Fidelity Event Driven Opportunities Fund

Transcription

1 Fidelity Event Driven Opportunities Fund Semi-Annual Report December 31, 2016 Notice to Readers The accompanying interim financial statements have not been reviewed by the external auditor of the Fund. The external auditor will be auditing the annual financial statements of the Fund in accordance with Canadian generally accepted auditing standards.

2 Fidelity Event Driven Opportunities Fund Schedule of Investments December 31, 2016 (Unaudited) Showing Percentage of Net Assets Attributable to Holders of Redeemable Securities (Net Assets) Equities 91.5% Shares / Units Cost (000s) Market Value (000s) Bermuda 1.8% INFORMATION TECHNOLOGY 1.8% Marvell Technology Group Ltd. 72,400 $ 1,030 $ 1,348 Canada 2.3% CONSUMER STAPLES 0.7% SunOpta, Inc. 51, FINANCIALS 1.2% ECN Capital Corp. 277, HEALTH CARE 0.4% Valeant Pharmaceuticals International, Inc. (United States) 14,281 1, TOTAL CANADA 3,150 1,679 Ireland 3.0% HEALTH CARE 3.0% Perrigo Co. PLC 19,650 2,280 2,196 Marshall Islands 0.9% ENERGY 0.9% International Seaways, Inc. 33, New Zealand 0.6% CONSUMER DISCRETIONARY 0.6% NZME Ltd. 751, United States of America 82.9% CONSUMER DISCRETIONARY 23.1% Apollo Education Group, Inc. Class A (non vtg.) 126,699 1,249 1,684 Ascena Retail Group, Inc. 64, Barnes & Noble Education, Inc. 100,207 1,420 1,543 Cable One, Inc Gannett Co., Inc. 22, Guess?, Inc The Madison Square Garden Co. 12,660 2,778 2,915 Time, Inc. 108,303 2,328 2,596 TopBuild Corp. 60,870 2,400 2,909 Twenty First Century Fox, Inc. Class B 78,100 2,903 2,857 Vista Outdoor, Inc. 17, TOTAL CONSUMER DISCRETIONARY 15,287 16,783 CONSUMER STAPLES 1.2% Mondelez International, Inc. 7, SUPERVALU, Inc. 69, TOTAL CONSUMER STAPLES ENERGY 12.5% Exterran Corp. 284,178 5,128 9,119 FINANCIALS 14.7% Associated Capital Group, Inc. 19, Donnelley Financial Solutions, Inc. 32, Shares / Units Cost (000s) Market Value (000s) Encore Capital Group, Inc. 69,736 $ 2,298 $ 2,683 Fannie Mae 333, ,747 Freddie Mac 350, ,758 Genworth Financial, Inc. Class A 140, PJT Partners, Inc. 25, ,043 Stewart Information Services Corp. 15, TOTAL FINANCIALS 8,440 10,725 HEALTH CARE 3.6% DepoMed, Inc. 86,200 1,973 2,086 Quorum Health Corp. 54, TOTAL HEALTH CARE 2,594 2,618 INDUSTRIALS 7.5% Allison Transmission Holdings, Inc. 33,921 1,226 1,534 Babcock & Wilcox Enterprises, Inc. 22, KLX, Inc. 10, The Brink s Co. 50,876 1,898 2,818 TOTAL INDUSTRIALS 4,167 5,475 INFORMATION TECHNOLOGY 18.9% Alliance Data Systems Corp. 8,120 2,244 2,491 CDK Global, Inc. 15, ,243 CommerceHub, Inc. Series A, 42, CSRA, Inc. 31,500 1,305 1,347 Diebold Nixdorf, Inc. 34,700 1,151 1,172 Hewlett Packard Enterprise Co. 37,900 1,150 1,178 Lumentum Holdings, Inc. 20,900 1,149 1,085 PayPal Holdings, Inc. 21,200 1,140 1,123 Quantum Corp. 683, TiVo Corp. 43,100 1,144 1,209 Versum Materials, Inc. 34,600 1,095 1,304 TOTAL INFORMATION TECHNOLOGY 13,166 13,774 MATERIALS 0.7% Owens Illinois, Inc. 20, REAL ESTATE 0.7% Four Corners Property Trust, Inc. 18, TOTAL UNITED STATES OF AMERICA 50,799 60,387 TOTAL EQUITIES 58,382 66,654 TOTAL INVESTMENT PORTFOLIO 91.5% $58,382 66,654 NET OTHER ASSETS (LIABILITIES) 8.5% 6,158 NET ASSETS 100% $ 72,812 See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 2

3 Futures Contracts Purchased Expiration Date Underlying Face Amount at Value (000s) Unrealized Appreciation/ (Depreciation) (000s) Equity Index Contracts 35 CME E mini S&P 500 Index Contracts (United States) March 2017 $ 5,254 $ (44) 10 ICE Russell 2000 Index Contracts (United States) March (20) TOTAL FUTURES CONTRACTS $ (64) The face value of futures purchased as a percentage of Net Assets is 8.5% Presentation Notes Cost amount includes broker commissions and other trading expenses, if any. Investment Valuation The following is a summary of the inputs used, as of December 31, 2016 and June 30, 2016, 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 tables below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. Valuation Inputs at December 31, 2016: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equities: Consumer Discretionary $17,197 $17,197 $ $ Consumer Staples 1,389 1,389 Energy 9,749 9,749 Financials 11,639 11,639 Health Care 5,092 5,092 Industrials 5,475 5,475 Information Technology 15,122 15,122 Materials Real Estate Total Investments in Securities: $66,654 $66,654 $ $ Derivative Instruments: Liabilities Futures Contracts $ (64) $ (64) $ $ Total Liabilities $ (64) $ (64) $ $ Total Derivative Instruments: $ (64) $ (64) $ $ See accompanying notes which are an integral part of the financial statements. 3 Semi-Annual Report

4 Fidelity Event Driven Opportunities Fund Schedule of Investments (Unaudited) continued Valuation Inputs at June 30, 2016: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equities: Consumer Discretionary $15,258 $15,258 $ $ Consumer Staples 8,429 8,429 Energy 3,076 3,076 Financials 8,102 8,102 Health Care 3,655 3,655 Industrials 8,176 8,176 Information Technology 5,269 5,269 Materials Total Investments in Securities: $52,499 $52,499 $ $ Derivative Instruments: Liabilities Futures Contracts $ (69) $ (69) $ $ Total Liabilities $ (69) $ (69) $ $ Total Derivative Instruments: $ (69) $ (69) $ $ See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 4

