,828
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.0%
 (Cost $298,582,326)
 
  
 
326,717,627
NET OTHER ASSETS (LIABILITIES) - 0.0%  
124,912
NET ASSETS - 100.0%
326,842,539
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
 
 
 
 
 
 
 
 
 
 
Equity Index Contracts
  
 
 
 
 
CME Micro E-mini S&P 500 Index Contracts (United States)
25
Sep 2023
576,813
36,579
36,579
 
 
 
 
 
 
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
 
 
 
Legend
 
(a)
Non-income producing
 
(b)
Security or a portion of the security is on loan at period end.
 
(c)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
 
(d)
Investment made with cash collateral received from securities on loan.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.32%
291,681
6,686,052
6,468,905
15,656
-
-
508,828
0.0%
Fidelity Securities Lending Cash Central Fund 5.32%
3,524,275
24,641,385
28,003,660
37,353
-
-
162,000
0.0%
Total
3,815,956
31,327,437
34,472,565
53,009
-
-
670,828
  
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
  
 
 
 
 Equities:
  
 
 
 
Communication Services
28,127,494
28,127,494
-
-
Consumer Discretionary
37,521,823
37,521,823
-
-
Consumer Staples
18,640,843
18,640,843
-
-
Energy
13,865,581
13,865,581
-
-
Financials
44,655,814
44,655,814
-
-
Health Care
39,859,690
39,859,690
-
-
Industrials
32,160,662
32,160,662
-
-
Information Technology
85,745,863
85,745,863
-
-
Materials
9,154,157
9,154,157
-
-
Real Estate
8,189,325
8,189,325
-
-
Utilities
8,125,547
8,125,547
-
-
  Money Market Funds
670,828
670,828
-
-
 Total Investments in Securities:
326,717,627
326,717,627
-
-
 Derivative Instruments:
  
 
 
 
 Assets
  
 
 
 
Futures Contracts
36,579
36,579
-
-
  Total Assets
36,579
36,579
-
-
 Total Derivative Instruments:
36,579
36,579
-
-
 
Value of Derivative Instruments
 
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
 
Primary Risk Exposure / Derivative Type                                                                                                                                                                                   
 
Value
Asset ($)
Liability ($)
Equity Risk
  
 
Futures Contracts (a) 
36,579
0
Total Equity Risk
36,579
0
Total Value of Derivatives
36,579
0
 
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
 
 
 
Fidelity® Quality Factor ETF
Financial Statements
Statement of Assets and Liabilities
 
 
 
July 31, 2023
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  (including  securities loaned of $158,260) - See accompanying schedule:
  
 
 
 
Unaffiliated issuers (cost $297,911,498)
$
326,046,799
  
 
Fidelity Central Funds (cost $670,828)
670,828
  
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $298,582,326)
  
 
$
326,717,627
Segregated cash with brokers for derivative instruments
  
 
28,000
Cash
  
 
13,159
Dividends receivable
  
 
319,968
Distributions receivable from Fidelity Central Funds
  
 
2,020
Receivable for daily variation margin on futures contracts
  
 
1,000
  Total assets
  
 
327,081,774
Liabilities
  
 
 
 
Accrued management fee
$
77,235
  
 
Collateral on securities loaned
162,000
  
 
  Total Liabilities
  
 
 
239,235
Net Assets  
  
 
$
326,842,539
Net Assets consist of:
  
 
 
 
Paid in capital
  
 
$
322,500,604
Total accumulated earnings (loss)
  
 
 
4,341,935
Net Assets
  
 
$
326,842,539
Net Asset Value, offering price and redemption price per share ($326,842,539 ÷ 6,250,000 shares)
  
 
$
52.29
 
Statement of Operations
 
 
 
Year ended
July 31, 2023
Investment Income
  
 
 
 
Dividends
 
 
$
4,931,626
Income from Fidelity Central Funds (including $37,353 from security lending)
 
 
53,009
 Total Income
  
 
 
4,984,635
Expenses
  
 
 
 
Management fee
$
787,289
  
 
Independent trustees' fees and expenses
1,350
  
 
 Total expenses before reductions
  
788,639
  
 
 Expense reductions
  
(294)
  
 
 Total expenses after reductions
  
 
 
788,345
Net Investment income (loss)
  
 
 
4,196,290
Realized and Unrealized Gain (Loss)
  
 
 
 
Net realized gain (loss) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers  
  
(5,689,837)
  
 
   Redemptions in-kind
  
6,599,514
  
 
 Futures contracts
  
138,542
  
 
Total net realized gain (loss)
  
 
 
1,048,219
Change in net unrealized appreciation (depreciation) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers
  
25,939,079
  
 
 Futures contracts
  
3,454
  
 
Total change in net unrealized appreciation (depreciation)
  
 
 
25,942,533
Net gain (loss)
  
 
 
26,990,752
Net increase (decrease) in net assets resulting from operations
  
 
$
31,187,042
Statement of Changes in Net Assets
 
 
Year ended
July 31, 2023
  
Year ended
July 31, 2022
Increase (Decrease) in Net Assets
  
 
 
 
Operations
  
 
 
Net investment income (loss)
$
4,196,290
$
3,315,679
Net realized gain (loss)
  
1,048,219
 
 
31,054,201
 
Change in net unrealized appreciation (depreciation)
  
25,942,533
  
(49,818,448)
 
Net increase (decrease) in net assets resulting from operations
  
31,187,042
 
 
(15,448,568)
 
Distributions to shareholders
  
(4,025,350)
 
 
(3,437,350)
 
 
 
 
 
 
Share transactions
  
 
 
 
Proceeds from sales of shares
  
68,034,031
  
184,056,355
Cost of shares redeemed
  
(35,066,993)
  
(144,177,423)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
  
32,967,038
 
 
39,878,932
 
Total increase (decrease) in net assets
  
60,128,730
 
 
20,993,014
 
 
 
 
 
 
Net Assets
  
 
 
 
Beginning of period
  
266,713,809
  
245,720,795
 
End of period
$
326,842,539
$
266,713,809
 
 
 
 
 
Other Information
  
 
 
 
Shares
  
 
 
 
Sold
  
1,450,000
  
3,600,000
Redeemed
  
(750,000)
  
(2,850,000)
Net increase (decrease)
  
700,000
  
750,000
 
 
 
 
 
 
Fidelity® Quality Factor ETF
 
Years ended July 31,
  
2023  
  
2022 
  
2021  
  
2020 
  
2019 
  Selected Per-Share Data 
  
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
48.06
$
51.19
$
38.19
$
35.28
$
33.47
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
  
.72
 
.67
 
.62
 
.62
 
.58
     Net realized and unrealized gain (loss)
 
4.20
 
(3.10)
 
13.00
 
2.90
 
1.77
  Total from investment operations
 
4.92  
  
(2.43)  
  
13.62  
  
3.52  
  
2.35
  Distributions from net investment income
 
(.69)
 
(.70)
 
(.62)
 
(.61)
 
(.54)
     Total distributions
 
(.69)
 
(.70)
 
(.62)
 
(.61)
 
(.54)
  Net asset value, end of period
$
52.29
$
48.06
$
51.19
$
38.19
$
35.28
 Total Return C,D
  
10.46%
 
(4.79)%
 
36.00%
 
10.26%
 
7.14%
 Ratios to Average Net Assets B,E,F
  
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of fee waivers, if any
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of all reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Net investment income (loss)
 
1.54%
 
1.33%
 
1.39%
 
1.74%
 
1.72%
 Supplemental Data
  
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
326,843
$
266,714
$
245,721
$
147,022
$
162,282
    Portfolio turnover rate G,H
  
43%
 
38%
 
35%
 
41%
 
29%
 
ACalculated based on average shares outstanding during the period.
 
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.
 
CBased on net asset value.
 
DTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
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.
 
GPortfolio turnover rate excludes securities received or delivered in-kind.
 
HAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
Fidelity® Small-Mid Multifactor ETF
Performance: The Bottom Line
NAV and closing market price average annual returns reflect the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) at NAV and Market Price, respectively, and assumes a constant rate of performance each year. The hypothetical investment and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
 
 
 
 
Periods ended July 31, 2023
 
Past 1
year
Life of
Fund
Fidelity® Small-Mid Multifactor ETF - NAV A
7.92%
9.49%
Fidelity® Small-Mid Multifactor ETF - Market Price B
7.79%
9.43%
Fidelity Small-Mid Multifactor Index℠ A
8.23%
9.83%
Dow Jones U.S. Completion Total Stock Market Index℠ A
10.44%
8.26%
 
A   From February 26, 2019
 
B  From February 28, 2019, date initially listed on the NYSE ARCA exchange.
 $10,000 Over Life of Fund
 
Let's say hypothetically that $10,000 was invested in Fidelity® Small-Mid Multifactor ETF - NAV, on February 26, 2019, when the fund started.
 
The chart shows how the value of your investment would have changed, and also shows how the Fidelity Small-Mid Multifactor Index℠ and Dow Jones U.S. Completion Total Stock Market Index℠ performed over the same period.
 
Fidelity® Small-Mid Multifactor ETF
Management's Discussion of Fund Performance
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
 
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the exchange-traded fund's net asset value gained 7.92%, versus 8.23% for the Fidelity Small-Mid Multifactor Index TR. The ETF's market price returned 7.79% the past 12 months, while the Dow Jones U.S. Completion Total Stock Market Index gained 10.44%. By sector, industrials gained 20% and contributed most. Information technology stocks also helped, gaining just under 20%. The consumer discretionary sector rose 14%; materials and energy each advanced about 16%; and the financials (+4%) and consumer staples (+10%) sectors also gained. In contrast, health care, a significant sector weighting, returned about -5% and detracted most from the fund's result. Real estate (-8%) also hurt. Other detractors included the communication services (-13%) and utilities (-7%) sectors. Turning to individual stocks, the top contributor was Super Micro Computer (+259%), from the technology hardware & equipment group. Also in technology hardware & equipment, Jabil (+88%) helped. First Citizens Bancshares (+109%), a stock in the banks group, contributed. Steel Dynamics (+62%), from the materials category, and Axcelis Technologies (+188%), from the semiconductors & semiconductor equipment group, also bolstered the fund's result. Conversely, the biggest individual detractor was Lumen Technologies (-83%), from the telecommunication services group. Advance Auto Parts (-63%), from the consumer discretionary distribution & retail category, and Novocure (-61%), from the health care equipment & services category, also hurt. Lastly, in pharmaceuticals, biotechnology & life sciences, Catalent (-32%) and Maravai LifeSciences (-57%) detracted.
 
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization, or Geode Capital Management, LLC, (the ETF's subadviser) or any other person in the Geode organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity and Geode disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
 
 
Fidelity® Small-Mid Multifactor ETF
Investment Summary July 31, 2023 (Unaudited)
Top Holdings (% of Fund's net assets)
 
Super Micro Computer, Inc.
0.6
  
First Citizens Bancshares, Inc.
0.5
  
EQT Corp.
0.4
  
Jabil, Inc.
0.4
  
Deckers Outdoor Corp.
0.4
  
Dell Technologies, Inc.
0.3
  
Owens Corning
0.3
  
RPM International, Inc.
0.3
  
Brown-Forman Corp. Class B (non-vtg.)
0.3
  
Manhattan Associates, Inc.
0.3
  
 
3.8
  
 
Market Sectors (% of Fund's net assets)
 
Industrials
18.7
  
Financials
15.2
  
Consumer Discretionary
14.1
  
Information Technology
13.8
  
Health Care
12.5
  
Real Estate
6.0
  
Materials
5.0
  
Energy
4.8
  
Consumer Staples
3.8
  
Communication Services
3.1
  
Utilities
2.6
  
 
Asset Allocation (% of Fund's net assets)
Futures - 0.3%
 
Fidelity® Small-Mid Multifactor ETF
Schedule of Investments July 31, 2023
Showing Percentage of Net Assets     
Common Stocks - 99.6%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 3.1%
 
 
 
Diversified Telecommunication Services - 0.7%
  
 
 
Cogent Communications Group, Inc.
 
2,473
151,447
Frontier Communications Parent, Inc. (a)
  
8,417
153,274
Iridium Communications, Inc.
 
4,548
238,997
Liberty Global PLC Class C (a)
  
14,005
276,739
Lumen Technologies, Inc.
 
39,877
71,380
 
 
 
891,837
Entertainment - 0.5%
  
 
 
Madison Square Garden Sports Corp.
 
992
211,048
Sciplay Corp. (A Shares) (a)
  
7,090
138,964
World Wrestling Entertainment, Inc. Class A
 
2,208
231,840
 
 
 
581,852
Interactive Media & Services - 0.6%
  
 
 
Yelp, Inc. (a)
  
4,782
215,429
Ziff Davis, Inc. (a)
  
2,192
158,964
ZipRecruiter, Inc. (a)
  
6,212
115,046
Zoominfo Technologies, Inc. (a)
  
9,518
243,375
 
 
 
732,814
Media - 1.3%
  
 
 
Cable One, Inc.
 
232
167,954
John Wiley & Sons, Inc. Class A
 
3,150
107,825
News Corp. Class A
 
16,045
318,012
Nexstar Broadcasting Group, Inc. Class A
 
1,333
248,898
Scholastic Corp.
 
3,027
130,736
Sirius XM Holdings, Inc. (b)
  
35,630
181,713
TEGNA, Inc.
 
10,181
172,059
The New York Times Co. Class A
 
6,549
266,937
 
 
 
1,594,134
TOTAL COMMUNICATION SERVICES
  
 
3,800,637
CONSUMER DISCRETIONARY - 14.1%
 
 
 
Automobile Components - 1.7%
  
 
 
Autoliv, Inc.
 
2,959
298,652
BorgWarner, Inc.
 
7,520
349,680
Dorman Products, Inc. (a)
  
1,741
147,445
Gentex Corp.
 
8,932
299,937
Gentherm, Inc. (a)
  
2,271
135,738
LCI Industries (b)
  
1,514
206,313
Lear Corp.
 
2,088
323,139
Phinia, Inc.
 
1,495
42,413
Visteon Corp. (a)
  
1,330
204,940
XPEL, Inc. (a)
  
1,885
153,119
 
 
 
2,161,376
Automobiles - 0.5%
  
 
 
Harley-Davidson, Inc.
 
5,124
197,838
Thor Industries, Inc. (b)
  
2,284
263,779
Winnebago Industries, Inc.
 
2,340
160,992
 
 
 
622,609
Broadline Retail - 0.4%
  
 
 
Dillard's, Inc. Class A (b)
  
353
121,093
Macy's, Inc.
 
10,650
176,684
Ollie's Bargain Outlet Holdings, Inc. (a)
  
3,232
235,548
 
 
 
533,325
Diversified Consumer Services - 1.5%
  
 
 
ADT, Inc.
 
17,497
111,631
Adtalem Global Education, Inc. (a)
  
3,943
170,495
Chegg, Inc. (a)
  
8,162
82,681
Frontdoor, Inc. (a)
  
5,811
202,920
Graham Holdings Co.
 
255
149,621
Grand Canyon Education, Inc. (a)
  
1,638
177,805
H&R Block, Inc.
 
6,342
213,155
Perdoceo Education Corp.
 
9,163
122,326
Service Corp. International
 
4,940
329,251
Strategic Education, Inc.
 
1,673
125,642
Stride, Inc. (a)
  
3,575
136,601
 
 
 
1,822,128
Hotels, Restaurants & Leisure - 2.1%
  
 
 
Bloomin' Brands, Inc.
 
6,525
175,327
Bowlero Corp. Class A (a)
  
8,797
106,708
Boyd Gaming Corp.
 
3,580
244,586
Choice Hotels International, Inc. (b)
  
1,516
198,217
Churchill Downs, Inc.
 
2,369
274,449
Cracker Barrel Old Country Store, Inc.
 
1,467
136,724
Monarch Casino & Resort, Inc.
 
1,777
123,182
Planet Fitness, Inc. (a)
  
3,192
215,588
RCI Hospitality Holdings, Inc.
 
1,419
98,975
Texas Roadhouse, Inc. Class A
 
2,564
286,014
Vail Resorts, Inc.
 
1,324
311,789
Wendy's Co.
 
8,851
190,208
Wingstop, Inc.
 
1,346
226,909
 
 
 
2,588,676
Household Durables - 2.6%
  
 
 
Cavco Industries, Inc. (a)
  
590
174,434
Ethan Allen Interiors, Inc. (b)
  
4,322
136,013
KB Home
 
4,636
250,205
La-Z-Boy, Inc.
 
4,771
149,666
Leggett & Platt, Inc.
 
5,919
173,190
M.D.C. Holdings, Inc.
 
4,024
206,351
M/I Homes, Inc. (a)
  
2,400
240,000
Meritage Homes Corp.
 
1,778
264,833
Skyline Champion Corp. (a)
  
3,001
209,050
Taylor Morrison Home Corp. (a)
  
5,442
263,502
Tempur Sealy International, Inc.
 
6,326
282,329
Toll Brothers, Inc.
 
4,170
334,976
TopBuild Corp. (a)
  
1,243
340,495
TRI Pointe Homes, Inc. (a)
  
7,151
227,974
 
 
 
3,253,018
Leisure Products - 1.0%
  
 
 
Acushnet Holdings Corp.
 
3,009
179,427
Brunswick Corp.
 
2,854
246,329
JAKKS Pacific, Inc. (a)
  
5,485
114,307
Malibu Boats, Inc. Class A (a)
  
2,197
131,710
MasterCraft Boat Holdings, Inc. (a)
  
4,096
125,542
Polaris, Inc.
 
2,158
293,143
Sturm, Ruger & Co., Inc.
 
2,366
125,280
 
 
 
1,215,738
Specialty Retail - 2.9%
  
 
 
Academy Sports & Outdoors, Inc.
 
3,587
214,467
Advance Auto Parts, Inc.
 
2,053
152,723
Arko Corp.
 
15,345
127,977
Asbury Automotive Group, Inc. (a)
  
958
216,125
AutoNation, Inc. (a)
  
1,579
254,187
Dick's Sporting Goods, Inc.
 
2,069
291,729
Five Below, Inc. (a)
  
1,789
372,720
Foot Locker, Inc. (b)
  
4,199
112,827
Group 1 Automotive, Inc.
 
811
209,668
Haverty Furniture Companies, Inc.
 
3,431
122,144
Hibbett, Inc.
 
1,913
88,763
Monro, Inc.
 
2,801
102,657
Murphy U.S.A., Inc.
 
894
274,485
Penske Automotive Group, Inc. (b)
  
1,369
220,984
The Buckle, Inc.
 
3,220
117,723
Valvoline, Inc.
 
6,797
258,082
Williams-Sonoma, Inc. (b)
  
2,262
313,604
Winmark Corp.
 
466
169,372
 
 
 
3,620,237
Textiles, Apparel & Luxury Goods - 1.4%
  
 
 
Capri Holdings Ltd. (a)
  
4,513
166,575
Columbia Sportswear Co.
 
1,962
154,233
Crocs, Inc. (a)
  
2,268
245,738
Deckers Outdoor Corp. (a)
  
852
463,224
Kontoor Brands, Inc.
 
3,382
143,262
Skechers U.S.A., Inc. Class A (sub. vtg.) (a)
  
5,278
293,351
Tapestry, Inc.
 
7,761
334,887
 
 
 
1,801,270
TOTAL CONSUMER DISCRETIONARY
  
 
17,618,377
CONSUMER STAPLES - 3.8%
 
 
 
Beverages - 0.6%
  
 
 
Brown-Forman Corp. Class B (non-vtg.)
 
5,835
411,951
MGP Ingredients, Inc. (b)
  
1,576
179,680
National Beverage Corp. (a)
  
3,209
169,596
 
 
 
761,227
Consumer Staples Distribution & Retail - 1.1%
  
 
 
Albertsons Companies, Inc.
 
9,177
199,416
BJ's Wholesale Club Holdings, Inc. (a)
  
4,604
305,291
Casey's General Stores, Inc.
 
1,359
343,365
Ingles Markets, Inc. Class A
 
1,598
135,510
Sprouts Farmers Market LLC (a)
  
6,035
236,874
Weis Markets, Inc. (b)
  
1,747
115,896
 
 
 
1,336,352
Food Products - 1.3%
  
 
 
Cal-Maine Foods, Inc. (b)
  
3,053
141,018
Campbell Soup Co.
 
6,820
312,492
Flowers Foods, Inc.
 
8,607
212,679
Hostess Brands, Inc. Class A (a)
  
8,234
197,945
Ingredion, Inc.
 
2,638
293,504
John B. Sanfilippo & Son, Inc.
 
1,505
163,910
Lancaster Colony Corp.
 
1,086
209,196
Tootsie Roll Industries, Inc.
 
3,119
108,728
 
 
 
1,639,472
Household Products - 0.2%
  
 
 
WD-40 Co. (b)
  
947
217,337
Personal Care Products - 0.5%
  
 
 
BellRing Brands, Inc. (a)
  
7,181
258,157
elf Beauty, Inc. (a)
  
2,904
338,955
 
 
 
597,112
Tobacco - 0.1%
  
 
 
Vector Group Ltd.
 
12,113
158,923
TOTAL CONSUMER STAPLES
  
 
4,710,423
ENERGY - 4.8%
 
 
 
Energy Equipment & Services - 0.2%
  
 
 
Helmerich & Payne, Inc.
 
4,881
218,522
Oil, Gas & Consumable Fuels - 4.6%
  
 
 
Arch Resources, Inc.
 
1,174
150,789
Ardmore Shipping Corp.
 
8,924
125,650
California Resources Corp.
 
4,478
238,901
Chesapeake Energy Corp.
 
3,740
315,432
Chord Energy Corp.
 
1,752
274,784
Civitas Resources, Inc. (b)
  
3,009
225,254
Comstock Resources, Inc. (b)
  
11,801
150,463
CONSOL Energy, Inc.
 
2,746
204,632
CVR Energy, Inc.
 
4,284
157,394
Delek U.S. Holdings, Inc.
 
6,066
167,361
DT Midstream, Inc.
 
4,270
228,530
EQT Corp.
 
11,783
497,007
Evolution Petroleum Corp.
 
20,070
187,454
Gulfport Energy Corp. (a)
  
2,141
219,345
HF Sinclair Corp.
 
5,133
267,378
International Seaways, Inc.
 
3,951
169,458
Magnolia Oil & Gas Corp. Class A
 
8,825
195,474
Murphy Oil Corp.
 
6,065
262,433
Par Pacific Holdings, Inc. (a)
  
5,685
178,964
PBF Energy, Inc. Class A
 
5,457
258,880
PDC Energy, Inc.
 
3,882
294,605
Peabody Energy Corp.
 
6,710
150,572
Southwestern Energy Co. (a)
  
46,377
300,523
Talos Energy, Inc. (a)
  
7,704
123,264
Teekay Tankers Ltd.
 
4,241
184,950
Texas Pacific Land Corp.
 
