Contents

Market Recap	3
Performance and Management's Discussion of Fund Performance	4
Schedule of Investments	10
Financial Statements	24
Notes to Financial Statements	29
Report of Independent Registered Public Accounting Firm	34
Trustees and Officers	35
Shareholder Expense Example	42
Distributions	43
Board Approval of Investment Advisory Contracts and Management Fees	44

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NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE

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Annual Report

2

Market Recap

The ICE BofA^® US High Yield Constrained Index returned -10.43% for the 12 months ending August 31, 2022, as a multitude of crosscurrents challenged the global economy and financial markets. Persistently high inflation, exacerbated by energy price shocks from the Russia–Ukraine conflict, spurred the U.S. Federal Reserve to hike interest rates more aggressively than anticipated, and concerns about the outlook for economic growth sent stocks into bear market territory. In early May, the Fed approved a rare half-percentage-point interest rate increase and announced plans to shrink its $9 trillion asset portfolio. June began with the Fed allowing up to billions in Treasuries and mortgage bonds to mature every month without investing the proceeds. Two weeks later, the central bank raised rates by 0.75 percentage points, its largest increase since 1994, and said it was becoming more difficult to achieve a soft landing, in which the economy slows enough to bring down inflation while avoiding a recession. Against this volatile backdrop, the index returned -14.03% in the first half of 2022. High yield sharply reversed course in July (+6.02%), even as the central bank again raised its benchmark interest rate by 0.75%, before a leg down in August (-2.39%). For the full 12 months, the health care and banking industries (-16% each) lagged most, followed by retail (-14%). In contrast, energy led the way, returning about -4% amid a surge in commodity prices, while transportation returned roughly -7%.

3	Annual Report

Fidelity® High Yield Factor ETF

Performance (Unaudited)

The information provided in the tables below shows you the performance of Fidelity® High Yield Factor ETF, with comparisons over different time periods to the fund’s relevant benchmarks. Seeing the returns over different time periods can help you assess the fund’s performance against relevant measurements. The performance information includes average annual total returns and is further explained in this section.*

The fund’s net asset value (NAV) performance is based on the NAV calculated each business day. It is calculated in accordance with the standard formula for valuing investment company shares as of the close of regular trading hours on NYSE Arca, Inc. (NYSE Arca) (normally 4:00 p.m. Eastern Time). The fund’s market price performance is based on the daily closing price of the shares of the fund on NYSE Arca. Since ETFs are bought and sold at prices set by the market – which can result in a premium or discount to NAV – the returns calculated using market price (market return) can differ from those calculated using NAV (NAV return). For information on these differences, please visit Fidelity.com or see the prospectus. The fund’s returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.

Current performance may be higher or lower than the performance data quoted. For month-end performance figures, please visit fidelity.com/etfs/factor-etfs or call Fidelity. The performance data featured represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate; therefore, you may have a gain or loss when you sell your shares.

Annual Report

4

Fidelity® High Yield Factor ETF

Management’s Discussion of Fund Performance

Comments from Lead Manager Michael Cheng and Co-Managers Benjamin Harrison and Alexandre Karam:

For the fiscal year ending August 31, 2022, the exchange-traded fund's (ETF) net asset value returned -11.85% and its market price returned -12.31%, trailing the -10.21% result of the benchmark, the ICE BofA^® BB-B US High Yield Constrained Index. The fund's core investment in high-yield bonds returned -11.56% and detracted from performance versus the benchmark. By industry, security selection was the primary detractor, especially in media. Stock selection in health care and telecommunications also hindered the fund's relative result. The fund's largest individual relative detractor was an outsized stake in Charter Communications, which returned approximately -18% the past year. The company was among our biggest holdings. Also hindering performance was an underweighting in Community Health Systems, which returned about -15%. The fund's non-benchmark stake in Carvana, a position not held at period end, returned -31%. Conversely, the biggest contributor to performance versus the benchmark was an underweighting in health care. Also helping the fund's relative result were underweightings in telecommunications and banking. The fund's largest individual relative contributor was our lighter-than-benchmark stake in Kraft Heinz, which returned roughly -12% the past 12 months. Kraft Heinz was not held at period end. Also bolstering performance was our overweighting in TransDigm, which returned -1%. TransDigm was among our largest holdings. Another notable relative contributor was an outsized stake in Uber Technologies (-1%), one of the biggest holdings in the fund this period. By quality, security selection in bonds rated B and BB detracted the most versus the benchmark. Notable changes in positioning include reduced exposure to the services industry and a higher allocation to energy.

Note to shareholders: On January 3, 2022, Benjamin Harrison assumed co-management responsibilities for the fund.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

5	Annual Report

Fidelity® High Yield Factor ETF

Investment Summary (Unaudited)
    

 

 

Fidelity® Preferred Securities & Income ETF

Performance (Unaudited)

The information provided in the tables below shows you the performance of Fidelity® Preferred Securities & Income ETF, with comparisons over different time periods to the fund’s relevant benchmarks, including an appropriate broad-based market index. Seeing the returns over different time periods can help you assess the fund’s performance against relevant measurements. The performance information includes average annual total returns and is further explained in this section.*

The fund’s net asset value (NAV) performance is based on the NAV calculated each business day. It is calculated in accordance with the standard formula for valuing investment company shares as of the close of regular trading hours on Cboe BZX Exchange, Inc. (CboeBZX) (normally 4:00 p.m. Eastern Time). The fund’s market price performance is based on the daily closing price of the shares of the fund on CboeBZX. Since ETFs are bought and sold at prices set by the market – which can result in a premium or discount to NAV – the returns calculated using market price (market return) can differ from those calculated using NAV (NAV return). For information on these differences, please visit Fidelity.com or see the prospectus. The fund’s returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or selling of fund shares. How a fund did yesterday is no guarantee of how it will do tomorrow.

Current performance may be higher or lower than the performance data quoted. For month-end performance figures, please visit fidelity.com/etfs/factor-etfs or call Fidelity. The performance data featured represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate; therefore, you may have a gain or loss when you sell your shares.

7	Annual Report

Fidelity® Preferred Securities & Income ETF

Management’s Discussion of Fund Performance

Comments from Co-Managers Adam Kramer and Brian Chang:

For the fiscal year, the exchange-traded fund's (ETF) net asset value returned -14.50 and its market price returned -14.95, underperforming the -11.44% result of the benchmark, the ICE BofA U.S. All Capital Securities Index. By industry, security selection was the primary detractor versus the benchmark the past 12 months, especially in banking. Also hindering performance was security selection and an overweighting in financial services and security selection and an underweighting in insurance. The fund's biggest individual relative detractor was an overweighting in KKR Group Finance, which returned -23% the past 12 months. The company was among our largest holdings. Another notable relative detractor was an outsized stake in Ally Financial (-17%), which was among the biggest holdings in the fund this period. It also hurt to overweight JPMorgan Chase (-20%), also among the largest holdings in the fund. Conversely, the top contributor to performance versus the benchmark was security picks in media. Also lifting the fund's relative result were underweightings in real estate and retail. The fund's largest individual relative contributor was an overweighting in MST Financial, which returned roughly -7% the past year. We added to our position in this company. Also lifting performance was our outsized stake in Goldman Sachs, which returned about -3%. We increased our stake the past 12 months. Another notable relative contributor was an overweighting in Citizens Financial (-7%), one of the biggest holdings in the fund. Notable changes in positioning include increased exposure to the energy, utility and banking industries, as well as a lower allocation to financial services.

The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.

Annual Report

8

Fidelity® Preferred Securities & Income ETF

Investment Summary (Unaudited)

    

 

9	Annual Report

Fidelity^® High Yield Factor ETF

Schedule of Investments August 31, 2022 

Showing Percentage of Net Assets

Annual Report

10

Nonconvertible Bonds – continued
		Principal Amount	Value
CONSUMER DISCRETIONARY – continued
Hotels, Restaurants & Leisure – continued
MGM Resorts International 6.75% 5/1/25		$ 151,000	$ 150,829
Raptor Acquisition Corp. / Raptor Co-Issuer LLC 4.875% 11/1/26 (a)		677,000	610,307
Royal Caribbean Cruises Ltd.:
5.25% 11/15/22		376,000	376,365
5.50% 8/31/26 (a)		1,300,000	1,039,142
TKC Holdings, Inc. 6.875% 5/15/28 (a)		300,000	252,750
Travel + Leisure Co. 6.625% 7/31/26 (a)		270,000	261,649
Viking Ocean Cruises Ship VII Ltd. 5.625% 2/15/29 (a)		235,000	192,056
Wyndham Hotels & Resorts, Inc. 4.375% 8/15/28 (a)		933,000	834,441
Yum! Brands, Inc.:
3.625% 3/15/31		540,000	454,788
4.75% 1/15/30 (a)		220,000	200,475
5.375% 4/1/32		6,030,000	5,550,585
6.875% 11/15/37		292,000	306,990
			22,286,663
Household Durables – 0.4%
Ashton Woods USA LLC / Ashton Woods Finance Co. 4.625% 4/1/30 (a)		185,000	145,941
LGI Homes, Inc. 4.00% 7/15/29 (a)		860,000	670,800
WASH Multifamily Acquisition, Inc. 5.75% 4/15/26 (a)		270,000	260,272
			1,077,013
Internet & Direct Marketing Retail – 0.1%
GrubHub Holdings, Inc. 5.50% 7/1/27 (a)		286,000	223,080
Leisure Products – 0.1%
Vista Outdoor, Inc. 4.50% 3/15/29 (a)		510,000	379,654
Specialty Retail – 2.1%
Asbury Automotive Group, Inc.:
4.75% 3/1/30		1,614,000	1,371,900
5.00% 2/15/32 (a)		605,000	505,266
BlueLinx Holdings, Inc. 6.00% 11/15/29 (a)		350,000	296,565
Foot Locker, Inc. 4.00% 10/1/29 (a)		127,000	103,505
Group 1 Automotive, Inc. 4.00% 8/15/28 (a)		2,198,000	1,877,927

