Annual Report | 2 |
3 | Annual Report |
B | From June 14, 2018, 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 | 4 |
5 | Annual Report |
B | From June 17 2021, date initially listed on the CboeBZX exchange. |
* | Total returns are historical and include changes in share price and reinvestment of dividends and capital gains distributions, if any. |
7 | Annual Report |
Annual Report | 8 |
9 | Annual Report |
Annual Report | 10 |
Annual Report | 12 |
Annual Report | 14 |
Annual Report | 16 |
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, 2.33% | $7,567,723 | $121,388,959 | $121,438,255 | $58,327 | $— | $— | $7,518,427 | 0.0% |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Corporate Bonds | $ 264,207,030 | $ — | $ 264,207,030 | $ — | ||||
Money Market Funds | 7,518,427 | 7,518,427 | — | — | ||||
Total Investments in Securities: | $ 271,725,457 | $ 7,518,427 | $ 264,207,030 | $ — |
United States of America | 83.7% |
Canada | 6.2% |
Australia | 2.6% |
Panama | 1.0% |
Cayman Islands | 1.0% |
Others (Individually Less Than 1%) | 4.3% |
98.8% |
Annual Report | 18 |
19 | Annual Report |
Annual Report | 20 |
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, 2.33% | $90,574 | $28,054,177 | $26,978,865 | $7,225 | $— | $— | $1,165,886 | 0.0% |
Annual Report | 22 |
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||||||
Corporate Bonds | $ 21,993,575 | $ — | $ 21,993,575 | $ — | ||||
Preferred Stocks | 9,401,044 | 9,401,044 | — | — | ||||
Convertible Bonds | 296,380 | — | 296,380 | — | ||||
Money Market Funds | 1,165,886 | 1,165,886 | — | — | ||||
Total Investments in Securities: | $ 32,856,885 | $ 10,566,930 | $ 22,289,955 | $ — |
23 | Annual Report |
Fidelity
High Yield Factor ETF |
Fidelity
Preferred Securities & Income ETF | ||
Assets | |||
Investments in securities, at value – See accompanying schedule: | |||
Unaffiliated issuers | $264,207,030 | $31,690,999 | |
Fidelity Central Funds | 7,518,427 | 1,165,886 | |
Total Investments in Securities | $271,725,457 | $32,856,885 | |
Cash | 1,729,609 | — | |
Receivable for investments sold | |||
Regular delivery | — | 23,055 | |
Receivable for fund shares sold | 4,621,727 | — | |
Dividends receivable | — | 54,979 | |
Distributions receivable from Fidelity Central Funds | 24,187 | 1,839 | |
Interest receivable | 4,304,022 | 337,760 | |
Total assets | 282,405,002 | 33,274,518 | |
Liabilities | |||
Payable for investments purchased | |||
Regular delivery | 6,107,161 | 43,577 | |
Distributions payable | 1,200,000 | 145,600 | |
Accrued management fees | 101,944 | 16,692 | |
Total liabilities | 7,409,105 | 205,869 | |
Net Assets | $274,995,897 | $33,068,649 | |
Net Assets consist of: | |||
Paid in capital | $317,388,702 | $39,355,804 | |
Total accumulated earnings (loss) | (42,392,805) | (6,287,155) | |
Net Assets | $274,995,897 | $33,068,649 | |
Shares outstanding | 5,950,000 | 1,600,000 | |
Net Asset Value per share | $ 46.22 | $ 20.67 | |
Investments at cost – Unaffiliated issuers | $291,378,965 | $36,514,022 | |
Investments at cost – Fidelity Central Funds | 7,518,427 | 1,165,886 | |
Investments at cost | $298,897,392 | $37,679,908 |
Annual Report | 24 |
Fidelity
High Yield Factor ETF |
Fidelity
Preferred Securities & Income ETF | ||
Investment Income | |||
Dividends | $ — | $ 475,586 | |
Interest | 14,249,539 | 698,017 | |
Income from Fidelity Central Funds | 58,327 | 7,225 | |
