Fidelity Tactical Strategies Fund

Transcription

1 Fidelity Tactical Strategies Fund Annual Report March 31, 2017

2 Fidelity Tactical Strategies Fund Schedule of Investments March 31, 2017 Showing Percentage of Net Assets Attributable to Securityholders (Net Assets) Equity Funds 66.4% Shares / Units Cost (000s) Market Value (000s) Domestic Equity Funds 4.7% Health Care Select Sector SPDR ETF 16,100 $ 1,208 $ 1,592 Shares / Units Cost (000s) Market Value (000s) Sector Funds Financial 4.3% Financial Select Sector SPDR ETF 46,700 $ 1,234 $ 1,474 Europe Stock Funds 4.1% Global X FTSE Portugal 20 ETF 37, Vanguard FTSE Europe ETF 9, WisdomTree Europe Hedged Equity ETF 2, TOTAL EUROPE STOCK FUNDS 1,252 1,396 Global and International Equity Funds 18.4% Fidelity Emerging Markets Fund Series O 80, ,222 Fidelity International Disciplined Equity Fund Series O 96, ,042 Fidelity NorthStar Fund Series O 22, ishares MSCI EAFE Index ETF 33,400 1,977 2,767 PowerShares DWA Developed Markets Momentum Portfolio ETF 10, TOTAL GLOBAL AND INTERNATIONAL EQUITY FUNDS 5,156 6,276 Japan Stock Funds 3.7% WisdomTree Japan Hedged Equity ETF 18,600 1,086 1,252 Pacific Asia ex-japan Stock Funds 5.2% ishares MSCI India ETF 9, ishares MSCI New Zealand Capped ETF 12, ishares MSCI Singapore Index ETF 22, TOTAL PACIFIC ASIA EX-JAPAN STOCK FUNDS 1,711 1,766 Sector Funds Communications 0.4% SPDR S&P Telecom ETF 1, Sector Funds Consumer Cyclical 4.6% Consumer Discretionary Select Sector SPDR ETF 13,400 1,012 1,567 Sector Funds Energy 3.7% Energy Select Sector SPDR ETF 8, Market Vectors Oil Services ETF 12, TOTAL SECTOR FUNDS ENERGY 1,279 1,256 Sector Funds Industrials 3.3% Industrial Select Sector SPDR ETF 13, ,133 Sector Funds Natural Resources 3.5% Materials Select Sector SPDR ETF 5, PowerShares DB Agriculture ETF 30, TOTAL SECTOR FUNDS NATURAL RESOURCES 1,121 1,191 Sector Funds Real Estate 0.8% Real Estate Select Sector SPDR ETF 6, Sector Funds Technology 8.0% Technology Select Sector SPDR ETF 38,300 1,713 2,715 Small Blend Funds 1.5% ishares Russell 2000 Index ETF 2, U.S. Equity Funds 0.2% Fidelity American Disciplined Equity Fund Series O 3, TOTAL EQUITY FUNDS 18,534 22,629 Fixed-Income Funds 31.5% Canadian Fixed-Income Funds 22.8% Fidelity Canadian Bond Fund Series O 361,263 5,118 5,197 ishares Core Canadian Long Term Bond Index ETF 108,700 2,586 2,561 TOTAL CANADIAN FIXED-INCOME FUNDS 7,704 7,758 Emerging Markets Fixed-Income Funds 1.1% ishares JPMorgan USD Emerging Markets Bond ETF 2, Global Fixed-Income Funds 6.5% Fidelity Global Bond Fund Series O 120,280 1,266 1,404 SPDR Barclays Capital International Treasury Bond ETF 23, TOTAL GLOBAL FIXED-INCOME FUNDS 2,046 2,226 See accompanying notes which are an integral part of the financial statements. Annual Reportport 2