		Principal Amount	Value
L Brands, Inc. 9.375% 7/1/25 (a)		$ 980,000	$ 1,036,737
LCM Investments Holdings II LLC 4.875% 5/1/29 (a)		125,000	104,351
PetSmart, Inc. / PetSmart Finance Corp. 4.75% 2/15/28 (a)		115,000	102,475
Sonic Automotive, Inc. 4.875% 11/15/31 (a)		450,000	375,115
			5,773,841
Textiles, Apparel & Luxury Goods – 0.1%
Kontoor Brands, Inc. 4.125% 11/15/29 (a)		250,000	213,212
TOTAL CONSUMER DISCRETIONARY			34,647,184
CONSUMER STAPLES – 4.8%
Food Products – 2.7%
Lamb Weston Holdings, Inc. 4.125% 1/31/30 (a)		867,000	781,383
Performance Food Group, Inc. 4.25% 8/1/29 (a)		5,560,000	4,760,917
Pilgrim's Pride Corp. 3.50% 3/1/32 (a)		2,400,000	1,946,592
			7,488,892
Household Products – 1.1%
Resideo Funding, Inc. 4.00% 9/1/29 (a)		3,523,000	2,957,181
Personal Products – 0.1%
Prestige Brands, Inc. 3.75% 4/1/31 (a)		401,000	320,828
Tobacco – 0.9%
Turning Point Brands, Inc. 5.625% 2/15/26 (a)		1,420,000	1,260,011
Vector Group Ltd. 5.75% 2/1/29 (a)		1,185,000	1,027,158
			2,287,169
TOTAL CONSUMER STAPLES			13,054,070
ENERGY – 17.5%
Energy Equipment & Services – 1.5%
Bristow Group, Inc. 6.875% 3/1/28 (a)		166,000	153,965
Nabors Industries, Inc. 7.375% 5/15/27 (a)		200,000	193,000
Oceaneering International, Inc. 4.65% 11/15/24		301,000	280,809
Patterson-UTI Energy, Inc. 5.15% 11/15/29		270,000	236,612
Tervita Corp. 11.00% 12/1/25 (a)		510,000	552,924

11	Annual Report

Fidelity^® High Yield Factor ETF

Schedule of Investments–continued

Annual Report

12

Nonconvertible Bonds – continued
		Principal Amount	Value
ENERGY – continued
Oil, Gas & Consumable Fuels – continued
PBF Holding Co. LLC / PBF Finance Corp. 6.00% 2/15/28		$ 465,000	$ 417,647
PDC Energy, Inc. 6.125% 9/15/24		433,000	428,811
Petrofac Ltd. 9.75% 11/15/26 (a)		500,000	377,639
Range Resources Corp. 8.25% 1/15/29		679,000	712,746
Rockcliff Energy II LLC 5.50% 10/15/29 (a)		480,000	443,573
Rockies Express Pipeline LLC 4.80% 5/15/30 (a)		704,000	590,480
SM Energy Co. 6.75% 9/15/26		450,000	442,548
Solaris Midstream Holdings LLC 7.625% 4/1/26 (a)		346,000	337,783
Southwestern Energy Co. 7.75% 10/1/27		350,000	362,688
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. 8.50% 10/15/26 (a)		300,000	290,559
Sunoco LP / Sunoco Finance Corp.:
4.50% 5/15/29 to 4/30/30		4,048,000	3,445,958
5.875% 3/15/28		927,000	861,949
Superior Plus LP / Superior General Partner, Inc. 4.50% 3/15/29 (a)		104,000	91,708
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. 6.00% 9/1/31 (a)		500,000	437,500
Tap Rock Resources LLC 7.00% 10/1/26 (a)		240,000	224,726
Teine Energy Ltd. 6.875% 4/15/29 (a)		585,000	534,098
Venture Global Calcasieu Pass LLC 4.125% 8/15/31 (a)		248,000	215,247
Vermilion Energy, Inc. 6.875% 5/1/30 (a)		1,136,000	1,103,351
Western Midstream Operating LP:
3.35% 2/1/25		2,142,000	2,020,913
5.50% 2/1/50		715,000	618,833
			44,043,550
TOTAL ENERGY			48,176,562
FINANCIALS – 12.1%
Banks – 0.1%
UniCredit SpA 7.296% 4/2/34 (a)(c)		289,693	259,378

		Principal Amount	Value
Capital Markets – 2.1%
Brightsphere Investment Group, Inc. 4.80% 7/27/26		$ 1,563,000	$ 1,421,361
Jane Street Group / JSG Finance, Inc. 4.50% 11/15/29 (a)		165,000	149,505
LPL Holdings, Inc.:
4.00% 3/15/29 (a)		3,000,000	2,656,260
4.375% 5/15/31 (a)		1,599,000	1,407,200
			5,634,326
Consumer Finance – 4.6%
Credit Acceptance Corp. 6.625% 3/15/26		1,345,000	1,318,100
Enova International, Inc. 8.50% 9/15/25 (a)		525,000	489,752
Ford Motor Credit Co. LLC 4.687% 6/9/25		1,000,000	960,000
goeasy Ltd. 4.375% 5/1/26 (a)		2,962,000	2,657,625
Nationstar Mortgage Holdings, Inc.:
5.75% 11/15/31 (a)		860,000	681,967
6.00% 1/15/27 (a)		500,000	444,708
Navient Corp. 4.875% 3/15/28		900,000	735,160
OneMain Finance Corp. 3.875% 9/15/28		2,715,000	2,117,700
PennyMac Financial Services, Inc. 5.75% 9/15/31 (a)		600,000	486,330
PRA Group, Inc.:
5.00% 10/1/29 (a)		1,881,000	1,620,704
7.375% 9/1/25 (a)		1,171,000	1,167,505
World Acceptance Corp. 7.00% 11/1/26 (a)		100,000	69,532
			12,749,083
Diversified Financial Services – 4.5%
AG TTMT Escrow Issuer LLC 8.625% 9/30/27 (a)		500,000	500,200
Allied Universal Holdco LLC / Allied Universal Finance Corp. 6.625% 7/15/26 (a)		591,000	553,347
Burford Capital Global Finance LLC 6.25% 4/15/28 (a)		600,000	531,665
Castlelake Aviation Finance DAC 5.00% 4/15/27 (a)		414,000	357,006
Compass Group Diversified Holdings LLC 5.00% 1/15/32 (a)		500,000	395,490
Deutsche Bank AG:
3.729% 1/14/32 (c)		91,000	66,940
4.875% 12/1/32 (c)		102,000	86,647

13	Annual Report

Fidelity^® High Yield Factor ETF

Schedule of Investments–continued

Annual Report

14

Nonconvertible Bonds – continued
		Principal Amount	Value
INDUSTRIALS – continued
Airlines – continued
United Airlines, Inc. 4.375% 4/15/26 (a)		$ 762,900	$ 695,574
			2,718,116
Building Products – 0.2%
Camelot Return Merger Sub, Inc. 8.75% 8/1/28 (a)		300,000	272,439
Thor Industries, Inc. 4.00% 10/15/29 (a)		354,000	287,040
			559,479
Commercial Services & Supplies – 2.0%
APi Group DE, Inc. 4.75% 10/15/29 (a)		500,000	413,658
Aramark Services, Inc. 5.00% 4/1/25 (a)		150,000	146,421
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. 5.75% 7/15/27 (a)		518,000	482,552
CoreCivic, Inc. 8.25% 4/15/26		200,000	197,718
Covert Mergeco, Inc. 4.875% 12/1/29 (a)		530,000	447,188
GFL Environmental, Inc. 4.00% 8/1/28 (a)		2,426,000	2,049,970
Madison IAQ LLC 4.125% 6/30/28 (a)		420,000	360,150
Nielsen Finance LLC / Nielsen Finance Co. 4.50% 7/15/29 (a)		1,085,000	1,089,101
Sabre GLBL, Inc. 9.25% 4/15/25 (a)		204,900	201,886
			5,388,644
Construction & Engineering – 0.7%
Arcosa, Inc. 4.375% 4/15/29 (a)		270,000	244,579
Dycom Industries, Inc. 4.50% 4/15/29 (a)		1,155,000	1,030,985
Fluor Corp. 4.25% 9/15/28		517,000	468,128
Global Infrastructure Solutions, Inc. 5.625% 6/1/29 (a)		350,000	279,884
			2,023,576
Containers & Packaging – 0.1%
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC 6.00% 6/15/27 (a)		360,000	352,848
Electrical Equipment – 0.4%
EnerSys 4.375% 12/15/27 (a)		1,247,000	1,134,770

