Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp.

Transcription

1 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Annual Management Report of Fund Performance November,

2 Caution Regarding Forward-looking Statements Certain portions of this report, including, but not limited to, Results of Operations and Recent Developments, may contain forward-looking statements about the Fund, including its strategy, risks, expected performance and condition. Forward-looking statements include statements that are predictive in nature, that depend upon or refer to future events or conditions, or that include words such as expects, anticipates, intends, plans, believes, estimates and similar forward-looking expressions or negative versions thereof. In addition, any statement that may be made concerning future performance, strategies or prospects, and possible future Fund action, is also a forward-looking statement. Forward-looking statements are based on current expectations and projections about future events and are inherently subject to, among other things, risks, uncertainties and assumptions about the Fund and economic factors. Accordingly, assumptions concerning future economic and other factors may prove to be incorrect at a future date. Forward-looking statements are not guarantees of future performance, and actual events and results could differ materially from those expressed or implied in any forward-looking statements made by the Fund. Any number of important factors could contribute to these digressions, including, but not limited to, general economic, political and market factors in North America and internationally, interest and foreign exchange rates, global equity and capital markets, business competition, technological change, changes in government regulations, unexpected judicial or regulatory proceedings, and catastrophic events. It should be stressed that the above-mentioned list of important factors is not exhaustive. You are encouraged to consider these and other factors carefully before making any investment decisions and you are urged to avoid placing undue reliance on forward-looking statements. Further, you should be aware of the fact that the Fund has no specific intention of updating any forward-looking statements whether as a result of new information, future events or otherwise, prior to the release of the next Management Report of Fund Performance.

3 Annual Management Report of Fund Performance as at November, Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. This annual management report of fund performance contains financial highlights but does not contain the complete annual financial statements for the investment fund. You can get a copy of the annual financial statements at your request, and at no cost, by calling , by writing to us at Fidelity Investments, 483 Bay St. Suite, Toronto ON M5G 2N7 or by visiting our website at or SEDAR at Securityholders may also contact us using one of these methods to request a copy of the investment fund s proxy voting policies and procedures, proxy voting disclosure record or quarterly portfolio disclosure relating to the investment fund. Management Discussion of Fund Performance Investment Objective and Strategies Investment Objective: Fidelity Event Driven Opportunities Class (Fund) aims to achieve long-term capital growth and seeks a return similar to that of Fidelity Event Driven Opportunities Fund (Underlying Fund) by investing substantially all of its assets in securities of that fund. The Underlying Fund, which is also managed by Fidelity, aims to achieve long-term capital growth by investing primarily in equity securities of companies that are or that are expected to be involved in corporate actions or events. Strategies: The portfolio manager of the Underlying Fund invests primarily in securities of companies that he believes are of good fundamental value and in which typically are involved in, but are not limited to, the following corporate actions or events: i) companies involved in a corporate reorganization, such as a spin-off or merger; ii) companies that are no longer eligible to be a component of a market index based on the eligibility criteria established by the index sponsor; iii) companies that are undergoing changes in beneficial ownership; iv) companies experiencing positive fundamental change, such as new or changed management, or material changes in management policies or corporate structure; v) companies undergoing changes in corporate strategy through bankruptcy process; and vi) companies involved in changes to their capital structure. Currently, the Underlying Fund will not engage in selling securities short. The portfolio manager of the Underlying Fund may invest in equity securities of companies that he believes are undervalued in the marketplace or not fully recognized by the public in relation to factors such as the company s assets, sales, earnings, growth potential or cash flow, or in relation to securities of other companies in the same industry. Risk The risks associated with investing in the Fund remain the same as for the Underlying Fund and as discussed in the prospectus. Any changes to the Underlying Fund over the period have not affected the overall level of risk of the Fund. The Fund is suitable for long-term investors who want to gain exposure to companies that are typically involved in corporate actions or events and who can handle the volatility of returns generally associated with equity investments. To invest in the Fund, an investor should be able to accept a medium to high level of risk. The suitability of the investment has not changed from what has been disclosed in the prospectus. Results of Operations Fidelity Event Driven Opportunities Class, Series B, returned -6.7% after fees and expenses for the one-year period ended November,. The net returns of other series of this Fund are similar to those of Series B, except for differences attributed to expense structures. The S&P 5 Index, broadly representative of U.S. equities, returned 9.6% in Canadian dollar terms. Market Overview: Continued strength in economic data, coupled with healthy corporate earnings, supported gains in U.S. equities. A combination of corporate tax cuts announced earlier in the year contributed to strong quarterly earnings. In addition, the U.S. labour market exceeded consensus expectations by adding 25, jobs in October. Ongoing trade tensions between the U.S. and China contributed to increased volatility in the markets. Information technology stocks gained through the year, but came under pressure toward the end of the period on concerns about increased regulatory scrutiny and a weakening earnings growth outlook. The financials sector lagged due to concerns about higher funding costs and slower lending growth. Oil prices were volatile and fell sharply due to oversupply risks against the backdrop of a weakening global economic growth outlook. Factors Affecting Performance: The Fund s benchmark, the Russell Index, returned 8.9% in Canadian dollar terms for the one-year period ended November,. The Fund underperformed its benchmark primarily due to the Underlying Fund s higher-than-benchmark exposures to the information technology and real estate sectors. In the information technology sector, the Underlying Fund s holdings in loyalty and marketing services provider Alliance Data Systems, and financial and retail technology company Diebold Nixdorf, detracted from relative performance. In the real estate sector, exposure to lodging real estate investment trust (REIT) Corepoint Lodging detracted from relative performance. Among other sectors, exposure to asset management company WisdomTree Investments, and annuities and life insurance provider Brighthouse Financial, detracted from relative returns. In contrast, the Underlying Fund s investments in the communication services sector contributed to relative performance. In the sector, exposure to sport and entertainment holding company The Madison Square Garden Company contributed to relative performance. In other sectors, an investment in real estate investment trust company JBG Smith Properties contributed to relative returns. At the end of the period, the Underlying Fund had no exposure to The Madison Square Garden Company. Portfolio Changes: During the review period, the portfolio manager increased the Underlying Fund s exposures to the industrials and consumer discretionary sectors. In the industrials sector, a position was initiated in infrastructure business Arcosa after its spin-off from Trinity Industries, and Malaysian low-cost airlines AirAsia Group, owing to their favourable valuations and growth prospects in the portfolio manager s view. In the consumer discretionary sector, the portfolio manager added a position in online electrical goods retailer AO World for its strong fundamentals. 1