Total income | 14,307,866 | 1,180,828 | |
Expenses | |||
Management fees | 1,264,754 | 152,416 | |
Independent trustees' fees and expenses | 931 | 73 | |
Total expenses before reductions | 1,265,685 | 152,489 | |
Expense reductions | (125) | (35) | |
Total expenses | 1,265,560 | 152,454 | |
Net investment income (loss) | 13,042,306 | 1,028,374 | |
Realized and Unrealized Gain (Loss) | |||
Net realized gain (loss) on investment securities | (14,530,028) | (1,304,286) | |
Net realized gain (loss) on In-kind redemptions | (1,480,947) | — | |
Total net realized gain (loss) | (16,010,975) | (1,304,286) | |
Change in net unrealized appreciation (depreciation) on investment securities | (32,513,552) | (4,847,016) | |
Net gain (loss) | (48,524,527) | (6,151,302) | |
Net increase (decrease) in net assets resulting from operations | $(35,482,221) | $(5,122,928) |
25 | Annual Report |
Fidelity High Yield Factor ETF |
Fidelity Preferred Securities & Income ETF | ||||||
Year
ended August 31, 2022 |
Year
ended August 31, 2021 |
Year
ended August 31, 2022 |
Year
ended August 31, 2021A | ||||
Increase (Decrease) in Net Assets | |||||||
Operations | |||||||
Net investment income (loss) | $ 13,042,306 | $ 8,344,776 | $ 1,028,374 | $ 35,065 | |||
Net realized gain (loss) | (16,010,975) | 6,352,506 | (1,304,286) | 15 | |||
Change in net unrealized appreciation (depreciation) | (32,513,552) | 1,726,252 | (4,847,016) | 23,993 | |||
Net increase (decrease) in net assets resulting from operations | (35,482,221) | 16,423,534 | (5,122,928) | 59,073 | |||
Distributions to shareholders | (19,199,200) | (10,587,700) | (1,189,250) | (34,050) | |||
Share transactions | |||||||
Proceeds from sales of shares | 122,215,264 | 165,591,594 | 34,118,167 | 6,275,279 | |||
Cost of shares redeemed | (70,069,896) | (8,316,699) | (1,037,642) | — | |||
Net increase (decrease) in net assets resulting from share transactions | 52,145,368 | 157,274,895 | 33,080,525 | 6,275,279 | |||
Total increase (decrease) in net assets | (2,536,053) | 163,110,729 | 26,768,347 | 6,300,302 | |||
Net Assets | |||||||
Beginning of year | 277,531,950 | 114,421,221 | 6,300,302 | — | |||
End of year | $274,995,897 | $277,531,950 | $33,068,649 | $6,300,302 | |||
Other Information | |||||||
Shares | |||||||
Sold | 2,350,000 | 3,000,000 | 1,400,000 | 250,000 | |||
Redeemed | (1,350,000) | (150,000) | (50,000) | — | |||
Net increase (decrease) | 1,000,000 | 2,850,000 | 1,350,000 | 250,000 |
A | For the period June 15, 2021 (commencement of operations) through August 31, 2021. |
Annual Report | 26 |
Fidelity High Yield Factor ETF | |||||||||
Year
ended August 31, 2022 |
Year
ended August 31, 2021 |
Year
ended August 31, 2020 |
Year
ended August 31, 2019 |
Year
ended August 31, 2018A | |||||
Selected Per-Share Data | |||||||||
Net asset value, beginning of period | $ 56.07 | $ 54.49 | $ 52.32 | $ 50.21 | $ 50.00 | ||||
Income from Investment Operations | |||||||||
Net investment income (loss)B,C | 2.383 | 2.250 | 2.518 | 2.589 | 0.578 | ||||
Net realized and unrealized gain (loss) | (8.748) | 2.335 | 2.323 | 2.006 | 0.209 | ||||
Total from investment operations | (6.365) | 4.585 | 4.841 | 4.595 | 0.787 | ||||
Distributions from net investment income | (2.355) | (2.195) | (2.429) | (2.485) | (0.577) | ||||
Distributions from net realized gain | (1.128) | (0.808) | (0.242) | — | — | ||||