196
295,235
 
 
 
5,824,732
TOTAL ENERGY
  
 
6,043,254
FINANCIALS - 15.2%
 
 
 
Banks - 6.6%
  
 
 
1st Source Corp.
 
2,844
133,384
Amalgamated Financial Corp.
 
5,782
115,409
Ameris Bancorp
 
3,904
170,410
BancFirst Corp.
 
1,831
182,917
Bank First National Corp.
 
1,666
147,208
Banner Corp.
 
2,631
125,262
Cambridge Bancorp
 
1,660
102,156
Cathay General Bancorp
 
4,387
166,881
City Holding Co.
 
1,585
156,772
Columbia Banking Systems, Inc.
 
5,468
122,210
Comerica, Inc.
 
4,542
245,086
Commerce Bancshares, Inc.
 
4,356
231,652
Community Trust Bancorp, Inc.
 
3,142
120,590
CVB Financial Corp.
 
7,795
147,092
Dime Community Bancshares, Inc.
 
4,689
105,034
East West Bancorp, Inc.
 
4,661
289,961
Enterprise Financial Services Corp.
 
3,091
126,731
First Bancorp, Puerto Rico
 
12,686
188,387
First Citizens Bancshares, Inc.
 
419
599,715
First Financial Corp., Indiana
 
2,999
114,592
First Merchants Corp.
 
4,162
133,683
FNB Corp., Pennsylvania
 
16,391
209,641
Fulton Financial Corp.
 
10,812
154,612
Great Southern Bancorp, Inc.
 
2,306
127,591
Hancock Whitney Corp.
 
4,178
183,874
Hanmi Financial Corp.
 
5,767
109,573
Heritage Financial Corp., Washington
 
4,960
93,050
International Bancshares Corp.
 
3,767
186,994
Midland States Bancorp, Inc.
 
5,308
124,366
NBT Bancorp, Inc.
 
3,953
147,052
OFG Bancorp
 
5,282
176,894
Old Second Bancorp, Inc.
 
8,115
129,759
Peapack-Gladstone Financial Corp.
 
3,645
106,543
Popular, Inc.
 
3,348
242,897
Preferred Bank, Los Angeles
 
1,989
131,433
QCR Holdings, Inc.
 
2,666
136,579
S&T Bancorp, Inc.
 
4,223
133,362
Southstate Corp.
 
3,180
246,991
Stock Yards Bancorp, Inc.
 
2,639
126,171
Synovus Financial Corp.
 
6,032
204,485
Trico Bancshares
 
3,124
116,775
Trustco Bank Corp., New York
 
3,784
114,996
UMB Financial Corp.
 
2,311
164,081
United Bankshares, Inc., West Virginia
 
5,906
197,497
Valley National Bancorp
 
19,104
196,007
Webster Financial Corp.
 
6,087
288,037
WesBanco, Inc.
 
4,556
127,614
Westamerica Bancorp.
 
2,806
138,027
Wintrust Financial Corp.
 
2,655
223,976
 
 
 
8,264,009
Capital Markets - 1.5%
  
 
 
Evercore, Inc. Class A
 
1,721
232,438
Federated Hermes, Inc.
 
4,934
166,917
GCM Grosvenor, Inc. Class A
 
14,210
111,549
Houlihan Lokey
 
2,340
233,649
Interactive Brokers Group, Inc.
 
3,797
331,592
Lazard Ltd. Class A
 
5,512
193,471
PJT Partners, Inc.
 
2,095
166,154
SEI Investments Co.
 
4,177
263,109
StoneX Group, Inc. (a)
  
1,800
165,618
 
 
 
1,864,497
Consumer Finance - 0.4%
  
 
 
Enova International, Inc. (a)
  
3,047
167,859
FirstCash Holdings, Inc.
 
2,179
207,615
Nelnet, Inc. Class A
 
1,686
166,374
 
 
 
541,848
Financial Services - 1.9%
  
 
 
A-Mark Precious Metals, Inc.
 
3,577
145,906
Cass Information Systems, Inc.
 
2,412
91,535
Enact Holdings, Inc.
 
5,619
152,837
Essent Group Ltd.
 
5,164
256,134
Euronet Worldwide, Inc. (a)
  
1,953
171,610
EVERTEC, Inc.
 
4,284
168,490
International Money Express, Inc. (a)
  
5,319
128,879
Jackson Financial, Inc.
 
3,955
130,594
Merchants Bancorp
 
4,540
143,509
MGIC Investment Corp.
 
15,205
254,532
Radian Group, Inc.
 
8,857
238,519
The Western Union Co.
 
16,023
195,160
Voya Financial, Inc.
 
3,927
291,619
 
 
 
2,369,324
Insurance - 4.8%
  
 
 
American Equity Investment Life Holding Co.
 
4,148
222,623
American Financial Group, Inc.
 
2,456
298,674
Amerisafe, Inc.
 
2,687
140,046
Assurant, Inc.
 
2,091
281,260
Axis Capital Holdings Ltd.
 
3,733
205,763
Employers Holdings, Inc.
 
3,481
134,471
Erie Indemnity Co. Class A
 
1,058
234,834
Fidelity National Financial, Inc.
 
8,760
343,129
Genworth Financial, Inc. Class A (a)
  
32,539
190,679
Globe Life, Inc.
 
3,051
342,231
Hanover Insurance Group, Inc.
 
1,678
190,419
Kinsale Capital Group, Inc.
 
912
339,839
Loews Corp.
 
6,400
400,960
National Western Life Group, Inc.
 
511
215,473
Old Republic International Corp.
 
10,894
300,348
Primerica, Inc.
 
1,564
332,663
Reinsurance Group of America, Inc.
 
2,317
325,191
RenaissanceRe Holdings Ltd.
 
1,570
293,213
RLI Corp.
 
1,840
245,474
Safety Insurance Group, Inc.
 
1,748
125,856
Selective Insurance Group, Inc.
 
2,628
271,183
Unum Group
 
7,142
347,173
White Mountains Insurance Group Ltd.
 
141
218,130
 
 
 
5,999,632
TOTAL FINANCIALS
  
 
19,039,310
HEALTH CARE - 12.5%
 
 
 
Biotechnology - 3.3%
  
 
 
ADMA Biologics, Inc. (a)
  
35,193
146,051
Akero Therapeutics, Inc. (a)
  
3,163
137,274
Alkermes PLC (a)
  
7,901
231,341
Amicus Therapeutics, Inc. (a)
  
14,279
194,480
Ars Pharmaceuticals, Inc. (a)
  
17,543
128,941
Catalyst Pharmaceutical Partners, Inc. (a)
  
9,596
132,713
Chinook Therapeutics, Inc. (a)
  
5,659
221,720
Cytokinetics, Inc. (a)
  
4,736
157,946
Deciphera Pharmaceuticals, Inc. (a)
  
7,858
106,240
Exelixis, Inc. (a)
  
13,791
271,821
Halozyme Therapeutics, Inc. (a)
  
5,209
223,779
Ionis Pharmaceuticals, Inc. (a)
  
6,003
248,704
Ironwood Pharmaceuticals, Inc. Class A (a)
  
13,212
146,521
Kiniksa Pharmaceuticals Ltd. (a)
  
8,974
169,070
Neurocrine Biosciences, Inc. (a)
  
3,208
326,863
Repligen Corp. (a)
  
1,745
299,372
Sarepta Therapeutics, Inc. (a)
  
2,919
316,390
Syndax Pharmaceuticals, Inc. (a)
  
5,545
118,219
United Therapeutics Corp. (a)
  
1,459
354,128
Vaxcyte, Inc. (a)
  
3,991
191,807
Vir Biotechnology, Inc. (a)
  
5,596
78,792
 
 
 
4,202,172
Health Care Equipment & Supplies - 3.1%
  
 
 
Atrion Corp.
 
199
111,561
Axonics Modulation Technologies, Inc. (a)
  
2,997
180,929
Embecta Corp.
 
5,378
114,767
Globus Medical, Inc. (a)
  
3,204
193,105
Haemonetics Corp. (a)
  
2,484
229,124
Integer Holdings Corp. (a)
  
2,325
215,016
Integra LifeSciences Holdings Corp. (a)
  
3,555
161,646
Lantheus Holdings, Inc. (a)
  
3,469
300,034
LeMaitre Vascular, Inc.
 
2,796
176,791
Masimo Corp. (a)
  
1,742
213,047
Merit Medical Systems, Inc. (a)
  
2,862
213,706
Novocure Ltd. (a)
  
3,224
105,231
PROCEPT BioRobotics Corp. (a)
  
3,711
127,807
QuidelOrtho Corp. (a)
  
2,467
215,517
Shockwave Medical, Inc. (a)
  
1,420
370,052
Teleflex, Inc.
 
1,484
372,736
TransMedics Group, Inc. (a)
  
2,445
227,825
UFP Technologies, Inc. (a)
  
1,206
234,766
Zynex, Inc. (a)(b)
  
8,754
85,439
 
 
 
3,849,099
Health Care Providers & Services - 3.4%
  
 
 
Acadia Healthcare Co., Inc. (a)
  
3,444
272,179
Addus HomeCare Corp. (a)
  
1,434
131,311
Amedisys, Inc. (a)
  
1,944
176,593
AMN Healthcare Services, Inc. (a)
  
2,109
225,979
Chemed Corp.
 
556
289,726
Corvel Corp. (a)
  
828
169,376
Cross Country Healthcare, Inc. (a)
  
4,744
122,395
DaVita HealthCare Partners, Inc. (a)
  
2,590
264,154
DocGo, Inc. Class A (a)
  
13,573
113,877
Encompass Health Corp.
 
4,128
272,572
HealthEquity, Inc. (a)
  
3,863
262,452
Henry Schein, Inc. (a)
  
4,315
339,979
National Healthcare Corp.
 
2,198
129,726
National Research Corp. Class A
 
2,881
123,624
Option Care Health, Inc. (a)
  
7,448
251,593
Premier, Inc.
 
6,123
169,913
Select Medical Holdings Corp.
 
6,198
186,002
The Ensign Group, Inc.
 
2,475
239,753
U.S. Physical Therapy, Inc.
 
1,425
165,685
Universal Health Services, Inc. Class B
 
2,199
305,573
 
 
 
4,212,462
Health Care Technology - 0.5%
  
 
 
Computer Programs & Systems, Inc. (a)
  
4,339
113,769
Doximity, Inc. (a)(b)
  
5,480
195,800
HealthStream, Inc.
 
5,398
121,347
Simulations Plus, Inc. (b)
  
3,148
156,770
 
 
 
587,686
Life Sciences Tools & Services - 0.5%
  
 
 
Bruker Corp.
 
3,828
263,060
Maravai LifeSciences Holdings, Inc. (a)
  
10,035
113,496
Medpace Holdings, Inc. (a)
  
1,050
265,829
 
 
 
642,385
Pharmaceuticals - 1.7%
  
 
 
Amphastar Pharmaceuticals, Inc. (a)
  
4,625
280,691
Catalent, Inc. (a)
  
6,057
293,886
Corcept Therapeutics, Inc. (a)
  
6,938
176,780
Harmony Biosciences Holdings, Inc. (a)
  
3,085
109,116
Innoviva, Inc. (a)
  
10,533
142,722
Jazz Pharmaceuticals PLC (a)
  
2,146
279,881
Organon & Co.
 
9,478
208,326
Perrigo Co. PLC
 
6,156
225,556
Prestige Brands Holdings, Inc. (a)
  
3,052
199,021
Supernus Pharmaceuticals, Inc. (a)
  
4,005
122,913
Ventyx Biosciences, Inc. (a)
  
3,362
124,562
 
 
 
2,163,454
TOTAL HEALTH CARE
  
 
15,657,258
INDUSTRIALS - 18.7%
 
 
 
Aerospace & Defense - 1.1%
  
 
 
BWX Technologies, Inc.
 
3,698
255,162
Curtiss-Wright Corp.
 
1,462
279,768
Hexcel Corp.
 
3,299
233,173
Huntington Ingalls Industries, Inc.
 
1,355
311,203
Moog, Inc. Class A
 
1,731
182,517
Parsons Corp. (a)
  
3,072
151,818
 
 
 
1,413,641
Air Freight & Logistics - 0.6%
  
 
 
C.H. Robinson Worldwide, Inc.
 
3,584
359,045
Forward Air Corp.
 
1,498
178,022
Hub Group, Inc. Class A (a)
  
1,847
166,470
 
 
 
703,537
Building Products - 2.3%
  
 
 
A.O. Smith Corp.
 
4,266
309,840
AAON, Inc.
 
2,216
233,256
Allegion PLC
 
2,786
325,572
Apogee Enterprises, Inc.
 
2,652
131,354
CSW Industrials, Inc.
 
1,044
188,494
Griffon Corp.
 
3,512
146,521
Lennox International, Inc.
 
1,082
397,570
MasterBrand, Inc.
 
13,514
166,898
Owens Corning
 
3,066
429,209
Simpson Manufacturing Co. Ltd.
 
1,853
292,774
UFP Industries, Inc.
 
2,404
247,035
 
 
 
2,868,523
Commercial Services & Supplies - 1.6%
  
 
 
Brady Corp. Class A
 
2,905
149,840
Casella Waste Systems, Inc. Class A (a)
  
2,398
193,495
Clean Harbors, Inc. (a)
  
1,899
315,728
CoreCivic, Inc. (a)
  
12,342
119,717
Ennis, Inc.
 
5,416
116,661
MSA Safety, Inc.
 
1,548
256,968
Rollins, Inc.
 
7,964
325,170
Tetra Tech, Inc.
 
1,825
308,808
The GEO Group, Inc. (a)
  
11,502
85,920
UniFirst Corp.
 
836
135,683
 
 
 
2,007,990
Construction & Engineering - 1.9%
  
 
 
AECOM
 
4,264
370,968
Arcosa, Inc.
 
2,784
214,869
Comfort Systems U.S.A., Inc.
 
1,633
284,093
EMCOR Group, Inc.
 
1,742
374,600
MasTec, Inc. (a)
  
2,350
276,713
MDU Resources Group, Inc.
 
7,772
171,917
MYR Group, Inc. (a)
  
1,395
198,871
Northwest Pipe Co. (a)
  
2,959
96,404
Sterling Construction Co., Inc. (a)
  
3,520
211,165
Valmont Industries, Inc.
 
792
209,682
 
 
 
2,409,282
Electrical Equipment - 1.1%
  
 
 
Acuity Brands, Inc.
 
1,254
207,211
Atkore, Inc. (a)
  
1,643
260,695
Encore Wire Corp.
 
1,008
172,056
nVent Electric PLC
 
6,305
333,408
Regal Rexnord Corp.
 
2,119
330,945
 
 
 
1,304,315
Ground Transportation - 0.8%
  
 
 
Knight-Swift Transportation Holdings, Inc. Class A
 
5,176
314,442
Landstar System, Inc.
 
1,356
276,068
Marten Transport Ltd.
 
5,798
131,383
Universal Logistics Holdings, Inc.
 
2,889
89,819
Werner Enterprises, Inc.
 
3,390
159,398
 
 
 
971,110
Machinery - 4.4%
  
 
 
AGCO Corp.
 
2,150
286,165
Alamo Group, Inc.
 
872
168,959
Albany International Corp. Class A
 
1,598
153,855
Allison Transmission Holdings, Inc.
 
4,305
252,660
Crane Co.
 
1,923
180,166
Crane Nxt Co.
 
1,932
114,278
Donaldson Co., Inc.
 
4,324
271,677
ESAB Corp.
 
2,811
193,116
ESCO Technologies, Inc.
 
1,603
161,182
Federal Signal Corp.
 
3,225
197,015
Franklin Electric Co., Inc.
 
1,955
193,193
Graco, Inc.
 
5,161
409,422
Hillenbrand, Inc.
 
3,636
188,854
ITT, Inc.
 
2,939
292,724
Kadant, Inc.
 
738
164,463
Lincoln Electric Holdings, Inc.
 
1,873
375,930
Lindsay Corp.
 
911
120,735
Mueller Industries, Inc.
 
2,727
221,051
RBC Bearings, Inc. (a)
  
1,056
238,709
SPX Technologies, Inc. (a)
  
2,332
197,311
Standex International Corp.
 
1,119
166,250
Terex Corp.
 
3,461
202,918
Timken Co.
 
2,648
245,893
Toro Co.
 
3,201
325,382
Watts Water Technologies, Inc. Class A
 
1,206
224,955
 
 
 
5,546,863
Marine Transportation - 0.2%
  
 
 
Matson, Inc.
 
2,285
213,556
Professional Services - 3.4%
  
 
 
Barrett Business Services, Inc.
 
1,208
109,602
CACI International, Inc. Class A (a)
  
857
300,327
CBIZ, Inc. (a)
  
3,244
171,575
Concentrix Corp.
 
1,644
136,847
CSG Systems International, Inc.
 
2,423
125,003
ExlService Holdings, Inc. (a)
  
1,357
191,269
Exponent, Inc.
 
2,100
188,118
FTI Consulting, Inc. (a)
  
1,400
245,224
Genpact Ltd.
 
5,993
216,287
Huron Consulting Group, Inc. (a)
  
1,926
182,142
ICF International, Inc.
 
1,356
159,452
Insperity, Inc.
 
1,693
199,181
KBR, Inc.
 
5,031
309,356
Kforce, Inc.
 
2,215
140,520
Korn Ferry
 
2,971
156,512
Manpower, Inc.
 
2,251
177,559
Maximus, Inc.
 
2,779
232,769
NV5 Global, Inc. (a)
  
1,011
110,755
Paylocity Holding Corp. (a)
  
1,387
314,641
Resources Connection, Inc.
 
6,457
103,183
Robert Half, Inc.
 
3,560
263,974
Science Applications International Corp.
 
2,202
267,191
 
 
 
4,301,487
Trading Companies & Distributors - 1.3%
  
 
 
Applied Industrial Technologies, Inc.
 
1,556
225,604
Boise Cascade Co.
 
2,177
225,298
McGrath RentCorp.
 
1,521
146,594
MSC Industrial Direct Co., Inc. Class A
 
2,196
221,620
Rush Enterprises, Inc. Class A
 
2,739
177,159
Triton International Ltd.
 
2,716
228,986
Watsco, Inc. (b)
  
1,059
400,503
 
 
 
1,625,764
TOTAL INDUSTRIALS
  
 
23,366,068
INFORMATION TECHNOLOGY - 13.8%
 
 
 
Communications Equipment - 1.1%
  
 
 
Ciena Corp. (a)
  
5,372
226,698
Clearfield, Inc. (a)(b)
  
1,796
83,945
Digi International, Inc. (a)
  
3,757
157,531
F5, Inc. (a)
  
2,009
317,904
Harmonic, Inc. (a)
  
9,665
144,202
Juniper Networks, Inc.
 
10,591
294,430
NetScout Systems, Inc. (a)
  
4,846
135,446
 
 
 
1,360,156
Electronic Equipment, Instruments & Components - 4.4%
  
 
 
Advanced Energy Industries, Inc.
 
1,912
239,344
Arrow Electronics, Inc. (a)
  
2,176
310,167
Avnet, Inc.
 
4,330
210,005
Badger Meter, Inc.
 
1,561
257,003
Bel Fuse, Inc. Class B (non-vtg.)
 
3,027
162,399
Belden, Inc.
 
2,219
214,444
Cognex Corp.
 
5,717
312,263
CTS Corp.
 
3,020
134,783
ePlus, Inc. (a)
  
2,626
147,975
Fabrinet (a)
  
1,620
200,297
Insight Enterprises, Inc. (a)
  
1,607
235,731
IPG Photonics Corp. (a)
  
1,644
216,104
Jabil, Inc.
 
4,297
475,549
Littelfuse, Inc.
 
944
287,542
Methode Electronics, Inc. Class A
 
2,969
99,877
Napco Security Technologies, Inc.
 
4,177
156,554
National Instruments Corp.
 
4,885
288,215
Novanta, Inc. (a)
  
1,422
251,552
OSI Systems, Inc. (a)
  
1,473
175,626
PC Connection, Inc.
 
2,369
114,683
Plexus Corp. (a)
  
1,694
166,842
Sanmina Corp. (a)
  
2,970
182,536
TD SYNNEX Corp.
 
1,962
193,669
TTM Technologies, Inc. (a)
  
8,886
127,603
Vishay Intertechnology, Inc.
 
7,315
205,917
Vishay Precision Group, Inc. (a)
  
2,780
104,000
 
 
 
5,470,680
IT Services - 0.6%
  
 
 
Amdocs Ltd.
 
3,833
358,922
DXC Technology Co. (a)
  
8,727
241,302
Hackett Group, Inc.
 
5,324
123,783
 
 
 
724,007
Semiconductors & Semiconductor Equipment - 2.6%
  
 
 
Amkor Technology, Inc.
 
5,763
167,646
Axcelis Technologies, Inc. (a)
  
1,635
327,785
Cirrus Logic, Inc. (a)
  
2,358
190,526
Diodes, Inc. (a)
  
2,139
202,114
Kulicke & Soffa Industries, Inc.
 
3,139
187,963
Lattice Semiconductor Corp. (a)
  
4,341
394,771
NVE Corp. (b)
  
1,607
127,290
Onto Innovation, Inc. (a)
  
2,336
290,412
Photronics, Inc. (a)
  
6,985
184,753
Power Integrations, Inc.
 
2,455
238,479
Qorvo, Inc. (a)
  
3,250
357,565
Rambus, Inc. (a)
  
4,813
301,342
Universal Display Corp.
 
1,743
254,269
 
 
 
3,224,915
Software - 3.9%
  
 
 
A10 Networks, Inc.
 
8,158
126,612
ACI Worldwide, Inc. (a)
  
6,286
145,772
Adeia, Inc.
 
12,178
146,380
Agilysys, Inc. (a)
  
1,749
128,779
Alarm.com Holdings, Inc. (a)
  
2,971
164,029
Aspen Technology, Inc. (a)
  
1,169
208,667
Bentley Systems, Inc. Class B
 
6,891
371,287
Black Knight, Inc. (a)
  
5,196
365,383
BlackLine, Inc. (a)
  
2,594
150,660
Box, Inc. Class A (a)
  
6,268
195,875
CommVault Systems, Inc. (a)
  
2,623
204,410
Dolby Laboratories, Inc. Class A
 
2,671
236,677
DoubleVerify Holdings, Inc. (a)
  
5,494
231,297
Dropbox, Inc. Class A (a)
  
10,392
280,064
Dynatrace, Inc. (a)
  
6,777
370,634
Manhattan Associates, Inc. (a)
  
2,155
410,786
Model N, Inc. (a)
  
3,450
114,954
Progress Software Corp.
 
2,860
171,772
Qualys, Inc. (a)
  
1,640
227,632
SPS Commerce, Inc. (a)
  
1,553
280,146
Teradata Corp. (a)
  
5,229
297,269
 
 
 
4,829,085
Technology Hardware, Storage & Peripherals - 1.2%
  
 
 
Dell Technologies, Inc.
 