4 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Management Discussion of Fund Performance continued In contrast, exposures were reduced to the communication services and financials sectors. In the communication services sector, a position The Madison Square Garden Company was exited after the stock had reached its target potential. In the financials sector, a position in Encore Capital Group was reduced significantly to lock in gains. As at November,, the Fund had its largest absolute exposure to the information technology sector, followed by the consumer discretionary sector. The Fund diverged most from its benchmark sector weightings with a higher-than-benchmark allocation to the information technology sector and a lower-than-benchmark allocation to the health care sector. The Fund s sector allocations look very different from those of the benchmark because they reflect where corporate events are occurring, and where the portfolio manager sees stocks he believes are fundamentally attractive. Derivatives exposure: During the period under review, the Underlying Fund engaged in futures contracts, in a manner consistent with its investment objective and strategies, to manage the Underlying Fund s cash balance while the portfolio manager actively searched for other investment opportunities. Recent Developments Portfolio manager Arvind Navaratnam aims to generate long-term capital appreciation for investors and places a great deal of emphasis on risk-reward analysis. The portfolio manager focuses on stocks that have the potential to deliver excess returns due to favourable entry points created by substantial forced selling, a less efficient market due to reduced research coverage, and mispricing caused by underestimated strategic or operational changes. He prefers stocks that he believes are less influenced by macroeconomic factors such as inflation, monetary policy and interest rates. The predominant industry benchmark GICS (Global Industry Classification Standard) was adjusted after the close of business on September 28, in the following ways: The Telecommunication Services sector was reconstituted and renamed the Communication Services sector. The Media industry group moved from the Consumer Discretionary sector to the newly formed Communication Services sector, where it has been renamed Media & Entertainment. Internet companies that facilitate communication (e.g., search engines and social media) and gaming software companies moved from the Information Technology sector to the Communication Services sector. Online marketplaces for consumer goods and services moved from the Information Technology sector to the Consumer Discretionary sector. In light of the above changes, there is no impact on the Fund s objective and strategy. Related Party Transactions Manager and Portfolio Adviser The Fund is managed by Fidelity Investments Canada ULC (Fidelity). Fidelity is part of a broader collection of companies collectively known as Fidelity Investments. Fidelity provides or arranges for the provision of all general management and administrative services required by the Fund in its day to day operations, bookkeeping, record keeping and other administrative services for the Fund. Fidelity is the portfolio adviser to the Fund and it provides investment advisory services to the Fund. Fidelity provides investment advice with respect to the Fund s investment portfolio and arranges for the acquisition and disposition of portfolio investments, including all necessary brokerage arrangements. The Fund pays Fidelity a monthly management and advisory fee for their services, based on the net asset value of each Series, calculated daily and payable monthly. The Fund paid Fidelity management and advisory fees of $749, for the period ended November,. Administration Fee Fidelity charges the Fund a fixed administration fee in place of certain variable expenses. Fidelity, in turn, pays all of the operating expenses of the Fund, other than certain specified fund costs (e.g. the fees and expenses of the Independent Review Committee, taxes, brokerage commissions and interest charges). The Fund pays an annual rate, which is calculated on a tiered basis, based on the net asset value of each Series, calculated daily and payable monthly. The Fund paid Fidelity administration fees of $9, for the period ended November,. 2