3 Fixed-Income Funds continued Shares / Units Cost (000s) Market Value (000s) U.S. Fixed-Income Funds 1.1% Fidelity Floating Rate High Income Investment Trust Series O 29,483 $ 303 $ 367 TOTAL FIXED-INCOME FUNDS 10,420 10,735 Short-Term Funds 1.3% ishares Short Treasury Bond ETF 3, Short-Term Investments 2.0% Principal Amount (000s) Investments in reverse repurchase agreements in a joint trading account at 0.47%, dated 3/31/17 due 4/3/17 (Collateralized by Canadian Government Obligations) # $ TOTAL INVESTMENT PORTFOLIO 101.2% $30,094 34,506 NET OTHER ASSETS (LIABILITIES) (1.2)% (415) NET ASSETS 100% $ 34,091 Presentation Notes Cost amount includes broker commissions and other trading expenses, if any. Principal Amount is stated in Canadian dollars unless otherwise noted. Investment Valuation The following is a summary of the inputs used, as of March 31, 2017 and March 31, 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 March 31, 2017: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equity Funds $22,629 $22,629 $ $ Fixed-Income Funds 10,735 10,735 Short-Term Funds Short-Term Investments Total Investments in Securities: $34,506 $33,804 $ 702 $ Valuation Inputs at March 31, 2016: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equity Funds $20,178 $20,178 $ $ Fixed-Income Funds 11,437 11,437 Short-Term Investments 4,260 4,260 Total Investments in Securities: $35,875 $31,615 $4,260 $ See accompanying notes which are an integral part of the financial statements. 3 Annual Report

4 Fidelity Tactical Strategies Fund Schedule of Investments continued Other Information # Additional information on each counterparty to the reverse repurchase agreement is as follows: Reverse Repurchase Agreement / Counterparty Value (000s) $702,000 due 4/03/17 at 0.47% Bank of Montreal $ 112 Royal Bank of Canada 100 Scotia Capital, Inc. 356 The Toronto-Dominion Bank 134 $ 702 See accompanying notes which are an integral part of the financial statements. Annual Reportport 4

5 Financial Statements Statements of Financial Position Amounts in thousands of Canadian Dollars (except per security amounts) As at March 31, 2017 March 31, 2016 Current assets (Note 3) Investments at fair value through profit or loss (Note 8) $ 34,506 $ 35,875 Cash 162 Receivable for investments sold 3, Other receivables 2 3 Distributions receivable Subscriptions receivable ,636 36,285 Current liabilities (Note 3) Payable for investments purchased 3, Redemptions payable Distributions payable (Note 5) Management and advisory fees payable (Note 4) Other payables to affiliates (Note 4) 8 9 Other payables and accrued expenses (Note 4) 5 6 3, Net assets attributable to securityholders (Notes 3 and 6) $ 34,091 $ 35,984 Net assets attributable to securityholders per Series and per security (Note 6) Series A: ($8,846 and $10,526, respectively) $ $ Series B: ($15,731 and $17,559, respectively) $ $ Series F: ($2,369 and $1,834, respectively) $ $ Series F5: ($82 and $61, respectively) $ $ Series F8: ($26 and $47, respectively) $ $ Series O: ($1 and $1, respectively) $ $ Series T5: ($180 and $201, respectively) $ $ Series T8: ($1 and $99, respectively) $ $ Series S5: ($909 and $772, respectively) $ $ Series S8: ($1,650 and $2,306, respectively) $ $ Series E1: ($2,568 and $1,175, respectively) $ $ Series E1T5: ($163 and $177, respectively) $ $ Series E2: ($934 and $784, respectively) $ $ Series E3: ($3 and $-, respectively) $ $ Series P1: ($550 and $370, respectively) $ $ 9.44 Series P2: ($77 and $71, respectively) $ $ 9.45 Series P3: ($1 and $1, respectively) $ $ 9.45 See accompanying notes which are an integral part of the financial statements. 5 Annual Report

6 Financial Statements continued Statements of Comprehensive Income Amounts in thousands of Canadian Dollars (except per security amounts) For the periods ended March 31, (Note 1) (Note 1) Investment income (Note 3) Interest $ 11 $ 9 Income distributions from underlying funds 1,115 1,042 Capital gain distributions from underlying funds Net gain (loss) on investments Net realized gain (loss) on investments 1,208 1,282 Change in net unrealized appreciation (depreciation) on investments 1,904 (2,567) 3,112 (1,285) Net gain (loss) on foreign currencies Net realized gain (loss) on foreign currency transactions Net gain (loss) on derivatives Net realized gain (loss) on derivatives Total investment income (loss) 4,294 (41) Operating expenses (Note 4) Management and advisory fees Administration fees Independent Review Committee fees Commissions and other portfolio costs Foreign taxes withheld (Note 5) Sales tax Total operating expenses Expenses waived (Note 4) (21) (21) Net operating expenses Net increase (decrease) in net assets attributable to securityholders from operations $ 3,436 $ (988) Other information: Increase (decrease) in net assets attributable to securityholders from operations per Series (Note 3) Series A $ 943 $ (331) Series B $ 1,592 $ (549) Series F $ 227 $ (33) Series F5 $ 6 $ Series F8 $ 2 $ (1) Series O $ $ Series T5 $ 18 $ (6) Series T8 $ 7 $ (3) Series S5 $ 87 $ (31) Series S8 $ 172 $ (72) Series E1 $ 233 $ 27 Series E1T5 $ 17 $ 4 Series E2 $ 84 $ 14 Series E3 $ 1 $ Series P1 $ 39 $ (7) Series P2 $ 8 $ Series P3 $ $ See accompanying notes which are an integral part of the financial statements. Annual Reportport 6

