Notes to Financial Statements
For the period ended October 31, 2019
1. Organization.
Fidelity International High Dividend ETF, Fidelity
International Value Factor ETF, Fidelity Targeted Emerging Markets Factor ETF and Fidelity Targeted International Factor ETF (the Funds) are exchange-traded funds of Fidelity Covington Trust (the Trust) and are authorized to issue an unlimited
number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. Certain
Funds’ investments in emerging markets can be subject to social, economic, regulatory and political uncertainties and can be extremely volatile.
2.
Investments in Fidelity Central Funds.
The Funds 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 Funds’ Schedules of Investments list each of the Fidelity Central Funds held as of period end, if
any, as an investment of each Fund, but do not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, each Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an
affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date ranged from less than .005% to 0.01%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website
at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Funds’ Report of Independent Registered Public Accounting Firm, are available on the SEC 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 – Investments 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. The following summarizes the significant accounting policies of the Funds:
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. 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 – quoted prices in active markets for identical investments
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest
rates, prepayment speeds, etc.)
Level 3 – unobservable inputs (including the Fund’s own assumptions based
on the best information available)
Valuation techniques used to value each Fund’s investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official
closing price as reported by a third party pricing 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.
3. Significant Accounting Policies – continued
Futures contracts are valued at the settlement price established each day by the board
of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net
asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or
out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of October 31, 2019, is included at the end of each Fund’s Schedule of Investments.
Foreign Currency. The Funds may use foreign currency contracts to
facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts’ terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases
and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign
currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment
Transactions and Income. For financial reporting purposes 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 of NYSE Arca for Fidelity International High Dividend ETF and Fidelity
International Value Factor ETF and of Cboe BZX Exchange, Inc. (CboeBZX) for Fidelity Targeted Emerging Markets Factor ETF and Fidelity Targeted International Factor ETF, normally 4:00 p.m. Eastern time. Gains and losses on securities sold are
determined on the basis of identified cost. 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. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
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. 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 October 31, 2019 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.
Foreign taxes are provided for based on each Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests. Fidelity Targeted Emerging Markets Factor ETF is subject to a tax imposed on capital gains by
certain countries in which it invests. An estimated deferred tax liability for net unrealized appreciation on the applicable securities is included in Other payables and accrued expenses on the Statement of Assets & Liabilities.
Distributions are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined
in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which
will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, foreign currency
transactions, passive foreign investment companies (PFIC) and losses deferred due to wash sales.
Notes to Financial Statements – continued
3. Significant Accounting Policies – continued
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:
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Tax cost
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Gross unrealized
appreciation
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Gross unrealized
depreciation
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Net unrealized
appreciation
(depreciation) on
securities and
other investments
|
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Fidelity International High Dividend ETF
|
|
$
|
44,568,752
|
|
|
$
|
2,064,320
|
|
|
$
|
(2,903,560
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)
|
|
$
|
(839,240
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)
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Fidelity International Value Factor ETF
|
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|
13,413,079
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|
|
|
910,279
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|
|
|
(1,287,285
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)
|
|
|
(377,006
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)
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|
Fidelity Targeted Emerging Markets Factor ETF
|
|
|
9,698,202
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|
|
|
706,506
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|
|
|
(588,842
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)
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|
|
117,664
|
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|
Fidelity Targeted International Factor ETF
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|
|
9,880,330
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|
|
|
771,713
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|
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(231,632
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)
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|
540,081
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|
The tax-based components of distributable earnings as of period end were as follows
for each Fund:
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Undistributed
ordinary income
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Undistributed
capital gains
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Capital loss
carryforward
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Net unrealized
appreciation
(depreciation)
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Fidelity International High Dividend ETF
|
|
$
|
112,108
|
|
|
$
|
—
|
|
|
$
|
(1,313,328
|
)
|
|
$
|
(837,889
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)
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|
Fidelity International Value Factor ETF
|
|
|
13,702
|
|
|
|
—
|
|
|
|
(1,429,391
|
)
|
|
|
(377,137
|
)
|
|
Fidelity Targeted Emerging Markets Factor ETF
|
|
|
28,176
|
|
|
|
—
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|
|
|
(266,160
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)
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|
|
101,354
|
|
|
Fidelity Targeted International Factor ETF
|
|
|
49,685
|
|
|
|
—
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|
|
|
(137,693
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)
|
|
|
540,405
|
|
Capital loss carryforwards are only available to offset future capital gains of the Funds to the extent provided by
regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited
period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal year end and is subject to adjustment.