8,265
437,384
Pure Storage, Inc. Class A (a)
  
9,773
361,503
Super Micro Computer, Inc. (a)
  
2,340
772,821
 
 
 
1,571,708
TOTAL INFORMATION TECHNOLOGY
  
 
17,180,551
MATERIALS - 5.0%
 
 
 
Chemicals - 2.0%
  
 
 
American Vanguard Corp.
 
5,258
94,959
Balchem Corp.
 
1,464
197,259
Chase Corp.
 
1,251
157,488
Huntsman Corp.
 
7,176
213,630
Ingevity Corp. (a)
  
2,001
128,104
Innospec, Inc.
 
1,465
156,960
NewMarket Corp.
 
439
198,296
Olin Corp.
 
4,482
258,522
RPM International, Inc.
 
3,994
412,620
Sensient Technologies Corp.
 
2,271
145,435
Stepan Co.
 
1,391
133,286
The Chemours Co. LLC
 
6,277
232,123
Westlake Corp.
 
1,607
220,963
 
 
 
2,549,645
Construction Materials - 0.3%
  
 
 
Eagle Materials, Inc.
 
1,514
279,136
Knife River Holding Co.
 
1,928
83,810
 
 
 
362,946
Containers & Packaging - 1.4%
  
 
 
Aptargroup, Inc.
 
2,344
284,702
Berry Global Group, Inc.
 
4,386
287,590
Graphic Packaging Holding Co.
 
11,223
271,597
Greif, Inc. Class A
 
2,155
159,405
Myers Industries, Inc.
 
5,210
102,168
Silgan Holdings, Inc.
 
3,768
165,227
Sonoco Products Co. (b)
  
3,859
226,292
WestRock Co.
 
8,582
285,695
 
 
 
1,782,676
Metals & Mining - 1.0%
  
 
 
Alpha Metallurgical Resources
 
972
168,370
Commercial Metals Co.
 
4,474
256,002
Royal Gold, Inc.
 
2,276
273,439
Ryerson Holding Corp.
 
3,121
132,611
United States Steel Corp. (b)
  
8,798
224,349
Warrior Metropolitan Coal, Inc.
 
3,906
172,841
 
 
 
1,227,612
Paper & Forest Products - 0.3%
  
 
 
Louisiana-Pacific Corp.
 
3,047
231,968
Sylvamo Corp.
 
2,926
143,579
 
 
 
375,547
TOTAL MATERIALS
  
 
6,298,426
REAL ESTATE - 6.0%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 5.9%
  
 
 
Agree Realty Corp.
 
3,202
207,426
American Homes 4 Rent Class A
 
9,389
351,900
Americold Realty Trust
 
8,822
286,009
Apartment Income (REIT) Corp.
 
5,640
194,806
Apartment Investment & Management Co. Class A
 
15,334
127,732
Apple Hospitality (REIT), Inc.
 
9,888
153,264
Brixmor Property Group, Inc.
 
10,518
239,179
Broadstone Net Lease, Inc.
 
8,931
145,575
CareTrust (REIT), Inc.
 
6,589
136,985
City Office REIT, Inc.
 
10,102
55,258
Corporate Office Properties Trust (SBI)
 
5,857
152,282
Cousins Properties, Inc.
 
6,634
162,069
CubeSmart
 
6,944
301,092
EastGroup Properties, Inc.
 
1,496
265,061
Equity Commonwealth
 
6,055
118,617
Essential Properties Realty Trust, Inc.
 
6,808
167,136
Federal Realty Investment Trust (SBI)
 
2,430
246,694
First Industrial Realty Trust, Inc.
 
4,611
238,389
Four Corners Property Trust, Inc.
 
5,068
133,288
Getty Realty Corp.
 
3,537
114,316
Kilroy Realty Corp.
 
4,521
161,400
Lamar Advertising Co. Class A
 
2,761
272,511
LTC Properties, Inc.
 
3,315
111,251
LXP Industrial Trust (REIT)
 
13,996
140,940
Medical Properties Trust, Inc. (b)
  
20,372
205,553
National Health Investors, Inc.
 
2,524
138,593
NexPoint Diversified Real Estate Trust
 
7,728
90,340
NNN (REIT), Inc.
 
5,894
251,556
Omega Healthcare Investors, Inc.
 
8,253
263,271
Phillips Edison & Co., Inc. (b)
  
5,300
187,143
Physicians Realty Trust
 
10,755
158,529
Potlatch Corp.
 
3,651
195,803
Regency Centers Corp.
 
4,775
312,906
Rexford Industrial Realty, Inc.
 
5,450
300,241
Sabra Health Care REIT, Inc.
 
11,839
153,789
Spirit Realty Capital, Inc.
 
5,223
210,644
Stag Industrial, Inc.
 
6,488
235,514
Terreno Realty Corp.
 
2,890
171,493
Universal Health Realty Income Trust (SBI)
 
1,896
90,496
 
 
 
7,449,051
Real Estate Management & Development - 0.1%
  
 
 
The RMR Group, Inc.
 
3,289
77,555
TOTAL REAL ESTATE
  
 
7,526,606
UTILITIES - 2.6%
 
 
 
Electric Utilities - 1.4%
  
 
 
Allete, Inc.
 
2,898
166,432
Hawaiian Electric Industries, Inc.
 
4,804
184,426
IDACORP, Inc.
 
2,058
211,604
NRG Energy, Inc.
 
8,055
306,009
OGE Energy Corp.
 
7,013
253,520
Otter Tail Corp. (b)
  
2,487
201,472
Pinnacle West Capital Corp.
 
3,830
317,201
PNM Resources, Inc.
 
4,010
179,728
 
 
 
1,820,392
Gas Utilities - 0.5%
  
 
 
National Fuel Gas Co.
 
3,808
202,243
New Jersey Resources Corp.
 
4,101
183,315
ONE Gas, Inc. (b)
  
2,430
192,286
 
 
 
577,844
Independent Power and Renewable Electricity Producers - 0.2%
  
 
 
Clearway Energy, Inc. Class C
 
5,552
146,628
Ormat Technologies, Inc. (b)
  
2,184
177,559
 
 
 
324,187
Multi-Utilities - 0.4%
  
 
 
Black Hills Corp.
 
2,845
171,639
NorthWestern Energy Corp.
 
3,047
172,064
Unitil Corp.
 
2,317
120,577
 
 
 
464,280
Water Utilities - 0.1%
  
 
 
Artesian Resources Corp. Class A
 
1,879
85,607
TOTAL UTILITIES
  
 
3,272,310
 
TOTAL COMMON STOCKS
 (Cost $116,197,908)
  
 
 
124,513,220
 
 
 
 
Money Market Funds - 3.7%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.32% (c)
  
217,373
217,417
Fidelity Securities Lending Cash Central Fund 5.32% (c)(d)
  
4,431,607
4,432,050
 
TOTAL MONEY MARKET FUNDS
 (Cost $4,649,467)
  
 
4,649,467
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 103.3%
 (Cost $120,847,375)
 
  
 
129,162,687
NET OTHER ASSETS (LIABILITIES) - (3.3)%  
(4,186,491)
NET ASSETS - 100.0%
124,976,196
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
 
 
 
 
 
 
 
 
 
 
Equity Index Contracts
  
 
 
 
 
CME E-mini Russell 2000 Index Contracts (United States)
4
Sep 2023
402,720
12,952
12,952
 
 
 
 
 
 
The notional amount of futures purchased as a percentage of Net Assets is 0.3%
 
 
 
Legend
 
(a)
Non-income producing
 
(b)
Security or a portion of the security is on loan at period end.
 
(c)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
 
(d)
Investment made with cash collateral received from securities on loan.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.32%
79,549
4,084,812
3,946,944
4,938
-
-
217,417
0.0%
Fidelity Securities Lending Cash Central Fund 5.32%
1,034,050
16,294,733
12,896,733
18,149
-
-
4,432,050
0.0%
Total
1,113,599
20,379,545
16,843,677
23,087
-
-
4,649,467
  
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
  
 
 
 
 Equities:
  
 
 
 
Communication Services
3,800,637
3,800,637
-
-
Consumer Discretionary
17,618,377
17,618,377
-
-
Consumer Staples
4,710,423
4,710,423
-
-
Energy
6,043,254
6,043,254
-
-
Financials
19,039,310
19,039,310
-
-
Health Care
15,657,258
15,657,258
-
-
Industrials
23,366,068
23,366,068
-
-
Information Technology
17,180,551
17,180,551
-
-
Materials
6,298,426
6,298,426
-
-
Real Estate
7,526,606
7,526,606
-
-
Utilities
3,272,310
3,272,310
-
-
  Money Market Funds
4,649,467
4,649,467
-
-
 Total Investments in Securities:
129,162,687
129,162,687
-
-
 Derivative Instruments:
  
 
 
 
 Assets
  
 
 
 
Futures Contracts
12,952
12,952
-
-
  Total Assets
12,952
12,952
-
-
 Total Derivative Instruments:
12,952
12,952
-
-
 
Value of Derivative Instruments
 
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
 
Primary Risk Exposure / Derivative Type                                                                                                                                                                                   
 
Value
Asset ($)
Liability ($)
Equity Risk
  
 
Futures Contracts (a) 
12,952
0
Total Equity Risk
12,952
0
Total Value of Derivatives
12,952
0
 
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
 
 
 
Fidelity® Small-Mid Multifactor ETF
Financial Statements
Statement of Assets and Liabilities
 
 
 
July 31, 2023
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  (including  securities loaned of $4,357,805) - See accompanying schedule:
  
 
 
 
Unaffiliated issuers (cost $116,197,908)
$
124,513,220
  
 
Fidelity Central Funds (cost $4,649,467)
4,649,467
  
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $120,847,375)
  
 
$
129,162,687
Segregated cash with brokers for derivative instruments
  
 
12,400
Foreign currency held at value (cost $1,224)
  
 
1,201
Receivable for investments sold
  
 
203,986
Dividends receivable
  
 
51,195
Distributions receivable from Fidelity Central Funds
  
 
4,916
Receivable for daily variation margin on futures contracts
  
 
2,256
Other receivables
  
 
1,096
  Total assets
  
 
129,439,737
Liabilities
  
 
 
 
Payable to custodian bank
$
2,992
  
 
Accrued management fee
28,499
  
 
Collateral on securities loaned
4,432,050
  
 
  Total Liabilities
  
 
 
4,463,541
Net Assets  
  
 
$
124,976,196
Net Assets consist of:
  
 
 
 
Paid in capital
  
 
$
125,109,278
Total accumulated earnings (loss)
  
 
 
(133,082)
Net Assets
  
 
$
124,976,196
Net Asset Value, offering price and redemption price per share ($124,976,196 ÷ 3,600,000 shares)
  
 
$
34.72
 
Statement of Operations
 
 
 
Year ended
July 31, 2023
Investment Income
  
 
 
 
Dividends
 
 
$
1,784,686
Income from Fidelity Central Funds (including $18,149 from security lending)
 
 
23,087
 Total Income
  
 
 
1,807,773
Expenses
  
 
 
 
Management fee
$
270,645
  
 
Independent trustees' fees and expenses
441
  
 
 Total expenses before reductions
  
271,086
  
 
 Expense reductions
  
(405)
  
 
 Total expenses after reductions
  
 
 
270,681
Net Investment income (loss)
  
 
 
1,537,092
Realized and Unrealized Gain (Loss)
  
 
 
 
Net realized gain (loss) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers  
  
(2,649,594)
  
 
   Redemptions in-kind
  
95,289
  
 
 Foreign currency transactions
  
(3,159)
  
 
 Futures contracts
  
(14,920)
  
 
Total net realized gain (loss)
  
 
 
(2,572,384)
Change in net unrealized appreciation (depreciation) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers
  
10,090,207
  
 
 Assets and liabilities in foreign currencies
  
(25)
  
 
 Futures contracts
  
4,090
  
 
Total change in net unrealized appreciation (depreciation)
  
 
 
10,094,272
Net gain (loss)
  
 
 
7,521,888
Net increase (decrease) in net assets resulting from operations
  
 
$
9,058,980
Statement of Changes in Net Assets
 
 
Year ended
July 31, 2023
  
Year ended
July 31, 2022
Increase (Decrease) in Net Assets
  
 
 
 
Operations
  
 
 
Net investment income (loss)
$
1,537,092
$
888,934
Net realized gain (loss)
  
(2,572,384)
 
 
5,306,202
 
Change in net unrealized appreciation (depreciation)
  
10,094,272
  
(9,612,227)
 
Net increase (decrease) in net assets resulting from operations
  
9,058,980
 
 
(3,417,091)
 
Distributions to shareholders
  
(1,518,700)
 
 
(905,700)
 
 
 
 
 
 
Share transactions
  
 
 
 
Proceeds from sales of shares
  
48,425,159
  
67,940,474
Cost of shares redeemed
  
(2,938,248)
  
(59,607,816)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
  
45,486,911
 
 
8,332,658
 
Total increase (decrease) in net assets
  
53,027,191
 
 
4,009,867
 
 
 
 
 
 
Net Assets
  
 
 
 
Beginning of period
  
71,949,005
  
67,939,138
 
End of period
$
124,976,196
$
71,949,005
 
 
 
 
 
Other Information
  
 
 
 
Shares
  
 
 
 
Sold
  
1,500,000
  
2,000,000
Redeemed
  
(100,000)
  
(1,800,000)
Net increase (decrease)
  
1,400,000
  
200,000
 
 
 
 
 
 
Fidelity® Small-Mid Multifactor ETF
 
Years ended July 31,
  
2023  
  
2022 
  
2021  
  
2020 
  
2019 A
  Selected Per-Share Data 
  
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
32.70
$
33.97
$
23.90
$
25.50
$
24.85
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
  
.53
 
.45
 
.38
 
.31
 
.18
     Net realized and unrealized gain (loss)
 
2.01
 
(1.26)
 
10.11
 
(1.58)
 
.64
  Total from investment operations
 
2.54  
  
(.81)  
  
10.49  
  
(1.27)  
  
.82
  Distributions from net investment income
 
(.52)
 
(.46)
 
(.42)
 
(.33)
 
(.17)
     Total distributions
 
(.52)
 
(.46)
 
(.42)
 
(.33)
 
(.17)
  Net asset value, end of period
$
34.72
$
32.70
$
33.97
$
23.90
$
25.50
 Total Return D,E,F
  
7.92%
 
(2.35)%
 
44.21%
 
(4.90)%
 
3.35%
 Ratios to Average Net Assets C,G,H
  
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29% I
    Expenses net of fee waivers, if any
 
.29%
 
.29%
 
.29%
 
.29%
 
.29% I
    Expenses net of all reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29% I
    Net investment income (loss)
 
1.65%
 
1.35%
 
1.23%
 
1.32%
 
1.70% I
 Supplemental Data
  
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
124,976
$
71,949
$
67,939
$
19,117
$
7,650
    Portfolio turnover rate J,K
  
65%
 
60%
 
61%
 
52%
 
2% L
 
AFor the period February 26, 2019 (commencement of operations) through July 31, 2019.
 
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.
 
EBased on net asset value.
 
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. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
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).
 
KPortfolio turnover rate excludes securities received or delivered in-kind.
 
LAmount not annualized.
 
Fidelity® Stocks for Inflation ETF
Performance: The Bottom Line
NAV and closing market price average annual returns reflect the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) at NAV and Market Price, respectively, and assumes a constant rate of performance each year. The hypothetical investment and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
 
 
 
 
Periods ended July 31, 2023
 
Past 1
year
Life of
Fund
Fidelity® Stocks for Inflation ETF - NAV A
7.77%
10.73%
Fidelity® Stocks for Inflation ETF - Market Price B
7.80%
10.66%
Fidelity Stocks for Inflation Factor Index℠ A
8.09%
11.10%
Russell 1000® Index A
12.95%
12.92%
 
A   From November 5, 2019
 
B  From November 7, 2019, date initially listed on the Cboe BZX Exchange, Inc.
 $10,000 Over Life of Fund
 
Let's say hypothetically that $10,000 was invested in Fidelity® Stocks for Inflation ETF - NAV, on November 5, 2019, when the fund started.
 
The chart shows how the value of your investment would have changed, and also shows how the Fidelity Stocks for Inflation Factor Index℠ and Russell 1000® Index performed over the same period.
 
Fidelity® Stocks for Inflation ETF
Management's Discussion of Fund Performance
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
 
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the exchange-traded fund's net asset value gained 7.77%, versus 8.09% for the Fidelity Stocks for Inflation Factor Index. The ETF's market price returned 7.80% the past 12 months, while the Russell 1000 Index increased 12.95%. By sector, information technology gained roughly 19% and contributed most. Exposure to financials stocks also helped (+20%). Materials rose 16% and industrials advanced 17%, propelled by capital goods (+30%) firms. Consumer discretionary companies gained 13%. Other notable contributors included the health care (+2%), consumer staples (+2%) and energy (+0.4%) sectors. Conversely, utilities returned -13% and detracted most. Communication services (-10%) and real estate (0%) stocks also hurt. Turning to individual holdings, the top contributor was Apple (+22%), from the technology hardware & equipment group. Stakes in Steel Dynamics (+33%) and Nucor (+30%), within the materials category, also helped the fund's performance. Exposure to Microsoft (+21%), from the software & services industry, proved beneficial as well. Lastly, Eli Lilly (+42%), from the pharmaceuticals, biotechnology & life sciences category, further boosted the fund's return. In contrast, the biggest individual detractor was Lumen Technologies (-63%), from the telecommunication services industry. An allocation to Tyson Foods (-29%), within the food, beverage & tobacco category, also hurt. Among pharmaceuticals, biotechnology & life sciences firms, Pfizer (-25%) and Moderna (-27%) detracted as well. Lastly, National Fuel Gas (-24%), a stock in the utilities industry, also was detrimental to performance.
 
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization, or Geode Capital Management, LLC, (the ETF's subadviser) or any other person in the Geode organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity and Geode disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
 
 
 
Fidelity® Stocks for Inflation ETF
Investment Summary July 31, 2023 (Unaudited)
Top Holdings (% of Fund's net assets)
 
Apple, Inc.
6.2
  
Microsoft Corp.
5.3
  
Exxon Mobil Corp.
2.5
  
Nucor Corp.
2.5
  
CF Industries Holdings, Inc.
2.4
  
Eli Lilly & Co.
2.2
  
Steel Dynamics, Inc.
2.2
  
ConocoPhillips Co.
2.0
  
Philip Morris International, Inc.
1.9
  
PBF Energy, Inc. Class A
1.8
  
 
29.0
  
 
Market Sectors (% of Fund's net assets)
 
Information Technology
20.7
  
Health Care
18.1
  
Consumer Staples
10.5
  
Financials
9.5
  
Energy
9.2
  
Materials
7.1
  
Industrials
5.8
  
Consumer Discretionary
5.8
  
Real Estate
4.9
  
Utilities
4.4
  
Communication Services
3.7
  
 
Asset Allocation (% of Fund's net assets)
Futures - 0.2%
 
Fidelity® Stocks for Inflation ETF
Schedule of Investments July 31, 2023
Showing Percentage of Net Assets     
Common Stocks - 99.7%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 3.7%
 
 
 
Diversified Telecommunication Services - 1.0%
  
 
 
AT&T, Inc.
 
16,454
238,912
Iridium Communications, Inc.
 
25,231
1,325,889
 
 
 
1,564,801
Interactive Media & Services - 2.2%
  
 
 
Alphabet, Inc. Class A (a)
  
14,980
1,988,146
Meta Platforms, Inc. Class A (a)
  
3,534
1,125,932
Ziff Davis, Inc. (a)
  
1,800
130,536
 
 
 
3,244,614
Media - 0.5%
  
 
 
Comcast Corp. Class A
 
9,088
411,323
Nexstar Broadcasting Group, Inc. Class A
 
810
151,243
TEGNA, Inc.
 
8,200
138,580
 
 
 
701,146
TOTAL COMMUNICATION SERVICES
  
 
5,510,561
CONSUMER DISCRETIONARY - 5.8%
 
 
 
Broadline Retail - 0.3%
  
 
 
Macy's, Inc.
 
26,664
442,356
Diversified Consumer Services - 0.4%
  
 
 
H&R Block, Inc.
 
16,633
559,035
Hotels, Restaurants & Leisure - 1.3%
  
 
 
McDonald's Corp.
 
3,865
1,133,218
Yum! Brands, Inc.
 
5,541
762,829
 
 
 
1,896,047
Household Durables - 0.5%
  
 
 
Taylor Morrison Home Corp. (a)
  
17,337
839,458
Specialty Retail - 3.3%
  
 
 
Academy Sports & Outdoors, Inc.
 
10,416
622,773
AutoZone, Inc. (a)
  
299
742,034
Murphy U.S.A., Inc.
 
2,491
764,812
O'Reilly Automotive, Inc. (a)
  
918
849,875
The Home Depot, Inc.
 
3,884
1,296,635
Ulta Beauty, Inc. (a)
  
1,326
589,805
 
 
 
4,865,934
TOTAL CONSUMER DISCRETIONARY
  
 
8,602,830
CONSUMER STAPLES - 10.5%
 
 
 
Food Products - 3.4%
  
 
 
Archer Daniels Midland Co.
 
30,312
2,575,308
General Mills, Inc.
 
32,850
2,455,209
 
 
 
5,030,517
Household Products - 3.5%
  
 
 
Colgate-Palmolive Co.
 
34,630
2,640,884
Kimberly-Clark Corp.
 
19,127
2,469,296
 
 
 
5,110,180
Tobacco - 3.6%
  
 
 
Altria Group, Inc.
 
56,074
2,546,881
Philip Morris International, Inc.
 
28,100
2,802,132
 
 
 
5,349,013
TOTAL CONSUMER STAPLES
  
 
15,489,710
ENERGY - 9.2%
 
 
 
Oil, Gas & Consumable Fuels - 9.2%
  
 
 
ConocoPhillips Co.
 
24,692
2,906,742
Exxon Mobil Corp.
 
35,040
3,757,690
Occidental Petroleum Corp.
 
38,628
2,438,586
PBF Energy, Inc. Class A
 
56,716
2,690,607
Texas Pacific Land Corp.
 
1,187
1,787,978
 
 
 
13,581,603
FINANCIALS - 9.5%
 
 
 
Banks - 0.9%
  
 
 
First Citizens Bancshares, Inc.
 
983
1,406,968
Capital Markets - 0.7%
  
 
 
Goldman Sachs Group, Inc.
 
2,728
970,813
Consumer Finance - 1.0%
  
 
 
Discover Financial Services
 
6,908
729,139
Synchrony Financial
 
20,740
716,360
 
 
 
1,445,499
Financial Services - 3.7%
  
 
 
Essent Group Ltd.
 
17,088
847,565
Fiserv, Inc. (a)
  
5,697
719,018
MasterCard, Inc. Class A
 
3,583
1,412,705
MGIC Investment Corp.
 