5 Financial Statements (Unaudited) Statements of Financial Position Amounts in thousands of Canadian Dollars /thousands of securities (except per security amounts) As at December 31, 2016 June 30, 2016 Assets (Note 3) Current assets Investments at fair value through profit or loss $ 66,654 $ 52,499 Cash 6,823 6,411 Cash collateral (Note 8) Receivable for investments sold 217 Receivable for daily variation margin for derivative instruments 66 Other receivables 1 8 Accrued interest and dividends receivable Subscriptions receivable ,969 59,538 Liabilities (Note 3) Current liabilities Payable for investments purchased Redemptions payable Distributions payable (Note 5) 1 1 Management and advisory fees payable (Note 4) Other payables to affiliates (Note 4) 10 9 Payable for daily variation margin for derivative instruments (Note 8) 25 Other payables and accrued expenses (Notes 4 and 5) , Net assets attributable to holders of redeemable securities (Notes 3 and 6) $ 72,812 $ 59,223 Net assets attributable to holders of redeemable securities per Series and per security (Note 6) Series A: ($18,722 / 1,404 securities and $15,068 / 1,305 securities, respectively) $ $ Series B: ($14,430 / 1,083 securities and $12,292 / 1,065 securities, respectively) $ $ Series F: ($8,743 / 656 securities and $8,620 / 742 securities, respectively) $ $ Series F5: ($2 / securities and $1 / securities, respectively) $ $ Series F8: ($5 / securities and $1 / securities, respectively) $ $ Series O: ($24,381 / 1,833 securities and $19,752 / 1,690 securities, respectively) $ $ Series T5: ($117 / 5 securities and $98 / 5 securities, respectively) $ $ Series T8: ($76 / 3 securities and $66 / 3 securities, respectively) $ $ Series S5: ($24 / 1 securities and $72 / 3 securities, respectively) $ $ See accompanying notes which are an integral part of the financial statements. 5 Semi-Annual Report

6 Financial Statements (Unaudited) continued Statements of Financial Position continued Amounts in thousands of Canadian Dollars /thousands of securities (except per security amounts) As at December 31, 2016 June 30, 2016 Series S8: ($28 / 1 securities and $23 / 1 securities, respectively) $ $ Series E1: ($2,863 / 244 securities and $1,910 / 188 securities, respectively) $ $ Series E2: ($397 / 34 securities and $452 / 44 securities, respectively) $ $ Series E3: ($252 / 21 securities and $103 / 10 securities, respectively) $ $ Series E4: ($1 / securities and $1 / securities, respectively) $ $ Series P1: ($1,593 / 148 securities and $339 / 36 securities, respectively) $ $ Series P2: ($1,177 / 109 securities and $424 / 45 securities, respectively) $ $ Series P3: ($1 / securities and $1 / securities, respectively) $ $ See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 6

7 Statements of Comprehensive Income Amounts in thousands of Canadian Dollars (except per security amounts) For the six-month periods ended December 31, Investment income (Note 3) Interest $ $ 1 Dividends Net gain (loss) on Investments Net realized gain (loss) on investments 3, Change in net unrealized appreciation (depreciation) on investments 9,032 4,249 12,309 4,470 Net gain (loss) on Foreign Currencies Net realized gain (loss) on foreign currency transactions Change in net unrealized appreciation (depreciation) on other net assets in foreign currencies (49) Net gain (loss) on Derivatives Net realized gain (loss) on derivatives 465 (156) Change in net unrealized appreciation (depreciation) on derivatives (37) Total investment income (loss) 13,386 5,405 Operating expenses (Note 4) Management and advisory fees Administration fees Independent Review Committee fees Commissions and other portfolio costs Sales tax Foreign taxes withheld (Note 5) Total operating expenses Expenses waived (Note 4) (6) (7) Net operating expenses Net increase (decrease) in net assets attributable to holders of redeemable securities from operations $ 12,829 $ 4,874 Other information: Increase (decrease) in net assets attributable to holders of redeemable securities from operations per Series (Note 3) Series A $ 3,216 $ 1,108 Series B $ 2,521 $ 1,137 Series F $ 1,618 $ 741 Series F5 $ 1 $ 1 Series F8 $ $ 2 Series O $ 4,399 $ 1,833 Series T5 $ 22 $ 10 Series T8 $ 14 $ 8 Series S5 $ 7 $ 13 Series S8 $ 5 $ 2 Series E1 $ 441 $ Series E2 $ 78 $ Series E3 $ 42 $ Series E4 $ $ Series P1 $ 311 $ 5 Series P2 $ 154 $ 14 Series P3 $ $ See accompanying notes which are an integral part of the financial statements. 7 Semi-Annual Report

8 Financial Statements (Unaudited) continued Statements of Comprehensive Income continued Amounts in thousands of Canadian Dollars (except per security amounts) For the six-month periods ended December 31, Increase (decrease) in net assets attributable to holders of redeemable securities from operations per Series per security (Note 3) Series A $ $.9282 Series B $ $.8967 Series F $ $ Series F5 $ $ Series F8 $ $ Series O $ $ Series T5 $ $ Series T8 $ $ Series S5 $ $ Series S8 $ $ Series E1 $ $ Series E2 $ $ Series E3 $ $ Series E4 $ $ Series P1 $ $.0481 Series P2 $ $.0482 Series P3 $ $.0208 For certain Series the period shown is from the commencement of sale of securities to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 8

9 Statements of Changes in Net Assets Attributable to Holders of Redeemable Securities Amounts in thousands of Canadian Dollars For the six-month period ended December 31, 2016 Total Series A Series B Series F Series F5 Series F8 Net assets attributable to holders of redeemable securities, beginning of period $ 59,223 $ 15,068 $ 12,292 $ 8,620 $ 1 $ 1 Distributions to holders of redeemable securities (Note 5) From net investment income (1,245) (259) (213) (152) From net realized gain (3,381) (704) (579) (413) Return of capital (7) Management fee reduction (5) (1) (4) (4,638) (964) (796) (565) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 13,090 1,827 2,555 1,923 4 Reinvestment of distributions 4, Amounts paid upon redemption of redeemable securities (12,216) (1,357) (2,922) (3,358) 5,398 1, (930) 4 Increase (decrease) in net assets attributable to holders of redeemable securities from operations 12,829 3,216 2,521 1,618 1 Net increase (decrease) in net assets attributable to holders of redeemable securities 13,589 3,654 2, Net assets attributable to holders of redeemable securities, end of period $ 72,812 $ 18,722 $ 14,430 $ 8,743 $ 2 $ 5 Amounts in thousands of Canadian Dollars For the six-month period ended December 31, 2016 Series O Series T5 Series T8 Series S5 Series S8 Net assets attributable to holders of redeemable securities, beginning of period $ 19,752 $ 98 $ 66 $ 72 $ 23 Distributions to holders of redeemable securities (Note 5) From net investment income (511) (2) (1) From net realized gain (1,384) (5) (3) (1) (1) Return of capital (2) (3) (1) (1) (1,895) (9) (7) (2) (2) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 3,379 Reinvestment of distributions 1, Amounts paid upon redemption of redeemable securities (3,148) (1) (3) (55) 2, (53) 2 Increase (decrease) in net assets attributable to holders of redeemable securities from operations 4, Net increase (decrease) in net assets attributable to holders of redeemable securities 4, (48) 5 Net assets attributable to holders of redeemable securities, end of period $ 24,381 $ 117 $ 76 $ 24 $ 28 See accompanying notes which are an integral part of the financial statements. 9 Semi-Annual Report