		Principal Amount	Value
Machinery – 1.7%
Allison Transmission, Inc. 3.75% 1/30/31 (a)		$ 4,875,000	$ 3,950,359
ATS Automation Tooling Systems, Inc. 4.125% 12/15/28 (a)		460,000	404,017
Meritor, Inc. 6.25% 6/1/25 (a)		341,000	351,656
			4,706,032
Professional Services – 0.8%
TriNet Group, Inc. 3.50% 3/1/29 (a)		2,691,000	2,307,707
Road & Rail – 0.5%
Uber Technologies, Inc. 7.50% 5/15/25 (a)		1,387,000	1,395,973
Transportation Infrastructure – 0.3%
First Student Bidco, Inc. / First Transit Parent, Inc. 4.00% 7/31/29 (a)		998,000	861,434
TOTAL INDUSTRIALS			32,220,371
INFORMATION TECHNOLOGY – 3.0%
Electronic Equipment, Instruments & Components – 0.3%
Atkore, Inc. 4.25% 6/1/31 (a)		892,000	749,012
IT Services – 1.3%
Booz Allen Hamilton, Inc. 4.00% 7/1/29 (a)		358,000	315,640
Go Daddy Operating Co. LLC / GD Finance Co., Inc. 3.50% 3/1/29 (a)		480,000	406,169
Seagate HDD Cayman 3.125% 7/15/29		3,532,203	2,824,844
			3,546,653
Software – 1.4%
Consensus Cloud Solutions, Inc. 6.50% 10/15/28 (a)		843,000	753,951
Fair Isaac Corp. 4.00% 6/15/28 (a)		1,883,000	1,663,392
MicroStrategy, Inc. 6.125% 6/15/28 (a)		195,000	162,723
Open Text Holdings, Inc. 4.125% 12/1/31 (a)		1,100,000	869,000
PTC, Inc. 3.625% 2/15/25 (a)		390,000	366,360
Xerox Corp. 4.80% 3/1/35		250,000	186,253
			4,001,679
TOTAL INFORMATION TECHNOLOGY			8,297,344

15	Annual Report

Fidelity^® High Yield Factor ETF

Schedule of Investments–continued

Annual Report

16

Nonconvertible Bonds – continued
		Principal Amount	Value
REAL ESTATE – continued
Equity Real Estate Investment Trusts (REITs) – continued
Apollo Commercial Real Estate Finance, Inc. 4.625% 6/15/29 (a)		$ 815,000	$ 660,150
Blackstone Mortgage Trust, Inc. 3.75% 1/15/27 (a)		945,000	822,292
Brookfield Property REIT, Inc. / BPR Cumulus LLC / BPR Nimbus LLC / GGSI Sellco LL 4.50% 4/1/27 (a)		1,093,000	936,418
CTR Partnership LP / CareTrust Capital Corp. 3.875% 6/30/28 (a)		345,000	292,297
HAT Holdings I LLC / HAT Holdings II LLC:
3.375% 6/15/26 (a)		1,667,000	1,446,606
6.00% 4/15/25 (a)		795,000	770,312
Iron Mountain Information Management Services, Inc. 5.00% 7/15/32 (a)		3,485,000	2,892,922
Iron Mountain, Inc.:
5.00% 7/15/28 (a)		2,887,000	2,634,503
5.25% 7/15/30 (a)		815,000	721,275
iStar, Inc. 4.25% 8/1/25		365,000	364,281
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp. 4.75% 6/15/29 (a)		440,000	372,833
Service Properties Trust 7.50% 9/15/25		277,300	266,114
Starwood Property Trust, Inc.:
3.75% 12/31/24 (a)		977,000	910,372
4.375% 1/15/27 (a)		360,000	320,400
Uniti Group LP / Uniti Fiber Holdings, Inc. / CSL Capital LLC 6.00% 1/15/30 (a)		900,000	634,594
			14,859,754
Real Estate Management & Development – 1.5%
Kennedy-Wilson, Inc. 4.75% 3/1/29 to 2/1/30		4,284,000	3,525,598
Realogy Group LLC / Realogy Co-Issuer Corp. 5.25% 4/15/30 (a)		700,000	526,372
			4,051,970
TOTAL REAL ESTATE			18,911,724
UTILITIES – 1.2%
Electric Utilities – 0.7%
Clearway Energy Operating LLC 3.75% 1/15/32 (a)		508,000	422,425

		Principal Amount	Value
NRG Energy, Inc. 3.875% 2/15/32 (a)		$ 736,000	$ 583,280
Vistra Operations Co. LLC 5.625% 2/15/27 (a)		1,015,000	976,937
			1,982,642
Independent Power and Renewable Electricity Producers – 0.2%
Leeward Renewable Energy Operations LLC 4.25% 7/1/29 (a)		537,000	442,642
Multi-Utilities – 0.3%
Calpine Corp. 3.75% 3/1/31 (a)		1,176,000	974,904
TOTAL UTILITIES			3,400,188
TOTAL NONCONVERTIBLE BONDS (Cost $291,378,965)			264,207,030

    

Money Market Fund – 2.7%
		Shares
Fidelity Cash Central Fund, 2.33% (d) (Cost $7,518,427)		7,516,924	7,518,427
TOTAL INVESTMENT IN SECURITIES – 98.8% (Cost $298,897,392)			271,725,457
NET OTHER ASSETS (LIABILITIES) – 1.2%			3,270,440
NET ASSETS – 100.0%			$ 274,995,897

    

Legend
(a)	Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $194,844,645 or 70.9% of net assets.
(b)	Security is perpetual in nature with no stated maturity date.
(c)	Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d)	Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.

17	Annual Report

Fidelity^® High Yield Factor ETF

Schedule of Investments–continued

Affiliated Central Funds

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including ownership percentage, is presented below.

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%

Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations, if applicable.

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

    

Investments in Securities:
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		$ —

Other Information

Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):

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%

See accompanying notes which are an integral part of the financial statements.

Annual Report

18

Fidelity® Preferred Securities & Income ETF

Schedule of Investments August 31, 2022 

Showing Percentage of Net Assets

19	Annual Report

Fidelity® Preferred Securities & Income ETF

Schedule of Investments–continued

Annual Report

20

Preferred Stock – continued
		Principal Amount	Value
ENERGY – 1.0%
Oil, Gas & Consumable Fuels – 1.0%
DCP Midstream LP:
7.875% (a)(b)		$ 775	$ 19,336
7.95% (a)(b)		775	19,460
Enbridge, Inc. 6.375% 4/15/78 (a)		2,425	59,607
Energy Transfer LP:
7.375% (a)(b)		2,340	51,012
7.60% (a)(b)		4,255	99,652
7.625% (a)(b)		2,660	58,041
NuStar Energy LP 7.646% (a)(b)		1,600	33,792
TOTAL ENERGY			340,900
FINANCIALS – 19.6%
Banks – 10.4%
Bank of America Corp.:
4.25% (b)		4,750	88,160
4.375% (b)		32,775	638,457
Bank of Hawaii Corp. 4.375% (b)		775	14,516
Citizens Financial Group, Inc. 5.00% (b)		5,000	102,250
Cullen/Frost Bankers, Inc. 4.45% (b)		3,200	66,004
First Republic Bank:
4.00% (b)		16,775	288,456
4.125% (b)		19,925	352,872
4.70% (b)		6,680	134,602
Huntington Bancshares, Inc. 4.50% (b)		7,950	147,552
JPMorgan Chase & Co.:
4.20% (b)		725	13,391
4.55% (b)		47,900	952,252
KeyCorp 5.625% (b)		1,238	29,439
KeyCorp. 0.000% (b)		6,000	149,880
Regions Financial Corp.:
4.45% (b)		1,500	28,410
5.70% (a)(b)		2,000	46,340
SVB Financial Group 5.25% (b)		1,600	33,552
Truist Financial Corp. 4.75% (b)		4,025	81,104
US Bancorp:
3.75% (b)		1,500	25,755
4.00% (b)		1,000	17,960
4.50% (b)		2,000	39,800
5.50% (b)		2,000	47,940
Wells Fargo & Co.:
4.25% (b)		700	12,726
4.70% (b)		3,600	70,596
4.75% (b)		3,600	71,244
			3,453,258
Capital Markets – 3.8%
Morgan Stanley:
4.25% (b)		2,300	42,527

		Principal Amount	Value
5.85% (a)(b)		$ 11,275	$ 279,958
Stifel Financial Corp.:
4.50% (b)		775	13,958
6.125% (b)		825	20,659
The Charles Schwab Corp. 4.45% (b)		43,150	884,575
			1,241,677
Consumer Finance – 0.1%
Navient Corp. 6.00% 12/15/43		1,700	37,842
Diversified Financial Services – 0.2%
Equitable Holdings, Inc. 4.30% (b)		1,550	28,861
Voya Financial, Inc. 5.35% (a)(b)		1,550	36,836
			65,697
Insurance – 5.1%
AEGON Funding Co. LLC 5.10% 12/15/49		5,950	126,675
Assurant, Inc. 5.25% 1/15/61		1,000	21,415
Athene Holding Ltd.:
4.875% (b)		2,425	45,566
5.625% (b)		1,500	32,925
6.375% (a)(b)		3,000	76,980
KKR Group Finance Co. IX LLC 4.625% 4/1/61		44,800	852,544
MetLife, Inc. 4.75% (b)		4,000	85,920
PartnerRe Ltd. 4.875% (b)		3,150	64,323
Prudential Financial, Inc. 4.125% 9/1/60		1,500	30,795
RenaissanceRe Holdings Ltd. 4.20% (b)		1,550	26,830
The Allstate Corp.:
4.75% (b)		1,000	21,030
5.10% (b)		4,600	102,058
W R Berkley Corp. 4.25% 9/30/60		10,425	194,739
			1,681,800
TOTAL FINANCIALS			6,480,274
REAL ESTATE – 1.2%
Equity Real Estate Investment Trusts (Reits) – 1.0%
Public Storage:
3.95% (b)		775	14,066
4.00% (b)		16,000	298,451
4.00% (b)		850	15,802
Summit Hotel Properties, Inc. 5.875% (b)		775	15,756
			344,075
Real Estate Investment Trusts (Reits) – 0.1%
Brookfield Property Partners LP:
5.75% (b)		1,550	27,776
6.375% (b)		825	16,195
			43,971

21	Annual Report

Fidelity® Preferred Securities & Income ETF

Schedule of Investments–continued

See accompanying notes which are an integral part of the financial statements.

