Annual Report | 2 |
3 | Annual Report |
Annual Report | 4 |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
5 | Annual Report |
Annual Report | 6 |
7 | Annual Report |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 8 |
9 | Annual Report |
Annual Report | 10 |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
11 | Annual Report |
Annual Report | 12 |
13 | Annual Report |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 14 |
15 | Annual Report |
Annual Report | 16 |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
17 | Annual Report |
Annual Report | 18 |
19 | Annual Report |
B | From February 28, 2019, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 20 |
21 | Annual Report |
Annual Report | 22 |
B | From November 7, 2019, date initially listed on the Cboe BZX Exchange, Inc. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
23 | Annual Report |
Annual Report | 24 |
25 | Annual Report |
B | From From September 17, 2020, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
Annual Report | 26 |
27 | Annual Report |
Annual Report | 28 |
B | From September 15, 2016, date initially listed on the NYSE ARCA exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
29 | Annual Report |
Annual Report | 30 |
31 | Annual Report |
Annual Report | 32 |
Futures Contracts | |||||
Number
of contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME Micro E-mini S&P 500 Index Contracts (United States) | 5 | September 2022 | $1,033,375 | $75,785 | $75,785 |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 2.01% | $ 654,480 | $ 54,792,330 | $ 53,782,572 | $ 3,230 | $— | $— | $ 1,664,238 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 2,620,350 | 106,586,070 | 92,654,495 | 79,206 | — | — | $16,551,925 | 0.0% | ||||||
Total | $3,274,830 | $161,378,400 | $146,437,067 | $82,436 | $— | $— | $18,216,163 |
Annual Report | 34 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 53,088,405 | $ 53,088,405 | $ — | $ — | ||||
Consumer Discretionary | 63,601,755 | 63,601,755 | — | — | ||||
Consumer Staples | 36,241,474 | 36,241,474 | — | — | ||||
Energy | 26,313,925 | 26,313,925 | — | — | ||||
Financials | 64,676,923 | 64,676,923 | — | — | ||||
Health Care | 88,474,577 | 88,474,577 | — | — | ||||
Industrials | 53,027,263 | 53,027,263 | — | — | ||||
Information Technology | 171,396,480 | 171,396,480 | — | — | ||||
Materials | 15,607,071 | 15,607,071 | — | — | ||||
Real Estate | 20,974,705 | 20,974,705 | — | — | ||||
Utilities | 17,371,567 | 17,371,567 | — | — | ||||
Money Market Funds | 18,216,163 | 18,216,163 | — | — | ||||
Total Investments in Securities: | $ 628,990,308 | $ 628,990,308 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 75,785 | $ 75,785 | $ — | $ — | ||||
Total Assets | $ 75,785 | $ 75,785 | — | $ — | ||||
Total Derivative Instruments: | $ 75,785 | $ 75,785 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $75,785 | $0 | |
Total Equity Risk | 75,785 | 0 | |
Total Value of Derivatives | $75,785 | $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). |
35 | Annual Report |
Annual Report | 36 |
Futures Contracts | |||||
Number
of contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME Micro E-mini S&P 500 Index Contracts (United States) | 18 | September 2022 | $3,720,150 | $311,911 | $311,911 |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 2.01% | $3,234,325 | $138,498,201 | $138,989,126 | $ 8,364 | $— | $— | $ 2,743,400 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 1,661,850 | 264,332,443 | 249,934,943 | 62,843 | — | — | $16,059,350 | 0.0% | ||||||
Total | $4,896,175 | $402,830,644 | $388,924,069 | $71,207 | $— | $— | $18,802,750 |
Annual Report | 38 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 30,305,270 | $ 30,305,270 | $ — | $ — | ||||
Consumer Discretionary | 55,924,076 | 55,924,076 | — | — | ||||
Consumer Staples | 1,228,002 | 1,228,002 | — | — | ||||
Energy | 172,671,706 | 172,671,706 | — | — | ||||
Financials | 220,367,356 | 220,367,356 | — | — | ||||
Health Care | 86,406,795 | 86,406,795 | — | — | ||||
Industrials | 24,206,559 | 24,206,559 | — | — | ||||
Information Technology | 263,165,156 | 263,165,156 | — | — | ||||
Materials | 122,199,999 | 122,199,999 | — | — | ||||
Real Estate | 146,822,747 | 146,822,747 | — | — | ||||
Utilities | 150,714,988 | 150,714,988 | — | — | ||||
Money Market Funds | 18,802,750 | 18,802,750 | — | — | ||||
Total Investments in Securities: | $ 1,292,815,404 | $ 1,292,815,404 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 311,911 | $ 311,911 | $ — | $ — | ||||
Total Assets | $ 311,911 | $ 311,911 | — | $ — | ||||
Total Derivative Instruments: | $ 311,911 | $ 311,911 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $311,911 | $0 | |
Total Equity Risk | 311,911 | 0 | |
Total Value of Derivatives | $311,911 | $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). |
39 | Annual Report |
Annual Report | 40 |
Futures Contracts | |||||
Number
of contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P 500 Index Contracts (United States) | 70 | September 2022 | $1,446,725 | $114,995 | $114,995 |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 2.01% | $ 556,788 | $13,938,955 | $13,368,945 | $2,800 | $— | $— | $1,126,798 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 940,440 | 37,473,784 | 36,665,564 | 1,790 | — | — | $1,748,660 | 0.0% | ||||||
Total | $1,497,228 | $51,412,739 | $50,034,509 | $4,590 | $— | $— | $2,875,458 |
Annual Report | 42 |
Description | Total | Level 1 | Level 2 | Level 3 | |||||
Investments in Securities: | |||||||||
Equities: | |||||||||
Communication Services | $ 36,564,912 | $ 36,564,912 | $ — | $ — | |||||
Consumer Discretionary | 50,103,883 | 50,103,883 | — | — | |||||
Consumer Staples | 24,923,630 | 24,923,630 | — | — | |||||
Energy | 18,389,010 | 18,389,010 | — | — | |||||
Financials | 53,022,418 | 53,022,418 | — | — | |||||
Health Care | 60,246,891 | 60,246,891 | — | — | |||||
Industrials | 41,701,695 | 41,701,695 | — | — | |||||
Information Technology | 121,184,827 | 121,184,827 | — | — | |||||
Materials | 10,998,963 | 10,998,963 | — | — | |||||
Real Estate | 14,294,450 | 14,294,450 | — | — | |||||
Utilities | 11,914,548 | 11,914,548 | — | — | |||||
Money Market Funds | 2,875,458 | 2,875,458 | — | — | |||||
Total Investments in Securities: | $ 446,220,685 | $ 446,220,685 | $ — | $ — | |||||
Derivative Instruments: | |||||||||
Assets | |||||||||
Futures Contracts | $ 114,995 | $ 114,995 | $ — | $ — | |||||
Total Assets | $ 114,995 | $ 114,995 | $ — | $ — | |||||
Total Derivative Instruments: | $ 114,995 | $ 114,995 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $114,995 | $0 | |
Total Equity Risk | 114,995 | 0 | |
Total Value of Derivatives | $114,995 | $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). |
43 | Annual Report |
Annual Report | 44 |
Futures Contracts | |||||
Number
of contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P 500 Index Contracts (United States) | 10 | September 2022 | $206,675 | $17,618 | $17,618 |
Annual Report | 46 |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 2.01% | $425,440 | $ 2,411,776 | $ 2,656,936 | $ 642 | $— | $— | $ 180,280 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | — | 18,895,143 | 17,890,293 | 9,717 | — | — | $1,004,850 | 0.0% | ||||||
Total | $425,440 | $21,306,919 | $20,547,229 | $10,359 | $— | $— | $1,185,130 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 9,634,577 | $ 9,634,577 | $ — | $ — | ||||
Consumer Discretionary | 13,649,280 | 13,649,280 | — | — | ||||