10 Financial Statements (Unaudited) continued Statements of Changes in Net Assets Attributable to Holders of Redeemable Securities continued Amounts in thousands of Canadian Dollars For the six-month period ended December 31, 2016 Series E1 Series E2 Series E3 Series E4 Series P1 Net assets attributable to holders of redeemable securities, beginning of period $ 1,910 $ 452 $ 103 $ 1 $ 339 Distributions to holders of redeemable securities (Note 5) From net investment income (42) (6) (4) (30) From net realized gain (114) (16) (11) (82) (156) (22) (15) (112) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities ,573 Reinvestment of distributions Amounts paid upon redemption of redeemable securities (398) (134) (4) (630) 668 (111) 122 1,055 Increase (decrease) in net assets attributable to holders of redeemable securities from operations Net increase (decrease) in net assets attributable to holders of redeemable securities 953 (55) 149 1,254 Net assets attributable to holders of redeemable securities, end of period $ 2,863 $ 397 $ 252 $ 1 $ 1,593 Amounts in thousands of Canadian Dollars For the six-month period ended December 31, 2016 Series P2 Series P3 Net assets attributable to holders of redeemable securities, beginning of period $ 424 $ 1 Distributions to holders of redeemable securities (Note 5) From net investment income (25) From net realized gain (68) (93) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 805 Reinvestment of distributions 93 Amounts paid upon redemption of redeemable securities (206) 692 Increase (decrease) in net assets attributable to holders of redeemable securities from operations 154 Net increase (decrease) in net assets attributable to holders of redeemable securities 753 Net assets attributable to holders of redeemable securities, end of period $ 1,177 $ 1 See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 10

11 Statements of Changes in Net Assets Attributable to Holders of Redeemable Securities continued Amounts in thousands of Canadian Dollars For the six-month period ended December 31, 2015 Total Series A Series B Series F Series F5 Series F8 Net assets attributable to holders of redeemable securities, beginning of period $ 56,954 $ 13,129 $ 14,265 $ 8,779 $ 19 $ 51 Distributions to holders of redeemable securities (Note 5) From net investment income (152) (16) (21) (24) From net realized gain (1,159) (121) (157) (181) Return of capital (12) (1) Management fee reduction (4) (4) (1,327) (137) (182) (205) (1) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 10,492 2,598 2,857 1,637 Reinvestment of distributions 1, Amounts paid upon redemption of redeemable securities (7,285) (1,047) (2,019) (2,096) (46) 4,497 1,686 1,012 (273) (46) Increase (decrease) in net assets attributable to holders of redeemable securities from operations 4,874 1,108 1, Net increase (decrease) in net assets attributable to holders of redeemable securities 8,044 2,657 1, (45) Net assets attributable to holders of redeemable securities, end of period $ 64,998 $ 15,786 $ 16,232 $ 9,042 $ 20 $ 6 For certain Series the period shown is from the commencement of sale of securities to period end. See Note 1 for the commencement dates for newly offered Series. Amounts in thousands of Canadian Dollars For the six-month period ended December 31, 2015 Series O Series T5 Series T8 Series S5 Series S8 Net assets attributable to holders of redeemable securities, beginning of period $ 20,312 $ 118 $ 112 $ 146 $ 23 Distributions to holders of redeemable securities (Note 5) From net investment income (90) From net realized gain (685) (1) (1) (2) Return of capital (3) (4) (3) (1) (775) (4) (5) (5) (1) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 2, Reinvestment of distributions Amounts paid upon redemption of redeemable securities (2,042) (33) 1, (16) 9 Increase (decrease) in net assets attributable to holders of redeemable securities from operations 1, Net increase (decrease) in net assets attributable to holders of redeemable securities 2, (13) 17 1 Net assets attributable to holders of redeemable securities, end of period $ 22,924 $ 135 $ 99 $ 163 $ 24 For certain Series the period shown is from the commencement of sale of securities to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. 11 Semi-Annual Report

12 Financial Statements (Unaudited) continued Statements of Changes in Net Assets Attributable to Holders of Redeemable Securities continued Amounts in thousands of Canadian Dollars For the six-month period ended December 31, 2015 Series P1 Net assets attributable to holders of redeemable securities, beginning of period $ Distributions to holders of redeemable securities (Note 5) From net realized gain (3) (3) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities 163 Reinvestment of distributions 3 Amounts paid upon redemption of redeemable securities (1) 165 Increase (decrease) in net assets attributable to holders of redeemable securities from operations 5 Net increase (decrease) in net assets attributable to holders of redeemable securities 167 Net assets attributable to holders of redeemable securities, end of period $ 167 For certain Series the period shown is from the commencement of sale of securities to period end. See Note 1 for the commencement dates for newly offered Series. Amounts in thousands of Canadian Dollars For the six-month period ended December 31, 2015 Series P2 Series P3 Net assets attributable to holders of redeemable securities, beginning of period $ $ Distributions to holders of redeemable securities (Note 5) From net investment income (1) From net realized gain (8) (9) Redeemable security transactions (Note 6) Proceeds from sale of redeemable securities Reinvestment of distributions 9 Amounts paid upon redemption of redeemable securities (1) Increase (decrease) in net assets attributable to holders of redeemable securities from operations 14 Net increase (decrease) in net assets attributable to holders of redeemable securities Net assets attributable to holders of redeemable securities, end of period $ 399 $ 1 For certain Series the period shown is from the commencement of sale of securities to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 12

13 Statements of Cash Flows Amounts in thousands of Canadian Dollars For the six-month periods ended December 31, Cash, beginning of period $ 6,411 $ 1,583 Cash flows from (used in) operating activities: Purchases of investments and derivatives (33,114) (28,395) Proceeds from sale and maturity of investments and derivatives 33,071 30,118 Cash (deposited) returned for collateral (37) (228) Cash receipts from dividend income Cash receipts from interest income 4 6 Cash paid for operating expenses (488) (442) Net cash from (used in) operating activities (242) 1,925 Cash flows from (used in) financing activities: Distributions to holders of redeemable securities net of reinvestments (114) (30) Proceeds from sales of securities 9,015 10,282 Amounts paid upon redemption of securities (8,194) (7,230) Net cash from (used in) financing activities 707 3,022 Net change in cash 465 4,947 Foreign exchange gain (loss) on cash (53) (2) Cash, end of period $ 6,823 $ 6,528 See accompanying notes which are an integral part of the financial statements. 13 Semi-Annual Report