Annual Report

22

Investment Valuation

The following is a summary of the inputs used, as of August 31, 2022, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.

Valuation Inputs at Reporting Date:

Description

Total

Level 1

Level 2

Level 3

    

Investments in Securities:
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		$ —

See accompanying notes which are an integral part of the financial statements.

23	Annual Report

Financial Statements

August 31, 2022

	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

See accompanying notes which are an integral part of the financial statements.

Annual Report

24

For the year ended August 31, 2022

	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)

See accompanying notes which are an integral part of the financial statements.

25	Annual Report

Financial Statements  – continued

	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.

See accompanying notes which are an integral part of the financial statements.

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.

    

See accompanying notes which are an integral part of the financial statements.

27	Annual Report

Financial Statements  – continued

	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).

See accompanying notes which are an integral part of the financial statements.

Annual Report

28

Notes to Financial Statements
For the period ended August 31, 2022

1. Organization.

Fidelity High Yield Factor ETF and Fidelity Preferred Securities & Income ETF (the Funds) are exchange-traded funds of Fidelity Covington Trust (the Trust) and are authorized to issue an unlimited number of shares. Fidelity Preferred Securities & Income ETF is a non-diversified exchange-traded fund. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.

2. Investments in Fidelity Central Funds.

Funds may invest in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Schedule of Investments lists any Fidelity Central Funds held as an investment as of period end, but does not include the underlying holdings of each Fidelity Central Fund. An investing fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.

Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. These strategies are consistent with the investment objectives of the investing fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the investing fund.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices	Expense 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%

A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Report of Independent Registered Public Accounting Firm, are available on the Securities and Exchange Commission website or upon request.

3. Significant Accounting Policies.

Each Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. Each Fund’s Schedule of Investments lists any underlying mutual funds or exchange-traded funds (ETFs) but does not include the underlying holdings of these funds. The following summarizes the significant accounting policies of each Fund:

Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of each Fund’s investments to the Fair Value Committee (the Committee) established by each Fund’s investment adviser. In accordance with valuation policies and procedures approved by the Board, each Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees each Fund’s valuation policies and procedures and reports to the Board on the Committee’s activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing each Fund’s investments and ratifies the fair value determinations of the Committee.

Each Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:

Level 1 – unadjusted quoted prices in active markets for identical investments

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 – unobservable inputs (including the Fund’s own assumptions based on the best information available)

Valuation techniques used to value each Fund’s investments by major category are as follows:

29	Annual Report

Notes to Financial Statements  – continued

3. Significant Accounting Policies – continued
    
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Funds invest a significant portion of their assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2022 is included at the end of each Fund’s Schedule of Investments.

Investment Transactions and Income. For financial reporting purposes and for processing shareholder transactions, the Funds' investment holdings and NAV include trades executed through the end of the last business day of the period and prior business day, respectively. The NAV per share for processing shareholder transactions is calculated as of the close of business (normally 4:00 p.m. Eastern time) of the New York Stock Exchange, Archipelago Exchange (NYSE Arca) for Fidelity High Yield Factor ETF, and of the Cboe BZX Exchange, Inc. (CboeBZX) for Fidelity Preferred Securities & Income ETF. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of a fund include an amount in addition to trade execution, which may be rebated back to a fund. Any such rebates are included in net realized gain (loss) on investments in the Statement of Operations. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Funds are informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.

Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expenses included in the accompanying financial statements reflect the expenses of that fund and do not include any expenses associated with any underlying mutual funds or exchange-traded funds. Although not included in a fund’s expenses, a fund indirectly bears its proportionate share of these expenses through the net asset value of each underlying mutual fund or exchange-traded fund. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Income Tax Information and Distributions to Shareholders. Each year, each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2022, each Fund did not have any unrecognized tax benefits in the financial statements; nor is each Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund files a U.S. federal tax return, in addition to state and local tax returns as required. Each Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.

Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.

Annual Report

30

3. Significant Accounting Policies – continued
    
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.

Book-tax differences are primarily due to partnerships, capital loss carryforwards, prior period premium and discount on debt securities, redemptions in kind, and losses deferred due to wash sales and excise tax regulations.

As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows for each Fund:

	Tax cost	Gross unrealized appreciation	Gross unrealized depreciation	Net unrealized appreciation (depreciation)
Fidelity 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)

The tax-based components of distributable earnings as of period end were as follows for each Fund:

	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)

Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by regulations and may be limited. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.

	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)

Certain of the Funds intend to elect to defer to the next fiscal year capital losses recognized during the period November 1, 2021 to August 31, 2022. Loss deferrals were as follows:

	Capital Losses
Fidelity High Yield Factor ETF	$ (15,325,843)

The tax character of distributions paid was as follows:

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.

Restricted Securities (including Private Placements). Funds may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities held at period end is included at the end of the Schedule of Investments, if applicable.

31	Annual Report

Notes to Financial Statements  – continued

4. Purchases and Sales of Investments.

Purchases and sales of securities, other than short-term securities, U.S. government securities and in-kind transactions, as applicable, are noted in the table below.

	Purchases ($)	Sales ($)
Fidelity High Yield Factor ETF	195,560,400	199,544,195
Fidelity Preferred Securities & Income ETF	37,073,714	5,199,925

Securities received and delivered in-kind through subscriptions and redemptions are noted in the table below.

	In-Kind Subscriptions ($)	In-Kind Redemptions ($)
Fidelity High Yield Factor ETF	109,310,956	63,380,318
Fidelity Preferred Securities & Income ETF	—	—

5. Fees and Other Transactions with Affiliates.

Management Fee. Fidelity Management & Research Company LLC (the investment adviser) provides the Funds with investment management related services for which the Funds pay a monthly management fee that is based on an annual rate of each Fund’s average net assets as noted in the table below. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain miscellaneous expenses such as proxy and shareholder meeting expenses.

	Fee Rate
Fidelity High Yield Factor ETF	.45%
Fidelity Preferred Securities & Income ETF	.59%

Brokerage Commissions. A portion of portfolio transactions were placed with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in the net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statements of Operations. The commissions paid to these affiliated firms were as follows:

	Amount
Fidelity Preferred Securities & Income ETF	$ 232

Interfund Trades. Funds may purchase from or sell securities to other funds affiliated with each sub-adviser under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Any interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note. During the period there were no interfund trades.

6. Expense Reductions.

Through arrangements with each applicable Fund’s custodian, credits realized as a result of certain uninvested cash balances were used to reduce each applicable Fund’s expenses by the following amounts:

	Amount
Fidelity High Yield Factor ETF	$ 125
Fidelity Preferred Securities & Income ETF	35

7. Share Transactions.

Funds issue and redeem shares at NAV only with certain authorized participants in large increments known as Creation Units. Purchases of Creation Units are made by tendering a basket of designated securities and/or cash to a fund and redemption proceeds are paid with a basket of securities from a fund’s portfolio with a balancing cash component to equate the market value of the basket of securities delivered or redeemed to the NAV per Creation Unit on the transaction date. Cash may be substituted equivalent to the value of certain securities generally when they are not available in sufficient quantity for delivery. A fund’s shares are available in smaller increments to investors in the secondary market at market prices and may be subject to commissions. Authorized participants pay a transaction fee to the shareholder servicing agent when purchasing and redeeming Creation Units of a fund. The transaction fee is used to offset the costs associated with the issuance and redemption of Creation Units.

8. Other.

A fund’s organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the fund. In the normal course of business, a fund may also enter into contracts that provide general indemnifications. A fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against a fund. The risk of material loss from such claims is considered remote.

Annual Report

32

9. Risk and Uncertainties.

Many factors affect a fund’s performance. Developments that disrupt global economies and financial markets, such as pandemics, epidemics, outbreaks of infectious diseases, war, terrorism, and environmental disasters, may significantly affect a fund’s investment performance. The effects of these developments to a fund will be impacted by the types of securities in which a fund invests, the financial condition, industry, economic sector, and geographic location of an issuer, and a fund’s level of investment in the securities of that issuer.