52,954
886,450
Visa, Inc. Class A
 
6,577
1,563,550
 
 
 
5,429,288
Insurance - 3.2%
  
 
 
American International Group, Inc.
 
14,202
856,097
Everest Re Group Ltd.
 
2,273
819,439
MetLife, Inc.
 
12,092
761,433
Principal Financial Group, Inc.
 
8,533
681,531
RLI Corp.
 
5,819
776,313
Unum Group
 
18,647
906,431
 
 
 
4,801,244
TOTAL FINANCIALS
  
 
14,053,812
HEALTH CARE - 18.1%
 
 
 
Biotechnology - 8.3%
  
 
 
AbbVie, Inc.
 
16,347
2,445,184
Amgen, Inc.
 
7,792
1,824,497
Gilead Sciences, Inc.
 
22,289
1,697,084
Moderna, Inc. (a)
  
9,392
1,105,063
Regeneron Pharmaceuticals, Inc. (a)
  
2,311
1,714,554
United Therapeutics Corp. (a)
  
5,742
1,393,698
Vertex Pharmaceuticals, Inc. (a)
  
5,685
2,003,053
 
 
 
12,183,133
Health Care Providers & Services - 3.5%
  
 
 
Cardinal Health, Inc.
 
19,905
1,820,710
Humana, Inc.
 
3,412
1,558,704
McKesson Corp.
 
4,460
1,794,704
 
 
 
5,174,118
Pharmaceuticals - 6.3%
  
 
 
Bristol-Myers Squibb Co.
 
27,532
1,712,215
Eli Lilly & Co.
 
7,213
3,278,669
Merck & Co., Inc.
 
23,100
2,463,615
Pfizer, Inc.
 
52,821
1,904,725
 
 
 
9,359,224
TOTAL HEALTH CARE
  
 
26,716,475
INDUSTRIALS - 5.8%
 
 
 
Aerospace & Defense - 1.0%
  
 
 
Lockheed Martin Corp.
 
1,750
781,148
Northrop Grumman Corp.
 
1,654
736,030
 
 
 
1,517,178
Building Products - 1.8%
  
 
 
Builders FirstSource, Inc. (a)
  
7,637
1,103,012
Owens Corning
 
6,209
869,198
UFP Industries, Inc.
 
6,436
661,363
 
 
 
2,633,573
Electrical Equipment - 0.5%
  
 
 
Atkore, Inc. (a)
  
4,481
711,000
Machinery - 0.9%
  
 
 
Mueller Industries, Inc.
 
9,003
729,783
Snap-On, Inc.
 
2,506
682,735
 
 
 
1,412,518
Professional Services - 1.1%
  
 
 
Automatic Data Processing, Inc.
 
3,020
746,725
ExlService Holdings, Inc. (a)
  
2,483
349,979
Paychex, Inc.
 
4,366
547,802
 
 
 
1,644,506
Trading Companies & Distributors - 0.5%
  
 
 
Triton International Ltd.
 
8,675
731,389
TOTAL INDUSTRIALS
  
 
8,650,164
INFORMATION TECHNOLOGY - 20.7%
 
 
 
Communications Equipment - 0.7%
  
 
 
Cisco Systems, Inc.
 
20,371
1,060,107
IT Services - 2.5%
  
 
 
Accenture PLC Class A
 
3,247
1,027,188
Amdocs Ltd.
 
4,748
444,603
DXC Technology Co. (a)
  
14,652
405,128
Gartner, Inc. (a)
  
1,416
500,683
IBM Corp.
 
5,674
818,077
VeriSign, Inc. (a)
  
2,127
448,691
 
 
 
3,644,370
Semiconductors & Semiconductor Equipment - 4.8%
  
 
 
Analog Devices, Inc.
 
3,809
760,010
Broadcom, Inc.
 
1,865
1,675,982
Enphase Energy, Inc. (a)
  
2,216
336,455
KLA Corp.
 
1,411
725,183
Microchip Technology, Inc.
 
6,497
610,328
ON Semiconductor Corp. (a)
  
6,303
679,148
Qualcomm, Inc.
 
6,315
834,654
Rambus, Inc. (a)
  
9,642
603,686
Texas Instruments, Inc.
 
4,886
879,480
 
 
 
7,104,926
Software - 6.5%
  
 
 
Cadence Design Systems, Inc. (a)
  
2,989
699,456
Dropbox, Inc. Class A (a)
  
17,749
478,336
Fair Isaac Corp. (a)
  
673
563,954
Microsoft Corp.
 
23,322
7,834,326
 
 
 
9,576,072
Technology Hardware, Storage & Peripherals - 6.2%
  
 
 
Apple, Inc.
 
46,392
9,113,708
TOTAL INFORMATION TECHNOLOGY
  
 
30,499,183
MATERIALS - 7.1%
 
 
 
Chemicals - 2.4%
  
 
 
CF Industries Holdings, Inc.
 
43,531
3,573,024
Metals & Mining - 4.7%
  
 
 
Nucor Corp.
 
21,537
3,706,302
Steel Dynamics, Inc.
 
29,536
3,147,947
 
 
 
6,854,249
TOTAL MATERIALS
  
 
10,427,273
REAL ESTATE - 4.9%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 4.9%
  
 
 
Gaming & Leisure Properties
 
46,530
2,208,314
Omega Healthcare Investors, Inc.
 
82,579
2,634,270
VICI Properties, Inc.
 
74,430
2,343,056
 
 
 
7,185,640
UTILITIES - 4.4%
 
 
 
Electric Utilities - 1.7%
  
 
 
NRG Energy, Inc.
 
66,729
2,535,035
Gas Utilities - 1.5%
  
 
 
National Fuel Gas Co.
 
40,057
2,127,427
Independent Power and Renewable Electricity Producers - 1.2%
  
 
 
Clearway Energy, Inc. Class C
 
67,285
1,776,997
TOTAL UTILITIES
  
 
6,439,459
 
TOTAL COMMON STOCKS
 (Cost $141,771,314)
  
 
 
147,156,710
 
 
 
 
Money Market Funds - 0.1%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.32% (b)
 
 (Cost $107,212)
 
 
107,190
107,212
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 99.8%
 (Cost $141,878,526)
 
  
 
147,263,922
NET OTHER ASSETS (LIABILITIES) - 0.2%  
234,916
NET ASSETS - 100.0%
147,498,838
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
 
 
 
 
 
 
 
 
 
 
Equity Index Contracts
  
 
 
 
 
CME E-mini S&P 500 Index Contracts (United States)
1
Sep 2023
230,725
13,260
13,260
 
 
 
 
 
 
The notional amount of futures purchased as a percentage of Net Assets is 0.2%
 
 
 
Legend
 
(a)
Non-income producing
 
(b)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.32%
111,694
6,933,617
6,938,099
4,447
-
-
107,212
0.0%
Total
111,694
6,933,617
6,938,099
4,447
-
-
107,212
  
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
  
 
 
 
 Equities:
  
 
 
 
Communication Services
5,510,561
5,510,561
-
-
Consumer Discretionary
8,602,830
8,602,830
-
-
Consumer Staples
15,489,710
15,489,710
-
-
Energy
13,581,603
13,581,603
-
-
Financials
14,053,812
14,053,812
-
-
Health Care
26,716,475
26,716,475
-
-
Industrials
8,650,164
8,650,164
-
-
Information Technology
30,499,183
30,499,183
-
-
Materials
10,427,273
10,427,273
-
-
Real Estate
7,185,640
7,185,640
-
-
Utilities
6,439,459
6,439,459
-
-
  Money Market Funds
107,212
107,212
-
-
 Total Investments in Securities:
147,263,922
147,263,922
-
-
 Derivative Instruments:
  
 
 
 
 Assets
  
 
 
 
Futures Contracts
13,260
13,260
-
-
  Total Assets
13,260
13,260
-
-
 Total Derivative Instruments:
13,260
13,260
-
-
 
Value of Derivative Instruments
 
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
 
Primary Risk Exposure / Derivative Type                                                                                                                                                                                   
 
Value
Asset ($)
Liability ($)
Equity Risk
  
 
Futures Contracts (a) 
13,260
0
Total Equity Risk
13,260
0
Total Value of Derivatives
13,260
0
 
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
 
 
 
Fidelity® Stocks for Inflation ETF
Financial Statements
Statement of Assets and Liabilities
 
 
 
July 31, 2023
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
  
 
 
 
Unaffiliated issuers (cost $141,771,314)
$
147,156,710
  
 
Fidelity Central Funds (cost $107,212)
107,212
  
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $141,878,526)
  
 
$
147,263,922
Segregated cash with brokers for derivative instruments
  
 
11,200
Cash
  
 
42,543
Receivable for investments sold
  
 
1,661,661
Dividends receivable
  
 
232,558
Distributions receivable from Fidelity Central Funds
  
 
377
Receivable for daily variation margin on futures contracts
  
 
400
  Total assets
  
 
149,212,661
Liabilities
  
 
 
 
Payable for fund shares redeemed
$
1,676,123
  
 
Accrued management fee
37,700
  
 
  Total Liabilities
  
 
 
1,713,823
Net Assets  
  
 
$
147,498,838
Net Assets consist of:
  
 
 
 
Paid in capital
  
 
$
162,971,612
Total accumulated earnings (loss)
  
 
 
(15,472,774)
Net Assets
  
 
$
147,498,838
Net Asset Value, offering price and redemption price per share ($147,498,838 ÷ 4,400,000 shares)
  
 
$
33.52
 
Statement of Operations
 
 
 
Year ended
July 31, 2023
Investment Income
  
 
 
 
Dividends
 
 
$
4,658,104
Income from Fidelity Central Funds  
  
 
4,447
 Total Income
  
 
 
4,662,551
Expenses
  
 
 
 
Management fee
$
602,121
  
 
Independent trustees' fees and expenses
1,094
  
 
 Total expenses before reductions
  
603,215
  
 
 Expense reductions
  
(328)
  
 
 Total expenses after reductions
  
 
 
602,887
Net Investment income (loss)
  
 
 
4,059,664
Realized and Unrealized Gain (Loss)
  
 
 
 
Net realized gain (loss) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers  
  
(14,017,400)
  
 
   Redemptions in-kind
  
2,066,581
  
 
 Futures contracts
  
8,736
  
 
Total net realized gain (loss)
  
 
 
(11,942,083)
Change in net unrealized appreciation (depreciation) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers
  
19,409,648
  
 
 Futures contracts
  
13,260
  
 
Total change in net unrealized appreciation (depreciation)
  
 
 
19,422,908
Net gain (loss)
  
 
 
7,480,825
Net increase (decrease) in net assets resulting from operations
  
 
$
11,540,489
Statement of Changes in Net Assets
 
 
Year ended
July 31, 2023
  
Year ended
July 31, 2022
Increase (Decrease) in Net Assets
  
 
 
 
Operations
  
 
 
Net investment income (loss)
$
4,059,664
$
2,664,450
Net realized gain (loss)
  
(11,942,083)
 
 
4,384,711
 
Change in net unrealized appreciation (depreciation)
  
19,422,908
  
(16,922,706)
 
Net increase (decrease) in net assets resulting from operations
  
11,540,489
 
 
(9,873,545)
 
Distributions to shareholders
  
(4,166,950)
 
 
(2,544,600)
 
 
 
 
 
 
Share transactions
  
 
 
 
Proceeds from sales of shares
  
7,889,065
  
327,785,389
Cost of shares redeemed
  
(128,142,495)
  
(101,071,269)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
  
(120,253,430)
 
 
226,714,120
 
Total increase (decrease) in net assets
  
(112,879,891)
 
 
214,295,975
 
 
 
 
 
 
Net Assets
  
 
 
 
Beginning of period
  
260,378,729
  
46,082,754
 
End of period
$
147,498,838
$
260,378,729
 
 
 
 
 
Other Information
  
 
 
 
Shares
  
 
 
 
Sold
  
250,000
  
9,900,000
Redeemed
  
(4,050,000)
  
(3,200,000)
Net increase (decrease)
  
(3,800,000)
  
6,700,000
 
 
 
 
 
 
Fidelity® Stocks for Inflation ETF
 
Years ended July 31,
  
2023  
  
2022 
  
2021  
  
2020 A
  Selected Per-Share Data 
  
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
31.75
$
30.72
$
24.07
$
24.94
  Income from Investment Operations
 
 
 
 
 
 
 
 
     Net investment income (loss) B,C
  
.61
 
.54
 
.39
 
.38
     Net realized and unrealized gain (loss)
 
1.80
 
1.00 D
  
7.08
 
(.90)
  Total from investment operations
 
2.41  
  
1.54  
  
7.47  
  
(.52)  
  Distributions from net investment income
 
(.64)
 
(.51)
 
(.82)
 
(.35)
     Total distributions
 
(.64)
 
(.51)
 
(.82)
 
(.35)
  Net asset value, end of period
$
33.52
$
31.75
$
30.72
$
24.07
 Total Return E,F,G
  
7.77%
 
5.03%
 
31.78%
 
(1.88)%
 Ratios to Average Net Assets C,H,I
  
 
 
 
 
 
 
 
    Expenses before reductions
 
.29%
 
.29%
 
.29%
 
.29% J,K
    Expenses net of fee waivers, if any
 
.29%
 
.29%
 
.29%
 
.29% J,K
    Expenses net of all reductions
 
.29%
 
.29%
 
.29%
 
.29% J,K
    Net investment income (loss)
 
1.95%
 
1.68%
 
1.34%
 
2.16% J,K
 Supplemental Data
  
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
147,499
$
260,379
$
46,083
$
3,610
    Portfolio turnover rate L,M
  
105%
 
76%
 
52%
 
65% N
 
AFor the period November 5, 2019 (commencement of operations) through July 31, 2020.
 
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 for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
 
ETotal returns for periods of less than one year are not annualized.
 
FBased on net asset value.
 
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. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
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.
 
JProxy expenses are not annualized.
 
KAnnualized.
 
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).
 
NAmount not annualized.
 
Fidelity® U.S. Multifactor ETF
Performance: The Bottom Line
NAV and closing market price average annual returns reflect the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) at NAV and Market Price, respectively, and assumes a constant rate of performance each year. The hypothetical investment and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
 
 
 
 
Periods ended July 31, 2023
 
Past 1
year
Life of
Fund
Fidelity® U.S. Multifactor ETF - NAV A
10.78%
12.46%
Fidelity® U.S. Multifactor ETF - Market Price B
10.69%
12.98%
Fidelity U.S. Multifactor Index℠ A
11.13%
12.82%
Russell 1000® Index A
12.95%
12.15%
 
A   From September 15, 2020
 
B  From September 17, 2020, date initially listed on the NYSE ARCA exchange.
 $10,000 Over Life of Fund
 
Let's say hypothetically that $10,000 was invested in Fidelity® U.S. Multifactor ETF - NAV, on September 15, 2020, when the fund started.
 
The chart shows how the value of your investment would have changed, and also shows how the Fidelity U.S. Multifactor Index℠ and Russell 1000® Index performed over the same period.
 
Fidelity® U.S. Multifactor ETF
Management's Discussion of Fund Performance
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
 
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the exchange-traded fund's net asset value gained 10.78%, versus 11.13% for the Fidelity U.S. Multifactor Index TR. The ETF's market price returned 10.69% the past 12 months, while the Russell 1000 Index gained 12.95%. By sector, information technology gained 20% and contributed most. Financials stocks also helped (+17%). Consumer discretionary rose 16%, industrials gained 11%, and communication services advanced 10%. Other contributors included the health care (+5%), energy (+9%), materials (+12%) and consumer staples (+4%) sectors. In contrast, real estate returned approximately -15% and detracted most. Utilities (-16%) also hurt. Turning to individual stocks, the top contributor was Apple (+22%), from the technology hardware & equipment industry. In software & services, Microsoft gained 21% and also helped. Broadcom, within the semiconductors & semiconductor equipment group, gained roughly 69% and further lifted the fund. Other notable contributors included Arch Capital (+65%), a stock in the insurance category, and Alphabet (+14%), from the media & entertainment industry. Conversely, the biggest individual detractor was Pfizer (-26%), from the pharmaceuticals, biotechnology & life sciences category. Another notable detractor was Dollar General (-25%), a stock in the consumer staples distribution & retail industry. In utilities, National Fuel Gas returned about -24%. W.P. Carey, within the equity real estate investment trusts (REITs) industry, returned roughly -19% and hurt the fund's result. Lastly, AT&T, within the telecommunication services industry, returned -23%.
 
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization, or Geode Capital Management, LLC, (the ETF's subadviser) or any other person in the Geode organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity and Geode disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
 
 
Fidelity® U.S. Multifactor ETF
Investment Summary July 31, 2023 (Unaudited)
Top Holdings (% of Fund's net assets)
 
Apple, Inc.
7.5
  
Microsoft Corp.
6.4
  
Alphabet, Inc. Class A
4.1
  
Eli Lilly & Co.
1.7
  
Johnson & Johnson
1.6
  
Procter & Gamble Co.
1.6
  
Exxon Mobil Corp.
1.6
  
The Home Depot, Inc.
1.6
  
Broadcom, Inc.
1.4
  
McDonald's Corp.
1.4
  
 
28.9
  
 
Market Sectors (% of Fund's net assets)
 
Information Technology
24.2
  
Financials
15.3
  
Health Care
13.2
  
Industrials
11.1
  
Consumer Discretionary
9.8
  
Communication Services
7.9
  
Consumer Staples
6.4
  
Energy
4.3
  
Materials
2.7
  
Real Estate
2.6
  
Utilities
2.3
  
 
Asset Allocation (% of Fund's net assets)
Futures - 0.1%
 
Fidelity® U.S. Multifactor ETF
Schedule of Investments July 31, 2023
Showing Percentage of Net Assets     
Common Stocks - 99.8%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 7.9%
 
 
 
Diversified Telecommunication Services - 0.5%
  
 
 
AT&T, Inc.
 
13,298
193,087
Entertainment - 0.7%
  
 
 
Activision Blizzard, Inc.
 
2,534
235,054
Interactive Media & Services - 4.5%
  
 
 
Alphabet, Inc. Class A (a)
  
10,759
1,427,934
Ziff Davis, Inc. (a)
  
1,649
119,585
 
 
 
1,547,519
Media - 2.2%
  
 
 
Comcast Corp. Class A
 
7,223
326,913
Fox Corp. Class A
 
4,649
155,509
Nexstar Broadcasting Group, Inc. Class A
 
737
137,613
TEGNA, Inc.
 
7,563
127,815
 
 
 
747,850
TOTAL COMMUNICATION SERVICES
  
 
2,723,510
CONSUMER DISCRETIONARY - 9.8%
 
 
 
Diversified Consumer Services - 1.4%
  
 
 
H&R Block, Inc.
 
6,935
233,085
Service Corp. International
 
3,756
250,337
 
 
 
483,422
Hotels, Restaurants & Leisure - 2.3%
  
 
 
McDonald's Corp.
 
1,617
474,104
Yum! Brands, Inc.
 
2,308
317,742
 
 
 
791,846
Household Durables - 1.0%
  
 
 
Lennar Corp. Class A
 
2,682
340,158
Specialty Retail - 5.1%
  
 
 
Academy Sports & Outdoors, Inc.
 
4,342
259,608
AutoZone, Inc. (a)
  
125
310,215
Murphy U.S.A., Inc.
 
1,037
318,390
O'Reilly Automotive, Inc. (a)
  
382
353,652
The Home Depot, Inc.
 
1,630
544,159
 
 
 
1,786,024
TOTAL CONSUMER DISCRETIONARY
  
 
3,401,450
CONSUMER STAPLES - 6.4%
 
 
 
Consumer Staples Distribution & Retail - 0.7%
  
 
 
Dollar General Corp.
 
1,336
225,597
Food Products - 0.7%
  
 
 
The Hershey Co.
 
1,091
252,359
Household Products - 3.2%
  
 
 
Colgate-Palmolive Co.
 
3,771
287,576
Kimberly-Clark Corp.
 
2,024
261,298
Procter & Gamble Co.
 
3,560
556,428
 
 
 
1,105,302
Tobacco - 1.8%
  
 
 
Altria Group, Inc.
 
6,319
287,009
Philip Morris International, Inc.
 
3,479
346,926
 
 
 
633,935
TOTAL CONSUMER STAPLES
  
 
2,217,193
ENERGY - 4.3%
 
 
 
Oil, Gas & Consumable Fuels - 4.3%
  
 
 
ConocoPhillips Co.
 
2,733
321,729
Coterra Energy, Inc.
 
8,316
229,023
Exxon Mobil Corp.
 
5,114
548,425
Texas Pacific Land Corp.
 
103
155,149
Valero Energy Corp.
 
1,743
224,690
 
 
 
1,479,016
FINANCIALS - 15.3%
 
 
 
Banks - 0.9%
  
 
 
Popular, Inc.
 
4,277
310,296
Financial Services - 5.6%
  
 
 
Essent Group Ltd.
 
6,816
338,074
Fiserv, Inc. (a)
  
1,615
203,829
Jack Henry & Associates, Inc.
 
702
117,634
MasterCard, Inc. Class A
 
1,015
400,194
MGIC Investment Corp.
 
21,108
353,348
The Western Union Co.
 
8,469
103,152
Visa, Inc. Class A
 
1,863
442,891
 
 
 
1,959,122
Insurance - 8.8%
  
 
 
AFLAC, Inc.
 
4,799
347,160
Arch Capital Group Ltd. (a)
  
5,167
401,424
Chubb Ltd.
 
1,762
360,170
Everest Re Group Ltd.
 
906
326,622
Progressive Corp.
 
2,694
339,390
RLI Corp.
 
2,323
309,911
The Travelers Companies, Inc.
 
1,835
316,739
Unum Group
 
7,436
361,464
W.R. Berkley Corp.
 
4,646
286,612
 
 
 
3,049,492
TOTAL FINANCIALS
  
 
5,318,910
HEALTH CARE - 13.2%
 
 
 
Biotechnology - 5.1%
  
 
 
AbbVie, Inc.
 
2,859
427,649
Amgen, Inc.
 
1,261
295,263
Gilead Sciences, Inc.
 
3,521
268,089
Regeneron Pharmaceuticals, Inc. (a)
  
358
265,604
United Therapeutics Corp. (a)
  
817
198,302
Vertex Pharmaceuticals, Inc. (a)
  
878
309,355
 
 
 
1,764,262
Health Care Providers & Services - 1.3%
  
 
 
AMN Healthcare Services, Inc. (a)
  
2,009
215,264
Molina Healthcare, Inc. (a)
  
712
216,797
 
 
 
432,061
Pharmaceuticals - 6.8%
  
 
 
Bristol-Myers Squibb Co.
 
4,535
282,032
Eli Lilly & Co.
 
1,264
574,551
Johnson & Johnson
 
3,384
566,922
Merck & Co., Inc.
 