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No-expiration
Short-term
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No-expiration
Long-term
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Total capital loss
carryforward
|
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Fidelity International High Dividend ETF
|
|
$
|
(910,768
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)
|
|
$
|
(402,560
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)
|
|
$
|
(1,313,328
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)
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|
Fidelity International Value Factor ETF
|
|
|
(892,341
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)
|
|
|
(537,050
|
)
|
|
|
(1,429,391
|
)
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|
Fidelity Targeted Emerging Markets Factor ETF
|
|
|
(265,413
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)
|
|
|
(747
|
)
|
|
|
(266,160
|
)
|
|
Fidelity Targeted International Factor ETF
|
|
|
(137,693
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)
|
|
|
—
|
|
|
|
(137,693
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)
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The tax character of distributions paid was as follows:
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October 31, 2019
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Ordinary
Income
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Long-Term
Capital Gain
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Tax Return
Of Capital
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Total
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Fidelity International High Dividend ETF
|
|
$
|
1,635,200
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,635,200
|
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|
Fidelity International Value Factor ETF
|
|
|
508,200
|
|
|
|
—
|
|
|
|
—
|
|
|
|
508,200
|
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|
Fidelity Targeted Emerging Markets Factor
ETFA
|
|
|
190,400
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|
|
|
—
|
|
|
|
—
|
|
|
|
190,400
|
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|
Fidelity Targeted International Factor
ETFA
|
|
|
214,400
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|
|
|
—
|
|
|
|
—
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|
|
|
214,400
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|
|
A For the period February 26, 2019 (commencement of operations) to October 31, 2019.
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October 31, 2018
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Fidelity International High Dividend
ETFA
|
|
$
|
492,900
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
492,900
|
|
|
Fidelity International Value Factor
ETFA
|
|
|
318,100
|
|
|
|
—
|
|
|
|
—
|
|
|
|
318,100
|
|
|
Fidelity Targeted Emerging Markets Factor ETF
|
|
|
—
|
|
|
|
—
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|
|
—
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|
|
—
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|
Fidelity Targeted International Factor ETF
|
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—
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—
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—
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—
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A
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For the period from January 16, 2018 (commencement of operations) to October 31, 2018.
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Restricted Securities. The Fund’s 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 is included at the end of each applicable Fund’s Schedule of Investments.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Funds’
investment objective allows the Funds to enter into various types of derivative contracts, including futures contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be
transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange
future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Funds used derivatives to increase returns and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives
depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Funds may not achieve their objectives.
The Funds’ use of derivatives increased or decreased their exposure to the following risk:
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Equity risk
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Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to
an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.
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The Funds are also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit
risk. Liquidity risk is the risk that the Funds will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Funds.
Counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess
of any initial investment and collateral received and amounts recognized in the Statements of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value
of the underlying instrument.
Futures Contracts. A futures
contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Funds used futures contracts to manage their exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a
certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received
by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in
the Statements of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the
period is presented in the Statements of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the
caption “Futures Contracts”. The notional amount at value reflects each contract’s exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Cash deposited to meet
initial margin requirements is presented as segregated cash with brokers for derivative instruments in the Statements of Assets and Liabilities.
5. Purchases
and Sales of Investments.
Purchases and sales of securities, other than short-term securities and in-kind
transactions, were as follows:
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Purchases
|
|
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Sales
|
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Fidelity International High Dividend ETF
|
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$
|
15,626,433
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$
|
15,235,379
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Fidelity International Value Factor ETF
|
|
|
7,075,339
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|
|
7,083,829
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Fidelity Targeted Emerging Markets Factor ETF
|
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13,221,434
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|
|
3,276,413
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Fidelity Targeted International Factor ETF
|
|
|
4,621,723
|
|
|
|
3,528,802
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Securities received or delivered in-kind through subscriptions and redemptions were as
follows:
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In-kind
Subscriptions
|
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In-kind
Redemptions
|
|
|
Fidelity International High Dividend ETF
|
|
$
|
24,051,243
|
|
|
$
|
—
|
|
|
Fidelity International Value Factor ETF
|
|
|
—
|
|
|
|
—
|
|
|
Fidelity Targeted Emerging Markets Factor ETF
|
|
|
—
|
|
|
|
—
|
|
|
Fidelity Targeted International Factor ETF
|
|
|
8,916,338
|
|
|
|
—
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Notes to Financial Statements – continued
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR Co., Inc. (FMRC) (the investment adviser), an affiliate of FMR 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 .39% of each Fund’s average net assets for Fidelity International High Dividend ETF, Fidelity International Value Factor ETF and Fidelity Targeted International Factor ETF. Under the management contract, the investment adviser pays all other
expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense.