33	Annual Report

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Fidelity Covington Trust and Shareholders of each of the two funds listed in the table below

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds indicated in the table below (two of the funds constituting Fidelity Covington Trust, hereafter collectively referred to as the "Funds”) as of August 31, 2022, the related statements of operations for the year ended August 31, 2022, the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

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

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2022 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Boston, Massachusetts

October 18, 2022

We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.

Annual Report

34

Trustees and Officers (Unaudited)

The Trustees, Members of the Advisory Board (if any), and officers of the trust and funds, as applicable, are listed below. The Board of Trustees governs each fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee each fund's activities, review contractual arrangements with companies that provide services to each fund, oversee management of the risks associated with such activities and contractual arrangements, and review each fund’s performance. Each of the Trustees oversees 316 funds.

The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) of the trust and each fund is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.

The funds’ Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-FIDELITY.

In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing each fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of each fund, is provided below.

Fidelity^® funds are overseen by different Boards of Trustees. The funds’ Board oversees Fidelity's high income and certain equity funds, and other Boards oversee Fidelity's investment-grade bond, money market, asset allocation, and other equity funds. The asset allocation funds may invest in Fidelity^® funds overseen by the funds’ Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity^® funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity^® funds overseen by each Board.

35	Annual Report

Trustees and Officers (Unaudited)  – continued

The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, each fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the funds’ activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the funds’ business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the funds are carried out by or through FMR, its affiliates, and other service providers, the funds’ exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the funds’ activities, oversight is exercised primarily through the Operations, Audit, and Compliance Committees. Appropriate personnel, including but not limited to the funds’ Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the funds' Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity^® funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Trustees."

Correspondence intended for a Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.

Bettina Doulton (1964)

Year of Election or Appointment: 2020

Trustee

Ms. Doulton also serves as Trustee of other Fidelity^® funds. Prior to her retirement, Ms. Doulton served in a variety of positions at Fidelity Investments, including as a managing director of research (2006-2007), portfolio manager to certain Fidelity^® funds (1993-2005), equity analyst and portfolio assistant (1990-1993), and research assistant (1987-1990). Ms. Doulton currently owns and operates Phi Builders + Architects and Cellardoor Winery. Previously, Ms. Doulton served as a member of the Board of Brown Capital Management, LLC (2014-2018).

Robert A. Lawrence (1952)

Year of Election or Appointment: 2020

Trustee

Chair of the Board of Trustees

Mr. Lawrence also serves as Trustee of other funds. Previously, Mr. Lawrence served as a Trustee and Member of the Advisory Board of certain funds. Prior to his retirement in 2008, Mr. Lawrence served as Vice President of certain Fidelity^® funds (2006-2008), Senior Vice President, Head of High Income Division of Fidelity Management & Research Company (investment adviser firm, 2006-2008), and President of Fidelity Strategic Investments (investment adviser firm, 2002-2005).

* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.

Correspondence intended for an Independent Trustee may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.

Thomas P. Bostick (1956)

Year of Election or Appointment: 2021

Annual Report

36

Trustee

Lieutenant General Bostick also serves as Trustee of other Fidelity^® funds. Prior to his retirement, General Bostick (United States Army, Retired) held a variety of positions within the U.S. Army, including Commanding General and Chief of Engineers, U.S. Army Corps of Engineers (2012-2016) and Deputy Chief of Staff and Director of Human Resources, U.S. Army (2009-2012). General Bostick currently serves as a member of the Board and Finance and Governance Committees of CSX Corporation (transportation, 2020-present) and a member of the Board and Corporate Governance and Nominating Committee of Perma-Fix Environmental Services, Inc. (nuclear waste management, 2020-present). General Bostick serves as Chief Executive Officer of Bostick Global Strategies, LLC (consulting, 2016-present) and as a member of the Board of HireVue, Inc. (video interview and assessment, 2020-present). Previously, General Bostick served as a Member of the Advisory Board of certain Fidelity^® funds (2021), President, Intrexon Bioengineering (2018-2020) and Chief Operating Officer (2017-2020) and Senior Vice President of the Environment Sector (2016-2017) of Intrexon Corporation (biopharmaceutical company).

Dennis J. Dirks (1948)

Year of Election or Appointment: 2018

Trustee

Mr. Dirks also serves as Trustee of other Fidelity^® funds. Prior to his retirement in May 2003, Mr. Dirks served as Chief Operating Officer and as a member of the Board of The Depository Trust & Clearing Corporation (financial markets infrastructure), President, Chief Operating Officer and a member of the Board of The Depository Trust Company (DTC), President and a member of the Board of the National Securities Clearing Corporation (NSCC), Chief Executive Officer and a member of the Board of the Government Securities Clearing Corporation and Chief Executive Officer and a member of the Board of the Mortgage-Backed Securities Clearing Corporation. Mr. Dirks currently serves as a member of the Finance Committee (2016-present) and Board (2017-present) and is Treasurer (2018-present) of the Asolo Repertory Theatre.

Donald F. Donahue (1950)

Year of Election or Appointment: 2018

Trustee

Mr. Donahue also serves as Trustee of other Fidelity^® funds. Mr. Donahue serves as President and Chief Executive Officer of Miranda Partners, LLC (risk consulting for the financial services industry, 2012-present). Previously, Mr. Donahue served as Chief Executive Officer (2006-2012), Chief Operating Officer (2003-2006) and Managing Director, Customer Marketing and Development (1999-2003) of The Depository Trust & Clearing Corporation (financial markets infrastructure). Mr. Donahue currently serves as a member (2007-present) and Co-Chairman (2016-present) of the Board of United Way of New York and a member of the Board of The Leadership Academy (previously NYC Leadership Academy) (2012-present). Mr. Donahue previously served as a member of the Advisory Board of certain Fidelity^® funds (2015-2018).

Vicki L. Fuller (1957)

Year of Election or Appointment: 2020

Trustee

Ms. Fuller also serves as Trustee of other Fidelity^® funds. Previously, Ms. Fuller served as a member of the Advisory Board of certain Fidelity^® funds (2018-2020), Chief Investment Officer of the New York State Common Retirement Fund (2012-2018) and held a variety of positions at AllianceBernstein L.P. (global asset management, 1985-2012), including Managing Director (2006-2012) and Senior Vice President and Senior Portfolio Manager (2001-2006). Ms. Fuller currently serves as a member of the Board, Audit Committee and Nominating and Governance Committee of two Blackstone business development companies (2020-present), as a member of the Board of Treliant, LLC (consulting, 2019-present), as a member of the Advisory Board of Ariel Alternatives, LLC (private equity, 2021-present) and as a member of the Board and Chair of the Audit Committee of Gusto, Inc. (software, 2021-present). In addition, Ms. Fuller currently serves as a member of the Board of Roosevelt University (2019-present) and as a member of the Executive Board of New York University’s Stern School of Business. Ms. Fuller previously served as a member of the Board, Audit Committee and Nominating and Governance Committee of The Williams Companies, Inc. (natural gas infrastructure, 2018-2021).

Patricia L. Kampling (1959)

Year of Election or Appointment: 2020

37	Annual Report

Trustees and Officers (Unaudited)  – continued

Trustee

Ms. Kampling also serves as Trustee of other Fidelity^® funds. Prior to her retirement, Ms. Kampling served as Chairman of the Board and Chief Executive Officer (2012-2019), President and Chief Operating Officer (2011-2012) and Executive Vice President and Chief Financial Officer (2010-2011) of Alliant Energy Corporation. Ms. Kampling currently serves as a member of the Board, Finance Committee and Governance, Compensation and Nominating Committee of Xcel Energy Inc. (utilities company, 2020-present) and as a member of the Board, Audit, Finance and Risk Committee and Safety, Environmental, Technology and Operations Committee and Chair of the Executive Development and Compensation Committee of American Water Works Company, Inc. (utilities company, 2019-present). In addition, Ms. Kampling currently serves as a member of the Board of the Nature Conservancy, Wisconsin Chapter (2019-present). Previously, Ms. Kampling served as a Member of the Advisory Board of certain Fidelity^® funds (2020), a member of the Board, Compensation Committee and Executive Committee and Chair of the Audit Committee of Briggs & Stratton Corporation (manufacturing, 2011-2021), a member of the Board of Interstate Power and Light Company (2012-2019) and Wisconsin Power and Light Company (2012-2019) (each a subsidiary of Alliant Energy Corporation) and as a member of the Board and Workforce Development Committee of the Business Roundtable (2018-2019).

Thomas A. Kennedy (1955)

Year of Election or Appointment: 2021

Trustee

Mr. Kennedy also serves as Trustee of other Fidelity^® funds. Previously, Mr. Kennedy served as a Member of the Advisory Board of certain Fidelity^® funds (2020) and held a variety of positions at Raytheon Company (aerospace and defense, 1983-2020), including Chairman and Chief Executive Officer (2014-2020) and Executive Vice President and Chief Operating Officer (2013-2014). Mr. Kennedy currently serves as Executive Chairman of the Board of Directors of Raytheon Technologies Corporation (aerospace and defense, 2020-present). He is also a member of the Rutgers School of Engineering Industry Advisory Board (2011-present) and a member of the UCLA Engineering Dean’s Executive Board (2016-present).