4,053
432,252
Pfizer, Inc.
 
9,206
331,968
Royalty Pharma PLC
 
5,505
172,747
 
 
 
2,360,472
TOTAL HEALTH CARE
  
 
4,556,795
INDUSTRIALS - 11.1%
 
 
 
Aerospace & Defense - 2.2%
  
 
 
Lockheed Martin Corp.
 
866
386,556
Northrop Grumman Corp.
 
818
364,010
 
 
 
750,566
Air Freight & Logistics - 1.0%
  
 
 
Expeditors International of Washington, Inc.
 
2,722
346,511
Commercial Services & Supplies - 1.1%
  
 
 
Waste Management, Inc.
 
2,357
386,053
Electrical Equipment - 1.0%
  
 
 
Atkore, Inc. (a)
  
2,216
351,613
Machinery - 3.2%
  
 
 
Allison Transmission Holdings, Inc.
 
6,800
399,092
Mueller Industries, Inc.
 
4,451
360,798
Snap-On, Inc.
 
1,237
337,008
 
 
 
1,096,898
Professional Services - 2.6%
  
 
 
Automatic Data Processing, Inc.
 
855
211,407
ExlService Holdings, Inc. (a)
  
703
99,088
Genpact Ltd.
 
2,604
93,978
Paychex, Inc.
 
1,237
155,206
Science Applications International Corp.
 
2,994
363,292
 
 
 
922,971
TOTAL INDUSTRIALS
  
 
3,854,612
INFORMATION TECHNOLOGY - 24.2%
 
 
 
Communications Equipment - 0.9%
  
 
 
Cisco Systems, Inc.
 
5,776
300,583
IT Services - 2.6%
  
 
 
Accenture PLC Class A
 
920
291,042
Akamai Technologies, Inc. (a)
  
1,415
133,718
Amdocs Ltd.
 
1,344
125,852
IBM Corp.
 
1,607
231,697
VeriSign, Inc. (a)
  
603
127,203
 
 
 
909,512
Semiconductors & Semiconductor Equipment - 3.3%
  
 
 
Analog Devices, Inc.
 
1,080
215,492
Broadcom, Inc.
 
528
474,487
KLA Corp.
 
400
205,580
Texas Instruments, Inc.
 
1,385
249,300
 
 
 
1,144,859
Software - 9.5%
  
 
 
Adobe, Inc. (a)
  
684
373,580
Cadence Design Systems, Inc. (a)
  
846
197,972
Fair Isaac Corp. (a)
  
190
159,214
Microsoft Corp.
 
6,612
2,221,103
Qualys, Inc. (a)
  
976
135,469
Synopsys, Inc. (a)
  
444
200,599
 
 
 
3,287,937
Technology Hardware, Storage & Peripherals - 7.9%
  
 
 
Apple, Inc.
 
13,151
2,583,519
HP, Inc.
 
4,542
149,114
 
 
 
2,732,633
TOTAL INFORMATION TECHNOLOGY
  
 
8,375,524
MATERIALS - 2.7%
 
 
 
Chemicals - 0.9%
  
 
 
CF Industries Holdings, Inc.
 
3,686
302,547
Metals & Mining - 0.9%
  
 
 
Nucor Corp.
 
1,909
328,520
Paper & Forest Products - 0.9%
  
 
 
Louisiana-Pacific Corp.
 
4,214
320,812
TOTAL MATERIALS
  
 
951,879
REAL ESTATE - 2.6%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 2.6%
  
 
 
Public Storage
 
1,157
325,985
VICI Properties, Inc.
 
10,043
316,154
WP Carey, Inc.
 
3,964
267,689
 
 
 
909,828
UTILITIES - 2.3%
 
 
 
Gas Utilities - 0.8%
  
 
 
National Fuel Gas Co.
 
5,073
269,427
Independent Power and Renewable Electricity Producers - 0.6%
  
 
 
Clearway Energy, Inc. Class C
 
8,510
224,749
Multi-Utilities - 0.9%
  
 
 
Consolidated Edison, Inc.
 
3,338
316,643
TOTAL UTILITIES
  
 
810,819
 
TOTAL COMMON STOCKS
 (Cost $31,653,505)
  
 
 
34,599,536
 
 
 
 
Money Market Funds - 0.1%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.32% (b)
 
 (Cost $18,721)
 
 
18,717
18,721
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 99.9%
 (Cost $31,672,226)
 
  
 
34,618,257
NET OTHER ASSETS (LIABILITIES) - 0.1%  
34,950
NET ASSETS - 100.0%
34,653,207
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
 
 
 
 
 
 
 
 
 
 
Equity Index Contracts
  
 
 
 
 
CME Micro E-mini S&P 500 Index Contracts (United States)
2
Sep 2023
46,145
2,260
2,260
 
 
 
 
 
 
The notional amount of futures purchased as a percentage of Net Assets is 0.1%
 
 
 
Legend
 
(a)
Non-income producing
 
(b)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.32%
-
450,393
431,672
189
-
-
18,721
0.0%
Total
-
450,393
431,672
189
-
-
18,721
  
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
  
 
 
 
 Equities:
  
 
 
 
Communication Services
2,723,510
2,723,510
-
-
Consumer Discretionary
3,401,450
3,401,450
-
-
Consumer Staples
2,217,193
2,217,193
-
-
Energy
1,479,016
1,479,016
-
-
Financials
5,318,910
5,318,910
-
-
Health Care
4,556,795
4,556,795
-
-
Industrials
3,854,612
3,854,612
-
-
Information Technology
8,375,524
8,375,524
-
-
Materials
951,879
951,879
-
-
Real Estate
909,828
909,828
-
-
Utilities
810,819
810,819
-
-
  Money Market Funds
18,721
18,721
-
-
 Total Investments in Securities:
34,618,257
34,618,257
-
-
 Derivative Instruments:
  
 
 
 
 Assets
  
 
 
 
Futures Contracts
2,260
2,260
-
-
  Total Assets
2,260
2,260
-
-
 Total Derivative Instruments:
2,260
2,260
-
-
 
Value of Derivative Instruments
 
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
 
Primary Risk Exposure / Derivative Type                                                                                                                                                                                   
 
Value
Asset ($)
Liability ($)
Equity Risk
  
 
Futures Contracts (a) 
2,260
0
Total Equity Risk
2,260
0
Total Value of Derivatives
2,260
0
 
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
 
 
 
Fidelity® U.S. Multifactor ETF
Financial Statements
Statement of Assets and Liabilities
 
 
 
July 31, 2023
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  - See accompanying schedule:
  
 
 
 
Unaffiliated issuers (cost $31,653,505)
$
34,599,536
  
 
Fidelity Central Funds (cost $18,721)
18,721
  
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $31,672,226)
  
 
$
34,618,257
Segregated cash with brokers for derivative instruments
  
 
2,240
Cash
  
 
14,846
Dividends receivable
  
 
25,700
Distributions receivable from Fidelity Central Funds
  
 
82
Receivable for daily variation margin on futures contracts
  
 
80
  Total assets
  
 
34,661,205
Liabilities
  
 
 
 
Accrued management fee
$
7,998
  
 
  Total Liabilities
  
 
 
7,998
Net Assets  
  
 
$
34,653,207
Net Assets consist of:
  
 
 
 
Paid in capital
  
 
$
32,802,229
Total accumulated earnings (loss)
  
 
 
1,850,978
Net Assets
  
 
$
34,653,207
Net Asset Value, offering price and redemption price per share ($34,653,207 ÷ 1,300,000 shares)
  
 
$
26.66
 
Statement of Operations
 
 
 
Year ended
July 31, 2023
Investment Income
  
 
 
 
Dividends
 
 
$
442,256
Income from Fidelity Central Funds  
  
 
189
 Total Income
  
 
 
442,445
Expenses
  
 
 
 
Management fee
$
66,133
  
 
Independent trustees' fees and expenses
104
  
 
 Total expenses before reductions
  
66,237
  
 
 Expense reductions
  
(172)
  
 
 Total expenses after reductions
  
 
 
66,065
Net Investment income (loss)
  
 
 
376,380
Realized and Unrealized Gain (Loss)
  
 
 
 
Net realized gain (loss) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers  
  
(702,633)
  
 
   Redemptions in-kind
  
650,191
  
 
 Futures contracts
  
1,292
  
 
Total net realized gain (loss)
  
 
 
(51,150)
Change in net unrealized appreciation (depreciation) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers
  
2,839,986
  
 
 Futures contracts
  
2,260
  
 
Total change in net unrealized appreciation (depreciation)
  
 
 
2,842,246
Net gain (loss)
  
 
 
2,791,096
Net increase (decrease) in net assets resulting from operations
  
 
$
3,167,476
Statement of Changes in Net Assets
 
 
Year ended
July 31, 2023
  
Year ended
July 31, 2022
Increase (Decrease) in Net Assets
  
 
 
 
Operations
  
 
 
Net investment income (loss)
$
376,380
$
236,930
Net realized gain (loss)
  
(51,150)
 
 
433,050
 
Change in net unrealized appreciation (depreciation)
  
2,842,246
  
(1,195,944)
 
Net increase (decrease) in net assets resulting from operations
  
3,167,476
 
 
(525,964)
 
Distributions to shareholders
  
(365,300)
 
 
(235,000)
 
 
 
 
 
 
Share transactions
  
 
 
 
Proceeds from sales of shares
  
20,841,939
  
9,088,569
Cost of shares redeemed
  
(3,667,295)
  
(5,142,624)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
  
17,174,644
 
 
3,945,945
 
Total increase (decrease) in net assets
  
19,976,820
 
 
3,184,981
 
 
 
 
 
 
Net Assets
  
 
 
 
Beginning of period
  
14,676,387
  
11,491,406
 
End of period
$
34,653,207
$
14,676,387
 
 
 
 
 
Other Information
  
 
 
 
Shares
  
 
 
 
Sold
  
850,000
  
350,000
Redeemed
  
(150,000)
  
(200,000)
Net increase (decrease)
  
700,000
  
150,000
 
 
 
 
 
 
Fidelity® U.S. Multifactor ETF
 
Years ended July 31,
  
2023  
  
2022 
  
2021 A
  Selected Per-Share Data 
  
 
 
 
 
 
  Net asset value, beginning of period
$
24.46
$
25.54
$
20.09
  Income from Investment Operations
 
 
 
 
 
 
     Net investment income (loss) B,C
  
.41
 
.41
 
.31 D
     Net realized and unrealized gain (loss)
 
2.19
 
(1.09)
 
5.62
  Total from investment operations
 
2.60  
  
(.68)  
  
5.93  
  Distributions from net investment income
 
(.40)
 
(.40)
 
(.48)
     Total distributions
 
(.40)
 
(.40)
 
(.48)
  Net asset value, end of period
$
26.66
$
24.46
$
25.54
 Total Return E,F,G
  
10.78%
 
(2.64)%
 
29.94%
 Ratios to Average Net Assets C,H,I
  
 
 
 
 
 
    Expenses before reductions
 
.29%
 
.29%
 
.29% J
    Expenses net of fee waivers, if any
 
.29%
 
.29%
 
.29% J
    Expenses net of all reductions
 
.29%
 
.29%
 
.29% J
    Net investment income (loss)
 
1.66%
 
1.63%
 
1.56% D,J
 Supplemental Data
  
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
34,653
$
14,676
$
11,491
    Portfolio turnover rate K,L
  
45%
 
46%
 
30% M
 
AFor the period September 15, 2020 (commencement of operations) through July 31, 2021.
 
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 $.05 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been 1.33%.
 
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. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
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).
 
LPortfolio turnover rate excludes securities received or delivered in-kind.
 
MAmount not annualized.
 
Fidelity® Value Factor ETF
Performance: The Bottom Line
NAV and closing market price average annual returns reflect the change in the value of an investment, assuming reinvestment of distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) at NAV and Market Price, respectively, and assumes a constant rate of performance each year. The hypothetical investment and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
 
 
 
 
Periods ended July 31, 2023
 
Past 1
year
Past 5
years
Life of
Fund
Fidelity® Value Factor ETF - NAV A
12.33%
10.54%
12.67%
Fidelity® Value Factor ETF - Market Price B
12.37%
10.51%
12.75%
Fidelity U.S. Value Factor Index℠ A
12.64%
10.85%
13.00%
Russell 1000® Index A
12.95%
11.92%
13.38%
 
A   From September 12, 2016
 
B  From September 15, 2016, date initially listed on the NYSE ARCA exchange.
 $10,000 Over Life of Fund
 
Let's say hypothetically that $10,000 was invested in Fidelity® Value Factor ETF - NAV, on September 12, 2016, when the fund started.
 
The chart shows how the value of your investment would have changed, and also shows how the Fidelity U.S. Value Factor Index℠ and Russell 1000® Index performed over the same period.
 
Fidelity® Value Factor ETF
Management's Discussion of Fund Performance
Market Recap:
U.S. equities gained 13.02% for the 12 months ending July 31, 2023, according to the S&P 500® index, as continued global economic expansion, falling commodity prices and a slowing in the pace of inflation provided a favorable backdrop for higher-risk assets. Large-cap stocks spearheaded the rally, which was driven by the shares of a narrow set of mega-cap companies in the information technology and communication services sectors, largely due to exuberance related to generative artificial intelligence. Aggressive monetary tightening by the U.S. Federal Reserve continued amid consistent pressure on core inflation, a measure that excludes food and energy. Since March 2022, the Fed has hiked its benchmark interest rate 11 times. The latest bump came in late July, a fourth consecutive raise of a stepped down 25 basis points. The S&P 500® gained 3.21% in July, as a "soft landing" of the U.S. economy became the consensus view amid better-than-expected earnings, slowing inflation and easing financial conditions, bringing the index's year-to-date gain to 20.65%. July saw a continuance of the recent shift to wider market breadth and lower dispersion. For the full 12 months, value (+17%) handily topped growth (+8%) within the index. By sector, tech (+28%), communication services (+21%) and industrials (+17%) led, whereas real estate (-10%) lagged most, due to high borrowing costs, low home inventory and a deteriorating commercial property market.
 
Comments from the Geode Capital Management, LLC, passive equity index team:
For the fiscal year ending July 31, 2023, the exchange-traded fund's (ETF) net asset value returned 12.33%, and its market price returned 12.37%, versus the 12.64% advance for the Fidelity U.S. Value Factor Index TR and 12.95% return for the Russell 1000 Index. By sector, information technology gained about 15% and contributed most. Communication services stocks also helped (+27%), while industrials rose 23%, boosted by capital goods (+35%). In contrast, real estate returned about -7% and detracted most. This group was hampered by the equity real estate investment trusts (REITS) industry (-7%). Health care (0%) also hurt, hampered by the health care equipment & services industry (-6%). Turning to individual stocks, the top contributor was Apple (+22%), from the technology hardware & equipment category. Microsoft (+21%), from the software & services group, also boosted the fund. In media & entertainment, Meta Platforms (+100%) and Alphabet (+14%) helped. Conversely, the biggest individual detractor was Pfizer (-26%), from the pharmaceuticals, biotechnology & life sciences category. Also in pharmaceuticals, biotechnology & life sciences, Moderna (-28%) hurt. Intel (-21%), from the semiconductors & semiconductor equipment category, also hurt.
 
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization, or Geode Capital Management, LLC, (the ETF's subadviser) or any other person in the Geode organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity and Geode disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
 
 
 
Fidelity® Value Factor ETF
Investment Summary July 31, 2023 (Unaudited)
Top Holdings (% of Fund's net assets)
 
Apple, Inc.
8.0
  
Microsoft Corp.
6.9
  
Alphabet, Inc. Class A
4.0
  
Amazon.com, Inc.
3.4
  
Meta Platforms, Inc. Class A
2.3
  
Berkshire Hathaway, Inc. Class B
2.0
  
Broadcom, Inc.
2.0
  
UnitedHealth Group, Inc.
1.8
  
Visa, Inc. Class A
1.7
  
Johnson & Johnson
1.7
  
 
33.8
  
 
Market Sectors (% of Fund's net assets)
 
Information Technology
25.6
  
Financials
14.5
  
Health Care
12.2
  
Consumer Discretionary
11.1
  
Industrials
9.3
  
Communication Services
8.8
  
Consumer Staples
5.8
  
Energy
4.5
  
Real Estate
2.7
  
Materials
2.7
  
Utilities
2.5
  
 
Asset Allocation (% of Fund's net assets)
Futures - 0.3%
 
Fidelity® Value Factor ETF
Schedule of Investments July 31, 2023
Showing Percentage of Net Assets     
Common Stocks - 99.7%
 
 
Shares
Value ($)
 
COMMUNICATION SERVICES - 8.8%
 
 
 
Diversified Telecommunication Services - 0.4%
  
 
 
Liberty Global PLC Class A (a)
  
91,894
1,706,472
Interactive Media & Services - 6.3%
  
 
 
Alphabet, Inc. Class A (a)
  
159,560
21,176,803
Meta Platforms, Inc. Class A (a)
  
38,230
12,180,078
 
 
 
33,356,881
Media - 2.1%
  
 
 
Comcast Corp. Class A
 
100,151
4,532,834
Fox Corp. Class A
 
59,535
1,991,446
Nexstar Broadcasting Group, Inc. Class A
 
9,368
1,749,193
Paramount Global Class B (b)
  
81,421
1,305,179
TEGNA, Inc.
 
95,759
1,618,327
 
 
 
11,196,979
TOTAL COMMUNICATION SERVICES
  
 
46,260,332
CONSUMER DISCRETIONARY - 11.1%
 
 
 
Automobiles - 1.3%
  
 
 
Ford Motor Co.
 
249,342
3,293,808
General Motors Co.
 
86,760
3,328,981
 
 
 
6,622,789
Broadline Retail - 3.8%
  
 
 
Amazon.com, Inc. (a)
  
136,668
18,269,778
Macy's, Inc.
 
120,611
2,000,936
 
 
 
20,270,714
Diversified Consumer Services - 0.5%
  
 
 
H&R Block, Inc. (b)
  
75,141
2,525,489
Hotels, Restaurants & Leisure - 2.0%
  
 
 
Booking Holdings, Inc. (a)
  
1,647
4,892,908
McDonald's Corp.
 
20,053
5,879,540
 
 
 
10,772,448
Household Durables - 2.2%
  
 
 
Lennar Corp. Class A
 
29,815
3,781,436
Taylor Morrison Home Corp. (a)
  
78,082
3,780,730
Toll Brothers, Inc.
 
47,678
3,829,974
 
 
 
11,392,140
Specialty Retail - 1.3%
  
 
 
The Home Depot, Inc.
 
21,259
7,097,105
TOTAL CONSUMER DISCRETIONARY
  
 
58,680,685
CONSUMER STAPLES - 5.8%
 
 
 
Consumer Staples Distribution & Retail - 0.6%
  
 
 
Kroger Co.
 
65,190
3,170,842
Food Products - 1.7%
  
 
 
Archer Daniels Midland Co.
 
38,042
3,232,048
Bunge Ltd.
 
27,855
3,027,003
Tyson Foods, Inc. Class A
 
43,002
2,396,071
 
 
 
8,655,122
Household Products - 2.0%
  
 
 
Kimberly-Clark Corp.
 
23,929
3,089,234
Procter & Gamble Co.
 
47,759
7,464,732
 
 
 
10,553,966
Tobacco - 1.5%
  
 
 
Altria Group, Inc.
 
77,075
3,500,747
Philip Morris International, Inc.
 
44,217
4,409,319
 
 
 
7,910,066
TOTAL CONSUMER STAPLES
  
 
30,289,996
ENERGY - 4.5%
 
 
 
Oil, Gas & Consumable Fuels - 4.5%
  
 
 
Chevron Corp.
 
28,639
4,687,059
ConocoPhillips Co.
 
25,231
2,970,193
Coterra Energy, Inc.
 
53,116
1,462,815
EQT Corp.
 
38,178
1,610,348
Exxon Mobil Corp.
 
61,273
6,570,917
Marathon Oil Corp.
 
48,782
1,281,503
Marathon Petroleum Corp.
 
14,793
1,967,765
PBF Energy, Inc. Class A (b)
  
28,186
1,337,144
Valero Energy Corp.
 
12,870
1,659,072
 
 
 
23,546,816
FINANCIALS - 14.5%
 
 
 
Banks - 4.2%
  
 
 
Bank of America Corp.
 
158,332
5,066,624
Citigroup, Inc.
 
73,266
3,491,858
JPMorgan Chase & Co.
 
55,198
8,719,076
Wells Fargo & Co.
 
101,946
4,705,827
 
 
 
21,983,385
Capital Markets - 0.7%
  
 
 
Goldman Sachs Group, Inc.
 
11,165
3,973,289
Consumer Finance - 2.0%
  
 
 
Ally Financial, Inc.
 
76,397
2,333,164
Capital One Financial Corp.
 
25,779
3,016,659
Discover Financial Services
 
25,109
2,650,255
Synchrony Financial
 
73,322
2,532,542
 
 
 
10,532,620
Financial Services - 6.4%
  
 
 
Berkshire Hathaway, Inc. Class B (a)
  
30,797
10,839,312
Essent Group Ltd.
 
59,067
2,929,723
MGIC Investment Corp.
 
182,688
3,058,197
PayPal Holdings, Inc. (a)
  
60,151
4,560,649
The Western Union Co.
 
281,742
3,431,618
Visa, Inc. Class A
 
37,874
9,003,786
 
 
 
33,823,285
Insurance - 1.2%
  
 
 
American International Group, Inc.
 
52,644
3,173,380
Unum Group
 
64,809
3,150,365
 
 
 
6,323,745
TOTAL FINANCIALS
  
 
76,636,324
HEALTH CARE - 12.2%
 
 
 
Biotechnology - 1.8%
  
 
 
AbbVie, Inc.
 
45,644
6,827,430
Moderna, Inc. (a)
  
23,414
2,754,891
 
 
 
9,582,321
Health Care Providers & Services - 4.9%
  
 
 
Centene Corp. (a)
  
53,929
3,672,026
CVS Health Corp.
 
55,910
4,175,918
Elevance Health, Inc.
 
10,067
4,747,899
Humana, Inc.
 
8,526
3,894,933
UnitedHealth Group, Inc.
 
18,936
9,588,622
 
 
 
26,079,398
Pharmaceuticals - 5.5%
  
 
 
Bristol-Myers Squibb Co.
 
73,368
4,562,756
Johnson & Johnson
 
53,322
8,933,035
Merck & Co., Inc.
 
64,649
6,894,816
Pfizer, Inc.
 
147,049
5,302,587
Viatris, Inc.
 
293,988
3,095,694
 
 
 
28,788,888
TOTAL HEALTH CARE
  
 
64,450,607
INDUSTRIALS - 9.3%
 
 
 
Aerospace & Defense - 0.7%
  
 
 
Lockheed Martin Corp.
 