Consumer Staples | 7,108,633 | 7,108,633 | — | — | ||||
Energy | 5,153,036 | 5,153,036 | — | — | ||||
Financials | 12,929,409 | 12,929,409 | — | — | ||||
Health Care | 16,821,086 | 16,821,086 | — | — | ||||
Industrials | 9,641,602 | 9,641,602 | — | — | ||||
Information Technology | 31,080,606 | 31,080,606 | — | — | ||||
Materials | 3,181,829 | 3,181,829 | — | — | ||||
Real Estate | 3,869,902 | 3,869,902 | — | — | ||||
Utilities | 3,397,319 | 3,397,319 | — | — | ||||
Money Market Funds | 1,185,130 | 1,185,130 | — | — | ||||
Total Investments in Securities: | $ 117,652,409 | $ 117,652,409 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 17,618 | $ 17,618 | $ — | $ — | ||||
Total Assets | $ 17,618 | $ 17,618 | — | $ — | ||||
Total Derivative Instruments: | $ 17,618 | $ 17,618 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $17,618 | $0 | |
Total Equity Risk | 17,618 | 0 | |
Total Value of Derivatives | $17,618 | $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). |
47 | Annual Report |
Annual Report | 48 |
Futures Contracts | |||||
Number
of contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P 500 Index Contracts (United States) | 17 | September 2022 | $351,348 | $33,125 | $33,125 |
Annual Report | 50 |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 2.01% | $ 175,551 | $ 8,301,763 | $ 8,185,632 | $ 1,472 | $— | $ (1) | $ 291,681 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 1,454,475 | 34,290,590 | 32,220,790 | 26,297 | — | — | $3,524,275 | 0.0% | ||||||
Total | $1,630,026 | $42,592,353 | $40,406,422 | $27,769 | $— | $ (1) | $3,815,956 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 21,331,510 | $ 21,331,510 | $ — | $ — | ||||
Consumer Discretionary | 29,774,896 | 29,774,896 | — | — | ||||
Consumer Staples | 16,313,294 | 16,313,294 | — | — | ||||
Energy | 11,442,351 | 11,442,351 | — | — | ||||
Financials | 28,569,455 | 28,569,455 | — | — | ||||
Health Care | 36,809,770 | 36,809,770 | — | — | ||||
Industrials | 22,244,498 | 22,244,498 | — | — | ||||
Information Technology | 75,673,782 | 75,673,782 | — | — | ||||
Materials | 7,204,552 | 7,204,552 | — | — | ||||
Real Estate | 9,281,663 | 9,281,663 | — | — | ||||
Utilities | 7,462,941 | 7,462,941 | — | — | ||||
Money Market Funds | 3,815,956 | 3,815,956 | — | — | ||||
Total Investments in Securities: | $ 269,924,668 | $ 269,924,668 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 33,125 | $ 33,125 | $ — | $ — | ||||
Total Assets | $ 33,125 | $ 33,125 | — | $ — | ||||
Total Derivative Instruments: | $ 33,125 | $ 33,125 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $33,125 | $0 | |
Total Equity Risk | 33,125 | 0 | |
Total Value of Derivatives | $33,125 | $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). |
51 | Annual Report |
Annual Report | 52 |
Annual Report | 54 |
Annual Report | 56 |
Annual Report | 58 |
Futures Contracts | |||||
Number
of contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini Russell 2000 Index Contracts (United States) | 1 | September 2022 | $94,265 | $8,862 | $8,862 |
59 | Annual Report |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 2.01% | $ 25,839 | $ 3,873,830 | $ 3,820,120 | $ 725 | $— | $— | $ 79,549 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 92,825 | 7,278,171 | 6,336,946 | 4,504 | — | — | $1,034,050 | 0.0% | ||||||
Total | $118,664 | $11,152,001 | $10,157,066 | $5,229 | $— | $— | $1,113,599 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 2,107,574 | $ 2,107,574 | $ — | $ — | ||||
Consumer Discretionary | 8,976,693 | 8,976,693 | — | — | ||||
Consumer Staples | 2,471,408 | 2,471,408 | — | — | ||||
Energy | 2,969,676 | 2,969,676 | — | — | ||||
Financials | 11,331,315 | 11,331,315 | — | — | ||||
Health Care | 9,658,970 | 9,658,970 | — | — | ||||
Industrials | 12,672,590 | 12,672,590 | — | — | ||||
Information Technology | 10,628,147 | 10,628,147 | — | — | ||||
Materials | 3,548,217 | 3,548,217 | — | — | ||||
Real Estate | 5,477,519 | 5,477,519 | — | — | ||||
Utilities | 1,995,531 | 1,995,531 | — | — | ||||
Money Market Funds | 1,113,599 | 1,113,599 | — | — | ||||
Total Investments in Securities: | $ 72,951,239 | $ 72,951,239 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 8,862 | $ 8,862 | $ — | $ — | ||||
Total Assets | $ 8,862 | $ 8,862 | — | $ — | ||||
Total Derivative Instruments: | $ 8,862 | $ 8,862 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $8,862 | $0 | |
Total Equity Risk | 8,862 | 0 | |
Total Value of Derivatives | $8,862 | $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). |
Annual Report | 60 |
61 | Annual Report |
Annual Report | 62 |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 2.01% | $— | $5,723,152 | $5,611,458 | $539 | $— | $— | $111,694 | 0.0% |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 10,903,934 | $ 10,903,934 | $ — | $ — | ||||
Consumer Discretionary | 16,383,521 | 16,383,521 | — | — | ||||
Consumer Staples | 26,855,821 | 26,855,821 | — | — | ||||
Energy | 25,622,800 | 25,622,800 | — | — | ||||
Financials | 16,191,904 | 16,191,904 | — | — | ||||
Health Care | 49,548,931 | 49,548,931 | — | — | ||||
Industrials | 12,377,431 | 12,377,431 | — | — | ||||
Information Technology | 56,926,088 | 56,926,088 | — | — | ||||
Materials | 22,215,775 | 22,215,775 | — | — | ||||
Real Estate | 12,221,632 | 12,221,632 | — | — | ||||
Utilities | 10,816,846 | 10,816,846 | — | — | ||||
Money Market Fund | 111,694 | 111,694 | — | — | ||||
Total Investments in Securities: | $ 260,176,377 | $ 260,176,377 | $ — | $ — |
63 | Annual Report |
Annual Report | 64 |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 2.01% | $7,306 | $272,079 | $279,385 | $8 | $— | $— | $— | 0.0% |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 1,177,185 | $ 1,177,185 | $ — | $ — | ||||
Consumer Discretionary | 1,772,781 | 1,772,781 | — | — | ||||
Consumer Staples | 836,377 | 836,377 | — | — | ||||
Energy | 549,214 | 549,214 | — | — | ||||
Financials | 1,651,820 | 1,651,820 | — | — | ||||
Health Care | 2,071,982 | 2,071,982 | — | — | ||||
Industrials | 1,306,466 | 1,306,466 | — | — | ||||
Information Technology | 3,988,422 | 3,988,422 | — | — | ||||
Materials | 423,108 | 423,108 | — | — | ||||
Real Estate | 443,463 | 443,463 | — | — | ||||
Utilities | 433,670 | 433,670 | — | — | ||||
Total Investments in Securities: | $ 14,654,488 | $ 14,654,488 | $ — | $ — |
Annual Report | 66 |
67 | Annual Report |
Annual Report | 68 |
Futures Contracts | |||||
Number
of contracts |
Expiration
Date |
Notional
Amount |
Value | Unrealized
Appreciation/ (Depreciation) | |
Purchased | |||||
Equity Index Contract | |||||
CME E-mini S&P 500 Index Contracts (United States) | 31 | September 2022 | $640,693 | $59,075 | $59,075 |
69 | Annual Report |
Fund | Value,
beginning of period |
Purchases | Sales
Proceeds |
Dividend
Income |
Realized
Gain/Loss |
Change
in Unrealized appreciation (depreciation) |
Value,
end of period |
%
ownership, end of period | ||||||
Fidelity Cash Central Fund, 2.01% | $ 647,052 | $16,563,639 | $16,736,205 | $ 2,494 | $— | $— | $ 474,486 | 0.0% | ||||||
Fidelity Securities Lending Cash Central Fund, 2.01% | 3,639,908 | 72,851,375 | 75,656,908 | 18,946 | — | — | $ 834,375 | 0.0% | ||||||
Total | $4,286,960 | $89,415,014 | $92,393,113 | $21,440 | $— | $— | $1,308,861 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Equities: | ||||||||
Communication Services | $ 38,680,108 | $ 38,680,108 | $ — | $ — | ||||
Consumer Discretionary | 54,458,328 | 54,458,328 | — | — | ||||
Consumer Staples | 29,301,956 | 29,301,956 | — | — | ||||
Energy | 22,615,925 | 22,615,925 | — | — | ||||