5 Financial Highlights The following tables show selected key financial information about the Fund and are intended to help you understand the Fund s financial performance for the period end of the years shown. This information is derived from the Fund s audited annual and/or unaudited semi-annual financial statements. Please see the front page for information about how you can obtain the Fund s annual or semi-annual financial statements. Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series A Periods ended November, A Net assets, beginning of period C $ $ $ $. $. Total revenue Total expenses (excluding distributions) (.4) (.38) (.31) (.) (.1) Realized gains (losses) Unrealized gains (losses) (2.32) Total increase (decrease) from operations C (1.18) From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions C,D Net assets, end of period C $ $ $ $ $. Net asset value (s) E $ 5,267 $ 6,636 $ 5,328 $ 4,657 $ 788 Securities outstanding E 361, , , ,55 77,246 Management expense ratio F,G 2.53% 2.55% 2.55% 2.58% 2.57% Management expense ratio before waivers or absorptions F,G 2.61% 2.64% 2.63% 2.66% 2.74% Trading expense ratio H.15%.%.16%.35% % Portfolio turnover rate I 24.3% 18.86% 21.29% 13.74% % Net asset value per security, end of period $ $ $ $ $.12 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series B Periods ended November, A Net assets, beginning of period C $ $ $ $. $. Total revenue Total expenses (excluding distributions) (.37) (.35) (.28) (.27) (.1) Realized gains (losses) Unrealized gains (losses) (2.27) Total increase (decrease) from operations C (1.2) From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions C,D Net assets, end of period C $ 14.7 $ $ $ $. Net asset value (s) E $ 9,9 $,757 $ 6,335 $ 9,8 $ 1,262 Securities outstanding E 627,5 681, , , ,712 Management expense ratio F,G 2.33% 2.32% 2.32% 2.34% 2.37% Management expense ratio before waivers or absorptions F,G 2.4% 2.4% 2.39% 2.4% 2.51% Trading expense ratio H.15%.%.16%.35% % Portfolio turnover rate I 24.3% 18.86% 21.29% 13.74% % Net asset value per security, end of period $ $ $ $ $

6 Financial Highlights continued Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series F Periods ended November, A Net assets, beginning of period C $ 16. $ 14. $ $. $. Total revenue Total expenses (excluding distributions) (.) (.19) (.15) (.14) Realized gains (losses) Unrealized gains (losses) (2.12) Total increase (decrease) from operations C (.76) From net investment income (excluding dividends) From dividends From capital gains (.2) Return of capital Total distributions C,D (.2) Net assets, end of period C $ $ 16. $ 14. $ $. Net asset value (s) E $ 7,99 $ 9,299 $ 3,517 $ 5,874 $ 371 Securities outstanding E 518, , , ,69 36,341 Management expense ratio F,G 1.18% 1.% 1.21% 1.21% 1.19% Management expense ratio before waivers or absorptions F,G 1.23% 1.29% 1.29% 1.32% 1.39% Trading expense ratio H.15%.%.16%.35% % Portfolio turnover rate I 24.3% 18.86% 21.29% 13.74% % Net asset value per security, end of period $ $ $ $ 12.4 $.41 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series F5 Periods ended November, A Net assets, beginning of period C $ $ $ $.41 $. Total revenue Total expenses (excluding distributions) (.34) (.33) (.28) (.27) Realized gains (losses) Unrealized gains (losses) (2.15) Total increase (decrease) from operations C (.32) From net investment income (excluding dividends) From dividends (.1) From capital gains (.3) Return of capital (1.33) (1.31) (1.) (1.) Total distributions C,D (1.37) (1.31) (1.) (1.) Net assets, end of period C $ $ $ $ $.41 Net asset value (s) E $ 348 $ 327 $ 65 $ 24 $ 1 Securities outstanding E 13,625,974 2,483 1,2 5 Management expense ratio F,G 1.19% 1.21% 1.% 1.19% 1.22% Management expense ratio before waivers or absorptions F,G 1.24% 1.% 1.29% 1.29% 1.22% Trading expense ratio H.15%.%.16%.35% % Portfolio turnover rate I 24.3% 18.86% 21.29% 13.74% % Net asset value per security, end of period $ $ $ $ $.462 4

7 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series F8 Periods ended November, A Net assets, beginning of period C $ $ $ $.41 $. Total revenue Total expenses (excluding distributions) (.31) (.31) (.25) (.25) Realized gains (losses) Unrealized gains (losses) (3.) 3.5 (4.66) Total increase (decrease) from operations C (1.41) 3.77 (2.38) From net investment income (excluding dividends) From dividends (.1) From capital gains (.3) Return of capital (1.6) (1.6) (1.6) (1.6) Total distributions C,D (1.64) (1.6) (1.6) (1.6) Net assets, end of period C $ $ $ $ $.41 Net asset value (s) E $ 472 $ 458 $ 2 $ 451 $ 1 Securities outstanding E,21 17, ,489 5 Management expense ratio F,G 1.15% 1.% 1.13% 1.14% 1.22% Management expense ratio before waivers or absorptions F,G 1.% 1.% 1.21% 1.23% 1.22% Trading expense ratio H.15%.%.16%.35% % Portfolio turnover rate I 24.3% 18.86% 21.29% 13.74% % Net asset value per security, end of period $ $ $ $ $.462 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series T5 Periods ended November, A Net assets, beginning of period C $ $ $ $.4 $. Total revenue Total expenses (excluding distributions) (.67) (.69) (.58) (.59) Realized gains (losses) Unrealized gains (losses) (3.46) 1.92 (1.95) 1 (.19) Total increase (decrease) from operations C (.72) 1.86 (.84) 1.57 (.19) From net investment income (excluding dividends) From dividends (.1) From capital gains Return of capital (1.) (1.27) (1.) (1.) Total distributions C,D (1.31) (1.27) (1.) (1.) Net assets, end of period C $ 24. $ $ $ $.4 Net asset value (s) E $ 84 $ 45 $ 44 $ 377 $ 16 Securities outstanding E 3,483 14,893 1,7 16,1 782 Management expense ratio F,G 2.42% 2.6% 2.58% 2.61% 2.73% Management expense ratio before waivers or absorptions F,G 2.51% 2.7% 2.67% 2.69% 2.73% Trading expense ratio H.15%.%.16%.35% % Portfolio turnover rate I 24.3% 18.86% 21.29% 13.74% % Net asset value per security, end of period $ $ $ 25.4 $ $.422 5