7,950
3,548,642
Air Freight & Logistics - 0.7%
  
 
 
United Parcel Service, Inc. Class B
 
21,166
3,960,794
Building Products - 1.9%
  
 
 
Builders FirstSource, Inc. (a)
  
29,120
4,205,802
Owens Corning
 
23,486
3,287,805
UFP Industries, Inc.
 
24,129
2,479,496
 
 
 
9,973,103
Electrical Equipment - 0.5%
  
 
 
Atkore, Inc. (a)
  
16,802
2,665,973
Industrial Conglomerates - 0.5%
  
 
 
3M Co.
 
26,032
2,902,568
Machinery - 2.7%
  
 
 
Caterpillar, Inc.
 
15,906
4,217,794
Deere & Co.
 
9,093
3,906,353
Mueller Industries, Inc.
 
33,576
2,721,671
PACCAR, Inc.
 
37,422
3,223,157
 
 
 
14,068,975
Passenger Airlines - 0.5%
  
 
 
United Airlines Holdings, Inc. (a)
  
48,023
2,608,129
Professional Services - 0.8%
  
 
 
Manpower, Inc.
 
25,888
2,042,045
Robert Half, Inc.
 
27,260
2,021,329
 
 
 
4,063,374
Trading Companies & Distributors - 1.0%
  
 
 
Triton International Ltd.
 
32,395
2,731,222
United Rentals, Inc.
 
5,904
2,743,471
 
 
 
5,474,693
TOTAL INDUSTRIALS
  
 
49,266,251
INFORMATION TECHNOLOGY - 25.6%
 
 
 
Communications Equipment - 1.3%
  
 
 
Cisco Systems, Inc.
 
132,346
6,887,286
IT Services - 2.8%
  
 
 
Accenture PLC Class A
 
21,458
6,788,238
Cognizant Technology Solutions Corp. Class A
 
62,874
4,151,570
DXC Technology Co. (a)
  
137,637
3,805,663
 
 
 
14,745,471
Semiconductors & Semiconductor Equipment - 4.9%
  
 
 
Broadcom, Inc.
 
11,661
10,479,158
Micron Technology, Inc.
 
76,755
5,479,539
Qualcomm, Inc.
 
43,410
5,737,500
Skyworks Solutions, Inc.
 
37,178
4,252,048
 
 
 
25,948,245
Software - 6.9%
  
 
 
Microsoft Corp.
 
108,575
36,472,514
Technology Hardware, Storage & Peripherals - 9.7%
  
 
 
Apple, Inc.
 
214,011
42,042,456
Hewlett Packard Enterprise Co.
 
259,118
4,503,471
HP, Inc.
 
140,601
4,615,931
 
 
 
51,161,858
TOTAL INFORMATION TECHNOLOGY
  
 
135,215,374
MATERIALS - 2.7%
 
 
 
Chemicals - 1.6%
  
 
 
CF Industries Holdings, Inc.
 
12,357
1,014,263
Dow, Inc.
 
22,867
1,291,299
Linde PLC
 
8,735
3,412,502
LyondellBasell Industries NV Class A
 
11,919
1,178,312
Olin Corp.
 
14,945
862,028
The Mosaic Co.
 
20,822
848,705
 
 
 
8,607,109
Metals & Mining - 1.1%
  
 
 
Cleveland-Cliffs, Inc. (a)
  
45,379
800,939
Freeport-McMoRan, Inc.
 
37,184
1,660,266
Nucor Corp.
 
7,980
1,373,278
Steel Dynamics, Inc.
 
8,779
935,666
United States Steel Corp. (b)
  
31,735
809,243
 
 
 
5,579,392
TOTAL MATERIALS
  
 
14,186,501
REAL ESTATE - 2.7%
 
 
 
Equity Real Estate Investment Trusts (REITs) - 2.3%
  
 
 
Boston Properties, Inc.
 
14,454
963,070
Host Hotels & Resorts, Inc.
 
60,596
1,114,966
Kilroy Realty Corp.
 
24,680
881,076
Medical Properties Trust, Inc. (b)
  
84,462
852,222
Potlatch Corp.
 
20,937
1,122,851
Prologis (REIT), Inc.
 
18,958
2,365,011
Simon Property Group, Inc.
 
11,634
1,449,596
VICI Properties, Inc.
 
40,817
1,284,919
Vornado Realty Trust
 
39,724
892,996
Weyerhaeuser Co.
 
37,030
1,261,242
 
 
 
12,187,949
Real Estate Management & Development - 0.4%
  
 
 
CBRE Group, Inc. (a)
  
15,175
1,264,229
Jones Lang LaSalle, Inc. (a)
  
5,958
992,305
 
 
 
2,256,534
TOTAL REAL ESTATE
  
 
14,444,483
UTILITIES - 2.5%
 
 
 
Electric Utilities - 1.5%
  
 
 
American Electric Power Co., Inc.
 
18,614
1,577,350
NRG Energy, Inc.
 
35,817
1,360,688
PG&E Corp. (a)
  
93,829
1,652,329
PPL Corp.
 
48,395
1,332,314
Southern Co.
 
30,425
2,200,945
 
 
 
8,123,626
Gas Utilities - 0.2%
  
 
 
National Fuel Gas Co.
 
20,997
1,115,151
Independent Power and Renewable Electricity Producers - 0.2%
  
 
 
Clearway Energy, Inc. Class C
 
34,859
920,626
Multi-Utilities - 0.6%
  
 
 
Consolidated Edison, Inc.
 
16,542
1,569,174
Sempra Energy
 
11,083
1,651,589
 
 
 
3,220,763
TOTAL UTILITIES
  
 
13,380,166
 
TOTAL COMMON STOCKS
 (Cost $493,386,419)
  
 
 
526,357,535
 
 
 
 
Money Market Funds - 1.0%
 
 
Shares
Value ($)
 
Fidelity Cash Central Fund 5.32% (c)
  
1,107,609
1,107,830
Fidelity Securities Lending Cash Central Fund 5.32% (c)(d)
  
4,344,241
4,344,675
 
TOTAL MONEY MARKET FUNDS
 (Cost $5,452,505)
  
 
5,452,505
 
 
 
 
 
TOTAL INVESTMENT IN SECURITIES - 100.7%
 (Cost $498,838,924)
 
  
 
531,810,040
NET OTHER ASSETS (LIABILITIES) - (0.7)%  
(3,949,718)
NET ASSETS - 100.0%
527,860,322
 
 
 
Futures Contracts 
 
Number
of contracts
Expiration
Date
Notional
Amount ($)
 
Value ($)
 
Unrealized
Appreciation/
(Depreciation) ($)
 
Purchased
  
 
 
 
 
 
 
 
 
 
 
Equity Index Contracts
  
 
 
 
 
CME Micro E-mini S&P 500 Index Contracts (United States)
60
Sep 2023
1,384,350
70,127
70,127
 
 
 
 
 
 
The notional amount of futures purchased as a percentage of Net Assets is 0.3%
 
 
 
Legend
 
(a)
Non-income producing
 
(b)
Security or a portion of the security is on loan at period end.
 
(c)
Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
 
(d)
Investment made with cash collateral received from securities on loan.
 
 
 
 
Affiliated Central Funds
 
Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.
 
 
Affiliate
Value,
beginning
of period ($)
Purchases ($)
Sales
Proceeds ($)
Dividend
Income ($)
Realized
Gain (loss) ($)
Change in
Unrealized
appreciation
(depreciation) ($)
Value,
end
of period ($)
% ownership,
end
of period
Fidelity Cash Central Fund 5.32%
474,486
17,425,544
16,792,200
30,216
-
-
1,107,830
0.0%
Fidelity Securities Lending Cash Central Fund 5.32%
834,375
53,345,301
49,835,001
9,446
-
-
4,344,675
0.0%
Total
1,308,861
70,770,845
66,627,201
39,662
-
-
5,452,505
  
 
 
 
 
 
 
 
 
 
Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line item in the Statement of Operations, if applicable.
 
Amounts in the dividend income column for Fidelity Securities Lending Cash Central Fund represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities.
 
Amounts included in the purchases and sales proceeds columns may include in-kind transactions, if applicable.
 
Investment Valuation
 
The following is a summary of the inputs used, as of July 31, 2023, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
 
Valuation Inputs at Reporting Date:
Description
Total ($)
Level 1 ($)
Level 2 ($)
Level 3 ($)
 Investments in Securities:
  
 
 
 
 Equities:
  
 
 
 
Communication Services
46,260,332
46,260,332
-
-
Consumer Discretionary
58,680,685
58,680,685
-
-
Consumer Staples
30,289,996
30,289,996
-
-
Energy
23,546,816
23,546,816
-
-
Financials
76,636,324
76,636,324
-
-
Health Care
64,450,607
64,450,607
-
-
Industrials
49,266,251
49,266,251
-
-
Information Technology
135,215,374
135,215,374
-
-
Materials
14,186,501
14,186,501
-
-
Real Estate
14,444,483
14,444,483
-
-
Utilities
13,380,166
13,380,166
-
-
  Money Market Funds
5,452,505
5,452,505
-
-
 Total Investments in Securities:
531,810,040
531,810,040
-
-
 Derivative Instruments:
  
 
 
 
 Assets
  
 
 
 
Futures Contracts
70,127
70,127
-
-
  Total Assets
70,127
70,127
-
-
 Total Derivative Instruments:
70,127
70,127
-
-
 
Value of Derivative Instruments
 
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of July 31, 2023. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
 
Primary Risk Exposure / Derivative Type                                                                                                                                                                                   
 
Value
Asset ($)
Liability ($)
Equity Risk
  
 
Futures Contracts (a) 
70,127
0
Total Equity Risk
70,127
0
Total Value of Derivatives
70,127
0
 
(a)Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in Total accumulated earnings (loss).
 
 
 
Fidelity® Value Factor ETF
Financial Statements
Statement of Assets and Liabilities
 
 
 
July 31, 2023
 
 
 
 
 
Assets
 
 
 
 
Investment in securities, at value  (including  securities loaned of $4,311,890) - See accompanying schedule:
  
 
 
 
Unaffiliated issuers (cost $493,386,419)
$
526,357,535
  
 
Fidelity Central Funds (cost $5,452,505)
5,452,505
  
 
 
 
 
 
 
 
 
 
 
 
Total Investment in Securities (cost $498,838,924)
  
 
$
531,810,040
Segregated cash with brokers for derivative instruments
  
 
67,200
Dividends receivable
  
 
440,344
Distributions receivable from Fidelity Central Funds
  
 
4,474
Receivable for daily variation margin on futures contracts
  
 
2,390
Other receivables
  
 
4,295
  Total assets
  
 
532,328,743
Liabilities
  
 
 
 
Accrued management fee
$
123,746
  
 
Collateral on securities loaned
4,344,675
  
 
  Total Liabilities
  
 
 
4,468,421
Net Assets  
  
 
$
527,860,322
Net Assets consist of:
  
 
 
 
Paid in capital
  
 
$
540,357,082
Total accumulated earnings (loss)
  
 
 
(12,496,760)
Net Assets
  
 
$
527,860,322
Net Asset Value, offering price and redemption price per share ($527,860,322 ÷ 10,350,000 shares)
  
 
$
51.00
 
Statement of Operations
 
 
 
Year ended
July 31, 2023
Investment Income
  
 
 
 
Dividends
 
 
$
10,192,682
Income from Fidelity Central Funds (including $9,446 from security lending)
 
 
39,662
 Total Income
  
 
 
10,232,344
Expenses
  
 
 
 
Management fee
$
1,348,237
  
 
Independent trustees' fees and expenses
2,392
  
 
 Total expenses before reductions
  
1,350,629
  
 
 Expense reductions
  
(345)
  
 
 Total expenses after reductions
  
 
 
1,350,284
Net Investment income (loss)
  
 
 
8,882,060
Realized and Unrealized Gain (Loss)
  
 
 
 
Net realized gain (loss) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers  
  
(8,595,970)
  
 
   Redemptions in-kind
  
15,085,153
  
 
 Futures contracts
  
56,793
  
 
Total net realized gain (loss)
  
 
 
6,545,976
Change in net unrealized appreciation (depreciation) on:
  
 
 
 
 Investment Securities:
  
 
 
 
   Unaffiliated issuers
  
38,183,141
  
 
 Futures contracts
  
11,052
  
 
Total change in net unrealized appreciation (depreciation)
  
 
 
38,194,193
Net gain (loss)
  
 
 
44,740,169
Net increase (decrease) in net assets resulting from operations
  
 
$
53,622,229
Statement of Changes in Net Assets
 
 
Year ended
July 31, 2023
  
Year ended
July 31, 2022
Increase (Decrease) in Net Assets
  
 
 
 
Operations
  
 
 
Net investment income (loss)
$
8,882,060
$
7,743,147
Net realized gain (loss)
  
6,545,976
 
 
55,705,980
 
Change in net unrealized appreciation (depreciation)
  
38,194,193
  
(90,000,723)
 
Net increase (decrease) in net assets resulting from operations
  
53,622,229
 
 
(26,551,596)
 
Distributions to shareholders
  
(8,641,250)
 
 
(7,920,650)
 
 
 
 
 
 
Share transactions
  
 
 
 
Proceeds from sales of shares
  
80,746,346
  
409,246,223
Cost of shares redeemed
  
(97,539,980)
  
(325,370,322)
 
 
 
 
 
  Net increase (decrease) in net assets resulting from share transactions
  
(16,793,634)
 
 
83,875,901
 
Total increase (decrease) in net assets
  
28,187,345
 
 
49,403,655
 
 
 
 
 
 
Net Assets
  
 
 
 
Beginning of period
  
499,672,977
  
450,269,322
 
End of period
$
527,860,322
$
499,672,977
 
 
 
 
 
Other Information
  
 
 
 
Shares
  
 
 
 
Sold
  
1,750,000
  
8,250,000
Redeemed
  
(2,200,000)
  
(6,650,000)
Net increase (decrease)
  
(450,000)
  
1,600,000
 
 
 
 
 
 
Fidelity® Value Factor ETF
 
Years ended July 31,
  
2023  
  
2022 
  
2021  
  
2020 
  
2019 
  Selected Per-Share Data 
  
 
 
 
 
 
 
 
 
 
  Net asset value, beginning of period
$
46.27
$
48.94
$
34.85
$
34.53
$
33.90
  Income from Investment Operations
 
 
 
 
 
 
 
 
 
 
     Net investment income (loss) A,B
  
.87
 
.79
 
.64
 
.73
 
.70
     Net realized and unrealized gain (loss)
 
4.70
 
(2.65)
 
14.07
 
.28
 
.59
  Total from investment operations
 
5.57  
  
(1.86)  
  
14.71  
  
1.01  
  
1.29
  Distributions from net investment income
 
(.84)
 
(.81)
 
(.62)
 
(.69)
 
(.66)
     Total distributions
 
(.84)
 
(.81)
 
(.62)
 
(.69)
 
(.66)
  Net asset value, end of period
$
51.00
$
46.27
$
48.94
$
34.85
$
34.53
 Total Return C,D
  
12.33%
 
(3.86)%
 
42.56%
 
3.12%
 
3.95%
 Ratios to Average Net Assets B,E,F
  
 
 
 
 
 
 
 
 
 
    Expenses before reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of fee waivers, if any
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Expenses net of all reductions
 
.29%
 
.29%
 
.29%
 
.29%
 
.29%
    Net investment income (loss)
 
1.91%
 
1.61%
 
1.50%
 
2.13%
 
2.09%
 Supplemental Data
  
 
 
 
 
 
 
 
 
 
    Net assets, end of period (000 omitted)
$
527,860
$
499,673
$
450,269
$
189,916
$
136,403
    Portfolio turnover rate G,H
  
43%
 
46%
 
42%
 
45%
 
31%
 
ACalculated based on average shares outstanding during the period.
 
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.
 
CTotal returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
 
DBased on net asset value.
 
EFees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report.
 
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.
 
GAmount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs).
 
HPortfolio turnover rate excludes securities received or delivered in-kind.
 
Notes to Financial Statements
For the period ended July 31, 2023
 
1. Organization.
Fidelity Dividend ETF for Rising Rates, Fidelity High Dividend ETF, Fidelity Low Volatility Factor ETF, Fidelity Momentum Factor ETF, Fidelity Quality Factor ETF, Fidelity Small-Mid Multifactor ETF, Fidelity Stocks for Inflation ETF, Fidelity U.S. Multifactor ETF and Fidelity Value Factor ETF (the Funds) are exchange-traded funds of Fidelity Covington Trust (the Trust) and are authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Investments in Fidelity Central Funds.
Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
 
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.
 
Fidelity Central Fund
Investment Manager
Investment Objective
Investment Practices
Expense RatioA
Fidelity Money Market Central Funds
Fidelity Management & Research Company LLC (FMR)
Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity.
Short-term Investments
Less than .005%
 
A Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
 
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, and are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.
3. Significant Accounting Policies.
Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services - Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund's Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:
 
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has designated each Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, each Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages each Fund's fair valuation practices and maintains the fair valuation policies and procedures. Each Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters. 
 
Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
 
Level 1 - unadjusted quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
 
Valuation techniques used to value each Fund's investments by major category are as follows:
 
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, ETFs and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
 
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
 
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of July 31, 2023 is included at the end of each Fund's Schedule of Investments.
 
Foreign Currency. Certain Funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
 
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received, and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
 
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
 
Investment Transactions and Income. For financial reporting purposes, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business (normally 4:00 p.m. Eastern time) of the Cboe BZX Exchange, Inc. (CboeBZX) for Fidelity Stocks for Inflation ETF, and of the New York Stock Exchange, Archipelago Exchange (NYSE Arca) for all other funds and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Funds represent a return of capital or capital gain. The Funds determine the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any withholding tax reclaims income is included in the Statement of Operations in dividends. Any receivables for withholding tax reclaims are included in the Statement of Assets and Liabilities in dividends receivable.
 
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund's expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
 
Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of July 31, 2023, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Realized gain or loss resulting from in-kind redemptions is not taxable to the Fund and is not distributed to shareholders of the Fund. Foreign taxes are provided for based on each Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
 
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
 
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
 
Book-tax differences are primarily due to futures transactions, redemptions in-kind, partnerships, passive foreign investment companies (PFIC), foreign currency transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
 
 
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:
 
 
 
Tax cost
Gross unrealized appreciation
Gross unrealized depreciation
Net unrealized appreciation (depreciation)
Fidelity Dividend ETF for Rising Rates
$511,622,296
$83,253,954
$(40,264,354)
$42,989,600
Fidelity High Dividend ETF
1,581,136,115
199,600,269
(75,417,576)
124,182,693
Fidelity Low Volatility Factor ETF
508,386,061
69,411,769
(21,241,559)
48,170,210
Fidelity Momentum Factor ETF
133,367,074
21,935,475
(1,866,724)
20,068,751
Fidelity Quality Factor ETF
298,797,321
41,107,199
(13,186,893)
27,920,306
Fidelity Small-Mid Multifactor ETF
120,972,842
15,179,121
(6,989,276)
8,189,845
Fidelity Stocks for Inflation ETF
141,922,428
13,209,662
 (7,868,168)
5,341,494
Fidelity U.S. Multifactor ETF
31,689,760
3,850,175
(921,678)
2,928,497
Fidelity Value Factor ETF
499,298,970
62,204,784
 (29,693,714)
32,511,070
 
The tax-based components of distributable earnings as of period end were as follows for each Fund:
 
 
Undistributed ordinary income
Capital loss carryforward
Net unrealized appreciation (depreciation) on securities and other investments
Fidelity Dividend ETF for Rising Rates
$413,605
$ (59,736,344)
$43,019,251
Fidelity High Dividend ETF
-
 (71,499,125)
124,201,629
Fidelity Low Volatility Factor ETF
211,898
 (39,960,681)
48,170,210
Fidelity Momentum Factor ETF
-
 (32,540,088)
20,068,751
Fidelity Quality Factor ETF
142,798
 (23,721,169)
27,920,306
Fidelity Small-Mid Multifactor ETF
-
 (8,320,224)
8,189,822
Fidelity Stocks for Inflation ETF
-
 (20,814,268)
5,341,494
Fidelity U.S. Multifactor ETF
5,980
 (1,083,499)
2,928,497
Fidelity Value Factor ETF
381,146
 (45,388,976)
32,511,070
 
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
 
 
Short-term
Long-term
Total capital loss carryforward
Fidelity Dividend ETF for Rising Rates
$ (27,351,906)
$ (32,384,438)
$  (59,736,344)
Fidelity High Dividend ETF
 (37,157,065)
 (34,342,060)
(71,499,125)
Fidelity Low Volatility Factor ETF
 (25,713,255)
 (14,247,426)
 (39,960,681)
Fidelity Momentum Factor ETF
 (32,199,777)
 (340,311)
(32,540,088)
Fidelity Quality Factor ETF
 (17,277,163)
 (6,444,006)
(23,721,169)
Fidelity Small-Mid Multifactor ETF
 (6,770,927)
 (1,549,297)
(8,320,224)
Fidelity Stocks for Inflation ETF
 (17,304,578)
 (3,509,690)
(20,814,268)
Fidelity U.S. Multifactor ETF
 (688,778)
 (394,721)
(1,083,499)
Fidelity Value Factor ETF
 (28,724,493)
 (16,664,483)
(45,388,976)
 
Certain of the Funds intend to elect to defer to the next fiscal year ordinary losses recognized during the period January 1, 2023 to July 31, 2023. Loss deferrals were as follows:
 
 
Ordinary Losses
Fidelity High Dividend ETF
$(246,109)
Fidelity Small-Mid Multifactor ETF
 (2,680)
 
The tax character of distributions paid was as follows:
 
July 31, 2023
 
 
 
Ordinary Income
Total
Fidelity Dividend ETF for Rising Rates
$16,860,450
$16,860,450
Fidelity High Dividend ETF
 52,210,250
 52,210,250
Fidelity Low Volatility Factor ETF
 7,460,700
 7,460,700
Fidelity Momentum Factor ETF
 1,506,200
 1,506,200
Fidelity Quality Factor ETF
 4,025,350
 4,025,350
Fidelity Small-Mid Multifactor ETF
 1,518,700
 1,518,700
Fidelity Stocks for Inflation ETF
 4,166,950
 4,166,950
Fidelity U.S. Multifactor ETF
 365,300
 365,300
Fidelity Value Factor ETF
 8,641,250
 8,641,250
 
July 31, 2022
 
 
 
Ordinary Income
Total
Fidelity Dividend ETF for Rising Rates
$14,425,400
$14,425,400
Fidelity High Dividend ETF
36,931,550
36,931,550
Fidelity Low Volatility Factor ETF
5,937,600
5,937,600
Fidelity Momentum Factor ETF
999,550
999,550
Fidelity Quality Factor ETF
3,437,350
3,437,350
Fidelity Small-Mid Multifactor ETF
905,700
905,700
Fidelity Stocks for Inflation ETF
2,544,600
2,544,600
Fidelity U.S. Multifactor ETF
235,000
235,000
Fidelity Value Factor ETF
7,920,650
7,920,650
 
 
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. Each Fund's investment objectives allow for various types of derivative instruments, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
 
Derivatives were used to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the objectives may not be achieved.
 