Total distributions | (3.483) | (3.003) | (2.671) | (2.485) | (0.577) | ||||
Net asset value, end of period | $ 46.22 | $ 56.07 | $ 54.49 | $ 52.32 | $ 50.21 | ||||
Total ReturnD,E,F | (11.85)% | 8.66% | 9.61% | 9.48% | 1.59% | ||||
Ratios to Average Net AssetsB,G,H | |||||||||
Expenses before reductions | .45% | .45% | .45% | .44% I | .45% J | ||||
Expenses net of fee waivers, if any | .45% | .45% | .45% | .44% I | .45% J | ||||
Expenses net of all reductions | .45% | .45% | .45% | .44% I | .45% J | ||||
Net investment income (loss) | 4.64% | 4.07% | 4.84% | 5.03% | 5.21% J | ||||
Supplemental Data | |||||||||
Net assets, end of period (000 omitted) | $274,996 | $277,532 | $114,421 | $68,016 | $12,553 | ||||
Portfolio turnover rateK | 72% L | 177% L | 179% L | 76% | 8% M |
A | For the period June 12, 2018 (commencement of operations) through August 31, 2018. |
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 | The size and fluctuation of net assets and expense amounts may cause ratios to differ from contractual rates. |
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. |
27 | Annual Report |
Fidelity Preferred Securities & Income ETF | |||
Year
ended August 31, 2022 |
Year
ended August 31, 2021A | ||
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 25.20 | $ 25.00 | |
Income from Investment Operations | |||
Net investment income (loss)B,C | 0.886 | 0.170 | |
Net realized and unrealized gain (loss) | (4.485) | 0.187 | |
Total from investment operations | (3.599) | 0.357 | |
Distributions from net investment income | (0.931) | (0.157) | |
Total distributions | (0.931) | (0.157) | |
Net asset value, end of period | $ 20.67 | $ 25.20 | |
Total ReturnD,E | (14.50)% | 1.44% | |
Ratios to Average Net AssetsB,F,G | |||
Expenses before reductions | .59% | .59% H | |
Expenses net of fee waivers, if any | .59% | .59% H | |
Expenses net of all reductions | .59% | .59% H | |
Net investment income (loss) | 3.98% | 3.16% H | |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $33,069 | $ 6,300 | |
Portfolio turnover rate | 21% | 0% I |
A | For the period June 15, 2021 (commencement of operations) through August 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 | Based on net asset value. |
E | Total returns for periods of less than one year are not annualized. |
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 | Annualized. |
I | Amount does not include the portfolio activity of any underlying mutual funds or exchange-traded funds (ETFs). |
Annual Report | 28 |
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% |
29 | Annual Report |
Annual Report | 30 |
Tax cost | Gross
unrealized appreciation |
Gross
unrealized depreciation |
Net
unrealized appreciation (depreciation) | |
Fidelity High Yield Factor ETF | $ 298,848,347 | $ 380,778 | $ (27,503,668) | $ (27,122,890) |
Fidelity Preferred Securities & Income ETF | 37,827,040 | 23,860 | (4,994,015) | (4,970,155) |
Undistributed
ordinary income |
Undistributed capital gains | Capital
loss carryforward |
Net
unrealized appreciation (depreciation) | |
Fidelity High Yield Factor ETF | $ 55,928 | $ — | $ — | $ (27,122,890) |
Fidelity Preferred Securities & Income ETF | — | — | (1,286,445) | (4,970,155) |
Short-term | Long-term | Total
capital loss carryforward | |
Fidelity High Yield Factor ETF | $ — | $ — | $ — |
