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.