8 Financial Highlights continued Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series T8 Periods ended November, A Net assets, beginning of period C $ $ 24. $ $.4 $. Total revenue Total expenses (excluding distributions) (.62) (.64) (.57) (.58) (.1) Realized gains (losses) Unrealized gains (losses) (2.9) Total increase (decrease) from operations C (.91) From net investment income (excluding dividends) From dividends (.1) From capital gains Return of capital (1.6) (1.6) (1.6) (1.6) Total distributions C,D (1.61) (1.6) (1.6) (1.6) Net assets, end of period C $ 22. $ $ 24. $ $.4 Net asset value (s) E $ 976 $ 1,569 $ 329 $ 343 $ 1 Securities outstanding E 44,212 62,78 13,689 15,72 5 Management expense ratio F,G 2.47% 2.6% 2.62% 2.65% 2.73% Management expense ratio before waivers or absorptions F,G 2.55% 2.7% 2.7% 2.72% 2.73% Trading expense ratio H.15%.%.16%.35% % Portfolio turnover rate I 24.3% 18.86% 21.29% 13.74% % Net asset value per security, end of period $ 23 $ $ $ $.3978 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series S5 Periods ended November, A Net assets, beginning of period C $ $ $ $.4 $. Total revenue Total expenses (excluding distributions) (.65) (.6) (.51) (.51) Realized gains (losses) Unrealized gains (losses) (3.22) Total increase (decrease) from operations C (.82) From net investment income (excluding dividends) From dividends (.1) From capital gains Return of capital (1.31) (1.28) (1.) (1.) Total distributions C,D (1.32) (1.28) (1.) (1.) Net assets, end of period C $ $ $ $ $.4 Net asset value (s) E $ 91 $ 164 $ 248 $ 235 $ 86 Securities outstanding E 3,739 5,988 9,77 9,994 4,216 Management expense ratio F,G 2.34% 2.25% 2.26% 2.27% 2.4% Management expense ratio before waivers or absorptions F,G 2.41% 2.32% 2.32% 2.33% 2.49% Trading expense ratio H.15%.%.16%.35% % Portfolio turnover rate I 24.3% 18.86% 21.29% 13.74% % Net asset value per security, end of period $ $ $ $ $.43 6

9 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series S8 Periods ended November, A Net assets, beginning of period C $ $ $ $.4 $. Total revenue Total expenses (excluding distributions) (.58) (.58) (.51) (.53) (.1) Realized gains (losses) Unrealized gains (losses) (2.83) Total increase (decrease) from operations C (1.28) From net investment income (excluding dividends) From dividends (.1) From capital gains Return of capital (1.6) (1.6) (1.6) (1.6) Total distributions C,D (1.61) (1.6) (1.6) (1.6) Net assets, end of period C $ $ $ $ $.4 Net asset value (s) E $ 445 $ 543 $ 289 $ 457 $ 1 Securities outstanding E 19,932 21,275 11,988,31 5 Management expense ratio F,G 2.27% 2.34% 2.36% 2.38% 2.45% Management expense ratio before waivers or absorptions F,G 2.34% 2.41% 2.42% 2.44% 2.45% Trading expense ratio H.15%.%.16%.35% % Portfolio turnover rate I 24.3% 18.86% 21.29% 13.74% % Net asset value per security, end of period $ $ $ $ $.3992 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series E1 Periods ended November, J Net assets, beginning of period C $ $ $. Total revenue Total expenses (excluding distributions) (.31) (.29) (.19) Realized gains (losses) Unrealized gains (losses) (1.92) Total increase (decrease) from operations C (.82) From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions C,D Net assets, end of period C $ $ $ Net asset value (s) E $ 3,9 $ 4,795 $ 1,48 Securities outstanding E 5,2 351, ,897 Management expense ratio F,K 2.% 2.22% 2.24% Management expense ratio before waivers or absorptions F,K 2.27% 2.% 2.29% Trading expense ratio H.15%.%.16% Portfolio turnover rate I 24.3% 18.86% 21.29% Net asset value per security, end of period $ $ $