Financials | 54,591,212 | 54,591,212 | — | — | ||||
Health Care | 70,739,945 | 70,739,945 | — | — | ||||
Industrials | 44,954,892 | 44,954,892 | — | — | ||||
Information Technology | 138,001,405 | 138,001,405 | — | — | ||||
Materials | 14,928,308 | 14,928,308 | — | — | ||||
Real Estate | 16,266,470 | 16,266,470 | — | — | ||||
Utilities | 14,186,116 | 14,186,116 | — | — | ||||
Money Market Funds | 1,308,861 | 1,308,861 | — | — | ||||
Total Investments in Securities: | $ 500,033,526 | $ 500,033,526 | $ — | $ — |
Derivative Instruments: | ||||||||
Assets | ||||||||
Futures Contracts | $ 59,075 | $ 59,075 | $ — | $ — | ||||
Total Assets | $ 59,075 | $ 59,075 | — | $ — | ||||
Total Derivative Instruments: | $ 59,075 | $ 59,075 | $ — | $ — |
Primary Risk/ Derivative Type | Value | ||
Asset | Liabilities | ||
Equity Risk | |||
Futures Contracts(a) | $59,075 | $0 | |
Total Equity Risk | 59,075 | 0 | |
Total Value of Derivatives | $59,075 | $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). |
Annual Report | 70 |
Fidelity
Dividend ETF For Rising Rates |
Fidelity
High Dividend ETF |
Fidelity
Low Volatility Factor ETF |
Fidelity
Momentum Factor ETF | ||||
Assets | |||||||
Investments in securities, at value (including securities loaned of $16,178,663, $15,732,727, $1,713,449 and $995,227, respectively) – See accompanying schedule: | |||||||
Unaffiliated issuers | $610,774,145 | $1,274,012,654 | $443,345,227 | $116,467,279 | |||
Fidelity Central Funds | 18,216,163 | 18,802,750 | 2,875,458 | 1,185,130 | |||
Total Investments in Securities | $628,990,308 | $1,292,815,404 | $446,220,685 | $117,652,409 | |||
Segregated cash with brokers for derivative instruments | 52,500 | 189,000 | 73,500 | 10,500 | |||
Cash | — | — | — | 9,291 | |||
Foreign currency held at value (cost $959,291, $15,447, $— and $—, respectively) | 936,810 | 15,441 | — | — | |||
Receivable for fund shares sold | — | — | — | — | |||
Dividends receivable | 1,139,326 | 3,045,175 | 398,028 | 100,021 | |||
Receivable for daily variation margin on futures contracts | 15,000 | 54,000 | 21,000 | 3,000 | |||
Distributions receivable from Fidelity Central Funds | 17,960 | 12,936 | 1,523 | 4,266 | |||
Total assets | 631,151,904 | 1,296,131,956 | 446,714,736 | 117,779,487 | |||
Liabilities | |||||||
Payable for investments purchased | 2,314,313 | 1,731,023 | — | — | |||
Accrued management fees | 142,873 | 287,388 | 103,316 | 26,268 | |||
Collateral on securities loaned, at value | 16,551,925 | 16,059,350 | 1,748,660 | 1,004,850 | |||
Total liabilities | 19,009,111 | 18,077,761 | 1,851,976 | 1,031,118 | |||
Net Assets | $612,142,793 | $1,278,054,195 | $444,862,760 | $116,748,369 | |||
Net Assets consist of: | |||||||
Paid in capital | $609,109,222 | $1,279,276,536 | $465,736,372 | $136,421,010 | |||
Total accumulated earnings (loss) | 3,033,571 | (1,222,341) | (20,873,612) | (19,672,641) | |||
Net Assets | $612,142,793 | $1,278,054,195 | $444,862,760 | $116,748,369 | |||
Shares outstanding | 14,900,000 | 33,250,000 | 9,350,000 | 2,550,000 | |||
Net Asset Value per share | $ 41.08 | $ 38.44 | $ 47.58 | $ 45.78 | |||
Investments at cost – Unaffiliated issuers | $569,049,523 | $1,222,338,336 | $431,452,966 | $109,660,524 | |||
Investments at cost – Fidelity Central Funds | 18,216,163 | 18,802,750 | 2,875,458 | 1,185,130 | |||
Investments at cost | $587,265,686 | $1,241,141,086 | $434,328,424 | $110,845,654 |
Annual Report | 72 |
Fidelity
Quality Factor ETF |
Fidelity
Small-Mid Multifactor ETF |
Fidelity
Stocks for Inflation ETF |
Fidelity
U.S. Multifactor ETF | ||||
Assets | |||||||
Investments in securities, at value (including securities loaned of $3,519,772, $1,024,664, $— and $—, respectively) – See accompanying schedule: | |||||||
Unaffiliated issuers | $266,108,712 | $71,837,640 | $260,064,683 | $14,654,488 | |||
Fidelity Central Funds | 3,815,956 | 1,113,599 | 111,694 | — | |||
Total Investments in Securities | $269,924,668 | $72,951,239 | $260,176,377 | $14,654,488 | |||
Segregated cash with brokers for derivative instruments | 17,850 | 5,500 | — | — | |||
Cash | 14,778 | 10,931 | 25,787 | 8,287 | |||
Foreign currency held at value (cost $—, $40, $— and $—, respectively) | — | 42 | — | — | |||
Receivable for fund shares sold | 2,378,688 | — | — | — | |||
Dividends receivable | 309,563 | 29,495 | 236,761 | 16,980 | |||
Receivable for daily variation margin on futures contracts | 5,100 | 625 | — | — | |||
Distributions receivable from Fidelity Central Funds | 7,774 | 1,114 | 141 | — | |||
Total assets | 272,658,421 | 72,998,946 | 260,439,066 | 14,679,755 | |||
Liabilities | |||||||
Payable for investments purchased | 2,359,777 | — | — | — | |||
Accrued management fees | 60,560 | 15,891 | 60,337 | 3,368 | |||
Collateral on securities loaned, at value | 3,524,275 | 1,034,050 | — | — | |||
Total liabilities | 5,944,612 | 1,049,941 | 60,337 | 3,368 | |||
Net Assets | $266,713,809 | $71,949,005 | $260,378,729 | $14,676,387 | |||
Net Assets consist of: | |||||||
Paid in capital | $282,932,222 | $79,548,331 | $281,279,573 | $14,977,116 | |||
Total accumulated earnings (loss) | (16,218,413) | (7,599,326) | (20,900,844) | (300,729) | |||
Net Assets | $266,713,809 | $71,949,005 | $260,378,729 | $14,676,387 | |||
Shares outstanding | 5,550,000 | 2,200,000 | 8,200,000 | 600,000 | |||
Net Asset Value per share | $ 48.06 | $ 32.70 | $ 31.75 | $ 24.46 | |||
Investments at cost – Unaffiliated issuers | $263,912,490 | $73,612,535 | $274,088,935 | $14,548,443 | |||
Investments at cost – Fidelity Central Funds | 3,815,956 | 1,113,599 | 111,694 | — | |||
Investments at cost | $267,728,446 | $74,726,134 | $274,200,629 | $14,548,443 |
73 | Annual Report |
Fidelity
Value Factor ETF | |
Assets | |
Investments in securities, at value (including securities loaned of $886,875) – See accompanying schedule: | |
Unaffiliated issuers | $498,724,665 |
Fidelity Central Funds | 1,308,861 |
Total Investments in Securities | $500,033,526 |
Segregated cash with brokers for derivative instruments | 32,550 |
Cash | — |
Foreign currency held at value (cost $—) | — |
Receivable for fund shares sold | — |
Dividends receivable | 545,998 |
Receivable for daily variation margin on futures contracts | 9,300 |
Distributions receivable from Fidelity Central Funds | 530 |
Total assets | 500,621,904 |
Liabilities | |
Payable for investments purchased | — |
Accrued management fees | 114,552 |
Collateral on securities loaned, at value | 834,375 |
Total liabilities | 948,927 |
Net Assets | $499,672,977 |
Net Assets consist of: | |
Paid in capital | $542,074,216 |
Total accumulated earnings (loss) | (42,401,239) |
Net Assets | $499,672,977 |
Shares outstanding | 10,800,000 |
Net Asset Value per share | $ 46.27 |
Investments at cost – Unaffiliated issuers | $503,936,690 |
Investments at cost – Fidelity Central Funds | 1,308,861 |
Investments at cost | $505,245,551 |
Annual Report | 74 |
Fidelity
Dividend ETF For Rising Rates |
Fidelity
High Dividend ETF |
Fidelity
Low Volatility Factor ETF |
Fidelity
Momentum Factor ETF | ||||
Investment Income | |||||||
Dividends | $ 16,000,940 | $ 37,957,376 | $ 7,402,653 | $ 1,381,401 | |||
Non-Cash dividends | — | — | — | — | |||
Interest | 280 | 520 | 111 | 28 | |||
Income from Fidelity Central Funds (including $79,206, $62,843, $1,790 and $9,717, from security lending, respectively) | 82,436 | 71,207 | 4,590 | 10,359 | |||
Total income | 16,083,656 | 38,029,103 | 7,407,354 | 1,391,788 | |||
Expenses | |||||||
Management fees | 1,646,543 | 3,240,024 | 1,375,843 | 344,252 | |||