7 Statements of Comprehensive Income continued Amounts in thousands of Canadian Dollars (except per security amounts) For the periods ended March 31, (Note 1) (Note 1) Increase (decrease) in net assets attributable to securityholders from operations per Series per security (Notes 3 and 6) Series A $ 1.16 $ (.33) Series B $ 1.20 $ (.34) Series F $ 1.37 $ (.20) Series F5 $ 1.70 $ (.17) Series F8 $ 1.25 $ (.18) Series O $ 1.50 $ (.04) Series T5 $ 1.33 $ (.45) Series T8 $.95 $ (.24) Series S5 $ 1.47 $ (.45) Series S8 $ 1.10 $ (.38) Series E1 $ 1.11 $.28 Series E1T5 $ 2.01 $.62 Series E2 $ 1.05 $.28 Series E3 $ 1.41 $ Series P1 $ 1.18 $ (.15) Series P2 $ 1.11 $ (.04) Series P3 $ 1.12 $ (.19) See accompanying notes which are an integral part of the financial statements. 7 Annual Report

8 Financial Statements continued Statements of Changes in Net Assets Attributable to Securityholders Amounts in thousands of Canadian Dollars For the period ended March 31, 2017 (Note 1) Total Series A Series B Series F Series F5 Series F8 Net assets attributable to securityholders, beginning of period $ 35,984 $ 10,526 $ 17,559 $ 1,834 $ 61 $ 47 Distributions to securityholders (Note 5) From net investment income (456) (110) (199) (49) (1) From net realized gain (74) (18) (34) (8) Management fee reduction (4) (1) Return of capital (227) (3) (2) (761) (128) (234) (57) (4) (2) Security transactions (Note 6) Proceeds from sale of securities 8, ,687 1, Reinvestment of distributions Amounts paid upon redemption of securities (13,650) (3,229) (7,101) (808) (30) (27) (4,568) (2,495) (3,186) (21) Increase (decrease) in net assets attributable to securityholders from operations 3, , Net increase (decrease) in net assets attributable to securityholders (1,893) (1,680) (1,828) (21) Net assets attributable to securityholders, end of period $ 34,091 $ 8,846 $ 15,731 $ 2,369 $ 82 $ 26 Amounts in thousands of Canadian Dollars For the period ended March 31, 2017 (Note 1) Series O Series T5 Series T8 Series S5 Series S8 Net assets attributable to securityholders, beginning of period $ 1 $ 201 $ 99 $ 772 $ 2,306 Distributions to securityholders (Note 5) From net investment income (2) (1) (12) (21) From net realized gain (2) (3) Management fee reduction (3) Return of capital (10) (6) (41) (156) (12) (7) (58) (180) Security transactions (Note 6) Proceeds from sale of securities Reinvestment of distributions Amounts paid upon redemption of securities (38) (100) (90) (729) (27) (98) 108 (648) Increase (decrease) in net assets attributable to securityholders from operations Net increase (decrease) in net assets attributable to securityholders (21) (98) 137 (656) Net assets attributable to securityholders, end of period $ 1 $ 180 $ 1 $ 909 $ 1,650 See accompanying notes which are an integral part of the financial statements. Annual Reportport 8