10 Financial Highlights continued Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series E1T5 Periods ended November, J Net assets, beginning of period C $ $ $. Total revenue.18 Total expenses (excluding distributions) (.56) (.55) (.39) Realized gains (losses) Unrealized gains (losses) (3.32) Total increase (decrease) from operations C (1.52) From net investment income (excluding dividends) From dividends (.1) From capital gains Return of capital (1.19) (1.17) (.76) Total distributions C,D (1.) (1.17) (.76) Net assets, end of period C $ $ $ Net asset value (s) E $ 245 $ 281 $ 1 Securities outstanding E,933 11,18 52 Management expense ratio F,K 2.23% 2.27% 2.4% Management expense ratio before waivers or absorptions F,K 2.% 2.36% 2.4% Trading expense ratio H.15%.%.16% Portfolio turnover rate I 24.3% 18.86% 21.29% Net asset value per security, end of period $ $ $ Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series E2 Periods ended November, J Net assets, beginning of period C $ $ $. Total revenue..14 Total expenses (excluding distributions) (.) (.29) (.19) Realized gains (losses) Unrealized gains (losses) (1.99) Total increase (decrease) from operations C (.98) From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions C,D Net assets, end of period C $ $ $ Net asset value (s) E $ 2,524 $ 2,667 $ 1,74 Securities outstanding E 196,96 194,4 88,389 Management expense ratio F,K 2.% 2.19% 2.21% Management expense ratio before waivers or absorptions F,K 2.18% 2.27% 2.27% Trading expense ratio H.15%.%.16% Portfolio turnover rate I 24.3% 18.86% 21.29% Net asset value per security, end of period $ $ $

11 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series E2T5 Periods ended November, L Net assets, beginning of period C $.62 $. Total revenue.16 Total expenses (excluding distributions) (.42) (.15) Realized gains (losses) Unrealized gains (losses) (2.82).77 Total increase (decrease) from operations C (1.24).78 From net investment income (excluding dividends) From dividends (.1) From capital gains Return of capital (1.) (.42) Total distributions C,D (1.1) (.42) Net assets, end of period C $ $.62 Net asset value (s) E $ 88 $ 98 Securities outstanding E 4,769 4,765 Management expense ratio F,M 2% 4% Management expense ratio before waivers or absorptions F,M 9% 2.13% Trading expense ratio H.15%.% Portfolio turnover rate I 24.3% 18.86% Net asset value per security, end of period $ $.6172 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series E3 Periods ended November, J Net assets, beginning of period C $ $ $. Total revenue.11.5 Total expenses (excluding distributions) (.28) (.28) (.17) Realized gains (losses) Unrealized gains (losses) (4) Total increase (decrease) from operations C (.96) From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions C,D Net assets, end of period C $ $ $ Net asset value (s) E $ 2,43 $ 2,117 $ 158 Securities outstanding E 158, ,962 12,986 Management expense ratio F,K 1% 2.12% 7% Management expense ratio before waivers or absorptions F,K 8% 2.21% 2.13% Trading expense ratio H.15%.%.16% Portfolio turnover rate I 24.3% 18.86% 21.29% Net asset value per security, end of period $ $ $

12 Financial Highlights continued Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series E4 Periods ended November, N Net assets, beginning of period C $ $ $. Total revenue..19 Total expenses (excluding distributions) (.28) (.26) (.12) Realized gains (losses) Unrealized gains (losses) (1.95) Total increase (decrease) from operations C (.96) From net investment income (excluding dividends) From dividends From capital gains Return of capital Total distributions C,D Net assets, end of period C $ $ $ Net asset value (s) E $ 274 $ 355 $ 243 Securities outstanding E 21,172 25,76 19,852 Management expense ratio F,O 1% % 2% Management expense ratio before waivers or absorptions F,O 8% 8% 8% Trading expense ratio H.15%.%.16% Portfolio turnover rate I 24.3% 18.86% 21.29% Net asset value per security, end of period $ $ $ Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series P1 Periods ended November, P Net assets, beginning of period C $ $ $. Total revenue Total expenses (excluding distributions) (.15) (.14) (.11) Realized gains (losses) Unrealized gains (losses) (1.58) Total increase (decrease) from operations C (.56) From net investment income (excluding dividends) From dividends From capital gains (.2) Return of capital Total distributions C,D (.2) Net assets, end of period C $ $ $ Net asset value (s) E $ 4,72 $ 4,6 $ 847 Securities outstanding E 378, ,596 73,289 Management expense ratio F,Q 1.% 1.12% 1.13% Management expense ratio before waivers or absorptions F,Q 1.15% 1.22% 1.% Trading expense ratio H.15%.%.16% Portfolio turnover rate I 24.3% 18.86% 21.29% Net asset value per security, end of period $ $ $