Independent trustees' fees and expenses | 1,823 | 3,609 | 1,579 | 407 | |||
Interest | 434 | 666 | — | — | |||
Total expenses before reductions | 1,648,800 | 3,244,299 | 1,377,422 | 344,659 | |||
Expense reductions | (7) | (3) | (14) | (17) | |||
Total expenses | 1,648,793 | 3,244,296 | 1,377,408 | 344,642 | |||
Net investment income (loss) | 14,434,863 | 34,784,807 | 6,029,946 | 1,047,146 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (11,470,096) | (18,937,886) | (7,423,941) | (13,764,660) | |||
Net realized gain (loss) on In-kind redemptions | 28,658,945 | 115,017,417 | 64,909,434 | 23,173,071 | |||
Net realized gain (loss) on futures contracts | (298,585) | (748,019) | (84,720) | (19,895) | |||
Net realized gain (loss) on foreign currency transactions | (116,454) | (273,833) | — | — | |||
Total net realized gain (loss) | 16,773,810 | 95,057,679 | 57,400,773 | 9,388,516 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (47,749,689) | (104,209,767) | (66,450,186) | (18,451,246) | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | — | — | — | — | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 35,166 | 195,381 | 98,068 | 3,131 | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | (26,397) | (15,491) | — | — | |||
Total change in net unrealized appreciation (depreciation) | (47,740,920) | (104,029,877) | (66,352,118) | (18,448,115) | |||
Net gain (loss) | (30,967,110) | (8,972,198) | (8,951,345) | (9,059,599) | |||
Net increase (decrease) in net assets resulting from operations | $ (16,532,247) | $ 25,812,609 | $ (2,921,399) | $ (8,012,453) |
75 | Annual Report |
Fidelity
Quality Factor ETF |
Fidelity
Small-Mid Multifactor ETF |
Fidelity
Stocks for Inflation ETF |
Fidelity
U.S. Multifactor ETF | ||||
Investment Income | |||||||
Dividends | $ 4,013,771 | $ 1,019,032 | $ 3,126,298 | $ 279,127 | |||
Non-Cash dividends | — | 56,521 | — | — | |||
Interest | 70 | 27 | — | — | |||
Income from Fidelity Central Funds (including $26,297, $4,504, $— and $—, from security lending, respectively) | 27,769 | 5,229 | 539 | 8 | |||
Total income | 4,041,610 | 1,080,809 | 3,126,837 | 279,135 | |||
Expenses | |||||||
Management fees | 725,142 | 191,674 | 461,951 | 42,168 | |||
Independent trustees' fees and expenses | 810 | 217 | 449 | 46 | |||
Interest | — | — | — | — | |||
Total expenses before reductions | 725,952 | 191,891 | 462,400 | 42,214 | |||
Expense reductions | (21) | (16) | (13) | (9) | |||
Total expenses | 725,931 | 191,875 | 462,387 | 42,205 | |||
Net investment income (loss) | 3,315,679 | 888,934 | 2,664,450 | 236,930 | |||
Realized and Unrealized Gain (Loss) | |||||||
Net realized gain (loss) on investment securities | (4,455,052) | (4,409,380) | (6,951,751) | (337,879) | |||
Net realized gain (loss) on In-kind redemptions | 35,610,910 | 9,757,165 | 11,336,462 | 770,929 | |||
Net realized gain (loss) on futures contracts | (101,657) | (41,579) | — | — | |||
Net realized gain (loss) on foreign currency transactions | — | (4) | — | — | |||
Total net realized gain (loss) | 31,054,201 | 5,306,202 | 4,384,711 | 433,050 | |||
Change in net unrealized appreciation (depreciation) on investment securities | (49,845,816) | (9,621,088) | (16,922,706) | (1,195,944) | |||
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | (1) | — | — | — | |||
Change in net unrealized appreciation (depreciation) on futures contracts | 27,369 | 8,862 | — | — | |||
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — | (1) | — | — | |||
Total change in net unrealized appreciation (depreciation) | (49,818,448) | (9,612,227) | (16,922,706) | (1,195,944) | |||
Net gain (loss) | (18,764,247) | (4,306,025) | (12,537,995) | (762,894) | |||
Net increase (decrease) in net assets resulting from operations | $(15,448,568) | $ (3,417,091) | $ (9,873,545) | $ (525,964) |
Annual Report | 76 |
Fidelity
Value Factor ETF | |
Investment Income | |
Dividends | $ 9,113,199 |
Non-Cash dividends | — |
Interest | 153 |
Income from Fidelity Central Funds (including $18,946 from security lending) | 21,440 |
Total income | 9,134,792 |
Expenses | |
Management fees | 1,390,110 |
Independent trustees' fees and expenses | 1,551 |
Interest | — |
Total expenses before reductions | 1,391,661 |
Expense reductions | (16) |
Total expenses | 1,391,645 |
Net investment income (loss) | 7,743,147 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss) on investment securities | (13,045,847) |
Net realized gain (loss) on In-kind redemptions | 68,934,700 |
Net realized gain (loss) on futures contracts | (182,873) |
Net realized gain (loss) on foreign currency transactions | — |
Total net realized gain (loss) | 55,705,980 |
Change in net unrealized appreciation (depreciation) on investment securities | (90,040,912) |
Change in net unrealized appreciation (depreciation) on Fidelity Central Funds | — |
Change in net unrealized appreciation (depreciation) on futures contracts | 40,189 |
Change in net unrealized appreciation (depreciation) on assets and liabilities in foreign currencies | — |
Total change in net unrealized appreciation (depreciation) | (90,000,723) |
Net gain (loss) | (34,294,743) |
Net increase (decrease) in net assets resulting from operations | $(26,551,596) |
77 | Annual Report |
Fidelity Dividend ETF For Rising Rates |
Fidelity High Dividend ETF | ||||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2022 |
Year
ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 14,434,863 | $ 8,784,728 | $ 34,784,807 | $ 21,768,395 | |||
Net realized gain (loss) | 16,773,810 | 8,411,727 | 95,057,679 | (873,727) | |||
Change in net unrealized appreciation (depreciation) | (47,740,920) | 90,284,912 | (104,029,877) | 217,287,166 | |||
Net increase (decrease) in net assets resulting from operations | (16,532,247) | 107,481,367 | 25,812,609 | 238,181,834 | |||
Distributions to shareholders | (14,425,400) | (8,481,250) | (36,931,550) | (21,671,400) | |||
Share transactions | |||||||
Proceeds from sales of shares | 291,688,328 | 124,130,292 | 758,176,457 | 317,619,142 | |||
Cost of shares redeemed | (138,676,589) | (15,358,454) | (521,124,909) | (2,802,769) | |||
Net increase (decrease) in net assets resulting from share transactions | 153,011,739 | 108,771,838 | 237,051,548 | 314,816,373 | |||
Total increase (decrease) in net assets | 122,054,092 | 207,771,955 | 225,932,607 | 531,326,807 | |||
Net Assets | |||||||
Beginning of year | 490,088,701 | 282,316,746 | 1,052,121,588 | 520,794,781 | |||
End of year | $ 612,142,793 | $490,088,701 | $1,278,054,195 | $1,052,121,588 | |||
Other Information | |||||||
Shares | |||||||
Sold | 6,600,000 | 3,050,000 | 19,000,000 | 8,850,000 | |||
Redeemed | (3,200,000) | (450,000) | (13,400,000) | (100,000) | |||
Net increase (decrease) | 3,400,000 | 2,600,000 | 5,600,000 | 8,750,000 |
Annual Report | 78 |
Fidelity Low Volatility Factor ETF |
Fidelity Momentum Factor ETF | ||||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2022 |
Year
ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 6,029,946 | $ 5,379,525 | $ 1,047,146 | $ 655,181 | |||
Net realized gain (loss) | 57,400,773 | 26,847,966 | 9,388,516 | 15,466,576 | |||
Change in net unrealized appreciation (depreciation) | (66,352,118) | 72,820,962 | (18,448,115) | 11,929,637 | |||
Net increase (decrease) in net assets resulting from operations | (2,921,399) | 105,048,453 | (8,012,453) | 28,051,394 | |||
Distributions to shareholders | (5,937,600) | (5,363,100) | (999,550) | (712,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 286,611,056 | 269,729,319 | 86,253,555 | 112,430,208 | |||