9 Statements of Changes in Net Assets Attributable to Securityholders continued Amounts in thousands of Canadian Dollars For the period ended March 31, 2017 (Note 1) Series E1 Series E1T5 Series E2 Series E3 Series P1 Net assets attributable to securityholders, beginning of period $ 1,175 $ 177 $ 784 $ $ 370 Distributions to securityholders (Note 5) From net investment income (36) (2) (13) (8) From net realized gain (6) (2) (1) Management fee reduction Return of capital (9) (42) (11) (15) (9) Security transactions (Note 6) Proceeds from sale of securities 2, Reinvestment of distributions Amounts paid upon redemption of securities (1,255) (23) (112) (11) (97) 1,202 (20) Increase (decrease) in net assets attributable to securityholders from operations Net increase (decrease) in net assets attributable to securityholders 1,393 (14) Net assets attributable to securityholders, end of period $ 2,568 $ 163 $ 934 $ 3 $ 550 Amounts in thousands of Canadian Dollars For the period ended March 31, 2017 (Note 1) Series P2 Series P3 Net assets attributable to securityholders, beginning of period $ 71 $ 1 Distributions to securityholders (Note 5) From net investment income (2) From net realized gain Management fee reduction Return of capital (2) Security transactions (Note 6) Proceeds from sale of securities Reinvestment of distributions Amounts paid upon redemption of securities Increase (decrease) in net assets attributable to securityholders from operations 8 Net increase (decrease) in net assets attributable to securityholders 6 Net assets attributable to securityholders, end of period $ 77 $ 1 See accompanying notes which are an integral part of the financial statements. 9 Annual Report

10 Financial Statements continued Statements of Changes in Net Assets Attributable to Securityholders continued Amounts in thousands of Canadian Dollars For the period ended March 31, 2016 (Note 1) Total Series A Series B Series F Series F5 Series F8 Net assets attributable to securityholders, beginning of period $ 39,450 $ 13,423 $ 20,301 $ 2,221 $ 48 $ 64 Distributions to securityholders (Note 5) From net investment income (166) (48) (86) (11) (1) From net realized gain (806) (233) (414) (56) (2) (3) Management fee reduction (4) (1) Return of capital (284) (3) (6) (1,260) (281) (501) (67) (5) (10) Security transactions (Note 6) Proceeds from sale of securities 11,521 1,370 5, Reinvestment of distributions Amounts paid upon redemption of securities (13,714) (3,927) (7,617) (924) (17) (88) (1,218) (2,285) (1,692) (287) 18 (6) Increase (decrease) in net assets attributable to securityholders from operations (988) (331) (549) (33) (1) Net increase (decrease) in net assets attributable to securityholders (3,466) (2,897) (2,742) (387) 13 (17) Net assets attributable to securityholders, end of period $ 35,984 $ 10,526 $ 17,559 $ 1,834 $ 61 $ 47 Amounts in thousands of Canadian Dollars For the period ended March 31, 2016 (Note 1) Series O Series T5 Series T8 Series S5 Series S8 Net assets attributable to securityholders, beginning of period $ 1 $ 212 $ 209 $ 1,009 $ 1,962 Distributions to securityholders (Note 5) From net investment income (1) (4) (12) From net realized gain (4) (2) (20) (58) Management fee reduction (3) Return of capital (10) (12) (47) (205) (15) (14) (74) (275) Security transactions (Note 6) Proceeds from sale of securities ,061 Reinvestment of distributions Amounts paid upon redemption of securities (24) (103) (287) (446) 10 (93) (132) 691 Increase (decrease) in net assets attributable to securityholders from operations (6) (3) (31) (72) Net increase (decrease) in net assets attributable to securityholders (11) (110) (237) 344 Net assets attributable to securityholders, end of period $ 1 $ 201 $ 99 $ 772 $ 2,306 See accompanying notes which are an integral part of the financial statements. Annual Reportport 10

11 Statements of Changes in Net Assets Attributable to Securityholders continued Amounts in thousands of Canadian Dollars For the period ended March 31, 2016 (Note 1) Series E1 Series E1T5 Series E2 Series E3 Series P1 Net assets attributable to securityholders, beginning of period $ $ $ $ $ Distributions to securityholders (Note 5) From net investment income (3) From net realized gain (14) Management fee reduction Return of capital (1) (1) (17) Security transactions (Note 6) Proceeds from sale of securities 1, Reinvestment of distributions 17 Amounts paid upon redemption of securities (209) (1) (71) 1, Increase (decrease) in net assets attributable to securityholders from operations (7) Net increase (decrease) in net assets attributable to securityholders 1, Net assets attributable to securityholders, end of period $ 1,175 $ 177 $ 784 $ $ 370 Amounts in thousands of Canadian Dollars For the period ended March 31, 2016 (Note 1) Series P2 Series P3 Net assets attributable to securityholders, beginning of period $ $ Distributions to securityholders (Note 5) From net investment income From net realized gain Management fee reduction Return of capital Security transactions (Note 6) Proceeds from sale of securities 71 1 Reinvestment of distributions Amounts paid upon redemption of securities 71 1 Net increase (decrease) in net assets attributable to securityholders 71 1 Net assets attributable to securityholders, end of period $ 71 $ 1 See accompanying notes which are an integral part of the financial statements. 11 Annual Report