Oscar Munoz (1959)

Year of Election or Appointment: 2021

Trustee

Mr. Munoz also serves as Trustee of other Fidelity^® funds. Prior to his retirement, Mr. Munoz served as Executive Chairman (2020-2021), Chief Executive Officer (2015-2020), President (2015-2016) and a member of the Board (2010-2021) of United Airlines Holdings, Inc. Mr. Munoz currently serves as a member of the Board of CBRE Group, Inc. (commercial real estate, 2020-present), a member of the Board of Univision Communications, Inc. (Hispanic media, 2020-present) and a member of the Advisory Board of Salesforce.com, Inc. (cloud-based software, 2020-present). Previously, Mr. Munoz served as a Member of the Advisory Board of certain Fidelity^® funds (2021).

Garnett A. Smith (1947)

Year of Election or Appointment: 2013

Trustee

Mr. Smith also serves as Trustee of other Fidelity^® funds. Prior to his retirement, Mr. Smith served as Chairman and Chief Executive Officer (1990-1997) and President (1986-1990) of Inbrand Corp. (manufacturer of personal absorbent products). Prior to his employment with Inbrand Corp., he was employed by a retail fabric chain and North Carolina National Bank (now Bank of America). Mr. Smith previously served as a member of the Advisory Board of certain Fidelity^® funds (2012-2013).

David M. Thomas (1949)

Year of Election or Appointment: 2018

Trustee

Lead Independent Trustee

Mr. Thomas also serves as Trustee of other Fidelity^® funds. Previously, Mr. Thomas served as Executive Chairman (2005-2006) and Chairman and Chief Executive Officer (2000-2005) of IMS Health, Inc. (pharmaceutical and healthcare information solutions). Mr. Thomas currently serves as a member of the Board of Fortune Brands Home and Security (home and security products, 2004-present) and as Director (2013-present) and Non-Executive Chairman of the Board (2022-present) of Interpublic Group of Companies, Inc. (marketing communication).

Susan Tomasky (1953)

Year of Election or Appointment: 2020

Annual Report

38

Trustee

Ms. Tomasky also serves as Trustee of other Fidelity^® funds. Prior to her retirement, Ms. Tomasky served in various executive officer positions at American Electric Power Company, Inc. (1998-2011), including most recently as President of AEP Transmission (2007-2011). Ms. Tomasky currently serves as a member of the Board and Sustainability Committee and as Chair of the Audit Committee of Marathon Petroleum Corporation (2018-present) and as a member of the Board, Executive Committee, Corporate Governance Committee and Organization and Compensation Committee and as Chair of the Audit Committee of Public Service Enterprise Group, Inc. (utilities company, 2012-present) and as a member of the Board of its subsidiary company, Public Service Electric and Gas Co. (2021-present). In addition, Ms. Tomasky currently serves as a member (2009-present) and President (2020-present) of the Board of the Royal Shakespeare Company – America (2009-present), as a member of the Board of the Columbus Association for the Performing Arts (2011-present) and as a member of the Board and Kenyon in the World Committee of Kenyon College (2016-present). Previously, Ms. Tomasky served as a Member of the Advisory Board of certain Fidelity^® funds (2020), as a member of the Board of the Columbus Regional Airport Authority (2007-2020), as a member of the Board (2011-2018) and Lead Independent Director (2015-2018) of Andeavor Corporation (previously Tesoro Corporation) (independent oil refiner and marketer) and as a member of the Board of Summit Midstream Partners LP (energy, 2012-2018).

Michael E. Wiley (1950)

Year of Election or Appointment: 2013

Trustee

Mr. Wiley also serves as Trustee of other Fidelity^® funds. Previously, Mr. Wiley served as a member of the Advisory Board of certain Fidelity^® funds (2018-2020), Chairman, President and CEO of Baker Hughes, Inc. (oilfield services, 2000-2004). Mr. Wiley also previously served as a member of the Board of Andeavor Corporation (independent oil refiner and marketer, 2005-2018), a member of the Board of Andeavor Logistics LP (natural resources logistics, 2015-2018) and a member of the Board of High Point Resources (exploration and production, 2005-2020).

+ The information includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.

Correspondence intended for a Member of the Advisory Board (if any) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for an officer or Peter S. Lynch may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.

Peter S. Lynch (1944)

Year of Election or Appointment: 2018

Member of the Advisory Board

Mr. Lynch also serves as a Member of the Advisory Board of other Fidelity^® funds. Mr. Lynch is Vice Chairman and a Director of Fidelity Management & Research Company LLC (investment adviser firm). In addition, Mr. Lynch serves as a Trustee of Boston College and as the Chairman of the Inner-City Scholarship Fund. Previously, Mr. Lynch served as Vice Chairman and a Director of FMR Co., Inc. (investment adviser firm) and on the Special Olympics International Board of Directors (1997-2006).

Craig S. Brown (1977)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Brown also serves as an officer of other funds. Mr. Brown serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2013-present).

John J. Burke III (1964)

Year of Election or Appointment: 2018

Chief Financial Officer

Mr. Burke also serves as Chief Financial Officer of other funds. Mr. Burke serves as Head of Investment Operations for Fidelity Fund and Investment Operations (2018-present) and is an employee of Fidelity Investments (1998-present). Previously Mr. Burke served as head of Asset Management Investment Operations (2012-2018).

William C. Coffey (1969)

39	Annual Report

Trustees and Officers (Unaudited)  – continued

Year of Election or Appointment: 2019

Assistant Secretary

Mr. Coffey also serves as Assistant Secretary of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2010-present), and is an employee of Fidelity Investments. Previously, Mr. Coffey served as Secretary and CLO of certain funds (2018-2019); CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company and FMR Co., Inc. (investment adviser firms, 2018-2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2018-2019); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2018-2019); and Assistant Secretary of certain funds (2009-2018).

Timothy M. Cohen (1969)

Year of Election or Appointment: 2018

Vice President

Mr. Cohen also serves as Vice President of other funds. Mr. Cohen serves as Co-Head of Equity (2018-present), a Director of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present), and is an employee of Fidelity Investments. Previously, Mr. Cohen served as Executive Vice President of Fidelity SelectCo, LLC (2019), Head of Global Equity Research (2016-2018), Chief Investment Officer - Equity and a Director of Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2013-2015) and as a Director of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2017).

Jonathan Davis (1968)

Year of Election or Appointment: 2013

Assistant Treasurer

Mr. Davis also serves as an officer of other funds. Mr. Davis serves as Assistant Treasurer of FIMM, LLC (2021-present), FMR Capital, Inc. (2017-present), FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010).

Laura M. Del Prato (1964)

Year of Election or Appointment: 2018

Assistant Treasurer

Ms. Del Prato also serves as an officer of other funds. Ms. Del Prato serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2017-present). Previously, Ms. Del Prato served as President and Treasurer of The North Carolina Capital Management Trust: Cash Portfolio and Term Portfolio (2018-2020). Prior to joining Fidelity Investments, Ms. Del Prato served as a Managing Director and Treasurer of the JPMorgan Mutual Funds (2014-2017). Prior to JPMorgan, Ms. Del Prato served as a partner at Cohen Fund Audit Services (accounting firm, 2012-2013) and KPMG LLP (accounting firm, 2004-2012).

Colm A. Hogan (1973)

Year of Election or Appointment: 2020

Assistant Treasurer

Mr. Hogan also serves as an officer of other funds. Mr. Hogan serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present) and is an employee of Fidelity Investments (2005-present). Previously, Mr. Hogan served as Deputy Treasurer of certain Fidelity^® funds (2016-2020) and Assistant Treasurer of certain Fidelity^® funds (2016-2018).

Pamela R. Holding (1964)

Year of Election or Appointment: 2018

Vice President

Ms. Holding also serves as Vice President of other funds. Ms. Holding serves as Co-Head of Equity (2018-present) and is an employee of Fidelity Investments (2013-present). Previously, Ms. Holding served as Executive Vice President of Fidelity SelectCo, LLC (2019) and as Chief Investment Officer of Fidelity Institutional Asset Management (2013-2018).

Cynthia Lo Bessette (1969)

Year of Election or Appointment: 2019

Annual Report

40

Secretary and Chief Legal Officer (CLO)

Ms. Lo Bessette also serves as an officer of other funds. Ms. Lo Bessette serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company LLC (investment adviser firm, 2019-present); CLO of Fidelity Management & Research (Hong Kong) Limited, FMR Investment Management (UK) Limited, and Fidelity Management & Research (Japan) Limited (investment adviser firms, 2019-present); Secretary of FD Funds GP LLC (2021-present), FD Funds Holding LLC (2021-present), and FD Funds Management LLC (2021-present); and Assistant Secretary of FIMM, LLC (2019-present). She is a Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company, 2019-present), and is an employee of Fidelity Investments. Previously, Ms. Lo Bessette served as CLO, Secretary, and Senior Vice President of FMR Co., Inc. (investment adviser firm, 2019); Secretary of Fidelity SelectCo, LLC and Fidelity Investments Money Management, Inc. (investment adviser firms, 2019). Prior to joining Fidelity Investments, Ms. Lo Bessette was Executive Vice President, General Counsel (2016-2019) and Senior Vice President, Deputy General Counsel (2015-2016) of OppenheimerFunds (investment management company) and Deputy Chief Legal Officer (2013-2015) of Jennison Associates LLC (investment adviser firm).