14 Notes to Financial Statements (Unaudited) For the period ended December 31, 2016 (Unaudited) (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 1. Formation of the Fund Fidelity Event Driven Opportunities Fund (Fund) is an open end mutual fund trust formed under the laws of Ontario and governed by a Master Declaration of Trust dated October 29, 2014 (Inception Date), as amended thereafter from time to time. The Fund is authorized to issue an unlimited number of securities. Fidelity Investments Canada ULC (Fidelity), as manager and trustee of the Fund, is responsible for the dayto-day operations and provides all general management and administrative services. The investment advisor is responsible for the investment management of the Fund s portfolio. On December 31, 2015, the investment advisor changed from FIAM LLC (formerly Pyramis Global Advisors, LLC) to Fidelity. The registered office of the Fund is located at 483 Bay Street, Suite 300, Toronto, Ontario, M5G 2N7. Currently, Fidelity mutual funds are offered in the following Series: Series A, Series B, Series C, Series D, Series F, Series F5, Series F8, Series I, Series I5, Series I8, Series O, Series T5, Series T8, Series S5, Series S8, Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5, Series E5T5, Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P3T5, Series P4, Series P4T5, Series P5 and Series P5T5. Series A, Series C, Series T5 and Series T8 securities are available to all investors in a deferred sales charge (DSC) option. Series A, Series T5 and Series T8 securities will be converted to lower management and advisory fee Series B, Series S5 and Series S8 securities, respectively, one year after completion of their redemption schedule. Series T5 and Series T8 securities have substantially all the same attributes as the Series A securities with the exception that Series T5 and Series T8 securities distribute an amount comprised of net income and/or return of capital monthly, if available. Series B, Series D, Series S5 and Series S8 securities are available to all investors in an initial sales charge (ISC) option. Series S5 and Series S8 securities have substantially all the same attributes as the Series B securities with the exception that Series S5 and Series S8 securities distribute an amount comprised of net income and/or return of capital monthly, if available. Series C and Series D securities are available to investors who have enrolled in the rebalancing service. Series F, Series F5 and Series F8 securities are usually only available to investors who have fee based accounts with dealers who have signed an eligibility agreement with Fidelity. Series F5 and Series F8 securities have substantially all the same attributes as the Series F securities with the exception that Series F5 and Series F8 securities distribute an amount comprised of net income and/or return of capital monthly, if available. Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5 and Series E5T5 securities are available only to investors who initially hold Series B and/or Series S5 securities and then become eligible to hold certain Series E securities. Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5 and Series E5T5 securities have lower combined management and administration fees than Series B or Series S5 securities. Series E1T5, Series E2T5, Series E3T5, Series E4T5 and Series E5T5 securities have the same attributes as the other Series E securities with the exception that Series E1T5, Series E2T5, Series E3T5, Series E4T5 and Series E5T5 securities distribute an amount comprised of net income and/or return of capital monthly, if available. Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P3T5, Series P4, Series P4T5, Series P5 and Series P5T5 securities are available only to investors who initially hold Series F and/or Series F5 securities and then become eligible to hold certain Series P securities. Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P3T5, Series P4, Series P4T5, Series P5 and Series P5T5 securities have lower combined management and administration fees than Series F or Series F5 securities. Series P1T5, Series P2T5, Series P3T5, Series P4T5 and Series P5T5 securities have the same attributes as the other Series P securities with the exception that Series P1T5, Series P2T5, Series P3T5, Series P4T5 and Series P5T5 securities distribute an amount comprised of net income and/or return of capital monthly, if available. Series O securities are only available to selected investors who have been approved by Fidelity and have entered into a Series O Account Agreement with Fidelity. Series I, Series I5 and Series I8 securities are available to all investors who have entered into a Series I Agreement with Fidelity and are available to all investors in an initial sales charge (ISC) option. Series I5 and Series I8 securities have substantially all the same attributes as the Series I securities with the exception that Series I5 and Series I8 securities distribute an amount comprised of net income and/or return of capital monthly, if available. The Fund offers Series A, Series B, Series F, Series F5, Series F8, Series O, Series T5, Series T8, Series S5, Series S8, Series E1, Series E2, Series E3, Series E4, Series P1, Series P2 and Series P3 securities. The Fund commenced the offering of Series P1, Series P2 and Series P3 securities on December 4, 2015 and commenced the offering of Series E1, Series E2, Series E3 and Series E4 securities on February 5, The Fund meets the definition of an investment entity and its purpose is to provide investment management services to its securityholders by investing its net assets for capital growth and/or investment income and by measuring its investment performance on a fair value basis. Refer to the Financial Instruments Risk note below for the Fund s investment objective. 2. Basis of Preparation Statement of Compliance - These interim financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as published by the International Accounting Standards Board (IASB) and as applicable to the preparation of interim financial statements, including IAS 34 Interim Financial Reporting. The accounting policies set out below have been applied consistently unless otherwise stated. The policies applied in these interim financial statements are based on IFRS issued as of February 7, 2017, which is the date on which the interim financial statements were authorized for issue by Fidelity s board of directors. Any subsequent changes to IFRS that are given effect in the Fund s annual financial statements for the period ending June 30, 2017 could result in restatement of these interim financial statements. Semi-Annual Reportport 14

15 Functional and Presentation Currency These financial statements are presented in Canadian dollars, which is the Fund s functional currency. 3. Summary of Significant Accounting Policies Basis of Measurement These financial statements have been prepared on the historical cost basis except for investments and derivatives which are measured at fair value in the Statements of Financial Position. Use of Estimates and Judgments Under IFRS, management is required to make certain estimates and judgments at the date of the financial statements. The principal financial statement components subject to significant accounting estimates and judgments include: Fair value measurements The Fund may invest in financial instruments that are not quoted in an active market. Where applicable, these instruments are categorized in Level 2 and Level 3 of the fair value hierarchy explained below. When current market prices or quotations are not readily available or reliable, valuation techniques will be applied in good faith and in accordance with procedures adopted by the manager. Factors used in determining fair value may include, but are not limited to, broker quotes from reputable pricing sources, market or security specific events, changes in interest rates and credit quality. Fair value models use observable data, to the extent practical; however, the manager is required from time to time to make estimates and assumptions that are based on the best information available at that particular time. Changes in these estimates could impact the fair values of the financial instruments, and the impact could be material. The aggregate fair value of investments measured by valuation techniques as at December 31, 2016 and June 30, 2016, is included at the end of the Fund s Schedule of Investments. Classification and measurement of financial instruments The Fund has made significant judgments when determining the classification and measurement of its financial instruments under IAS 39, Financial Instruments Recognition and Measurement (IAS 39). These judgments centre upon the determination that certain investments are held-for-trading and that the fair value measurement option can be applied to those that are not due to factors including performance evaluation and management of the Fund on a fair value basis. Presentation of financial instruments The Fund has made significant judgments when determining the classification of its redeemable securities as financial liabilities in accordance with IAS 32 Financial Instruments Presentation (IAS 32). These judgments centre upon the determination that the Fund s redeemable securities do not have identical features and their entitlements include a contractual obligation to distribute any net income and net realized capital gains at least annually in cash (at the request of the securityholder). Therefore, the ongoing redemption feature is not the securities only contractual obligation. Investment and Derivative Valuation Investments, excluding derivatives, are designated at their fair value through profit or loss in accordance with IAS 39 and are carried at their fair value. Derivatives are classified as held-for-trading in accordance with IAS 39 and are carried at fair value. The Fund categorizes the inputs to valuation techniques used to fair value its investments and derivatives 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) Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. There were no significant transfers between Level 1 and Level 2 during the periods. The aggregate value of investments by input level, as at December 31, 2016 and June 30, 2016, as well as a roll forward of Level 3 securities, where applicable, is included at the end of the Fund s Schedule of Investments. Valuation techniques used to value the Fund s investments and derivatives by major category are as follows: Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last sales price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event that the last sales price or official closing price is not readily available, or is outside the bid-ask spread, the point within the bid ask spread that is most representative of fair value based on specific facts and circumstances will be used. For foreign equity securities, when significant 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 are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. 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. 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. Cash Cash is comprised of cash on deposit and may include cash equivalents which are short-term debt instruments with terms to maturity of less than 90 days at acquisition which are held for the purpose of meeting short-term cash commitments. Foreign currencies are comprised 15 Semi-Annual Report