12 Financial Statements continued Statements of Cash Flows Amounts in thousands of Canadian Dollars 2017 (Note 1) 2016 (Note 1) For the periods ended March 31, Cash flows from (used in) operating activities: Purchases of investments and derivatives $ (15,015) $ (19,840) Proceeds from sale and maturity of investments and derivatives 20,057 22,110 Cash receipts from interest income Cash receipts from other investment income 1,049 1,136 Cash paid for operating expenses (788) (879) Net cash from (used in) operating activities 5,314 2,545 Cash flows from (used in) financing activities: Distributions to securityholders net of reinvestments (241) (282) Proceeds from sales of securities 3,333 11,541 Amounts paid upon redemption of securities (8,568) (13,643) Net cash from (used in) financing activities (5,476) (2,384) Net change in cash (162) 161 Cash, beginning of period Cash, end of period $ $ 162 See accompanying notes which are an integral part of the financial statements. Annual Reportport 12

13 Notes to Financial Statements For the periods ended March 31, 2017 and 2016 (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 1. Formation of the Fund Fidelity Tactical Strategies Fund (Fund) is an open end mutual fund trust formed under the laws of Ontario and governed by a Master Declaration of Trust dated March 25, 2011 (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 day-to-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. The Fund invests primarily in a combination of other Fidelity managed equity, fixed income and money market funds and external Exchange Traded Funds (ETFs) (Underlying Funds). Currently, Fidelity mutual funds are offered in the following Series: 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 B, Series D, Series S5 and Series S8 securities are available to all investors in an initial sales charge (ISC) option. 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 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 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 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. In addition, Series F5, Series F8, Series I5, Series I8, Series T5, Series T8, Series S5, Series S8, Series E1T5, Series E2T5, Series E3T5, Series E4T5, Series E5T5, 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. 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 E1T5, Series E2, Series E3, 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, commenced the offering of Series E1, Series E1T5 and Series E2 securities on February 5, 2016 and commenced the offering of Series E3 securities on May 13, 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 financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as published by the International Accounting Standards Board (IASB). The accounting policies set out below have been applied consistently unless otherwise stated. The financial statements were authorized for issue by Fidelity s board of directors on June 8, Functional and Presentation Currency These financial statements are presented in Canadian dollars, which is the Fund s functional currency. Comparative Figures Per security comparative figures have been conformed to the current rounding presentation of two decimal places. 3. Summary of Significant Accounting Policies Basis of Measurement These financial statements have been prepared on the historical cost basis except for investments 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 13 Annual Report

14 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 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 March 31, 2017 and March 31, 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. Determination of Relationship with Underlying Funds The Fund has made significant judgments when determining the nature of its relationship with an Underlying Fund in accordance with IFRS 10 Consolidated financial statements (IFRS 10) and IAS 28 Investment in associates and joint ventures (IAS 28). These judgments centre upon identifying the Fund s ability to control or significantly influence an Underlying Fund. In both determinations, the Fund looks at the relevant activities of an Underlying Fund such as voting rights, participation in policy choices and material cash flows such as subscription and redemption proceeds. The Fund has determined that it does not have the ability to control nor exercise significant influence on an Underlying Fund due to the Fund s inability to exercise its voting rights and direct or participate in the financial and operating policy decisions of an Underlying Fund. Investment Valuation Investments are designated at their fair value through profit or loss in accordance with IAS 39 and are carried at their fair value. The Fund categorizes the inputs to valuation techniques used to fair value its investments into a disclosure hierarchy consisting of three levels as shown below: Level 1 quoted prices in active markets for identical investments Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.) Level 3 unobservable inputs (including the Fund s own assumptions based on the best information available) 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 March 31, 2017 and March 31, 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 by major category are as follows: ETFs for which market quotations are readily available, are valued at last reported 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. Fidelity managed Underlying Funds are valued at their closing net asset value per security (NAVPS) each business day and are categorized as Level 1 in the hierarchy. Short-term securities for which quotations are not readily available are valued at amortized cost, which approximates fair value and are categorized as Level 2 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 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 March 31, 2017 and March 31, 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. Annual Reportport 14