Cost of shares redeemed | (344,785,919) | (208,226,111) | (117,256,850) | (71,334,762) | |||
Net increase (decrease) in net assets resulting from share transactions | (58,174,863) | 61,503,208 | (31,003,295) | 41,095,446 | |||
Total increase (decrease) in net assets | (67,033,862) | 161,188,561 | (40,015,298) | 68,434,840 | |||
Net Assets | |||||||
Beginning of year | 511,896,622 | 350,708,061 | 156,763,667 | 88,328,827 | |||
End of year | $ 444,862,760 | $ 511,896,622 | $ 116,748,369 | $156,763,667 | |||
Other Information | |||||||
Shares | |||||||
Sold | 5,950,000 | 6,300,000 | 1,700,000 | 2,500,000 | |||
Redeemed | (7,100,000) | (4,950,000) | (2,300,000) | (1,600,000) | |||
Net increase (decrease) | (1,150,000) | 1,350,000 | (600,000) | 900,000 |
79 | Annual Report |
Fidelity Quality Factor ETF |
Fidelity Small-Mid Multifactor ETF | ||||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2022 |
Year
ended July 31, 2021 | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 3,315,679 | $ 2,456,845 | $ 888,934 | $ 529,744 | |||
Net realized gain (loss) | 31,054,201 | 8,878,028 | 5,306,202 | 5,851,497 | |||
Change in net unrealized appreciation (depreciation) | (49,818,448) | 43,078,149 | (9,612,227) | 6,938,993 | |||
Net increase (decrease) in net assets resulting from operations | (15,448,568) | 54,413,022 | (3,417,091) | 13,320,234 | |||
Distributions to shareholders | (3,437,350) | (2,471,800) | (905,700) | (586,000) | |||
Share transactions | |||||||
Proceeds from sales of shares | 184,056,355 | 107,535,102 | 67,940,474 | 56,891,867 | |||
Cost of shares redeemed | (144,177,423) | (60,777,523) | (59,607,816) | (20,803,647) | |||
Net increase (decrease) in net assets resulting from share transactions | 39,878,932 | 46,757,579 | 8,332,658 | 36,088,220 | |||
Total increase (decrease) in net assets | 20,993,014 | 98,698,801 | 4,009,867 | 48,822,454 | |||
Net Assets | |||||||
Beginning of year | 245,720,795 | 147,021,994 | 67,939,138 | 19,116,684 | |||
End of year | $ 266,713,809 | $245,720,795 | $ 71,949,005 | $ 67,939,138 | |||
Other Information | |||||||
Shares | |||||||
Sold | 3,600,000 | 2,400,000 | 2,000,000 | 1,900,000 | |||
Redeemed | (2,850,000) | (1,450,000) | (1,800,000) | (700,000) | |||
Net increase (decrease) | 750,000 | 950,000 | 200,000 | 1,200,000 |
Annual Report | 80 |
Fidelity Stocks for Inflation ETF |
Fidelity U.S. Multifactor ETF | ||||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2022 |
Year
ended July 31, 2021A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 2,664,450 | $ 166,284 | $ 236,930 | $ 98,616 | |||
Net realized gain (loss) | 4,384,711 | 448,093 | 433,050 | 555,355 | |||
Change in net unrealized appreciation (depreciation) | (16,922,706) | 3,036,951 | (1,195,944) | 1,301,989 | |||
Net increase (decrease) in net assets resulting from operations | (9,873,545) | 3,651,328 | (525,964) | 1,955,960 | |||
Distributions to shareholders | (2,544,600) | (220,000) | (235,000) | (135,400) | |||
Share transactions | |||||||
Proceeds from sales of shares | 327,785,389 | 43,042,176 | 9,088,569 | 14,155,302 | |||
Cost of shares redeemed | (101,071,269) | (4,000,783) | (5,142,624) | (4,484,456) | |||
Net increase (decrease) in net assets resulting from share transactions | 226,714,120 | 39,041,393 | 3,945,945 | 9,670,846 | |||
Total increase (decrease) in net assets | 214,295,975 | 42,472,721 | 3,184,981 | 11,491,406 | |||
Net Assets | |||||||
Beginning of year | 46,082,754 | 3,610,033 | 11,491,406 | — | |||
End of year | $ 260,378,729 | $46,082,754 | $14,676,387 | $11,491,406 | |||
Other Information | |||||||
Shares | |||||||
Sold | 9,900,000 | 1,500,000 | 350,000 | 650,000 | |||
Redeemed | (3,200,000) | (150,000) | (200,000) | (200,000) | |||
Net increase (decrease) | 6,700,000 | 1,350,000 | 150,000 | 450,000 |
A | For the period September 15, 2020 (commencement of operations) to July 31, 2021. |
81 | Annual Report |
Fidelity Value Factor ETF | |||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 | ||
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income (loss) | $ 7,743,147 | $ 4,474,089 | |
Net realized gain (loss) | 55,705,980 | 4,981,984 | |
Change in net unrealized appreciation (depreciation) | (90,000,723) | 90,885,205 | |
Net increase (decrease) in net assets resulting from operations | (26,551,596) | 100,341,278 | |
Distributions to shareholders | (7,920,650) | (4,318,450) | |
Share transactions | |||
Proceeds from sales of shares | 409,246,223 | 236,163,931 | |
Cost of shares redeemed | (325,370,322) | (71,833,308) | |
Net increase (decrease) in net assets resulting from share transactions | 83,875,901 | 164,330,623 | |
Total increase (decrease) in net assets | 49,403,655 | 260,353,451 | |
Net Assets | |||
Beginning of year | 450,269,322 | 189,915,871 | |
End of year | $ 499,672,977 | $450,269,322 | |
Other Information | |||
Shares | |||
Sold | 8,250,000 | 5,450,000 | |
Redeemed | (6,650,000) | (1,700,000) | |
Net increase (decrease) | 1,600,000 | 3,750,000 |
Annual Report | 82 |
Fidelity Dividend ETF For Rising Rates | |||||||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2020 |
Year
ended July 31, 2019 |
Year
ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 42.62 | $ 31.72 | $ 32.31 | $ 31.54 | $ 28.50 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 1.08 | 0.93 | 1.01 | 1.07 | 0.93 | ||||
Net realized and unrealized gain (loss) | (1.54) | 10.85 | (0.56) | 0.79 | 3.03 | ||||
Total from investment operations | (0.46) | 11.78 | 0.45 | 1.86 | 3.96 | ||||
Distributions from net investment income | (1.08) | (0.88) | (1.04) | (1.09) | (0.92) | ||||
Total distributions | (1.08) | (0.88) | (1.04) | (1.09) | (0.92) | ||||
Net asset value, end of period | $ 41.08 | $ 42.62 | $ 31.72 | $ 32.31 | $ 31.54 | ||||
Total ReturnC,D | (1.06)% | 37.57% | 1.86% | 6.09% | 14.04% | ||||
Ratios to Average Net AssetsA,E,F | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | 2.54% | 2.44% | 3.15% | 3.42% | 3.08% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $612,143 | $490,089 | $282,317 | $360,229 | $346,896 | ||||
Portfolio turnover rateG,H | 28% | 32% | 35% | 35% | 38% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, 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. |
F | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
83 | Annual Report |
Fidelity High Dividend ETF | |||||||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2020 |
Year
ended July 31, 2019 |
Year
ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 38.05 | $ 27.56 | $ 30.12 | $ 30.15 | $ 26.98 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 1.21 | 1.02 | 1.10 | 1.23 | 1.09 | ||||
Net realized and unrealized gain (loss) | 0.44 C | 10.48 | (2.52) | (0.03) | 3.21 | ||||
Total from investment operations | 1.65 | 11.50 | (1.42) | 1.20 | 4.30 | ||||
Distributions from net investment income | (1.26) | (1.01) | (1.14) | (1.23) | (1.12) | ||||
Distributions from net realized gain | — | — | — | — | (0.01) | ||||
Total distributions | (1.26) | (1.01) | (1.14) | (1.23) | (1.13) | ||||
Net asset value, end of period | $ 38.44 | $ 38.05 | $ 27.56 | $ 30.12 | $ 30.15 | ||||
Total ReturnD,E | 4.43% | 42.42% | (4.54)% | 4.16% | 16.23% | ||||
Ratios to Average Net AssetsA,F,G | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | 3.11% | 3.04% | 3.85% | 4.15% | 3.80% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $1,278,054 | $1,052,122 | $520,795 | $362,952 | $171,835 | ||||