16 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) of cash amounts denominated in currencies other than Canadian dollars, which are on deposit with the custodian to facilitate the settlement of foreign denominated security transactions. Cash is carried at amortized cost which approximates its fair value. The Fund did not hold any cash equivalents as at December 31, 2016 and June 30, Impairment of Financial Assets At each reporting date, the Fund assesses whether there is objective evidence that a financial asset carried at amortized cost is impaired. If such impairment exists, the Fund recognizes the difference between the amortized cost of the financial assets and the present value of the estimated future cash flows, discounted using the instrument s original effective interest rate as an impairment loss on the Statements of Comprehensive Income. Such impairment losses are reversed in subsequent periods in the Statements of Comprehensive Income if the conditions that lead to the initial recognition of the loss diminish or cease to exist. Other Assets and Liabilities Other assets and liabilities may include amounts due to or from the custodian, affiliates or other counterparties for accrued income, investment transactions, Fund s security transactions, accrued expenses and other unsettled transactions at period end. These amounts are classified as loans and receivables or financial liabilities and are carried at amortized cost, which approximates fair value due to their short-term nature. Offsetting Financial Instruments Financial assets and liabilities are offset and the net amount reported in the Statements of Financial Position when there is a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis, or to realize the asset and settle the liability simultaneously. Classification of redeemable securities issued by the Fund In accordance with IAS 32, the Fund s redeemable securities entitlements include a contractual obligation to distribute any net income and net realized capital gains at least annually in cash (at the request of the securityholder) and, therefore, the ongoing redemption feature is not the securities only contractual obligation. In addition, each series of redeemable securities are equally subordinated to each other, but have differing features as outlined in the notes below. Therefore, the Fund s redeemable securities do not meet the criteria for classification as equity and have been classified as financial liabilities on the Statements of Financial Position. The Fund s obligation for net assets attributable to holders of redeemable securities is recorded at the redemption amount. As at December 31, 2016 and June 30, 2016, the Fund s net asset value per Series per security may differ by less than $0.01 from its net assets attributable to holders of redeemable securities per Series per securities calculated in accordance with IFRS as a result of normal reporting period end procedures to close off the books and records. Investment Transactions, Income Recognition and Transaction Costs Regular way purchases and sales of financial assets are recognized at their trade date. The cost of investments is determined on an average cost basis, excluding commissions and other portfolio transaction costs. However, for presentation purposes, the Schedule of Investments includes broker commissions and other trading expenses. Income from investments is recognized on an accrual basis. Interest income is accrued as earned. Dividend income is recognized 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 Fund is informed of the ex-dividend date. Distributions received from investment trusts are recorded as income, capital gains or a return of capital based on the best information available to the manager. Due to the nature of these investments, actual allocations could vary from this information. Distributions from investment trusts treated as a return of capital reduce the average cost of the underlying investment trust. Net realized gains and losses from the sale of investments and change in net unrealized appreciation (depreciation) on investments are calculated with reference to average cost of the related investment securities which exclude transaction costs and may include proceeds received from litigation. Transaction costs, such as brokerage commissions, incurred in the purchase and sale of securities by the Fund are recognized as Commissions and other portfolio costs in the Statements of Comprehensive Income. Foreign taxes are estimated based on the Fund s understanding of the tax rules and actual rates that exist in the foreign markets in which it invests. Investment income is recorded gross of foreign taxes withheld. Foreign Currency Translation Securities and other assets and liabilities denominated in a foreign currency are translated into Canadian dollars at the period-end exchange rates. Purchases and sales of securities, income and expenses denominated in foreign currencies are translated into Canadian dollars at the exchange rate on the date of the respective transaction. The effects of exchange rate fluctuations on investments are included in the Net realized gain (loss) and change in net unrealized appreciation (depreciation) on investments and exchange rate fluctuations on other foreign currency transactions are included in the Net realized gain (loss) on foreign currency transactions and Change in net unrealized appreciation (depreciation) on other net assets in foreign currencies in the Statements of Comprehensive Income. Futures Contracts The Fund may invest in futures contracts to manage its exposure to the markets. Upon entering into a futures contract, the Fund is required to deposit with the clearing broker, no later than the following business day, an amount (initial margin) equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on the settlement date. Subsequent payments (variation margin) are made or received by the Fund depending on the daily fluctuations in the value of the futures contract and are accounted for as change in net unrealized appreciation (depreciation) on derivatives in the Statements of Comprehensive Income. Upon the expiration or closing of the futures contract, realized gains or losses are recognized, and are recorded in the Statements of Comprehensive Income as Net realized gain (loss) on derivatives. The Fund pledged $268 (June 30, 2016: $230) as cash collateral, which is included in Cash collateral in the Statements of Financial Position. Futures contracts involve, to varying degrees, risk of loss in excess of the futures variation margin reflected in the Statements of Financial Position. The underlying face amount at value of any open futures Semi-Annual Reportport 16