15 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. 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 securityholders is recorded at the redemption amount. As at March 31, 2017 and March 31, 2016, the Fund s net asset value per Series per security may differ by less than $0.01 from its net assets attributable to securityholders 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. Net realized gains and losses from the sale of investments (which may include proceeds received from litigation) and change in net unrealized appreciation (depreciation) on investments are calculated with reference to average cost of the related investment securities. Interest income is accrued as earned. Distributions received from investment trusts, including Underlying Funds, are recorded as income, capital gains or a return of capital based on the best information available. 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. Transaction costs, such as brokerage commissions, incurred in the purchase and sale of investment securities by the Fund are recognized as Commissions and other portfolio costs in the Statements of Comprehensive Income. 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. Reverse Repurchase Agreements Uninvested cash balances may be transferred into one or more joint trading accounts where these balances are invested in reverse repurchase transactions. In reverse repurchase transactions, U.S. or Canadian Government securities are purchased from a counterparty who agrees to repurchase the securities at a higher price at a specified future date. The difference in price is reported as interest income. Credit risk arises from the potential for a counterparty to default on its obligation to repurchase the security. The risk is managed by the use of counterparties acceptable to Fidelity and by the receipt of the securities as collateral. The value of the collateral must be at least 102% of the daily fair value of the cash invested. Any reverse repurchase agreements open at period end are included in the Schedule of Investments. The following tables summarize the securities pledged to the Fund as collateral: March 31, 2017 Collateral Description Interest Rate (%) Maturity Date % of Collateral Collateral Value as a % of CAD Cash Invested Canada Housing Trust /15/2017 6/15/ Canadian Treasury Bonds /1/2018 6/1/ March 31, 2016 Collateral Description Interest Rate (%) Maturity Date % of Collateral Collateral Value as a % of CAD Cash Invested Canadian Treasury Bonds /1/ /1/ 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 15 Annual Report

16 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 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. 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 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 securityholders is calculated for each Series of securities of the Fund. The net assets attributable to securityholders 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 securityholders 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 securityholders resulting from operations per security in the Statements of Comprehensive Income represent the operational increase (decrease) for each Series of the Fund, divided by the relevant weighted average securities outstanding during the period. Refer to the Security Transactions Note for the Fund s weighted average securities outstanding. 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 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 Securityholders. No management and advisory fees are charged with respect to the Series O securities, but investors will be charged a negotiated management fee. To avoid duplication of fees, Series O securities of any Fidelity managed Underlying Fund are not subject to management and advisory fees. The annual management and advisory fee rates for each Series were as follows: Annual Reportport 16

17 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 E1T 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 and administrative expenses, including the provision of key administrative 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, taxes, brokerage commissions and interest charges. To avoid duplication of fees, Series O securities of any Fidelity managed Underlying Fund are not subject to the Administration fee. 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: 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 E1T Series E Series E Series P Series P Series P Prior to November 1, 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): 17 Annual Report

18 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) 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 E1T 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 Independent Review Committee (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. 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 and can terminate the absorption or waiver at any time. Fidelity waived a portion of its administration fee which is disclosed as Expenses waived in the Statements of Comprehensive Income. Commissions and Other Portfolio Costs - Commissions and other portfolio costs paid for security transactions during the period were $25 (March 31, 2016: $15), of which $- (March 31, 2016: $-) 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 $9 (March 31, 2016: $13) 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 $- (March 31, 2016: $-). 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. Annual Reportport 18

19 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. Foreign withholding taxes are imposed by certain countries on investment income and are estimated based on the tax rules and actual rates that exist in the foreign markets. Investment income is recorded gross of foreign taxes withheld. Foreign 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. 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 Securityholders. 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 and weighted average securities for each Series were as follows: 19 Annual Report