Fidelity Targeted Emerging
Markets Factor ETF’s management fee is based on an annual rate of .45% of average net assets. Under the management contract, the investment adviser pays all other expenses, except the compensation of the independent Trustees and certain other
expenses such as interest expense.
Sub-Adviser. Geode Capital Management, LLC (Geode), serves as sub-adviser for the Funds. Geode provides discretionary investment advisory services to the Funds and is paid by the
investment adviser for providing these services.
Interfund Trades. The 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. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of
Investments note.
7. 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:
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Amount
|
|
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Fidelity International High Dividend ETF
|
|
$
|
100
|
|
|
Fidelity International Value Factor ETF
|
|
|
61
|
|
|
Fidelity Targeted Emerging Markets Factor ETF
|
|
|
31
|
|
8. Share Transactions.
The 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 stocks 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 defray the costs associated with the issuance and redemption of
Creation Units.
9. Other.
The Funds’ 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 Funds. In the normal course of business, the Funds may also enter into
contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Funds. The risk of material loss from such claims is
considered remote.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Covington Trust and Shareholders of Fidelity
International High Dividend ETF, Fidelity International Value Factor ETF, Fidelity Targeted Emerging Markets Factor ETF and Fidelity Targeted International Factor ETF:
Opinion on the Financial Statements and Financial Highlights
We
have audited the accompanying statements of assets and liabilities of Fidelity International High Dividend ETF, Fidelity International Value Factor ETF, Fidelity Targeted Emerging Markets Factor ETF and Fidelity Targeted International Factor ETF
(the “Funds”), each a fund of Fidelity Covington Trust, including the schedules of investments, as of October 31, 2019, the related statements of operations for the year then ended, and the statements of changes in net assets and the
financial highlights for the year then ended and for the period from January 16, 2018 (commencement of operations) to October 31, 2018, and the related notes, except for; Fidelity Targeted Emerging Markets Factor ETF and Fidelity Targeted
International Factor ETF; the related statements of operations, the statements of changes in net assets and the financial highlights for the period from February 26, 2019 (commencement of operations) to October 31, 2019, and the related
notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2019, the results of their operations, and the changes in their net
assets and the financial highlights for the year then ended and for the period from January 16, 2018 (commencement of operations) to October 31, 2018, except for; Fidelity Targeted Emerging Markets Factor ETF and Fidelity Targeted
International Factor ETF; the results of their operations, the changes in their net assets and the financial highlights for the period from February 26, 2019 (commencement of operations) to October 31, 2019, in conformity with accounting
principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the
Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to
the 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 in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over
financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over
financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of
the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the
financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial
highlights. Our procedures included confirmation of securities owned as of October 31, 2019, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that
our audits provide a reasonable basis for our opinion.
/s/ Deloitte & Touche LLP
Boston, Massachusetts
December 16, 2019
We have served as the auditor of one or more of the Fidelity investment companies since 1999.
Premium/Discount Analysis (Unaudited)
Shares of each fund are listed on NYSE Arca or CboeBZX and can be bought and
sold on the secondary market at market prices. Although the market price is expected to approximate the fund’s NAV, it is possible that the market price and NAV will vary significantly. The closing market price is the daily closing price as
reported on NYSE Arca or CboeBZX.
Premiums or discounts are the differences (expressed as a basis point differential with 1 basis point equaling 1/100 of
1%) between the fund’s NAV and closing market price. A premium indicates that the closing market price is trading above the NAV. A discount indicates that the closing market price is trading below the NAV. A discrepancy may exist with respect
to the timing of when the NAV is calculated and the determination of the closing market price.
The chart below presents information about the differences
between each fund’s daily closing market price and each fund’s NAV.