17 contracts at period end is shown in the Schedule of Investments under the caption Futures Contracts. This amount reflects each contract s exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract s terms. Valuation of Series Separate net assets attributable to holders of redeemable securities is calculated for each Series of securities in the Fund. The net assets attributable to holders of redeemable securities of a Series is computed by calculating the Series proportionate share of the assets and liabilities of the Fund common to all Series, adjusted for the assets and liabilities of the Fund attributable only to that Series. Expenses directly attributable to a Series are charged to that Series. Investment income and operating expenses are allocated proportionately to each Series based upon the relative net assets attributable to holders of redeemable securities of each Series, except for items that can be specifically attributed to one or more Series. Per Security from Operations - The increase (decrease) in net assets attributable to holders of redeemable securities resulting from operations per security in the Statements of Comprehensive Income represent the increase (decrease) in net assets attributable to holders of redeemable securities resulting from operations for each Series of the Fund, divided by the weighted average securities outstanding for each Series of the Fund during the period as follows: Weighted Average Securities Period ended December 31, 2016 Series A 1,292 Series B 1,010 Series F 650 Series F5 Series F8 Series O 1,636 Series T5 5 Series T8 3 Series S5 2 Series S8 1 Series E1 203 Series E2 36 Series E3 17 Series E4 Series P1 114 Series P2 63 Series P3 Period ended December 31, 2015 Series A 1,194 Series B 1,267 Series F 726 Series F5 1 Series F8 1 Series O 1,742 Series T5 5 Series T8 5 Series S5 7 Series S8 1 Series P1 109 Series P2 288 Series P3 1 Statements of Cash Flows When preparing the Statements of Cash Flows, the Fund nets the rollover activity of its short-term investments, and includes only the net cash flow impact in Purchases of investments and derivatives or Proceeds from sale and maturity of investments and derivatives, as applicable. Additionally, in accordance with IFRS, the Fund s Statements of Cash Flows excludes non-cash transactions from its operating and financing activities. Recent Accounting Pronouncements The final version of IFRS 9, Financial Instruments, was issued by the IASB in July 2014 and will replace IAS 39 Financial Instruments: Recognition and Measurement. IFRS 9 introduces a model for classification and measurement, a single, forward-looking expected loss impairment model and a substantially reformed approach to hedge accounting. The new single, principle based 17 Semi-Annual Report

18 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) approach for determining the classification of financial assets is driven by cash flow characteristics and the business model in which an asset is held. The new model also results in a single impairment model being applied to all financial instruments, which will require more timely recognition of expected credit losses. It also includes changes in respect of an entity s own credit risk in measuring liabilities elected to be measured at fair value, so that gains caused by the deterioration of an entity s own credit risk on such liabilities are no longer recognised in profit or loss. IFRS 9 is effective for annual periods beginning on or after January 1, 2018, however is available for early adoption. In addition, the entity s own credit risk changes can be early applied in isolation without otherwise changing the accounting for financial instruments. The Fund is in the process of assessing the impact of IFRS 9 and does not plan to adopt the new standard early. 4. Expenses and Other Related Party Transactions Management and Advisory Fees Fidelity serves as the manager and investment advisor of the Fund. Fidelity is part of a broader group of companies collectively known as Fidelity Investments. Fidelity has entered into sub-advisory agreements with a number of entities including FMR Co., Inc., to provide investment advice with respect to all or a portion of the investments of the Fund. The sub-advisors arrange for acquisition and disposition of portfolio investments, including all necessary brokerage arrangements. The Fund pays Fidelity a monthly management and advisory fee for their services and the provision of key management personnel to the Fund, based on the net asset value of each Series, calculated daily and payable monthly. Fidelity may reduce the management and advisory fee or fund expenses for certain investors by reducing the management and advisory fee it charges to the Fund or reducing the amount charged to the Fund for certain expenses and having the Fund pay out the amount of the reduction to the investors as a distribution. These distributions are disclosed as Management fee reduction in the Statements of Changes in Net Assets Attributable to Holders of Redeemable Securities. No management and advisory fees are charged with respect to the Series O securities, but investors will be charged a negotiated management fee. The annual management and advisory fee rates for each Series were as follows: Annual Management and Advisory Fee Rate (%) Series A Series B Series F Series F Series F Series T Series T Series S Series S Series E Series E Series E Series E Series P Series P Series P Administration Fee Fidelity charges the Fund a fixed administration fee in place of certain variable expenses and the provision of key management personnel to the Fund. Fidelity, in turn, pays all of the operating expenses of the Fund, other than certain specified fund costs, including the fees and expenses of the Independent Review Committee (IRC), taxes, brokerage commissions and interest charges. The administration fee is in addition to the management and advisory fee. No administration fees are charged with respect to the Series O securities. The annual rate of the administration fee will fall under one of three tiers, depending on the net asset value of the Fund: Under $100 Million (Tier 1), $100 Million to $1 Billion (Tier 2) and Over $1 Billion (Tier 3). The administration fee is calculated as a fixed annual percentage, accrued daily and payable monthly, of the net asset value of each Series as follows: Semi-Annual Reportport 18

19 Tier 1 (%) Tier 2 (%) Tier 3 (%) Series A Series B Series F Series F Series F Series T Series T Series S Series S Series E Series E Series E Series E Series P Series P Series P Prior to October 28, 2016, the administration fee was calculated as a fixed annual percentage of the net asset value of each Series as follows (some or all Series administration fees may not have changed): Tier 1 (%) Tier 2 (%) Tier 3 (%) Series A Series B Series F Series F Series F Series T Series T Series S Series S Series E Series E Series E Series E Series P Series P Series P Prior to October 29, 2015, the administration fee was calculated as a fixed annual percentage of the net asset value of each Series as follows (some or all Series administration fees may not have changed): Tier 1 (%) Tier 2 (%) Tier 3 (%) Series A Series B Series F Series F Series F Series T Series T Series S Series S Independent Review Committee Fees - The IRC, as required under National Instrument , reviews conflict of interest matters referred to it by the manager and provides recommendations or approves actions, as appropriate, that are in the best interest of the funds. There are currently four members of the IRC who are independent of Fidelity and its affiliates. IRC members are compensated by way of an annual retainer fee and a per meeting attendance fee, as well as reimbursed for expenses associated with IRC duties. These costs are allocated among the individual funds proportionately by assets. No IRC fees are charged with respect to the Series O securities. 19 Semi-Annual Report