Chris Maher (1972)

Year of Election or Appointment: 2020

Deputy Treasurer

Mr. Maher also serves as an officer of other funds. Mr. Maher serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), and is an employee of Fidelity Investments (2008-present). Previously, Mr. Maher served as Assistant Treasurer of certain funds (2013-2020); Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010).

Jason P. Pogorelec (1975)

Year of Election or Appointment: 2020

Chief Compliance Officer

Mr. Pogorelec also serves as Chief Compliance Officer of other funds. Mr. Pogorelec is a senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2006-present). Previously, Mr. Pogorelec served as Vice President, Associate General Counsel for Fidelity Investments (2010-2020) and Assistant Secretary of certain Fidelity funds (2015-2020).

Brett Segaloff (1972)

Year of Election or Appointment: 2021

Anti-Money Laundering (AML) Officer

Mr. Segaloff also serves as an AML Officer of other funds and other related entities. He is Director, Anti-Money Laundering (2007-present) of FMR LLC (diversified financial services company) and is an employee of Fidelity Investments (1996-present).

Stacie M. Smith (1974)

Year of Election or Appointment: 2018

President and Treasurer

Ms. Smith also serves as an officer of other funds. Ms. Smith serves as Assistant Treasurer of FIMM, LLC (2021-present) and FMR Capital, Inc. (2017-present), is an employee of Fidelity Investments (2009-present), and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (accounting firm, 1996-2009). Previously, Ms. Smith served as Assistant Treasurer (2013-2019) and Deputy Treasurer (2013-2016) of certain Fidelity^® funds.

Jim Wegmann (1979)

Year of Election or Appointment: 2019

Assistant Treasurer

Mr. Wegmann also serves as an officer of other funds. Mr. Wegmann serves as Assistant Treasurer of FIMM, LLC (2021-present) and is an employee of Fidelity Investments (2011-present). Previously, Mr. Wegmann served as Assistant Treasurer of certain Fidelity^® funds (2019-2021).

41	Annual Report

Shareholder Expense Example (Unaudited)

As a shareholder, you incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments or redemption proceeds, as applicable and (2) ongoing costs, which generally include management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested for the one-half year period (March 1, 2022 to August 31, 2022).

Actual Expenses

The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class/Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. If any fund is a shareholder of any underlying mutual funds or exchange-traded funds (ETFs) (the Underlying Funds), such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses incurred presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Hypothetical Example for Comparison Purposes

The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. If any fund is a shareholder of any Underlying Funds, such fund indirectly bears its proportional share of the expenses of the Underlying Funds in addition to the direct expenses as presented in the table. These fees and expenses are not included in the annualized expense ratio used to calculate the expense estimate in the table below.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

	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.

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42

Distributions (Unaudited)

The dividend and capital gains distributions for the fund(s) are available on Fidelity.com or Institutional.Fidelity.com.

The funds hereby designate as capital gain dividend the amounts noted below for the taxable year ended August 31, 2022, or, if subsequently determined to be different, the net capital gain of such year.

Fidelity High Yield Factor ETF

$400,506

A percentage of the dividends distributed during the fiscal year for the following funds qualifies for the dividend-received deduction for corporate shareholders:

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%

A percentage of the dividends distributed during the fiscal year for the following funds may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.

Fidelity 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%

The funds hereby designate the amounts noted below as distributions paid during the period January 1, 2022 to August 31, 2022 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders:

Fidelity High Yield Factor ETF	$7,652,636
Fidelity Preferred Securities & Income ETF	$ 628,966

The fund designates the amounts noted below as distributions paid in the calendar year 2021 as qualifying to be taxed as section 163(j) interest dividends.

Fidelity High Yield Factor ETF	$10,589,335
Fidelity Preferred Securities & Income ETF	$ 104,285

The funds will notify shareholders in January 2023 of amounts for use in preparing 2022 income tax returns.

43	Annual Report

Board Approval of Investment Advisory Contracts and Management Fees

Fidelity High Yield Factor ETF

Fidelity Preferred Securities & Income ETF

Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract with Fidelity Management & Research Company LLC (FMR) and the sub-advisory agreements (together, the Advisory Contracts) for each fund. FMR and the sub-advisers are referred to herein as the Investment Advisers. The Board, assisted by the advice of fund counsel and Independent Trustees’ counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.

The Board meets regularly and, at each of its meetings, covers an extensive agenda of topics and materials and considers factors that are relevant to its annual consideration of the renewal of each fund’s Advisory Contracts, including the services and support provided to each fund and its shareholders. The Board has established various standing committees (Committees), each composed of and chaired by Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of each fund’s Advisory Contracts. The Board also meets as needed to review matters specifically related to the Board’s annual consideration of the renewal of the Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through joint ad hoc committees to discuss certain matters relevant to all of the Fidelity funds.

At its May 2022 meeting, the Board unanimously determined to renew each fund’s Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services provided to each fund and its shareholders (including the investment performance of each fund); (ii) the competitiveness relative to peer funds of each fund’s management fee and total expense ratio; (iii) the total costs of the services provided by and the profits realized by Fidelity from its relationships with each fund; and (iv) the extent to which, if any, economies of scale exist and are realized as each fund grows, and whether any economies of scale are appropriately shared with fund shareholders.

In considering whether to renew the Advisory Contracts for each fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees’ counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts was in the best interests of each fund and its shareholders and that the compensation payable under the Advisory Contracts was fair and reasonable. The Board’s decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, was aware that shareholders of each fund have a broad range of investment choices available to them, including a wide choice among funds offered by Fidelity’s competitors, and that each fund’s shareholders, who have the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in that fund, which is part of the Fidelity family of funds.

Nature, Extent, and Quality of Services Provided. The Board considered Fidelity’s staffing as it relates to the funds, including the backgrounds of investment personnel of Fidelity, and also considered the funds’ investment objectives, strategies, and related investment philosophies. The Independent Trustees also had discussions with senior management of Fidelity’s investment operations and investment groups. The Board considered the structure of the investment personnel compensation program and whether this structure provides appropriate incentives to act in the best interests of each fund. Additionally, the Board considered the portfolio managers’ investments, if any, in the funds that they manage. The Board also considered the steps Fidelity had taken to ensure the continued provision of high quality services to the Fidelity funds during the COVID-19 pandemic, including the expansion of staff in client facing positions to maintain service levels in periods of high volumes and volatility.

Resources Dedicated to Investment Management and Support Services. The Board and the Fund Oversight and Research Committees reviewed the general qualifications and capabilities of Fidelity’s investment staff, including its size, education, experience, and resources, as well as Fidelity’s approach to recruiting, training, managing, and compensating investment personnel. The Board noted the resources devoted to expansion of Fidelity’s global investment organization, and that Fidelity’s analysts have extensive resources, tools, and capabilities that allow them to conduct sophisticated quantitative and fundamental analysis, as well as credit analysis of issuers, counterparties, and guarantors. Further, the Board considered that Fidelity’s investment professionals have sufficient access to global information and data so as to provide competitive investment results over time, and that those professionals also have access to sophisticated tools that permit them to assess portfolio construction and risk and performance attribution characteristics continuously, as well as to transmit new information and research conclusions rapidly around the world. Additionally, in its deliberations, the Board considered Fidelity’s trading, risk management, compliance, and technology and operations capabilities and resources, which are integral parts of the investment management process.

Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory and administrative services provided by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering pricing and bookkeeping and securities lending services for each fund; (ii) the nature and extent of the supervision of third party service providers, principally State Street Bank and Trust Company, each fund’s transfer agent and custodian; and (iii) the resources devoted to, and the record of compliance with, each fund’s compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of “soft” commission dollars to pay for research services.

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44

The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value and convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information over the Internet and through telephone representatives, investor education materials, and asset allocation tools. The Board also considered that it reviews customer service metrics such as telephone response times, continuity of services on the website and metrics addressing services at Fidelity Investor Centers.

Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including: (i) continuing to dedicate additional resources to Fidelity’s investment research process, which includes meetings with management of issuers of securities in which the funds invest; (ii) continuing efforts to enhance Fidelity’s global research capabilities; (iii) launching new funds and ETFs with innovative structures, strategies and pricing and making other enhancements to meet client needs; (iv) launching new share classes of existing funds; (v) eliminating purchase minimums and broadening eligibility requirements for certain funds and share classes; (vi) reducing management fees and total expenses for certain target date funds and classes and index funds; (vii) lowering expenses for certain existing funds and classes by implementing or lowering expense caps; (viii) rationalizing product lines and gaining increased efficiencies from fund mergers and liquidations; (ix) continuing to develop, acquire and implement systems and technology to improve services to the funds and shareholders, strengthen information security, and increase efficiency; and (x) continuing to implement enhancements to further strengthen Fidelity’s product line to increase investors’ probability of success in achieving their investment goals, including retirement income goals.

Investment Performance (for Fidelity High Yield Factor ETF). The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions and its performance history. The Board noted that the fund had a portfolio manager change in January 2022. The Board will continue to monitor closely the fund’s performance, taking into account the portfolio management change.