13 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series P1T5 Periods ended November, L Net assets, beginning of period C $.69 $. Total revenue.15 Total expenses (excluding distributions) (.22) (.8) Realized gains (losses) Unrealized gains (losses) (2.23) 1.56 Total increase (decrease) from operations C (.54) 1.65 From net investment income (excluding dividends) From dividends (.1) From capital gains (.5) Return of capital (1.) (.42) Total distributions C,D (1.6) (.42) Net assets, end of period C $ $.69 Net asset value (s) E $ 524 $ 529 Securities outstanding E 28,195 25,581 Management expense ratio F,M 1.8% 1.6% Management expense ratio before waivers or absorptions F,M 1.13% 1.16% Trading expense ratio H.15%.% Portfolio turnover rate I 24.3% 18.86% Net asset value per security, end of period $ $.694 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series P2 Periods ended November, P Net assets, beginning of period C $ $ $. Total revenue Total expenses (excluding distributions) (.14) (.12) (.) Realized gains (losses) Unrealized gains (losses) (1.82) Total increase (decrease) from operations C (.69) From net investment income (excluding dividends) From dividends From capital gains (.4) Return of capital Total distributions C,D (.4) Net assets, end of period C $ $ $ Net asset value (s) E $ 2,211 $ 2,54 $ 1,3 Securities outstanding E 177, ,744 86,746 Management expense ratio F,Q 1.% 1.% 1.3% Management expense ratio before waivers or absorptions F,Q 1.5% 1.9% 1.11% Trading expense ratio H.15%.%.16% Portfolio turnover rate I 24.3% 18.86% 21.29% Net asset value per security, end of period $ $ 13.7 $

14 Financial Highlights continued Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series P2T5 Periods ended November, L Net assets, beginning of period C $.7 $. Total revenue.16 Total expenses (excluding distributions) (.21) (.8) Realized gains (losses) Unrealized gains (losses) (3.19) 1.16 Total increase (decrease) from operations C (1.27) 1.24 From net investment income (excluding dividends) From dividends (.1) From capital gains (.6) Return of capital (1.) (.42) Total distributions C,D (1.7) (.42) Net assets, end of period C $ $.7 Net asset value (s) E $ 196 $ 155 Securities outstanding E,569 8,225 Management expense ratio F,M 1.2% 1.2% Management expense ratio before waivers or absorptions F,M 1.8% 1.13% Trading expense ratio H.15%.% Portfolio turnover rate I 24.3% 18.86% Net asset value per security, end of period $ $.6964 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series P3 Periods ended November, P Net assets, beginning of period C $ $ $. Total revenue.9.15 Total expenses (excluding distributions) (.13) (.11) (.9) Realized gains (losses) Unrealized gains (losses) (1.99) Total increase (decrease) from operations C (.93) From net investment income (excluding dividends) From dividends From capital gains (.5) Return of capital Total distributions C,D (.5) Net assets, end of period C $ $ $ Net asset value (s) E $ 1, $ 1,44 $ 53 Securities outstanding E 4,281 6,124 43,44 Management expense ratio F,Q.95%.91%.96% Management expense ratio before waivers or absorptions F,Q 1.% 1.% 1.4% Trading expense ratio H.15%.%.16% Portfolio turnover rate I 24.3% 18.86% 21.29% Net asset value per security, end of period $ $ $

15 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series P3T5 Periods ended November, R Net assets, beginning of period C $. Total revenue Total expenses (excluding distributions) (.6) Realized gains (losses).6 Unrealized gains (losses) (2.41) Total increase (decrease) from operations C (2.41) From net investment income (excluding dividends) From dividends (.1) From capital gains Return of capital (.42) Total distributions C,D (.43) Net assets, end of period C $ Net asset value (s) E $ 1 Securities outstanding E 51 Management expense ratio F,S.88% Management expense ratio before waivers or absorptions F,S.88% Trading expense ratio H.15% Portfolio turnover rate I 24.3% Net asset value per security, end of period $ Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series P4 Periods ended November, T Net assets, beginning of period C $ 13. $ $. Total revenue..17 Total expenses (excluding distributions) (.12) (.11) (.2) Realized gains (losses) Unrealized gains (losses) (1.67) Total increase (decrease) from operations C (.59) From net investment income (excluding dividends) From dividends From capital gains (.5) Return of capital Total distributions C,D (.5) Net assets, end of period C $ $ 13. $ Net asset value (s) E $ 2,243 $ 1,964 $ 1,132 Securities outstanding E 18,7 148,742 98,5 Management expense ratio F,U.88%.9%.94% Management expense ratio before waivers or absorptions F,U.93%.99% 1.1% Trading expense ratio H.15%.%.16% Portfolio turnover rate I 24.3% 18.86% 21.29% Net asset value per security, end of period $ $ $

16 Financial Highlights continued Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Series P4T5 Periods ended November, R Net assets, beginning of period C $. Total revenue Total expenses (excluding distributions) (.6) Realized gains (losses).6 Unrealized gains (losses) (2.43) Total increase (decrease) from operations C (2.43) From net investment income (excluding dividends) From dividends (.1) From capital gains Return of capital (.42) Total distributions C,D (.43) Net assets, end of period C $ Net asset value (s) E $ 18 Securities outstanding E 1,4 Management expense ratio F,S.92% Management expense ratio before waivers or absorptions F,S.95% Trading expense ratio H.15% Portfolio turnover rate I 24.3% Net asset value per security, end of period $