20 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) Sales Tax - Certain provinces have harmonized their Provincial Sales Tax (PST) with the federal Goods and Services Tax (GST). The Harmonized Sales Tax (HST) combines the GST rate of 5% with the PST rate of certain provinces. The Provincial GST/HST liability or refund is calculated using the residency of securityholders and the value of their interests in the Fund as at specific times, rather than the physical location of the Fund. The effective GST/HST rate charged to each Series of the Fund is based on the securityholders proportionate investments by province, using each province s HST rate or GST rate in the case of non-participating provinces. All amounts are included in the Statements of Comprehensive Income as Sales tax. Expenses Waived - Fidelity may absorb or waive certain expenses at its sole discretion. Fidelity can terminate the absorption or waiver at any time. The manager of the Fund waived a portion of its administration fee. The expenses absorbed or waived during the periods are disclosed as Expenses waived in the Statements of Comprehensive Income, if applicable. Commissions and Other Portfolio Costs - Commissions and other portfolio costs paid for security transactions during the period were $5 (December 31, 2015: $45), of which $- (December 31, 2015: $-) were paid to brokerage firms that are affiliates of Fidelity Investments. The Fund may execute certain portfolio trades with brokers who reimbursed a portion of their commissions to the Fund. Reimbursement estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known. Commissions reimbursed under this arrangement were $- (December 31, 2015: $14) and are included in Commissions and other portfolio costs in the Statements of Comprehensive Income. In addition, a portion of commissions may be paid for research. The total of such payments was $14 (December 31, 2015: $36). Amounts paid for research provided to the Fund by executing brokers are estimates made by Fidelity. Fidelity has established procedures to assist them in making a good faith determination that the Fund received a reasonable benefit considering the value of research goods and services and the amount of brokerage commissions paid. 5. Taxation and Distributions The Fund qualifies as a mutual fund trust under the provisions of the Income Tax Act (Canada). For tax purposes, the Fund has a December year end. In each tax year, the Fund declares and credits as due and payable sufficient net investment income and net realized capital gains to securityholders such that the Fund will not be subject to income taxes. As a result, the Fund does not record income taxes under IAS 12 Income Taxes (IAS 12) and accordingly does not recognize the deferred tax benefit associated with tax loss carry forwards and other taxable temporary differences. The Fund is subject to foreign withholding taxes imposed by certain countries on investment income. Withholding taxes are accrued for in conjunction with the accrual for the related investment income and are included in Foreign taxes withheld on the Statements of Comprehensive Income and Other payables and accrued expenses on the Statements of Financial Position. Distributions are taxable in securityholders hands. At the end of each tax year, the character of the distributions is determined for tax purposes. Under the terms of the Declaration of Trust, the trustee may capitalize any distribution amount without any increase in the number of securities outstanding. Distributions, if any, are declared separately for each Series. For Series F5, Series F8, Series T5, Series T8, Series S5 and Series S8, the Fund will make monthly distributions of an amount that will generally be comprised of a return of capital and/or net investment income, if available. Distributions, if any, are declared separately for each Series. Capital losses may be carried forward indefinitely to reduce future realized capital gains. As at the last taxation year-end, the Fund had no capital losses available to be carried forward. Non capital losses may be carried forward for up to 20 tax years to reduce future taxable income, but expire in December of the year noted. As at the last taxation year-end, the Fund had no non capital losses available to be carried forward. 6. Capital Risk Management Securities issued and outstanding are considered to be the capital of the Fund. The capital of each series of the Fund is divided into an unlimited number of securities of equal value, with no par value. All securities in a series of the Fund rank equally with respect to distributions. A securityholder of the Fund is entitled to one vote for each one dollar in value of securities owned. Fractional securities are proportionately entitled to these rights. The Fund generally has no restrictions or specific capital requirements on the subscriptions and redemptions of securities other than minimum subscription requirements; although, on rare occasions, Fidelity may temporarily suspend securityholders right to redeem securities and postpone paying sale proceeds. The relevant movements attributable to securityholders are shown in the Statements of Changes in Net Assets Attributable to Holders of Redeemable Securities. In accordance with the objectives and the risk management policies outlined in the Financial Instruments Risk notes, the Fund endeavors to invest the subscriptions received in appropriate investments while maintaining sufficient liquidity to meet redemptions. Such liquidity is managed by investing the majority of assets in investments that can be readily disposed and via the Fund s ability to borrow up to 5% of its net asset value. Security Transactions - Security transactions for each Series were as follows: Semi-Annual Reportport 20

21 Securities Outstanding, Beginning of Period Issued Reinvested Redeemed Securities Outstanding, End of Period Period ended December 31, 2016 Series A 1, (109) 1,404 Series B 1, (232) 1,083 Series F (271) 656 Series F5 Series F8 Series O 1, (243) 1,833 Series T5 5 5 Series T8 3 3 Series S5 3 (2) 1 Series S8 1 1 Series E (37) 244 Series E (12) 34 Series E Series E4 Series P (57) 148 Series P (19) 109 Series P3 Period ended December 31, 2015 Series A 1, (90) 1,282 Series B 1, (175) 1,319 Series F (174) 735 Series F5 1 1 Series F8 2 (2) Series O 1, (174) 1,863 Series T Series T8 5 1 (2) 4 Series S5 7 7 Series S8 1 1 Series P Series P Series P3 Affiliated Ownership - As at December 31, 2016, Fidelity and its affiliates held approximately 33% of the Fund. As at June 30, 2016, Fidelity and its affiliates held approximately 33% of the Fund. 7. Financial Instruments Risk The Fund s activities expose it to a variety of financial instruments risks: credit risk, liquidity risk, other price risk, interest rate risk and currency risk. Fidelity seeks to minimize potential adverse effects of these performance risks by employing professional, experienced portfolio advisors, by daily monitoring of positions and market events, and by diversifying the investment portfolio within the constraints of the investment mandate. The Fund may use derivative financial instruments to moderate certain risk exposures. Risk, as defined by Fidelity, is the mismatch of certain risk factors, such as the market capitalization, beta, common factors such as size, priceearnings ratio, price-to-book ratio and industry exposures, between a portfolio and its benchmark. Such mismatches may result in divergence of returns relative to the benchmark. Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole. A beta of 1 indicates that the security s price will move with the market. A beta of less than 1 means that the security will be less volatile than the market. A beta of greater than 1 indicates that the security s price will be more volatile than the market. For example, if a stock s beta is 1.2, it s theoretically 20% more volatile than the market. Fidelity s objective is to provide consistent value-added return over the benchmark. Unsystematic risk is mitigated primarily through investments in a diverse portfolio of securities across many sectors, styles or regions of the market. Fidelity s qualitative fundamental security selection is also well diversified across many analysts. Rather than relying on a single valuation process or quantitative model that implicitly assumes that past value-added returns of some sectors or styles will persist into the future, Fidelity s analysts select securities based on their own unique valuation processes. 21 Semi-Annual Report