Derivatives were used to increase or decrease exposure to the following risk(s):
 
Equity Risk
Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
 
 
Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that a fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to a fund. Counterparty credit risk related to exchange-traded contracts may be mitigated by the protection provided by the exchange on which they trade.
 
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
 
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. Futures contracts were used to manage exposure to the stock market.
 
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
 
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end, and is representative of volume of activity during the period unless an average notional amount is presented. Any securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Any cash deposited to meet initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statement of Assets and Liabilities.
 
 
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind transactions, as applicable, are noted in the table below.
 
 
Purchases ($)
Sales ($)
Fidelity Dividend ETF for Rising Rates
157,511,726
156,794,417
Fidelity High Dividend ETF
714,860,771
697,745,447
Fidelity Low Volatility Factor ETF
219,768,654
215,115,659
Fidelity Momentum Factor ETF
166,768,778
163,954,809
Fidelity Quality Factor ETF
117,016,021
116,592,522
Fidelity Small-Mid Multifactor ETF
60,617,478
58,257,340
Fidelity Stocks for Inflation ETF
216,692,483
217,621,838
Fidelity U.S. Multifactor ETF
9,841,972
9,638,776
Fidelity Value Factor ETF
196,017,174
196,331,203
 
Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.
 
 
In-Kind Subscriptions ($)
In-Kind Redemptions ($)
Fidelity Dividend ETF for Rising Rates
111,394,937
198,524,166
Fidelity High Dividend ETF
594,423,423
313,396,955
Fidelity Low Volatility Factor ETF
125,436,747
54,746,046
Fidelity Momentum Factor ETF
51,577,311
26,175,464
Fidelity Quality Factor ETF
67,441,105
34,661,785
Fidelity Small-Mid Multifactor ETF
47,921,611
2,909,849
Fidelity Stocks for Inflation ETF
7,832,300
127,119,676
Fidelity U.S. Multifactor ETF
20,645,052
3,611,585
Fidelity Value Factor ETF
80,271,251
96,954,227
 
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company LLC (the investment adviser) provides the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of each Fund's average net assets as noted in the table below. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses. For each Fund, with the exception of Fidelity Small-Mid Multifactor ETF, Fidelity Stocks for Inflation ETF and Fidelity U.S. Multifactor ETF, the management fee paid to the investment adviser is reduced by an amount equal to the fees and expenses paid by each fund to the independent Trustees.
 
Fee Rate
Fidelity Dividend ETF for Rising Rates
.29%
Fidelity High Dividend ETF
.29%
Fidelity Low Volatility Factor ETF
.29%
Fidelity Momentum Factor ETF
.29%
Fidelity Quality Factor ETF
.29%
Fidelity Small-Mid Multifactor ETF
.29%
Fidelity Stocks for Inflation ETF
.29%
Fidelity U.S. Multifactor ETF
.29%
Fidelity Value Factor ETF
.29%
 
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Fund. Geode provides discretionary investment advisory services to the Fund and is paid by the investment adviser for providing these services.
 
Interfund Lending Program. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), each Fund, along with other registered investment companies having management contracts with Fidelity Management & Research Company LLC (FMR), or other affiliated entities of FMR, may participate in an interfund lending program. This program provides an alternative credit facility allowing each Fund to borrow from, or lend money to, other participating affiliated funds. At period end, there were no interfund loans outstanding. Activity in this program during the period for which loans were outstanding was as follows:
 
 
Borrower or Lender
Average Loan Balance
Weighted Average Interest Rate
Interest Expense
Fidelity Dividend ETF for Rising Rates
 Borrower
$9,374,000
4.82%
$1,254
Fidelity High Dividend ETF
 Borrower
$50,779,000
4.82%
$6,792
 
Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period, there were no interfund trades.
 
7. Security Lending.
Funds lend portfolio securities from time to time in order to earn additional income. Lending agents are used, including National Financial Services (NFS), an affiliate of the investment adviser. Pursuant to a securities lending agreement, NFS will receive a fee, which is capped at 9.9% of a fund's daily lending revenue, for its services as lending agent. A fund may lend securities to certain qualified borrowers, including NFS. On the settlement date of the loan, a fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of a fund and any additional required collateral is delivered to a fund on the next business day. A fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund may apply collateral received from the borrower against the obligation. A fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. Any loaned securities are identified as such in the Schedule of Investments, and the value of loaned securities and cash collateral at period end, as applicable, are presented in the Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Affiliated security lending activity, if any, was as follows:
 
 
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 Dividend ETF for Rising Rates
$19,765
$-
$-
Fidelity High Dividend ETF
$26,955
$2
$-
Fidelity Low Volatility Factor ETF
$807
$-
$-
Fidelity Momentum Factor ETF
$138
$-
$-
Fidelity Quality Factor ETF
$3,977
$-
$-
Fidelity Small-Mid Multifactor ETF
$1,918
$31
$-
Fidelity Value Factor ETF
$958
$-
$-
 
8. Expense Reductions.
Through arrangements with each applicable Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund's expenses. All of the applicable expense reductions are noted in the table below.
 
 
Custodian credits
Fidelity Dividend ETF for Rising Rates 
$183
Fidelity High Dividend ETF
 328
Fidelity Low Volatility Factor ETF
 270
Fidelity Momentum Factor ETF
 609
Fidelity Quality Factor ETF
 294
Fidelity Small-Mid Multifactor ETF
 405
Fidelity Stocks for Inflation ETF
 328
Fidelity U.S. Multifactor ETF
 172
Fidelity Value Factor ETF
 345
 
9. Share Transactions.
Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities to a fund and redemption proceeds are paid with a basket of securities from a fund's portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund's shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.
10. Other.
A fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.
11. Risk and Uncertainties.
Many factors affect a fund's performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund's investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund's level of investment in the securities of that issuer. Significant concentrations in security types, issuers, industries, sectors, and geographic locations may magnify the factors that affect a fund's performance.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Covington Trust and Shareholders of Fidelity Dividend ETF for Rising Rates, Fidelity High Dividend ETF, Fidelity Low Volatility Factor ETF, Fidelity Momentum Factor ETF, Fidelity Quality Factor ETF, Fidelity Small-Mid Multifactor ETF, Fidelity U.S. Multifactor ETF, and Fidelity Value Factor ETF
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Fidelity Dividend ETF for Rising Rates, Fidelity High Dividend ETF, Fidelity Low Volatility Factor ETF, Fidelity Momentum Factor ETF, Fidelity Quality Factor ETF, Fidelity Small-Mid Multifactor ETF, Fidelity U.S. Multifactor ETF, and Fidelity Value Factor ETF (eight of the funds constituting Fidelity Covington Trust, hereafter collectively referred to as the "Funds") as of July 31, 2023, the related statements of operations for the year ended July 31, 2023, the statements of changes in net assets for each of the two years in the period ended July 31, 2023, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of July 31, 2023, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended July 31, 2023 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Funds' financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of July 31, 2023 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
September 15, 2023
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Covington Trust and Shareholders of Fidelity Stocks for Inflation ETF:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statement of assets and liabilities of Fidelity Stocks for Inflation ETF (the "Fund"), a fund of Fidelity Covington Trust, including the schedule of investments, as of July 31, 2023, the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the three years in the period then ended and for the period from November 5, 2019 (commencement of operations) through July 31, 2020, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund as of July 31, 2023, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended and for the period from November 5, 2019 (commencement of operations) through July 31, 2020, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of July 31, 2023, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
September 15, 2023
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Trustees and Officers
TRUSTEES AND OFFICERS
The Trustees, Members of the Advisory Board (if any), and officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, oversee management of the risks associated with such activities and contractual arrangements, and review each fund's performance. Except for Vijay Advani, each of the Trustees oversees 321 funds. Mr. Advani oversees 215 funds.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and the funds is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The funds' Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-FIDELITY.
Experience, Skills, Attributes, and Qualifications of the Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing each fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the funds, is provided below.
Board Structure and Oversight Function. Robert A. Lawrence is an interested person and currently serves as Chair. The Trustees have determined that an interested Chair is appropriate and benefits shareholders because an interested Chair has a personal and professional stake in the quality and continuity of services provided to the funds. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chair, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chair and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. David M. Thomas serves as Lead Independent Trustee and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity® funds are overseen by different Boards of Trustees. The funds' Board oversees Fidelity's high income and certain equity funds, and other Boards oversee Fidelity's alternative investment, investment-grade bond, money market, asset allocation, and other equity funds. The asset allocation funds may invest in Fidelity® funds overseen by the funds' Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity® funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, each fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the funds' activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the funds' business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the funds are carried out by or through FMR, its affiliates, and other service providers, the funds' exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the funds' activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. Appropriate personnel, including but not limited to the funds' Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the funds' Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."
Interested Trustees*:
Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Bettina Doulton (1964)
Year of Election or Appointment: 2020
Trustee
Ms. Doulton also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Doulton served in a variety of positions at Fidelity Investments, including as a managing director of research (2006-2007), portfolio manager to certain Fidelity® funds (1993-2005), equity analyst and portfolio assistant (1990-1993), and research assistant (1987-1990). Ms. Doulton currently owns and operates Phi Builders + Architects and Cellardoor Winery. Previously, Ms. Doulton served as a member of the Board of Brown Capital Management, LLC (2014-2018).
Robert A. Lawrence (1952)
Year of Election or Appointment: 2020
Trustee
Chair of the Board of Trustees
Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Trustee and Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).
* Determined to be an "Interested Trustee" by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
Independent Trustees:
Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+
Vijay C. Advani (1960)
Year of Election or Appointment: 2023
Trustee
Mr. Advani also serves as Trustee or Member of the Advisory Board of other funds. Previously, Mr. Advani served as Executive Chairman (2020-2022), Chief Executive Officer (2017-2020) and Chief Operating Officer (2016-2017) of Nuveen (global investment manager). He also served in various capacities at Franklin Resources (global investment manager), including Co-President (2015-2016), Executive Vice President, Global Advisory Services (2008-2015), Head of Global Retail Distribution (2005-2008), Executive Managing Director, International Retail Development (2002-2005), Managing Director, Product Developments, Sales & Marketing, Asia, Eastern Europe and Africa (2000-2002) and President, Templeton Asset Management India (1995-2000). Mr. Advani also served as Senior Investment Officer of International Finance Corporation (private equity and venture capital arm of The World Bank, 1984-1995). Mr. Advani is Chairman Emeritus of the U.S. India Business Council (2018-present), a Director of The Global Impact Investing Network (2019-present), a Director of LOK Capital (Mauritius) (2022-present), a member of the Advisory Council of LOK Capital (2022-present), a Senior Advisor of Neuberger Berman (2021-present), a Senior Advisor of Seviora Holdings Pte. Ltd (Temasek-Singapore) (2021-present), a Director of Seviora Capital (Singapore) (2021-present) and an Advisor of EQUIAM (2021-present). Mr. Advani formerly served as a member of the Board of BowX Acquisition Corp. (special purpose acquisition company, 2020-2021), a member of the Board of Intellecap (advisory arm of The Aavishkaar Group, 2018-2020), a member of the Board of Nuveen Investments, Inc. (2017-2020) and a member of the Board of Docusign (software, 2016-2019).
Thomas P. Bostick (1956)
Year of Election or Appointment: 2021
Trustee
Lieutenant General Bostick also serves as Trustee of other Fidelity® funds. Prior to his retirement, General Bostick (United States Army, Retired) held a variety of positions within the U.S. Army, including Commanding General and Chief of Engineers, U.S. Army Corps of Engineers (2012-2016) and Deputy Chief of Staff and Director of Human Resources, U.S. Army (2009-2012). General Bostick currently serves as a member of the Board and Finance and Governance & Sustainability Committees of CSX Corporation (transportation, 2020-present) and a member of the Board and Corporate Governance and Nominating Committee of Perma-Fix Environmental Services, Inc. (nuclear waste management, 2020-present). General Bostick serves as Chief Executive Officer of Bostick Global Strategies, LLC (consulting, 2016-present), as a member of the Board of HireVue, Inc. (video interview and assessment, 2020-present), as a member of the Board of Allonnia (biotechnology and engineering solutions, 2022-present) and on the Advisory Board of Solugen, Inc. (specialty bio-based chemicals manufacturer, 2022-present). Previously, General Bostick served as a Member of the Advisory Board of certain Fidelity® funds (2021), President, Intrexon Bioengineering (2018-2020) and Chief Operating Officer (2017-2020) and Senior Vice President of the Environment Sector (2016-2017) of Intrexon Corporation (biopharmaceutical company).     
Dennis J. Dirks (1948)
Year of Election or Appointment: 2018
Trustee
Mr. Dirks also serves as Trustee of other Fidelity® funds. Prior to his retirement in May 2003, Mr. Dirks served as Chief Operating Officer and as a member of the Board of The Depository Trust & Clearing Corporation (financial markets infrastructure), President, Chief Operating Officer and a member of the Board of The Depository Trust Company (DTC), President and a member of the Board of the National Securities Clearing Corporation (NSCC), Chief Executive Officer and a member of the Board of the Government Securities Clearing Corporation and Chief Executive Officer and a member of the Board of the Mortgage-Backed Securities Clearing Corporation. Mr. Dirks currently serves as a member of the Finance Committee (2016-present) and Board (2017-present) and is Treasurer (2018-present) of the Asolo Repertory Theatre.
Donald F. Donahue (1950)
Year of Election or Appointment: 2018
Trustee
Mr. Donahue also serves as Trustee of other Fidelity® funds. Mr. Donahue serves as President and Chief Executive Officer of Miranda Partners, LLC (risk consulting for the financial services industry, 2012-present). Previously, Mr. Donahue served as Chief Executive Officer (2006-2012), Chief Operating Officer (2003-2006) and Managing Director, Customer Marketing and Development (1999-2003) of The Depository Trust & Clearing Corporation (financial markets infrastructure). Mr. Donahue currently serves as a member (2007-present) and Co-Chairman (2016-present) of the Board of United Way of New York. Mr. Donahue previously served as a member of the Advisory Board of certain Fidelity® funds (2015-2018) and as a member of the Board of The Leadership Academy (previously NYC Leadership Academy) (2012-2022).     
Vicki L. Fuller (1957)
Year of Election or Appointment: 2020
Trustee
Ms. Fuller also serves as Trustee of other Fidelity® funds. Previously, Ms. Fuller served as a member of the Advisory Board of certain Fidelity® funds (2018-2020), Chief Investment Officer of the New York State Common Retirement Fund (2012-2018) and held a variety of positions at AllianceBernstein L.P. (global asset management, 1985-2012), including Managing Director (2006-2012) and Senior Vice President and Senior Portfolio Manager (2001-2006). Ms. Fuller currently serves as a member of the Board, Audit Committee and Nominating and Governance Committee of two Blackstone business development companies (2020-present), as a member of the Board of Treliant, LLC (consulting, 2019-present), as a member of the Board of Ariel Alternatives, LLC (private equity, 2022-present) and as a member of the Board and Chair of the Audit Committee of Gusto, Inc. (software, 2021-present). In addition, Ms. Fuller currently serves as a member of the Board of Roosevelt University (2019-present) and as a member of the Executive Board of New York University's Stern School of Business. Ms. Fuller previously served as a member of the Board, Audit Committee and Nominating and Governance Committee of The Williams Companies, Inc. (natural gas infrastructure, 2018-2021).       
Patricia L. Kampling (1959)
Year of Election or Appointment: 2020
Trustee
Ms. Kampling also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Kampling served as Chairman of the Board and Chief Executive Officer (2012-2019), President and Chief Operating Officer (2011-2012) and Executive Vice President and Chief Financial Officer (2010-2011) of Alliant Energy Corporation. Ms. Kampling currently serves as a member of the Board, Finance Committee and Governance, Compensation and Nominating Committee of Xcel Energy Inc. (utilities company, 2020-present) and as a member of the Board, Audit, Finance and Risk Committee and Safety, Environmental, Technology and Operations Committee and Chair of the Executive Development and Compensation Committee of American Water Works Company, Inc. (utilities company, 2019-present). In addition, Ms. Kampling currently serves as a member of the Board of the Nature Conservancy, Wisconsin Chapter (2019-present). Previously, Ms. Kampling served as a Member of the Advisory Board of certain Fidelity® funds (2020), a member of the Board, Compensation Committee and Executive Committee and Chair of the Audit Committee of Briggs & Stratton Corporation (manufacturing, 2011-2021), a member of the Board of Interstate Power and Light Company (2012-2019) and Wisconsin Power and Light Company (2012-2019) (each a subsidiary of Alliant Energy Corporation) and as a member of the Board and Workforce Development Committee of the Business Roundtable (2018-2019).         
Thomas A. Kennedy (1955)
Year of Election or Appointment: 2021
Trustee
Mr. Kennedy also serves as Trustee of other Fidelity® funds. Previously, Mr. Kennedy served as a Member of the Advisory Board of certain Fidelity® funds (2020) and held a variety of positions at Raytheon Company (aerospace and defense, 1983-2020), including Chairman and Chief Executive Officer (2014-2020) and Executive Vice President and Chief Operating Officer (2013-2014). Mr. Kennedy served as Executive Chairman of the Board of Directors of Raytheon Technologies Corporation (aerospace and defense, 2020-2021). Mr. Kennedy serves as a Director of the Board of Directors of Textron Inc. (aerospace and defense, 2023-present).
Oscar Munoz (1959)
Year of Election or Appointment: 2021
Trustee
Mr. Munoz also serves as Trustee of other Fidelity® funds. Prior to his retirement, Mr. Munoz served as Executive Chairman (2020-2021), Chief Executive Officer (2015-2020), President (2015-2016) and a member of the Board (2010-2021) of United Airlines Holdings, Inc. Mr. Munoz currently serves as a member of the Board of CBRE Group, Inc. (commercial real estate, 2020-present), a member of the Board of Univision Communications, Inc. (Hispanic media, 2020-present), a member of the Board of Archer Aviation Inc. (2021-present), a member of the Defense Business Board of the United States Department of Defense (2021-present) and a member of the Board of Salesforce.com, Inc. (cloud-based software, 2022-present). Previously, Mr. Munoz served as a Member of the Advisory Board of certain Fidelity® funds (2021).
David M. Thomas (1949)
Year of Election or Appointment: 2018
Trustee
Lead Independent Trustee
Mr. Thomas also serves as Trustee of other Fidelity® funds. Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions). Mr. Thomas currently serves as a member of the Board of Fortune Brands Home and Security (home and security products, 2004-present) and as Director (2013-present) and Non-Executive Chairman of the Board (2022-present) of Interpublic Group of Companies, Inc. (marketing communication).     
Susan Tomasky (1953)
Year of Election or Appointment: 2020
Trustee
Ms. Tomasky also serves as Trustee of other Fidelity® funds. Prior to her retirement, Ms. Tomasky served in various executive officer positions at American Electric Power Company, Inc. (1998-2011), including most recently as President of AEP Transmission (2007-2011). Ms. Tomasky currently serves as a member of the Board and Sustainability Committee and as Chair of the Audit Committee of Marathon Petroleum Corporation (2018-present) and as a member of the Board, Executive Committee, Corporate Governance Committee and Organization and Compensation Committee and as Lead Director of the Board of Public Service Enterprise Group, Inc. (utilities company, 2012-present) and as a member of the Board of its subsidiary company, Public Service Electric and Gas Co. (2021-present). In addition, Ms. Tomasky currently serves as a member (2009-present) and President (2020-present) of the Board of the Royal Shakespeare Company - America (2009-present), as a member of the Board of the Columbus Association for the Performing Arts (2011-present) and as a member of the Board and Kenyon in the World Committee of Kenyon College (2016-present). Previously, Ms. Tomasky served as a Member of the Advisory Board of certain Fidelity® funds (2020), as a member of the Board of the Columbus Regional Airport Authority (2007-2020), as a member of the Board (2011-2018) and Lead Independent Director (2015-2018) of Andeavor Corporation (previously Tesoro Corporation) (independent oil refiner and marketer) and as a member of the Board of Summit Midstream Partners LP (energy, 2012-2018).
Michael E. Wiley (1950)
Year of Election or Appointment: 2013
Trustee
Mr. Wiley also serves as Trustee of other Fidelity® funds. Previously, Mr. Wiley served as a member of the Advisory Board of certain Fidelity® funds (2018-2020), Chairman, President and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004). Mr. Wiley also previously served as a member of the Board of Andeavor Corporation (independent oil refiner and marketer, 2005-2018), a member of the Board of Andeavor Logistics LP (natural resources logistics, 2015-2018) and a member of the Board of High Point Resources (exploration and production, 2005-2020).
+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
Advisory Board Members and Officers:
Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Peter S. Lynch may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
Peter S. Lynch (1944)
Year of Election or Appointment: 2018
Member of the Advisory Board
Mr. Lynch also serves as a Member of the Advisory Board of other Fidelity® funds. Mr. Lynch is Vice Chairman and a Director of Fidelity Management & Research Company LLC (investment adviser firm). In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served as Vice Chairman and a Director of FMR Co., Inc. (investment adviser firm) and on the Special Olympics International Board of Directors (1997-2006).     
Karen B. Peetz (1955)
Year of Election or Appointment: 2023
Member of the Advisory Board
Ms. Peetz also serves as a Member of the Advisory Board of other funds. Previously, Ms. Peetz served as Chief Administration Officer (2020-2023) of Citigroup Inc. (a diversified financial service company). She also served in various capacities at Bank of New York Mellon Corporation, including President (2013-2016), Vice Chairman, Senior Executive Vice President and Chief Executive Officer of Financial Markets & Treasury Services (2010-2013), Senior Executive Vice President and Chief Executive Officer of Global Corporate Trust (2003-2008), Senior Vice President and Division Manager of Global Payments & Trade Services (2002-2003) and Senior Vice President and Division Manager of Domestic Corporate Trust (1998-2002). Ms. Peetz also served in various capacities at Chase Manhattan Corporation (1982-1998), including Senior Vice President and Manager of Corporate Trust International Business (1996-1998), Managing Director and Manager of Corporate Trust Services (1994-1996) and Managing Director and Group Manager of Financial Institution Sales (1990-1993). Ms. Peetz currently serves as Chair of Amherst Holdings Advisory Council (2018-present), Trustee of Johns Hopkins University (2016-present), Chair of the Carey Business School Advisory Council, Member of the Johns Hopkins Medicine Board and Finance Committee and Chair of the Lyme and Tick Related Disease Institute Advisory Council. Ms. Peetz previously served as a member of the Board of Guardian Life Insurance Company of America (2019-2023), a member of the Board of Trane Technologies (2018-2022), a member of the Board of Wells Fargo Corp. (2017-2019), a member of the Board of SunCoke Energy Inc. (2012-2016), a member of the Board of Private Export Funding Corporation (2010-2016) and as a Trustee of Penn State University (2010-2014) and the United Way of New York City (2008-2010).     
Heather Bonner (1977)
Year of Election or Appointment: 2023
Assistant Treasurer
Ms. Bonner also serves as an officer of other funds. Ms. Bonner serves as Senior Vice President (2022-present), and is an employee of Fidelity Investments. Ms. Bonner serves as Assistant Treasurer of Fidelity CRET Trustee LLC (2022-present). Prior to joining Fidelity, Ms. Bonner served as Managing Director at AQR Capital Management (2013-2022) and was the Treasurer and Principal Financial Officer of the AQR Funds (2013-2022).     
Craig S. Brown (1977)
Year of Election or Appointment: 2022
Deputy Treasurer
Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present). Previously, Mr. Brown served as Assistant Treasurer of certain Fidelity® funds (2019-2022).     
John J. Burke III (1964)
Year of Election or Appointment: 2018
Chief Financial Officer
Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).     
Margaret Carey (1973)
Year of Election or Appointment: 2023
Secretary and Chief Legal Officer (CLO)
Ms. Carey also serves as an officer of other funds and as CLO of certain other Fidelity entities. She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments.     
William C. Coffey (1969)
Year of Election or Appointment: 2019
Assistant Secretary
Mr. Coffey also serves as Assistant Secretary of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Secretary and CLO of certain funds (2018-2019); CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2018-2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2018-2019); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2018-2019); and Assistant Secretary of certain funds (2009-2018).     
Timothy M. Cohen (1969)
Year of Election or Appointment: 2018
Vice President
Mr. Cohen also serves as Vice President of other funds. Mr. Cohen serves as Co-Head of Equity (2018-present), a Director of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present), and is an employee of Fidelity Investments. Previously, Mr. Cohen served as Executive Vice President of Fidelity SelectCo, LLC (2019), Head of Global Equity Research (2016-2018), Chief Investment Officer - Equity and a Director of Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2013-2015) and as a Director of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2017).     
Jonathan Davis (1968)
Year of Election or Appointment: 2013
Assistant Treasurer
Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Vice President Assistant Treasurer and is an employee of Fidelity Investments. Mr. Davis serves as Assistant Treasurer of certain Fidelity entities.      
Laura M. Del Prato (1964)
Year of Election or Appointment: 2018
Assistant Treasurer
Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).     
Colm A. Hogan (1973)
Year of Election or Appointment: 2020
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity® funds (2016-2020) and Assistant Treasurer of certain Fidelity® funds (2016-2018).     
Pamela R. Holding (1964)
Year of Election or Appointment: 2018
Vice President
Ms. Holding also serves as Vice President of other funds. Ms. Holding serves as Co-Head of Equity (2018-present) and is an employee of Fidelity Investments (2013-present). Previously, Ms. Holding served as Executive Vice President of Fidelity SelectCo, LLC (2019) and as Chief Investment Officer of Fidelity Institutional Asset Management (2013-2018).     
Chris Maher (1972)
Year of Election or Appointment: 2020
Deputy Treasurer
Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).     
Jason P. Pogorelec (1975)
Year of Election or Appointment: 2020
Chief Compliance Officer
Mr. Pogorelec also serves as Chief Compliance Officer of other funds. Mr. Pogorelec is a Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments. Mr. Pogorelec serves as Compliance Officer of Fidelity Management & Research Company LLC (investment adviser firm, 2023-present). Previously, Mr. Pogorelec served as Vice President, Associate General Counsel for Fidelity Investments (2010-2020) and Assistant Secretary of certain Fidelity® funds (2015-2020).     
Brett Segaloff (1972)
Year of Election or Appointment: 2021
Anti-Money Laundering (AML) Officer
Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).     
Stacie M. Smith (1974)
Year of Election or Appointment: 2018
President and Treasurer
Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity® funds.     
Jim Wegmann (1979)
Year of Election or Appointment: 2019
Assistant Treasurer
Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity® funds (2019-2021).     
Shareholder Expense Example  
As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.
 