Portfolio turnover rateH,I | 38% | 32% | 49% | 50% | 53% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | The 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 share transactions in relation to fluctuating market values of the investments of a Fund. |
D | Based on net asset value. |
E | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
F | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, 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. |
G | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
H | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
I | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 84 |
Fidelity Low Volatility Factor ETF | |||||||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2020 |
Year
ended July 31, 2019 |
Year
ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 48.75 | $ 38.33 | $ 36.37 | $ 32.40 | $ 28.19 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.62 | 0.56 | 0.62 | 0.62 | 0.53 | ||||
Net realized and unrealized gain (loss) | (1.17) | 10.43 | 1.95 | 3.92 | 4.20 | ||||
Total from investment operations | (0.55) | 10.99 | 2.57 | 4.54 | 4.73 | ||||
Distributions from net investment income | (0.62) | (0.57) | (0.61) | (0.57) | (0.52) | ||||
Total distributions | (0.62) | (0.57) | (0.61) | (0.57) | (0.52) | ||||
Net asset value, end of period | $ 47.58 | $ 48.75 | $ 38.33 | $ 36.37 | $ 32.40 | ||||
Total ReturnC,D | (1.12)% | 28.90% | 7.29% | 14.20% | 16.89% | ||||
Ratios to Average Net AssetsA,E,F | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | 1.27% | 1.31% | 1.69% | 1.83% | 1.73% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $444,863 | $511,897 | $350,708 | $245,502 | $66,420 | ||||
Portfolio turnover rateG,H | 28% | 46% | 31% | 36% | 31% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, 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. |
F | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
85 | Annual Report |
Fidelity Momentum Factor ETF | |||||||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2020 |
Year
ended July 31, 2019 |
Year
ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 49.77 | $ 39.26 | $ 35.80 | $ 33.58 | $ 28.60 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.43 | 0.25 | 0.42 | 0.40 | 0.36 | ||||
Net realized and unrealized gain (loss) | (4.01) | 10.54 | 3.47 | 2.22 | 4.97 | ||||
Total from investment operations | (3.58) | 10.79 | 3.89 | 2.62 | 5.33 | ||||
Distributions from net investment income | (0.41) | (0.28) | (0.43) | (0.40) | (0.35) | ||||
Total distributions | (0.41) | (0.28) | (0.43) | (0.40) | (0.35) | ||||
Net asset value, end of period | $ 45.78 | $ 49.77 | $ 39.26 | $ 35.80 | $ 33.58 | ||||
Total ReturnC,D | (7.20)% | 27.58% | 11.06% | 7.91% | 18.72% | ||||
Ratios to Average Net AssetsA,E,F | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | .88% | .55% | 1.18% | 1.18% | 1.14% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $116,748 | $156,764 | $88,329 | $121,736 | $95,702 | ||||
Portfolio turnover rateG,H | 123% | 128% | 138% | 133% | 125% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, 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. |
F | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
Annual Report | 86 |
Fidelity Quality Factor ETF | |||||||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2020 |
Year
ended July 31, 2019 |
Year
ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 51.19 | $ 38.19 | $ 35.28 | $ 33.47 | $ 29.11 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.67 | 0.62 | 0.62 | 0.58 | 0.53 | ||||
Net realized and unrealized gain (loss) | (3.10) | 13.00 | 2.90 | 1.77 | 4.38 | ||||
Total from investment operations | (2.43) | 13.62 | 3.52 | 2.35 | 4.91 | ||||
Distributions from net investment income | (0.70) | (0.62) | (0.61) | (0.54) | (0.55) | ||||
Total distributions | (0.70) | (0.62) | (0.61) | (0.54) | (0.55) | ||||
Net asset value, end of period | $ 48.06 | $ 51.19 | $ 38.19 | $ 35.28 | $ 33.47 | ||||
Total ReturnC,D | (4.79)% | 36.00% | 10.26% | 7.14% | 16.95% | ||||
Ratios to Average Net AssetsA,E,F | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | 1.33% | 1.39% | 1.74% | 1.72% | 1.66% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $266,714 | $245,721 | $147,022 | $162,282 | $65,259 | ||||
Portfolio turnover rateG,H | 38% | 35% | 41% | 29% | 30% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, 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. |
F | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
87 | Annual Report |
Fidelity Small-Mid Multifactor ETF | |||||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2020 |
Year
ended July 31, 2019A | ||||
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 33.97 | $ 23.90 | $ 25.50 | $24.85 | |||
Income from Investment Operations | |||||||
Net investment income (loss)B,C | 0.45 | 0.38 | 0.31 | 0.18 | |||
Net realized and unrealized gain (loss) | (1.26) | 10.11 | (1.58) | 0.64 | |||
Total from investment operations | (0.81) | 10.49 | (1.27) | 0.82 | |||
Distributions from net investment income | (0.46) | (0.42) | (0.33) | (0.17) | |||
Total distributions | (0.46) | (0.42) | (0.33) | (0.17) | |||
Net asset value, end of period | $ 32.70 | $ 33.97 | $ 23.90 | $25.50 | |||
Total ReturnD,E,F | (2.35)% | 44.21% | (4.90)% | 3.35% | |||
Ratios to Average Net AssetsB,G,H | |||||||
Expenses before reductions | .29% | .29% | .29% | .29% I | |||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% I | |||
Expenses net of all reductions | .29% | .29% | .29% | .29% I | |||
Net investment income (loss) | 1.35% | 1.23% | 1.32% | 1.70% I | |||
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $71,949 | $67,939 | $19,117 | $7,650 | |||
Portfolio turnover rateJ,K | 60% | 61% | 52% | 2% L |
A | For the period February 26, 2019 (commencement of operations) to July 31, 2019. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
D | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
F | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
G | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
H | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
I | Annualized. |
J | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
K | Portfolio turnover rate excludes securities received or delivered in-kind. |
L | Amount not annualized. |
Annual Report | 88 |
Fidelity Stocks for Inflation ETF | |||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2020A | |||
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 30.72 | $ 24.07 | $24.94 | ||
Income from Investment Operations | |||||
Net investment income (loss)B,C | 0.54 | 0.39 | 0.38 | ||
Net realized and unrealized gain (loss) | 1.00 D | 7.08 | (0.90) | ||
Total from investment operations | 1.54 | 7.47 | (0.52) | ||
Distributions from net investment income | (0.51) | (0.82) | (0.35) | ||
Total distributions | (0.51) | (0.82) | (0.35) | ||
Net asset value, end of period | $ 31.75 | $ 30.72 | $24.07 | ||
Total ReturnE,F,G | 5.03% | 31.78% | (1.88)% | ||
Ratios to Average Net AssetsB,H,I | |||||
Expenses before reductions | .29% | .29% | .29% J,K | ||
Expenses net of fee waivers, if any | .29% | .29% | .29% J,K | ||
Expenses net of all reductions | .29% | .29% | .29% J,K | ||
Net investment income (loss) | 1.68% | 1.34% | 2.16% J,K | ||
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $260,379 | $46,083 | $3,610 | ||
Portfolio turnover rateL,M | 76% | 52% | 65% N |
A | For the period November 5, 2019 (commencement of operations) to July 31, 2020. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
D | The 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 share transactions in relation to fluctuating market values of the investments of a Fund. |