22 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) The Fund aims to achieve long-term capital growth. It invests primarily in equity securities of companies that are or that are expected to be involved in corporate actions or events. The Fund s benchmark is the Russell 3000 Index. Portfolio risk is monitored daily and reviewed monthly by an investment compliance group. In addition, there is a formal quarterly review of each fund. The investment compliance group, portfolio managers and the senior analysts attend a quarterly portfolio review. Portfolios within each strategy are reviewed relative to each other and to their benchmark. Active industry and security allocations are analyzed. Credit Risk - Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the Fund. The Fund s own credit risk in the case of financial liabilities and a counterparty s credit risk in the case of financial assets are considered, where applicable, in determining the fair value of financial assets and financial liabilities, including derivative instruments. The Fund may be exposed to indirect credit risk through its investments in any Underlying Fund. In addition, as part of its cash management, the Fund limits its direct exposure to credit loss by placing its cash with high credit quality financial institutions. The carrying amount of investments and other assets represents the maximum credit risk exposure as at December 31, 2016 and June 30, Other than outlined above, there were no significant concentrations of credit risk to counterparties as at December 31, 2016 and June 30, Concentration Risk - Fidelity analyzes credit concentration based on the counterparty, industry and/or geographical location of the financial assets that the Fund holds. The following tables summarize the investment concentration risks that are relevant for the Fund based on its investment objective. Sector Mix % of Fund s Net Assets as at 12/31/16 % of Fund s Net Assets as at 6/30/16 Consumer Discretionary Information Technology Financials Energy Industrials Health Care Consumer Staples Others (Individually Less Than 1%) Cash and Short-Term Investments Net Other Assets (Liabilities) (0.9) 0.4 Prior period industry classifications reflect the categories in place as of the date indicated and have not been adjusted to reflect current industry classifications. Derivative Exposure % of Fund s Net Assets as at 12/31/16 % of Fund s Net Assets as at 6/30/16 Futures Contracts Futures Contracts percentage is calculated by dividing the sum of the underlying face amount at value by total net assets. Geographic Mix % of Fund s Net Assets as at 12/31/16 % of Fund s Net Assets as at 6/30/16 United States of America Ireland Canada Bermuda Others (Individually Less Than 1%) Cash and Short-Term Investments Net Other Assets (Liabilities) (0.9) 0.4 Fidelity regularly monitors the relative weights of individual securities, sectors, countries, and also monitors the market capitalization and trading liquidity of each holding. Semi-Annual Reportport 22

23 Liquidity Risk - Liquidity risk is defined as the risk that the Fund may not be able to settle or meet its obligations on time or at a reasonable price. The Fund is exposed to daily cash redemptions of redeemable securities. Redeemable securities are redeemed on demand at the securityholder s option based on the Fund s net asset value per security (NAVPS) at the time of redemption. In accordance with securities regulations, investment funds must maintain at least 90% of assets in liquid investments; investments that are traded in an active market and can be readily disposed of. In addition, the Fund aims to retain sufficient cash and short-term investments to maintain liquidity, and has the ability to borrow up to 5% of its net asset value from the custodian for the purpose of funding redemptions. The Fund may, from time to time, invest in securities that are not traded in an active market and may be illiquid. Private and/or restricted securities held, if any, are identified in the Fund s Schedule of Investments as at their respective period ends. The liquidity position of the Fund is monitored on a daily basis. As at December 31, 2016 and June 30, 2016, the Fund did not have financial liabilities with maturities greater than 3 months. Other Price Risk - Other price risk is the risk that the value of financial instruments will fluctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk on monetary instruments), whether caused by factors specific to an individual investment, its issuer, or other factors affecting all instruments traded in a market or market segment. All securities present a risk of loss of capital. The Fund moderates this risk through a careful selection of securities and other financial instruments within the parameters of the investment strategy. The maximum risk resulting from financial instruments is equivalent to their fair value except for possible losses from future contracts which can be unlimited. The Fund s investments and derivatives are susceptible to other price risk arising from uncertainties about future prices of the instruments. If the benchmark had increased or decreased by 5% on December 31, 2016 and June 30, 2016, with all other variables held constant, the net assets attributable to holders of redeemable securities of the Fund would have increased or decreased by approximately $3,333 (June 30, 2016: $2,625). This change is estimated using the Fund s beta which is calculated based on the historical correlation between the return of the Fund as compared to the return of the benchmark. In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material. Interest Rate Risk - Interest rate risk arises on interest-bearing financial instruments held in the investment portfolio such as bonds. The Fund is exposed to the risk that the fair value or the future cash flows of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. Any excess cash and cash equivalents are invested in short-term investments at market interest rates. The majority of the Fund s financial assets and liabilities are non-interest bearing. As a result, the Fund is not subject to significant amounts of risk due to fluctuations in the prevailing levels of market interest rates. Currency Risk - Currency risk arises from financial instruments that are denominated in a currency other than Canadian dollar, which is the Fund s functional currency. The Fund is exposed to the risk that the value of financial instruments denominated in other currencies will fluctuate due to changes in exchange rates. Currency risk is not considered to arise from financial instruments that are non-monetary items such as equity investments, or forward foreign exchange contracts related to such non-monetary items. The Fund considers the foreign exchange exposure relating to nonmonetary assets and liabilities to be a component of other price risk, not foreign currency risk. As a result, the Fund is not subject to significant amounts of risk due to fluctuations in exchange rates. 8. Offsetting of Financial Assets and Liabilities The Fund s derivatives noted below are subject to enforceable master netting arrangements in the form of central clearing arrangements. In the event of default or bankruptcy net settlement of contracts would be enforced. The following table summarizes financial instruments that are offset in the Statements of Financial Position, or are subject to enforceable master netting arrangements or other similar agreements but are not offset: Amounts offset Gross assets/ liabilities offset ($) Net ($) Master Netting Arrangements ($) Amounts not offset Financial Collateral ($) Net ($) As at December 31, 2016 Gross ($) Liabilities Payable for daily variation margin for derivative instruments: Futures (25) - (25) Semi-Annual Report

24 Fidelity Investments Canada ULC 483 Bay Street, Suite 300 Toronto, Ontario M5G 2N7 Manager, Transfer Agent and Registrar Fidelity Investments Canada ULC 483 Bay Street, Suite 300 Toronto, Ontario M5G 2N7 Portfolio Adviser Fidelity Investments Canada ULC Toronto, Ontario Custodian State Street Trust Company of Canada Toronto, Ontario Auditor PricewaterhouseCoopers LLP Toronto, Ontario Visit us online at or call Fidelity Client Services at Fidelity s mutual funds are sold by registered Investment Professionals. Each Fund has a simplified prospectus, which contains important information on the Fund, including its investment objective, purchase options, and applicable charges. Please obtain a copy of the prospectus, read it carefully, and consult your Investment Professional before investing. As with any investment, there are risks to investing in mutual funds. There is no assurance that any Fund will achieve its investment objective, and its net asset value, yield, and investment return will fluctuate from time to time with market conditions. Investors may experience a gain or loss when they sell their securities in any Fidelity Fund. Fidelity Global Funds may be more volatile than other Fidelity Funds as they concentrate investments in one sector and in fewer issuers; no single Fund is intended to be a complete diversified investment program. Past performance is no assurance or indicator of future returns. There is no assurance that either Fidelity Canadian Money Market Fund or Fidelity U.S. Money Market Fund will be able to maintain its net asset value at a constant amount. The breakdown of Fund investments is presented to illustrate the way in which a Fund may invest, and may not be representative of a Fund s current or future investments. A Fund s investments may change at any time. Fidelity Investments is a registered trademark of FMR LLC E FICL-ED-SANN-0217