Fidelity International High Dividend ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period Ended October 31, 2019
|
|
|
|
|
|
From commencement of operations*
to October 31, 2019
|
|
Closing Price Below NAV
|
|
|
Closing Price Above or Equal to NAV
|
|
|
|
|
|
|
|
|
Basis Point Differential
|
|
Number of
Days
|
|
% of Total
Days
|
|
|
Number of
Days
|
|
% of Total
Days
|
|
|
0 – <25
|
|
42
|
|
|
9.30
|
%
|
|
87
|
|
|
19.29
|
%
|
|
25 – <50
|
|
9
|
|
|
2.00
|
%
|
|
122
|
|
|
27.06
|
%
|
|
50 – <75
|
|
3
|
|
|
0.67
|
%
|
|
116
|
|
|
25.72
|
%
|
|
75 – <100
|
|
3
|
|
|
0.67
|
%
|
|
48
|
|
|
10.64
|
%
|
|
100 or above
|
|
2
|
|
|
0.44
|
%
|
|
19
|
|
|
4.21
|
%
|
|
Total
|
|
59
|
|
|
13.08
|
%
|
|
392
|
|
|
86.92
|
%
|
|
*
|
From January 18, 2018, date initially listed on the NYSE ARCA exchange.
|
Fidelity International Value Factor ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period Ended October 31, 2019
|
|
|
|
|
|
From commencement of operations*
to October 31, 2019
|
|
Closing Price Below NAV
|
|
|
Closing Price Above or Equal to NAV
|
|
|
|
|
|
|
|
|
Basis Point Differential
|
|
Number of
Days
|
|
% of Total
Days
|
|
|
Number of
Days
|
|
% of Total
Days
|
|
|
0 – <25
|
|
71
|
|
|
15.74
|
%
|
|
148
|
|
|
32.82
|
%
|
|
25 – <50
|
|
20
|
|
|
4.43
|
%
|
|
113
|
|
|
25.06
|
%
|
|
50 – <75
|
|
3
|
|
|
0.67
|
%
|
|
65
|
|
|
14.41
|
%
|
|
75 – <100
|
|
2
|
|
|
0.44
|
%
|
|
20
|
|
|
4.43
|
%
|
|
100 or above
|
|
3
|
|
|
0.67
|
%
|
|
6
|
|
|
1.33
|
%
|
|
Total
|
|
99
|
|
|
21.95
|
%
|
|
352
|
|
|
78.05
|
%
|
|
*
|
From January 18, 2018, date initially listed on the NYSE ARCA exchange.
|
Fidelity Targeted Emerging Markets Factor ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period Ended October 31, 2019
|
|
|
|
|
|
From commencement of operations*
to October 31, 2019
|
|
Closing Price Below NAV
|
|
|
Closing Price Above or Equal to NAV
|
|
|
|
|
|
|
|
|
Basis Point Differential
|
|
Number of
Days
|
|
% of Total
Days
|
|
|
Number of
Days
|
|
% of Total
Days
|
|
|
0 – <25
|
|
31
|
|
|
18.03
|
%
|
|
70
|
|
|
40.69
|
%
|
|
25 – <50
|
|
6
|
|
|
3.49
|
%
|
|
54
|
|
|
31.40
|
%
|
|
50 – <75
|
|
1
|
|
|
0.58
|
%
|
|
7
|
|
|
4.07
|
%
|
|
75 – <100
|
|
3
|
|
|
1.74
|
%
|
|
0
|
|
|
—
|
|
|
100 or above
|
|
0
|
|
|
—
|
|
|
0
|
|
|
—
|
|
|
Total
|
|
41
|
|
|
23.84
|
%
|
|
131
|
|
|
76.16
|
%
|
|
*
|
From February 28, 2019, date initially listed on the CboeBZX exchange.
|
Fidelity Targeted International Factor ETF
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Period Ended October 31, 2019
|
|
|
|
|
|
From commencement of operations*
to October 31, 2019
|
|
Closing Price Below NAV
|
|
|
Closing Price Above or Equal to NAV
|
|
|
|
|
|
|
|
|
Basis Point Differential
|
|
Number of
Days
|
|
% of Total
Days
|
|
|
Number of
Days
|
|
% of Total
Days
|
|
|
0 – <25
|
|
8
|
|
|
4.00
|
%
|
|
30
|
|
|
15.00
|
%
|
|
25 – <50
|
|
0
|
|
|
—
|
|
|
64
|
|
|
32.00
|
%
|
|
50 – <75
|
|
2
|
|
|
1.00
|
%
|
|
61
|
|
|
30.50
|
%
|
|
75 – <100
|
|
0
|
|
|
—
|
|
|
27
|
|
|
13.50
|
%
|
|
100 or above
|
|
0
|
|
|
—
|
|
|
8
|
|
|
4.00
|
%
|
|
Total
|
|
10
|
|
|
5.00
|
%
|
|
190
|
|
|
95.00
|
%
|
|
*
|
From February 28, 2019, date initially listed on the CboeBZX exchange.
|