E | Based on net asset value. |
F | Total returns for periods of less than one year are not annualized. |
G | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
H | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
I | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
J | Annualized. |
K | Proxy expenses are not annualized. |
L | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
M | Portfolio turnover rate excludes securities received or delivered in-kind. |
N | Amount not annualized. |
89 | Annual Report |
Fidelity U.S. Multifactor ETF | |||
Year
ended July 31, 2022 |
Year
ended July 31, 2021A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 25.54 | $ 20.09 | |
Income from Investment Operations | |||
Net investment income (loss)B,C | 0.41 | 0.31 D | |
Net realized and unrealized gain (loss) | (1.09) | 5.62 | |
Total from investment operations | (0.68) | 5.93 | |
Distributions from net investment income | (0.40) | (0.48) | |
Total distributions | (0.40) | (0.48) | |
Net asset value, end of period | $ 24.46 | $ 25.54 | |
Total ReturnE,F,G | (2.64)% | 29.94% | |
Ratios to Average Net AssetsB,H,I | |||
Expenses before reductions | .29% | .29% J | |
Expenses net of fee waivers, if any | .29% | .29% J | |
Expenses net of all reductions | .29% | .29% J | |
Net investment income (loss) | 1.63% | 1.56% D,J | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $14,676 | $11,491 | |
Portfolio turnover rateK,L | 46% | 30% M |
A | For the period September 15, 2020 (commencement of operations) to July 31, 2021. |
B | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
C | Calculated based on average shares outstanding during the period. |
D | Net investment income per share reflects one or more large, non-recurring dividend(s) which amounted to $0.05 per share. Excluding such non-recurring dividend(s), the ratio of net investment income (loss) to average net assets would have been 1.33%. |
E | Based on net asset value. |
F | Total returns for periods of less than one year are not annualized. |
G | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
H | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, brokerage services, or other offset arrangements, if applicable, and do not represent the amount paid by the class during periods when reimbursements, waivers or reductions occur. |
I | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
J | Annualized. |
K | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
L | Portfolio turnover rate excludes securities received or delivered in-kind. |
M | Amount not annualized. |
Annual Report | 90 |
Fidelity Value Factor ETF | |||||||||
Year
ended July 31, 2022 |
Year
ended July 31, 2021 |
Year
ended July 31, 2020 |
Year
ended July 31, 2019 |
Year
ended July 31, 2018 | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 48.94 | $ 34.85 | $ 34.53 | $ 33.90 | $ 29.72 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)A,B | 0.79 | 0.64 | 0.73 | 0.70 | 0.58 | ||||
Net realized and unrealized gain (loss) | (2.65) | 14.07 | 0.28 | 0.59 | 4.18 | ||||
Total from investment operations | (1.86) | 14.71 | 1.01 | 1.29 | 4.76 | ||||
Distributions from net investment income | (0.81) | (0.62) | (0.69) | (0.66) | (0.58) | ||||
Total distributions | (0.81) | (0.62) | (0.69) | (0.66) | (0.58) | ||||
Net asset value, end of period | $ 46.27 | $ 48.94 | $ 34.85 | $ 34.53 | $ 33.90 | ||||
Total ReturnC,D | (3.86)% | 42.56% | 3.12% | 3.95% | 16.11% | ||||
Ratios to Average Net AssetsA,E,F | |||||||||
Expenses before reductions | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of fee waivers, if any | .29% | .29% | .29% | .29% | .30% | ||||
Expenses net of all reductions | .29% | .29% | .29% | .29% | .30% | ||||
Net investment income (loss) | 1.61% | 1.50% | 2.13% | 2.09% | 1.79% | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $499,673 | $450,269 | $189,916 | $136,403 | $86,450 | ||||
Portfolio turnover rateG,H | 46% | 42% | 45% | 31% | 38% |
A | Net investment income (loss) is affected by the timing of the declaration of dividends by any underlying mutual funds or exchange-traded funds (ETFs). Net investment income (loss) of any such underlying funds is not included in the Fund's net investment income (loss) ratio. |
B | Calculated based on average shares outstanding during the period. |
C | Based on net asset value. |
D | Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown. |
E | Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed, waived, or reduced through arrangements with the investment advisor, 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. |
F | Fees and expenses of any underlying mutual funds or exchange-traded funds (ETFs) are not included in the Fund’s expense ratio. The Fund indirectly bears its proportionate share of these expenses. For additional expense information related to investments in Fidelity Central Funds, please refer to the "Investments in Fidelity Central Funds" note found in the Notes to Financial Statements section of the most recent Annual or Semi-Annual report. |
G | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
H | Portfolio turnover rate excludes securities received or delivered in-kind. |
91 | Annual Report |
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Money Market Central Funds | Fidelity Management & Research Company LLC (FMR) | Each fund seeks to obtain a high level of current income consistent with the preservation of capital and liquidity. | Short-term Investments | Less than .005% |
Annual Report | 92 |
93 | Annual Report |
Tax cost | Gross
unrealized appreciation |
Gross
unrealized depreciation |
Net
unrealized appreciation (depreciation) | |
Fidelity Dividend ETF for Rising Rates | $ 589,043,295 | $ 77,187,822 | $ (37,240,809) | $ 39,947,013 |
Fidelity High Dividend ETF | 1,245,302,434 | 124,020,134 | (76,507,164) | 47,512,970 |
Fidelity Low Volatility Factor ETF | 434,480,629 | 38,872,207 | (27,132,151) | 11,740,056 |
Fidelity Momentum Factor ETF | 110,904,010 | 11,319,248 | (4,570,849) | 6,748,399 |
Fidelity Quality Factor ETF | 267,874,052 | 17,946,634 | (15,896,018) | 2,050,616 |
Fidelity Small-Mid Multifactor ETF | 74,895,844 | 4,035,078 | (5,979,683) | (1,944,605) |
Fidelity Stocks for Inflation ETF | 274,427,708 | 4,365,544 | (18,616,875) | (14,251,331) |
Fidelity U.S. Multifactor ETF | 14,566,909 | 972,434 | (884,855) | 87,579 |
Fidelity Value Factor ETF | 505,672,354 | 34,211,619 | (39,850,447) | (5,638,828) |
Undistributed
ordinary income |
Undistributed capital gains | Capital
loss carryforward |
Net
unrealized appreciation (depreciation) | |
Fidelity Dividend ETF for Rising Rates | $ 220,380 | $ — | $ (37,105,723) | $ 39,918,913 |
Fidelity High Dividend ETF | — | — | (48,478,976) | 47,503,603 |
Fidelity Low Volatility Factor ETF | 226,741 | — | (32,840,340) | 11,739,987 |
Fidelity Momentum Factor ETF | 47,596 | — | (26,468,636) | 6,748,399 |
Fidelity Quality Factor ETF | 13,689 | — | (18,282,717) | 2,050,615 |
Fidelity Small-Mid Multifactor ETF | — | — | (5,654,648) | (1,944,603) |
Fidelity Stocks for Inflation ETF | 128,534 | — | (6,778,047) | (14,251,331) |
Fidelity U.S. Multifactor ETF | 1,930 | — | (390,238) | 87,579 |
Fidelity Value Factor ETF | 150,701 | — | (36,913,111) | (5,638,829) |
Short-term | Long-term | Total
capital loss carryforward | |
Fidelity Dividend ETF for Rising Rates | $ (17,164,602) | $ (19,941,121) | $ (37,105,723) |
Fidelity High Dividend ETF | (22,272,452) | (26,206,524) | (48,478,976) |