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (February 1, 2023 to July 31, 2023).
 
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
 
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
 
 
 
 
 
Annualized Expense Ratio- A
  
Beginning Account Value February 1, 2023
 
Ending Account Value July 31, 2023
  
Expenses Paid During Period- C February 1, 2023 to July 31, 2023
 
 
 
 
 
 
 
 
 
 
Fidelity® Dividend ETF for Rising Rates
  
 
 
.29%
  
 
 
 
 
 
Actual
  
 
 
 
 
$ 1,000
  
$ 1,053.60
  
$ 1.48
Hypothetical-B
  
 
 
 
 
$ 1,000
  
$ 1,023.36
  
$ 1.45
 
 
 
 
 
 
 
 
 
 
Fidelity® High Dividend ETF
  
 
 
.29%
  
 
 
 
 
 
Actual
  
 
 
 
 
$ 1,000
  
$ 1,074.10
  
$ 1.49
Hypothetical-B
  
 
 
 
 
$ 1,000
  
$ 1,023.36
  
$ 1.45
 
 
 
 
 
 
 
 
 
 
Fidelity® Low Volatility Factor ETF
  
 
 
.29%
  
 
 
 
 
 
Actual
  
 
 
 
 
$ 1,000
  
$ 1,088.50
  
$ 1.50
Hypothetical-B
  
 
 
 
 
$ 1,000
  
$ 1,023.36
  
$ 1.45
 
 
 
 
 
 
 
 
 
 
Fidelity® Momentum Factor ETF
  
 
 
.29%
  
 
 
 
 
 
Actual
  
 
 
 
 
$ 1,000
  
$ 1,117.80
  
$ 1.52
Hypothetical-B
  
 
 
 
 
$ 1,000
  
$ 1,023.36
  
$ 1.45
 
 
 
 
 
 
 
 
 
 
Fidelity® Quality Factor ETF
  
 
 
.29%
  
 
 
 
 
 
Actual
  
 
 
 
 
$ 1,000
  
$ 1,119.20
  
$ 1.52
Hypothetical-B
  
 
 
 
 
$ 1,000
  
$ 1,023.36
  
$ 1.45
 
 
 
 
 
 
 
 
 
 
Fidelity® Small-Mid Multifactor ETF
  
 
 
.29%
  
 
 
 
 
 
Actual
  
 
 
 
 
$ 1,000
  
$ 1,038.70
  
$ 1.47
Hypothetical-B
  
 
 
 
 
$ 1,000
  
$ 1,023.36
  
$ 1.45
 
 
 
 
 
 
 
 
 
 
Fidelity® Stocks for Inflation ETF
  
 
 
.29%
  
 
 
 
 
 
Actual
  
 
 
 
 
$ 1,000
  
$ 1,055.30
  
$ 1.48
Hypothetical-B
  
 
 
 
 
$ 1,000
  
$ 1,023.36
  
$ 1.45
 
 
 
 
 
 
 
 
 
 
Fidelity® U.S. Multifactor ETF
  
 
 
.29%
  
 
 
 
 
 
Actual
  
 
 
 
 
$ 1,000
  
$ 1,084.00
  
$ 1.50
Hypothetical-B
  
 
 
 
 
$ 1,000
  
$ 1,023.36
  
$ 1.45
 
 
 
 
 
 
 
 
 
 
Fidelity® Value Factor ETF
  
 
 
.29%
  
 
 
 
 
 
Actual
  
 
 
 
 
$ 1,000
  
$ 1,102.00
  
$ 1.51
Hypothetical-B
  
 
 
 
 
$ 1,000
  
$ 1,023.36
  
$ 1.45
 
A   Annualized expense ratio reflects expenses net of applicable fee waivers.
 
B   5% return per year before expenses
 
C   Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/ 365 (to reflect the one-half year period). The fees and expenses of any Underlying Funds are not included in each annualized expense ratio.
 
 
 
Distributions (Unaudited)
The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.
A percentage of the dividends distributed during the fiscal year for the following funds qualify for the dividends-received deduction for corporate shareholders:
 
Fidelity® Dividend ETF for Rising Rates
 
September 2022
76%
December 2022
80%
March 2023
80%
June 2023
80%
Fidelity® High Dividend ETF
 
September 2022
66%
December 2022
66%
March 2023
63%
June 2023
63%
Fidelity® Low Volatility Factor ETF
 
September 2022
100%
December 2022
100%
March 2023
100%
June 2023
100%
Fidelity® Momentum Factor ETF
 
September 2022
100%
December 2022
100%
March 2023
100%
June 2023
100%
Fidelity® Quality Factor ETF
 
September 2022
99%
December 2022
99%
March 2023
100%
June 2023
100%
Fidelity® Small-Mid Multifactor ETF
 
September 2022
85%
December 2022
85%
March 2023
87%
June 2023
87%
Fidelity® Stocks for Inflation ETF
 
September 2022
89%
December 2022
100%
March 2023
99%
June 2023
99%
Fidelity® U.S. Multifactor ETF
 
September 2022
99%
December 2022
99%
March 2023
100%
June 2023
100%
Fidelity® Value Factor ETF
 
September 2022
100%
December 2022
100%
March 2023
100%
June 2023
100%
 
A percentage of the dividends distributed during the fiscal year for the following funds may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
 
Fidelity® Dividend ETF for Rising Rates
 
September 2022
91.84%
December 2022
91.40%
March 2023
98.21%
June 2023
98.21%
Fidelity® High Dividend ETF
 
September 2022
84.74%
December 2022
84.74%
March 2023
82.78%
June 2023
82.78%
Fidelity® Low Volatility Factor ETF
 
September 2022
100%
December 2022
100%
March 2023
100%
June 2023
100%
Fidelity® Momentum Factor ETF
 
September 2022
100%
December 2022
100%
March 2023
100%
June 2023
100%
Fidelity® Quality Factor ETF
 
September 2022
100%
December 2022
100%
March 2023
100%
June 2023
100%
Fidelity® Small-Mid Multifactor ETF
 
September 2022
87.75%
December 2022
87.75%
March 2023
92.30%
June 2023
92.30%
Fidelity® Stocks for Inflation ETF
 
September 2022
100%
December 2022
100%
March 2023
100%
June 2023
100%
Fidelity® U.S. Multifactor ETF
 
September 2022
100%
December 2022
100%
March 2023
100%
June 2023
100%
Fidelity® Value Factor ETF
 
September 2022
100%
December 2022
100%
March 2023
100%
June 2023
100%
 
A percentage of the dividends distributed during the fiscal year for the following funds qualify as a section 199A dividend:
 
Fidelity® Dividend ETF for Rising Rates
 
September 2022
5.98%
December 2022
6.30%
March 2023
1.79%
June 2023
1.79%
Fidelity® High Dividend ETF
 
September 2022
15.26%
December 2022
15.26%
March 2023
14.17%
June 2023
14.17%
Fidelity® Small-Mid Multifactor ETF
 
September 2022
12.25%
December 2022
12.25%
March 2023
7.70%
June 2023
7.70%
 
The funds will notify shareholders in January 2024 of amounts for use in preparing 2023income tax returns.
 
 
Board Approval of Investment Advisory Contracts
 
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Dividend ETF for Rising Rates
Fidelity High Dividend ETF
Fidelity Low Volatility Factor ETF
Fidelity Momentum Factor ETF
Fidelity Quality Factor ETF
Fidelity Small-Mid Multifactor ETF
Fidelity Stocks for Inflation ETF
Fidelity U.S. Multifactor ETF
Fidelity Value Factor ETF
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), considers the renewal of each fund's management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreement (Sub-Advisory Agreement) for each fund with Geode Capital Management, LLC (Geode) (together, the Advisory Contracts). FMR and Geode are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
 
The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of each fund's Advisory Contracts, including the services and support provided to each fund and its shareholders. The Board, acting directly and through its Committees (each of which is composed of and chaired by Independent Trustees), requests and receives information concerning the annual consideration of the renewal of each fund's Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board's annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.
Approval of Stub Period Continuation. At its May 2023 meeting, the Board of Trustees voted to continue each fund's management contract with FMR and the sub-advisory agreement with Geode, without modification, for two months from June 1, 2023 through July 31, 2023. The Board considered that the approval of each fund's Advisory Contracts will not result in any changes in (i) the investment process or strategies employed in the management of each fund's assets; (ii) the fees and expenses paid by shareholders; (iii) the nature, extent or quality of services provided under each fund's Advisory Contracts; or (iv) the day-to-day management of each fund or the persons primarily responsible for such management. The Board also considered that since its last approval of each fund's Advisory Contracts, FMR had provided additional information on each fund in support of the annual contract renewal process, including competitive analyses on total expenses and management fees and in-depth reviews of fund performance and fund profitability information. The Board concluded that each fund's Advisory Contracts are fair and reasonable, and that each fund's Advisory Contracts should be renewed, without modification, through July 31, 2023, with the understanding that the Board would consider the annual renewal for a full one year period in July 2023.
At its July 2023 meeting, the Board unanimously determined to renew each fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to each fund and its shareholders (including the investment performance of each fund); (ii) the competitiveness relative to peer funds of each fund's management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by FMR and its affiliates (Fidelity) and Geode from their respective relationships with each fund; and (iv) the extent to which, if any, economies of scale exist and are realized as each fund grows, and whether any economies of scale are appropriately shared with fund shareholders. The Board also considered the broad range of investment choices available to shareholders from FMR's competitors and that each fund's shareholders have chosen to invest in the fund, which is part of the Fidelity family of funds. The Board's decision to renew the Advisory Contracts was not based on any single factor.
The Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of each fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable in light of all of the surrounding circumstances.
Nature, Extent, and Quality of Services Provided. The Board considered staffing as it relates to the funds, including the backgrounds and experience of investment personnel of the Investment Advisers, and also considered the Investment Advisers' implementation of the funds' investment program. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups and with senior management of Geode. The Board considered the structure of the investment personnel compensation programs and whether the structures provide appropriate incentives to act in the best interests of each fund. Additionally, the Board considered the portfolio managers' investments, if any, in the funds that they manage.
The Trustees also discussed with representatives of Fidelity, at meetings throughout the year, Fidelity's role in, among other things, overseeing compliance with federal securities laws and other applicable requirements by Geode with respect to the funds and monitoring and overseeing the performance and investment capabilities of Geode. The Trustees considered that the Board had received from Fidelity periodic reports about its oversight and due diligence processes, as well as periodic reports regarding the performance of Geode.
The Board also considered the nature, extent and quality of services provided by Geode. The Trustees noted that under the Sub-Advisory Agreement, subject to oversight by Fidelity, Geode is responsible for, among other things, identifying investments and arranging for execution of portfolio transactions to implement each fund's investment strategy. In addition, the Trustees noted that Geode is responsible for providing such reporting as may be requested by Fidelity to fulfill its oversight responsibilities discussed above.
Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity's and Geode's investment staffs, including their size, education, experience, and resources, as well as Fidelity's and Geode's approach to recruiting, training, managing, and compensating investment personnel. The Board considered that Fidelity's and Geode's investment professionals have extensive resources, tools and capabilities so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously. Additionally, in its deliberations, the Board considered Fidelity's and Geode's trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services provided by the Investment Advisers and their affiliates under the Advisory Contracts and by FMR's affiliates under separate agreements covering pricing and bookkeeping and securities lending services for each fund; (ii) the nature and extent of Fidelity's supervision of third party service providers, principally State Street Bank and Trust Company, each fund's transfer agent and custodian; and (iii) the resources devoted by Fidelity to, and the record of compliance with, each fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers. The Board also considered each fund's securities lending activities and any payments made to Fidelity relating to securities lending.
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials, and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds and/or the Fidelity funds in general.
Investment Performance. The Board took into account discussions that occur with representatives of the Investment Advisers, and reports that it receives, at Board meetings throughout the year relating to fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considered annualized return information for each fund for different time periods, measured against the securities market index the fund seeks to track. The Board also periodically considers each fund's tracking error versus its benchmark index. In its ongoing evaluation of fund investment performance, the Board gives particular attention to information indicating changes in performance of the funds over different time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance. The Board also considered information on each fund's bid-ask spread and premium/discount.
In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that an index fund's performance should be evaluated based on net performance (after fees and expenses) of the fund compared to a fund's benchmark index, over appropriate time periods taking into account relevant factors including the following: general market conditions; the characteristics of the fund's benchmark index; the extent to which statistical sampling is employed; any securities lending revenues; and fund cash flows and other factors.
Based on its review, the Board concluded that the nature, extent, and quality of services provided to each fund under the Advisory Contracts should continue to benefit the shareholders of each fund.
Competitiveness of Management Fee and Total Expense Ratio. The Board was provided with information regarding industry trends in management fees and expenses. In its review of each fund's management fee and total expense ratio, the Board considered each fund's all-inclusive fee rate and also considered other expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees, paid by FMR under each fund's all-inclusive arrangement. The Board noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for each fund.
Comparisons of Management Fees and Total Expense Ratios. Among other things, the Board reviewed data for selected groups of competitive funds and classes (referred to as "mapped groups") that were compiled by Fidelity based on combining similar investment objective categories (as classified by Lipper) that have comparable investment mandates. The data reviewed by the Board included (i) gross management fee comparisons (before taking into account expense reimbursements or caps) relative to the total universe of funds within the mapped group; (ii) gross management fee comparisons relative to a subset of non-Fidelity funds in the mapped group that are similar in size and management fee structure to each fund (referred to as the "asset size peer group"); (iii) total expense comparisons of each fund relative to funds and classes in the mapped group that have a similar load structure to the fund (referred to as the "similar load structure group"); and (iv) total expense comparisons of each fund relative to funds and classes in the similar load structure group that are similar in size and management fee structure to the fund (referred to as the "total expense asset size peer group"). The total expense asset size peer group comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.
For Fidelity Dividend ETF for Rising Rates, Fidelity High Dividend ETF and Fidelity Small-Mid Multifactor ETF, the information provided to the Board indicated that the fund's management fee rate ranked below the competitive median of the mapped group for the 12-month period ended September 30, 2022. For Fidelity Low Volatility Factor ETF, Fidelity Momentum Factor ETF, Fidelity Quality Factor ETF, Fidelity Stocks for Inflation ETF, Fidelity U.S. Multifactor ETF, and Fidelity Value Factor ETF, the information provided to the Board indicated that the fund's management fee rate ranked equal to the competitive median of the mapped group for the 12-month period ended September 30, 2022.
For Fidelity Dividend ETF for Rising Rates, Fidelity High Dividend ETF, Fidelity Momentum Factor ETF, Fidelity Small-Mid Multifactor ETF, Fidelity Stocks for Inflation ETF, and Fidelity U.S. Multifactor ETF, the fund's management fee rate ranked below the competitive median of the asset size peer group for the 12-month period ended September 30, 2022. For Fidelity Quality Factor ETF, the information provided to the Board indicated that the fund's management fee rate ranked equal to the competitive median of the asset size peer group for the 12-month period ended September 30, 2022. For Fidelity Low Volatility Factor ETF and Fidelity Value Factor ETF, the information provided to the Board indicated that the fund's management fee rate ranked above the competitive median of the asset size peer group for the 12-month period ended September 30, 2022.
For Fidelity Dividend ETF for Rising Rates, Fidelity High Dividend ETF, and Fidelity Small-Mid Multifactor ETF, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the similar load structure group for the 12-month period ended September 30, 2022. For Fidelity Low Volatility Factor ETF, Fidelity Momentum Factor ETF, Fidelity Quality Factor ETF, Fidelity Stocks for Inflation ETF, Fidelity U.S. Multifactor ETF and Fidelity Value Factor ETF, the information provided to the Board indicated that the total expense ratio of the fund ranked equal to the competitive median of the similar load structure group for the 12-month period ended September 30, 2022.
For Fidelity Dividend ETF for Rising Rates, Fidelity Momentum Factor ETF, Fidelity Quality Factor ETF, Fidelity Small-Mid Multifactor ETF, Fidelity Stocks for Inflation ETF, and Fidelity U.S. Multifactor ETF, the information provided to the Board indicated that the total expense ratio of the fund ranked below the competitive median of the total expense asset size peer group for the 12-month period ended September 30, 2022. For Fidelity High Dividend ETF, Fidelity Low Volatility Factor ETF, and Fidelity Value Factor ETF, the information provided to the Board indicated that the total expense ratio of the fund ranked above the competitive median of the total expense asset size peer group for the 12-month period ended September 30, 2022.
The Board considered that, when compared to a subset of the asset size peer group that FMR believes is most comparable, Fidelity High Dividend ETF would not be above the asset size peer group competitive median for 2022. For Fidelity Value Factor ETF, the Board considered that the fund's mapped group contains multiple quantitative ETFs, which have investment strategies that are generally less research intensive and rely more on advanced mathematical models than Fidelity Value Factor ETF. The Board also considered that when quantitative ETFs are excluded, Fidelity Value Factor ETF's total expense ratio ranked below the total expense asset size peer group median. For Fidelity Low Volatility Factor ETF, the Board considered that the fund's total expense ratio was 1 basis point above the total expense asset size peer group and that Fidelity believes the fees that the ETF is charged are reasonable for the overall value of the nature and quality of services shareholders receive.
 
Further, the Board considered that, effective November 1, 2023, the management fee rate for each fund will be reduced from 0.29% to 0.15%, and that after such reduction, each fund continues to be or will be, as applicable, below its competitive median.
 
Fees Charged to Other Clients. The Board also considered fee structures applicable to clients of Fidelity and Geode, such as other funds advised or subadvised by Fidelity or Geode, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee's review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.
Based on its review, the Board concluded that each fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered. Further based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that each fund's total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and servicing each fund's shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with each fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity's audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies and the full Board approves such changes.
A public accounting firm has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity's fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board also reviewed Fidelity's and Geode's non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity's fund business (i.e., fall-out benefits) as well as cases where Fidelity's and Geode's affiliates may benefit from the funds' business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board's consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of each fund and was satisfied that the profitability was not excessive.
The Board also considered information regarding the profitability of Geode's relationship with each fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including each fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which each fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board recognized that, due to each fund's current contractual arrangements, its expense ratio will not decline if the fund's operating costs decrease as assets grow, or rise as assets decrease. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity's long-term strategies for certain funds, including any consideration of fund liquidations or mergers; (ii) the operation of performance fees and competitor use of performance fees; (iii) Fidelity's pricing philosophy compared to competitors; (iv) fund profitability methodology and data; (v) evaluation of competitive fund data and peer group classifications and fee and expense comparisons; (vi) the management fee and expense structures for different funds and classes and information about the differences between various fee and expense structures; (vii) group fee breakpoints and related voluntary fee waivers; and (viii) information regarding other accounts managed by Fidelity and the funds' sub-advisory arrangements.
 
Conclusion. Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board, including the Independent Trustees, concluded that the advisory and sub-advisory fee arrangements are fair and reasonable in light of all of the surrounding circumstances and that each fund's Advisory Contracts should be renewed through July 31, 2024.
 
1.9881294.106
CPF-ANN-0923