17 Financial Highlights Footnotes A For the period October 29, (inception date) to November,. B This information is derived from the Fund s audited annual and/or unaudited interim financial statements. The net assets attributable to securityholders per security presented in the financial statements may differ from the net asset value calculated for fund pricing purposes. An explanation of these differences can be found in the notes to financial statements. For reporting periods ending after January 1, per security comparative figures (except for net asset value per security, end of period) have been conformed to the current rounding presentation of two decimal places. As a result, reporting periods ending prior to January 1, may not foot due to this rounding change. C Net assets and distributions are based on the actual number of securities outstanding at the relevant time. The increase (decrease) from operations is based on the weighted average number of securities outstanding over the financial period. This table is not intended to be a reconciliation of beginning to ending net assets per security. D Distributions were paid in cash or reinvested in additional securities of the Fund, or both, and excludes any applicable distributions of management fee reduction to securityholders. E This information is provided as at period end of the year shown. F Management expense ratio is based on total expenses (excluding distributions, commissions and other portfolio transaction costs) for the stated period and is expressed as an annualized percentage of daily average net asset values during the period, including the Fund s pro-rata share of estimated expenses incurred in any underlying investment fund, if applicable. G Effective November 24,, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. H The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an annualized percentage of daily average net asset value during the period, including the Fund s pro-rata share of estimated trading costs incurred in any underlying investment fund, if applicable. I The Fund s portfolio turnover rate indicates how actively the Fund s portfolio adviser manages its portfolio investments. A portfolio turnover rate of % is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher the Fund s portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high portfolio turnover rate and the performance of the Fund. The portfolio turnover rate is calculated based on the lesser of purchases or sales of securities divided by the weighted average market value of the portfolio securities, excluding short-term securities. For periods greater than six months, but less than a full fiscal year, the portfolio turnover rate is annualized. J For the period February 5, (commencement of sale of securities) to November,. K Effective February 9,, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. L For the period July 14, (commencement of sale of securities) to November,. M Effective July 18,, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. N For the period May 13, (commencement of sale of securities) to November,. O Effective May 17,, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. P For the period December 4, (commencement of sale of securities) to November,. Q Effective December 8,, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. R For the period July, (commencement of sale of securities) to November,. S Effective July 24,, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. T For the period September 16, (commencement of sale of securities) to November,. U Effective September,, the manager of the Fund has waived a portion of its administration fee and as of the date of the MRFP has continued to provide the Fund with such waivers. The manager may terminate the waiver at any time, at its sole discretion. It is not known when such waivers will be terminated. 15

18 Management and Advisory Fees Fidelity serves as manager of the Fund. The Fund pays Fidelity a monthly management fee for its services, based on the net asset value of each Series, calculated daily and payable monthly. Fidelity uses these management fees to pay for sales and trailing commissions to registered dealers on the distribution of the Fund securities, as well as for general investment management expenses. Dealer compensation represents cash commissions paid by Fidelity to registered dealers during the period and includes upfront deferred sales charge and trailing commissions. This amount may, in certain circumstances, exceed % of the fees earned by Fidelity during the period. For new Funds or Series the amounts presented may not be indicative of longer term operating periods. Management Fees Dealer Compensation Investment management, administration and other Series A % 46.42% 53.58% Series B 1.85% 54.5% 45.95% Series F.85%.% Series F5.85%.% Series F8.85%.% Series T5 % 41.34% 58.66% Series T8 % 4.66% -4.66% Series S5 1.85% 54.5% 45.95% Series S8 1.85% 54.5% 45.95% Series E % 54.79% 45.21% Series E1T % 54.79% 45.21% Series E2 1.8% 55.56% 44.44% Series E2T5 1.8% 55.56% 44.44% Series E % 56.34% 43.66% Series E % 57.97% 43% Series P1.825%.% Series P1T5.825%.% Series P2.8%.% Series P2T5.8%.% Series P3.775%.% Series P3T5.775%.% Series P4.725%.% Series P4T5.725%.% 16

19 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Past Performance The performance information shown assumes that all distributions made by the Fund in the periods shown were reinvested in additional securities of the Fund. The performance information does not take into account sales, redemption, distribution or other optional charges that would have reduced returns or performance. How the Fund has performed in the past does not necessarily indicate how it will perform in the future. The performance data shown for the period occurring prior to the commencement of operations of a series P or E is that of the corresponding series F or F5 (for series P) or B or S5 (for series E). Series F, F5, B and S5 have higher combined management and administration fees than the applicable series P and E. Had a series P or E existed since the commencement of operations of series F, F5, B or S5, the returns of the applicable series P or E would have been higher. Year-by-Year Returns The following bar chart shows the Fund s annual performance for each of the years shown, and illustrates how the Fund s performance was changed from year to year. In percentage terms, the bar chart shows how much an investment made on the first day of each financial year would have grown or decreased by the last day of each financial year. Series A Series F Commencement of Operations is November, Commencement of Operations is November, Series B Series F Commencement of Operations is November, Commencement of Operations is November, Series F Series T Commencement of Operations is November, Commencement of Operations is November, 17