Fidelity Low Volatility Factor ETF | (23,273,269) | (9,567,071) | (32,840,340) |
Fidelity Momentum Factor ETF | (26,468,636) | — | (26,468,636) |
Fidelity Quality Factor ETF | (13,340,917) | (4,941,800) | (18,282,717) |
Fidelity Small-Mid Multifactor ETF | (5,086,857) | (567,791) | (5,654,648) |
Fidelity Stocks for Inflation ETF | (6,778,047) | — | (6,778,047) |
Fidelity U.S. Multifactor ETF | (371,399) | (18,839) | (390,238) |
Fidelity Value Factor ETF | (23,339,017) | (13,574,094) | (36,913,111) |
Annual Report | 94 |
Ordinary Losses | |
Fidelity High Dividend ETF | $ (246,968) |
Fidelity Small-Mid Multifactor ETF | (75) |
July 31, 2022 | ||||
Ordinary
Income |
Long-Term
Capital Gain |
Tax
Return Of Capital |
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 |
July 31, 2021 | ||||
Fidelity Dividend ETF for Rising Rates | $ 8,481,250 | $ — | $ — | $ 8,481,250 |
Fidelity High Dividend ETF | 21,671,400 | — | — | 21,671,400 |
Fidelity Low Volatility Factor ETF | 5,363,100 | — | — | 5,363,100 |
Fidelity Momentum Factor ETF | 712,000 | — | — | 712,000 |
Fidelity Quality Factor ETF | 2,471,800 | — | — | 2,471,800 |
Fidelity Small-Mid Multifactor ETF | 586,000 | — | — | 586,000 |
Fidelity Stocks for Inflation ETF | 220,000 | — | — | 220,000 |
Fidelity U.S. Multifactor ETFA | 135,400 | — | — | 135,400 |
Fidelity Value Factor ETF | 4,318,450 | — | — | 4,318,450 |
A | For the period September 15, 2020 (commencement of operations) through July 31, 2021. |
95 | Annual Report |
Purchases ($) | Sales ($) | |
Fidelity Dividend ETF for Rising Rates | 164,729,644 | 158,060,172 |
Fidelity High Dividend ETF | 451,490,895 | 427,228,614 |
Fidelity Low Volatility Factor ETF | 132,476,398 | 132,665,616 |
Fidelity Momentum Factor ETF | 147,333,792 | 147,255,191 |
Fidelity Quality Factor ETF | 94,646,775 | 94,358,214 |
Fidelity Small-Mid Multifactor ETF | 40,252,981 | 39,745,169 |
Fidelity Stocks for Inflation ETF | 122,445,405 | 120,412,359 |
Fidelity U.S. Multifactor ETF | 6,683,918 | 6,611,687 |
Fidelity Value Factor ETF | 221,202,910 | 219,106,747 |
In-Kind
Subscriptions ($) |
In-Kind
Redemptions ($) | |
Fidelity Dividend ETF for Rising Rates | 284,875,887 | 137,581,750 |
Fidelity High Dividend ETF | 734,783,660 | 517,515,411 |
Fidelity Low Volatility Factor ETF | 284,231,727 | 342,548,918 |
Fidelity Momentum Factor ETF | 85,652,521 | 116,416,200 |
Fidelity Quality Factor ETF | 182,554,595 | 143,034,657 |
Fidelity Small-Mid Multifactor ETF | 67,211,300 | 59,192,455 |
Fidelity Stocks for Inflation ETF | 325,375,791 | 100,765,677 |
Fidelity U.S. Multifactor ETF | 8,994,580 | 5,101,328 |
Fidelity Value Factor ETF | 403,931,932 | 321,748,364 |
Annual Report | 96 |
Borrower or Lender | Average Loan Balance | Weighted Average Interest Rate | Interest Expense | |
Fidelity Dividend ETF for Rising Rates | Borrower | $ 9,929,200 | 0.32 % | $ 434 |
Fidelity High Dividend ETF | Borrower | 15,227,200 | 0.32 | 666 |
Amount | |
Fidelity Momentum Factor ETF | $ 8,246 |
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 | $ 8,684 | $ 702 | $ — |
Fidelity High Dividend ETF | 6,821 | 514 | — |
Fidelity Low Volatility Factor ETF | 178 | — | — |
Fidelity Momentum Factor ETF | 1,043 | — | — |
Fidelity Quality Factor ETF | 2,875 | 1,664 | — |
Fidelity Small-Mid Multifactor ETF | 450 | 843 | — |
Fidelity Value Factor ETF | 1,986 | — | — |
97 | Annual Report |
Amount | |
Fidelity Dividend ETF for Rising Rates | $ 7 |
Fidelity High Dividend ETF | 3 |
Fidelity Low Volatility Factor ETF | 14 |
Fidelity Momentum Factor ETF | 17 |
Fidelity Quality Factor ETF | 21 |
Fidelity Small-Mid Multifactor ETF | 16 |
Fidelity Stocks for Inflation ETF | 13 |
Fidelity U.S. Multifactor ETF | 9 |
Fidelity Value Factor ETF | 16 |
Annual Report | 98 |
Fund Name | Statements
of changes in net assets |
Fidelity Dividend ETF for Rising Rates | For the years ended July 31, 2022 and 2021 |
Fidelity High Dividend ETF | For the years ended July 31, 2022 and 2021 |
Fidelity Low Volatility Factor ETF | For the years ended July 31, 2022 and 2021 |
Fidelity Momentum Factor ETF | For the years ended July 31, 2022 and 2021 |
Fidelity Quality Factor ETF | For the years ended July 31, 2022 and 2021 |
Fidelity Small-Mid Multifactor ETF | For the years ended July 31, 2022 and 2021 |
Fidelity U.S. Multifactor ETF | For the year ended July 31, 2022 and for the period September 15, 2020 (commencement of operations) through July 31, 2021 |
Fidelity Value Factor ETF | For the years ended July 31, 2022 and 2021 |
99 | Annual Report |
Annual Report | 100 |
101 | Annual Report |
Annual Report | 102 |
103 | Annual Report |
Annual Report | 104 |
105 | Annual Report |
Annual Report | 106 |
107 | Annual Report |
Annualized
Expense RatioA |
Beginning
Account Value February 1, 2022 |
Ending
Account Value July 31, 2022 |
Expenses
Paid During PeriodB February 1, 2022 to July 31, 2022 | |
Fidelity Dividend ETF For Rising Rates | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity High Dividend ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Low Volatility Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Momentum Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Quality Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Small-Mid Multifactor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Stocks for Inflation ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 |
Annual Report | 108 |
Annualized
Expense RatioA |
Beginning
Account Value February 1, 2022 |
Ending
Account Value July 31, 2022 |
Expenses
Paid During PeriodB February 1, 2022 to July 31, 2022 | |
Fidelity U.S. Multifactor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 | |
Fidelity Value Factor ETF | 0.29% | |||
Actual | $ 1,000.00 | $ 1,000.00 | $ 1.44 | |
Hypothetical C | $ 1,000.00 | $ 1,023.36 | $ 1.45 |
A | Annualized expense ratio reflects expenses net of applicable fee waivers. |
B | 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. |
C | 5% return per year before expenses. |
109 | Annual Report |
September 2021 | December 2021 | March 2022 | June 2022 | |
Fidelity Dividend ETF for Rising Rates | 88% | 88% | 92% | 92% |
Fidelity High Dividend ETF | 76% | 76% | 76% | 76% |
Fidelity Low Volatility Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Momentum Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Quality Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Small-Mid Multifactor ETF | 100% | 100% | 100% | 100% |
Fidelity Stocks for Inflation ETF | 98% | 98% | 100% | 100% |
Fidelity U.S. Multifactor ETF | 98% | 98% | 100% | 100% |
Fidelity Value Factor ETF | 100% | 100% | 100% | 100% |
September 2021 | December 2021 | March 2022 | June 2022 | |
Fidelity Dividend ETF for Rising Rates | 100% | 100% | 100% | 100% |
Fidelity High Dividend ETF | 96% | 96% | 100% | 100% |
Fidelity Low Volatility Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Momentum Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Quality Factor ETF | 100% | 100% | 100% | 100% |
Fidelity Small-Mid Multifactor ETF | 100% | 100% | 100% | 100% |
Fidelity Stocks for Inflation ETF | 100% | 100% | 100% | 100% |
Fidelity U.S. Multifactor ETF | 100% | 100% | 100% | 100% |
Fidelity Value Factor ETF | 100% | 100% | 100% | 100% |
March 2021 | June 2021 | September 2021 | December 2021 | |
Fidelity High Dividend ETF | 6% | 6% | 4% | 4% |
Annual Report | 110 |
111 | Annual Report |
Annual Report | 112 |
Annual Report | 114 |
Annual Report | 116 |
117 | Annual Report |
Annual Report | 118 |
Annual Report | 120 |
Annual Report | 122 |
123 | Annual Report |
Annual Report | 124 |