The Board took into account discussions that occur at Board meetings throughout the year with representatives of the Investment Advisers about fund investment performance. In this regard the Board noted that as part of regularly scheduled fund reviews and other reports to the Board on fund performance, the Board considers annualized return information for the fund for different time periods, measured against an appropriate securities market index (benchmark index) and an appropriate peer group of funds with similar objectives (peer group). The Board also reviews and considers information about performance attribution. In its evaluation of fund investment performance, the Board gave particular attention to information indicating changes in performance of certain Fidelity funds for specific time periods and discussed with the Investment Advisers the reasons for any overperformance or underperformance. The Board also considered information on each fund’s bid-ask spread and premium/discount.

In addition to reviewing absolute and relative fund performance, the Independent Trustees periodically consider the appropriateness of fund performance metrics in evaluating the results achieved. In general, the Independent Trustees believe that fund performance should be evaluated based on net performance (after fees and expenses) of the fund compared to appropriate benchmark indices, over appropriate time periods that may include full market cycles, and compared to peer groups, as applicable, over the same periods, taking into account relevant factors including the following: general market conditions; issuer-specific information; and fund cash flows and other factors.

The Independent Trustees recognize that shareholders evaluate performance on a net basis over their own holding periods, for which one-, three-, and five-year periods are often used as a proxy. For this reason, the performance information reviewed by the Board also included net cumulative total return information for the fund and an appropriate benchmark index and peer group for the most recent one- and three-year periods ended September 30, 2021, as shown below. Returns are shown compared to the 25th percentile (top of box, 75% beaten) and 75th percentile (bottom of box, 25% beaten) of the peer universe.

45	Annual Report

Board Approval of Investment Advisory Contracts and Management Fees  – continued

Fidelity High Yield Factor ETF

Investment Performance (for Preferred Securities & Income ETF). The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. As the fund recently commenced operations, the Board did not believe that it was appropriate to assign significant weight to its limited investment performance.

Based on its review, the Board concluded that the nature, extent, and quality of services provided to each fund under the Advisory Contracts should continue to benefit the shareholders of each fund.

Competitiveness of Management Fee and Total Expense Ratio. The Board considered each fund’s management fee and total expense ratio compared to “mapped groups” of competitive funds created for the purpose of facilitating the Trustees’ competitive analysis of management fees and total expenses. Fidelity creates “mapped groups” by combining similar Lipper investment objective categories that have comparable investment mandates. Combining Lipper investment objective categories aids the Board’s management fee and total expense ratio comparisons by broadening the competitive group used for comparison.

Management Fee. The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods ended September 30 (June 30 for periods ended 2019 and 2018) shown in basis points (BP) in the charts below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the “Total Mapped Group.” The Total Mapped Group comparison focuses on a fund’s standing in terms of gross management fees before expense reimbursements or caps relative to the total universe of funds with comparable investment mandates, regardless of whether their management fee structures also are comparable. Funds with comparable investment mandates offer exposure to similar types of securities. Funds with comparable management fee structures have similar management fee contractual arrangements (e.g., flat rate charged for advisory services, all-inclusive fee rate, etc.). “TMG %” represents the percentage of funds in the Total Mapped Group that had management fees that were lower than a fund’s. For example, a hypothetical TMG % of 20% would mean that 80% of the funds in the Total Mapped Group had higher, and 20% had lower, management fees than a fund. The funds’ actual TMG %s and the number of funds in the Total Mapped Group are in the charts below. The “Asset-Sized Peer Group” (ASPG) comparison focuses on a fund’s standing relative to a subset of non-Fidelity funds within the Total Mapped Group that are similar in size and management fee structure. For example, if a fund is in the first quartile of the ASPG, the fund’s management fee ranks in the least expensive or lowest 25% of funds in the ASPG. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee structures, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which a fund’s management fee rate ranked, is also included in the charts and was considered by the Board.

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46

Fidelity High Yield Factor ETF

Fidelity Preferred Securities & Income ETF

The Board noted that each fund’s management fee rate ranked above the median of its Total Mapped Group and ASPG for the period ended September 30, 2021. The Board noted that when compared to the subset of high income ETFs, Fidelity High Yield Factor ETF ranked below the subset’s median management fee. The Board further noted that when compared to the subset of ETFs that have a flexible income investment objective, Fidelity Preferred Securities & Income ETF ranked below the subset’s median management fee.

Based on its review, the Board concluded that each fund’s management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.

Total Expense Ratio. In its review of each fund’s total expense ratio, the Board considered the fund’s all-inclusive fee rate. The Board also considered other expenses, such as transfer agent fees, pricing and bookkeeping fees, and custodial, legal, and audit fees, paid by FMR under the all-inclusive arrangement. The Board also noted that Fidelity may agree to waive fees or reimburse expenses from time to time, and the extent to which, if any, it has done so for each fund. Each fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure. The Board also considered a total expense ASPG comparison for each

47	Annual Report

Board Approval of Investment Advisory Contracts and Management Fees  – continued

fund, which focuses on the total expenses of each fund relative to a subset of non-Fidelity funds within the total expense similar sales load structure group. The total expense ASPG is limited to 15 larger and 15 smaller classes in fund average assets for a total of 30 classes, where possible. The total expense ASPG comparison excludes performance adjustments and fund-paid 12b-1 fees to eliminate variability in fee structures.

The Board noted that each fund’s total net expense ratio ranked above the similar sales load structure group competitive median and above the ASPG competitive median for the period ended September 30, 2021. The Board considered that, in general, various factors can affect total expense ratios. The Board also considered that each fund’s Total Mapped Group includes ETFs ranging across 21 Lipper investment objectives and is dominated by ETFs that focus on investment grade securities.

Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of Fidelity, such as other funds advised or subadvised by Fidelity, pension plan clients, and other institutional clients with similar mandates. The Board noted that a joint ad hoc committee created by it and the boards of other Fidelity funds periodically reviews and compares Fidelity’s institutional investment advisory business with its business of providing services to the Fidelity funds and also noted the most recent findings of the committee. The Board noted that the committee’s review included a consideration of the differences in services provided, fees charged, and costs incurred, as well as competition in the markets serving the different categories of clients.

Based on its review of total expense ratios and fees charged to other Fidelity clients, the Board concluded that each fund’s total expense ratio was reasonable in light of the services that the fund and its shareholders receive and the other factors considered.

Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing each fund and servicing each fund’s shareholders. The Board also considered the level of Fidelity’s profits in respect of all the Fidelity funds.

On an annual basis, Fidelity presents to the Board information about the profitability of its relationships with each fund. Fidelity calculates profitability information for each fund, as well as aggregate profitability information for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the books and records of Fidelity on which Fidelity’s audited financial statements are based. The Audit Committee of the Board reviews any significant changes from the prior year’s methodologies and the full Board approves such changes.

A public accounting firm has been engaged annually by the Board as part of the Board’s assessment of Fidelity’s profitability analysis. The engagement includes the review and assessment of the methodologies used by Fidelity in determining the revenues and expenses attributable to Fidelity’s mutual fund business, and completion of agreed-upon procedures in respect of the mathematical accuracy of certain fund profitability information and its conformity to established allocation methodologies. After considering the reports issued under the engagement and information provided by Fidelity, the Board concluded that while other allocation methods may also be reasonable, Fidelity’s profitability methodologies are reasonable in all material respects.

The Board also reviewed Fidelity’s non-fund businesses and potential indirect benefits such businesses may have received as a result of their association with Fidelity’s mutual fund business (i.e., fall-out benefits) as well as cases where Fidelity’s affiliates may benefit from the funds’ business. The Board considered areas where potential indirect benefits to the Fidelity funds from their relationships with Fidelity may exist. The Board’s consideration of these matters was informed by the findings of a joint ad hoc committee created by it and the boards of other Fidelity funds to evaluate potential fall-out benefits.

The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of each fund and was satisfied that the profitability was not excessive.

Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including each fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which each fund will benefit from economies of scale as assets grow through increased services to the fund, through waivers or reimbursements, or through fee or expense ratio reductions. The Board recognized that, due to each fund’s current contractual arrangements, its expense ratio will not decline if the fund’s operating costs decrease as assets grow, or rise as assets decrease. The Board also noted that a committee (the Economies of Scale Committee) created by it and the boards of other Fidelity funds periodically analyzes whether Fidelity attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.

The Board concluded, taking into account the analysis of the Economies of Scale Committee, that economies of scale, if any, are being appropriately shared between fund shareholders and Fidelity.

Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds’ advisory contracts, the Board requested and received additional information on certain topics, including: (i) fund flow and performance trends, in particular the underperformance of certain funds and strategies, and Fidelity’s long-term strategies for certain funds, including any consideration of fund liquidations or mergers; (ii) the operation of performance fees, competitor use of performance fees, and consideration of the expansion of performance fees to additional funds; (iii) Fidelity’s pricing philosophy compared to competitors; (iv) fund profitability

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48

methodology and data; (v) evaluation of competitive fund data and peer group classifications and fee and expense comparisons; (vi) the management fee and expense structures for different funds and classes and information about the differences between various fee and expense structures; (vii) group fee breakpoints and related voluntary fee waivers; and (viii) information regarding other accounts managed by Fidelity and the funds’ sub-advisory arrangements.

Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board concluded that the advisory fee arrangements are fair and reasonable and that each fund’s Advisory Contracts should be renewed.

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51	Annual Report

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