Fidelity Preferred Securities & Income ETF | (1,173,624) | (112,821) | (1,286,445) |
Capital Losses | |
Fidelity High Yield Factor ETF | $ (15,325,843) |
August 31, 2022 | ||||
Ordinary
Income |
Long-Term
Capital Gain |
Tax
Return Of Capital |
Total | |
Fidelity High Yield Factor ETF | $ 18,235,536 | $ 963,664 | $ — | $ 19,199,200 |
Fidelity Preferred Securities & Income ETF | 1,189,250 | — | — | 1,189,250 |
August 31, 2021 | ||||
Fidelity High Yield Factor ETF | $ 10,030,900 | $ 556,800 | $ — | $ 10,587,700 |
Fidelity Preferred Securities & Income ETFA | 34,050 | — | — | 34,050 |
A | For the period June 15, 2021 (commencement of operations) through August 31, 2021. |
31 | Annual Report |
Purchases ($) | Sales ($) | |
Fidelity High Yield Factor ETF | 195,560,400 | 199,544,195 |
Fidelity Preferred Securities & Income ETF | 37,073,714 | 5,199,925 |
In-Kind
Subscriptions ($) |
In-Kind
Redemptions ($) | |
Fidelity High Yield Factor ETF | 109,310,956 | 63,380,318 |
Fidelity Preferred Securities & Income ETF | — | — |
Fee Rate | |
Fidelity High Yield Factor ETF | .45% |
Fidelity Preferred Securities & Income ETF | .59% |
Amount | |
Fidelity Preferred Securities & Income ETF | $ 232 |
Amount | |
Fidelity High Yield Factor ETF | $ 125 |
Fidelity Preferred Securities & Income ETF | 35 |
Annual Report | 32 |
33 | Annual Report |
Fund Name | Statements of changes in net assets |
Fidelity High Yield Factor ETF | For each of the two years in the period ended August 31, 2022 |
Fidelity Preferred Securities & Income ETF | For the year ended August 31, 2022 and for the period June 15, 2021 (commencement of operations) through August 31, 2021 |
Annual Report | 34 |
35 | Annual Report |
Annual Report | 36 |
37 | Annual Report |
Annual Report | 38 |
39 | Annual Report |
Annual Report | 40 |
41 | Annual Report |
Annualized
Expense RatioA |
Beginning
Account Value March 1, 2022 |
Ending
Account Value August 31, 2022 |
Expenses
Paid During PeriodB March 1, 2022 to August 31, 2022 | |
Fidelity High Yield Factor ETF | 0.45% | |||
Actual | $ 1,000.00 | $ 915.30 | $ 2.17 | |
Hypothetical C | $ 1,000.00 | $ 1,022.94 | $ 2.29 | |
Fidelity Preferred Securities & Income ETF | 0.59% | |||
Actual | $ 1,000.00 | $ 922.80 | $ 2.86 | |
Hypothetical C | $ 1,000.00 | $ 1,022.23 | $ 3.01 |
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 184/365 (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. |
Annual Report | 42 |
Fidelity High Yield Factor ETF | $400,506 |
Fidelity Preferred Securities & Income ETF | |
September 2021 | 45% |
October 2021 | 45% |
November 2021 | 45% |
December 2021 | 45% |
January 2022 | 35% |
February 2022 | 35% |
March 2022 | 35% |
April 2022 | 35% |
May 2022 | 35% |
June 2022 | 35% |
July 2022 | 35% |
August 2022 | 35% |
Fidelity Preferred Securities & Income ETF | |
September 2021 | 47% |
October 2021 | 47% |
November 2021 | 47% |
December 2021 | 47% |
January 2022 | 36% |
February 2022 | 36% |
March 2022 | 36% |
April 2022 | 36% |
May 2022 | 36% |
June 2022 | 36% |
July 2022 | 36% |
August 2022 | 36% |
Fidelity High Yield Factor ETF | $7,652,636 |
Fidelity Preferred Securities & Income ETF | $ 628,966 |
Fidelity High Yield Factor ETF | $10,589,335 |
Fidelity Preferred Securities & Income ETF | $ 104,285 |
43 | Annual Report |
Annual Report | 44 |
45 | Annual Report |
Annual Report | 46 |
47 | Annual Report |
Annual Report | 48 |
49 | Annual Report |