20 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Past Performance continued Series T8 Series E1T Commencement of Operations is November, Commencement of Operations is February 5, Series S5 Series E Commencement of Operations is November, Commencement of Operations is February 5, Series S8 Series E2T Commencement of Operations is November, Commencement of Operations is July 14, Series E1 Series E Commencement of Operations is February 5, Commencement of Operations is February 5, 18

21 Series E4 Series P2T Commencement of Operations is May 13, Commencement of Operations is July 14, Series P1 Series P Commencement of Operations is December 4, Commencement of Operations is December 4, Series P1T5 Series P3T Commencement of Operations is July 14, Commencement of Operations is July, Series P2 Series P Commencement of Operations is December 4, Commencement of Operations is September 16, 19

22 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Past Performance continued Series P4T Commencement of Operations is July, Annual Compound Returns This table shows the Fund s historical annual compound total returns for the periods indicated, compared with a broad-based benchmark, the S&P 5 Index, and the Fund s benchmark, the Russell Index, as described below. Average Annual Total Returns Series A (6.9)% 6.% 9.8% Series B (6.7)% 6.2%.% Series F (5.6)% 7.4% 11.3% Series F5 (5.6)% 7.4% 11.2% Series F8 (5.6)% 7.4% 11.3% Series T5 (6.8)% 5.9% 9.8% Series T8 (6.8)% 5.9% 9.8% Series S5 (6.7)% 6.2%.1% Series S8 (6.6)% 6.2%.% Series E1 (6.6)% 6.3%.1% Series E1T5 (6.6)% 6.2%.1% Series E2 (6.5)% 6.4%.2% Series E2T5 (6.4)% 6.4%.2% Series E3 (6.4)% 6.5%.3% Series E4 (6.4)% 6.5%.3% Series P1 (5.5)% 7.5% 11.4% Series P1T5 (5.5)% 7.5% 11.3% Series P2 (5.4)% 7.6% 11.4% Series P2T5 (5.5)% 7.5% 11.3% Series P3 (5.4)% 7.7% 11.5% Series P3T5 (5.5)% 7.4% 11.3% Series P4 (5.4)% 7.6% 11.5% Series P4T5 (5.5)% 7.4% 11.2% Russell Index 8.9% 11.7% 14.% S&P 5 Index 9.6% 12.1% 14.4% A discussion of the performance of the Fund can be found in the Results of Operations section of this report. The Russell Index measures the performance of the 3, largest U.S. companies based on the total market capitalization, which represents 98.% of the investable U.S. equity market. The S&P 5 Index is a widely recognized index of 5 U.S. common stocks of large- and mid-capitalization companies. Each Series will have different returns because of differences in management fees and expenses. Past 1 year Past 3 years Since Inception

23 Fidelity Event Driven Opportunities Class of the Fidelity Capital Structure Corp. Summary of Investment Portfolio as at November, Sector Mix % of Fund s Net Assets as at 11//18 % of Fund s Net Assets as at 11//17 Information Technology Consumer Discretionary Financials Real Estate Industrials Communication Services 2.3. Others (Individually Less Than 1%). 3.8 Cash and Cash Equivalents Net Other Assets (Liabilities) Derivative Exposure % of Fund s Net Assets as at 11//18 % of Fund s Net Assets as at 11//17 Futures Contracts 18.. Futures Contracts percentage is calculated by dividing the sum of the notional amount by total net assets. Geographic Mix % of Fund s Net Assets as at 11//18 % of Fund s Net Assets as at 11//17 United States of America United Kingdom Germany Israel Bermuda Ireland Malaysia Sweden Others (Individually Less Than 1%). 5.1 Cash and Cash Equivalents Net Other Assets (Liabilities) Top Issuers % of Fund s Net Assets 1. Fidelity U.S. Money Market Investment Trust Series O CorePoint Lodging, Inc Zooplus AG AO World PLC Arcosa, Inc Alliance Data Systems Corp Brighthouse Financial, Inc SLM Corp Symantec Corp Waddell & Reed Financial, Inc WisdomTree Investments, Inc Cardtronics PLC Mellanox Technologies Ltd Versum Materials, Inc Onespan, Inc Marvell Technology Group Ltd Cars.com, Inc comscore, Inc Seagate Technology LLC 2.3. Black Knight, Inc Perspecta, Inc AirAsia Group BHD Momentum Group AB Hamilton Beach Brands Holding Co Rafael Holdings, Inc..1 Total Fund Net Assets $45,152, 99.7 Where applicable, the information in the above tables includes the Fund s pro-rata share of the investment in any Fidelity managed underlying fund. The summary of investment portfolio may change due to ongoing portfolio transactions of the investment fund. The most recent annual report, semi-annual report, quarterly report, fund facts document or simplified prospectus for the investment fund and/or underlying fund is available at no cost, by calling , by writing to us at Fidelity Investments Canada ULC, 483 Bay St. Suite, Toronto ON M5G 2N7 or by visiting our web site at or SEDAR at 21