20 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) Securities Outstanding, Beginning of Period Issued Reinvested Redeemed Securities Outstanding, End of Period Weighted Average Securities Period ended March 31, 2017 Series A (265) Series B 1, (586) 1,239 1,324 Series F (67) Series F5 4 4 (2) 6 4 Series F8 4 (2) 2 2 Series O Series T (3) Series T8 9 (9) 6 Series S (6) Series S (63) Series E (118) Series E1T5 9 (1) 8 9 Series E (11) Series E3 1 (1) Series P (10) Series P Series P3 Period ended March 31, 2016 Series A 1, (327) 903 1,011 Series B 1, (641) 1,505 1,609 Series F (75) Series F5 3 2 (1) 4 4 Series F8 5 6 (7) 4 6 Series O Series T (2) Series T (8) 9 12 Series S (21) Series S (38) Series E1 138 (21) Series E1T Series E Series P (8) Series P Series P3 Affiliated Ownership - As at March 31, 2017, Fidelity and its affiliates held less than 1% of the Fund. As at March 31, 2016, Fidelity and its affiliates held less than 1% 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. Derivative financial instruments may be used to moderate certain risk exposures. The Fund is more diversified and expected to be less risky than funds that invest primarily in equities or fixed income securities directly. The value can change when the price of equity or fixed-income securities change. There is greater risk when more of the Fund is invested in any one asset class. The Fund has the same risks as its Underlying Funds. 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. Annual Reportport 20

21 The Fund aims to achieve a high total investment return. The Fund uses an asset allocation approach and invests in multiple asset classes, including equities, fixed income securities, commodities and money market instruments of companies and other issuers anywhere in the world by investing primarily in a combination of other mutual funds managed by Fidelity and third party Exchange-Traded Funds (ETFs). The Fund s benchmark is a blended benchmark consisting of 60.0% MSCI ACWI (All Country World Index) Index, 30.0% FTSE TMX Canada Universe Bond Index and 10.0% Bloomberg Barclays Global Aggregate Bond 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, both indirect and direct, in the case of financial assets are considered, where applicable, in determining the fair value of financial assets and financial liabilities. 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 March 31, 2017 and March 31, Credit risk arising on Canadian debt securities held directly or indirectly, as applicable, is mitigated by investing primarily in rated instruments or instruments issued by rated counterparties with credit ratings of at least BB or better as determined by Moody s Investor Services, Inc. or S&P at the date of purchase. The following tables summarize the credit risk that is relevant for the Fund. Quality Diversification % of Fund s Net Assets as at 3/31/17 % of Fund s Net Assets as at 3/31/16 AAA AA A BBB BB and Below Not Rated Equities Short-Term Investments and Net Other Assets We have used ratings from Moody s Investors Service, Inc. Where Moody s ratings are not available, we have used S&P ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Collateralized reverse repurchase agreements may result in credit exposure in the event that the counterparty to the transaction is unable to fulfill its contractual obligations. The risk is managed by the receipt of the underlying securities as collateral and use of counterparties whose credit worthiness is considered sufficient based on Fidelity s independent review. Credit risk exposure for derivative instruments is based on the Fund s unrealized gain on the contractual obligations with the counterparty as at the reporting date. The Fund restricts its exposure to credit losses on derivative instruments by limiting its exposure to any one counterparty and by entering into transactions with counterparties who meet the minimum approved credit rating under securities regulations and other pre-set financial and non- financial criteria. Other than outlined above, there were no significant concentrations of credit risk to counterparties as at March 31, 2017 and March 31, Concentration Risk - The Fund may be exposed to risk based on the concentration levels of its financial instruments in various sectors, geographic regions, asset weightings and market capitalization, as applicable. Fidelity analyzes and monitors these concentration risks regularly. The following tables summarize the investment concentration risks that are relevant for the Fund. Asset Mix % of Fund s Net Assets as at 3/31/17 % of Fund s Net Assets as at 3/31/16 Exchange Traded Funds Canadian Bonds Foreign Equities Foreign Bonds Annual Report

22 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) % of Fund s Net Assets as at 3/31/17 % of Fund s Net Assets as at 3/31/16 Foreign Preferred Securities Canadian Preferred Securities Canadian Equities Cash and Short-Term Investments Net Other Assets (Liabilities) Geographic Mix % of Fund s Net Assets as at 3/31/17 % of Fund s Net Assets as at 3/31/16 Canada United States of America United Kingdom Japan Others (Individually Less Than 1%) Cash and Short-Term Investments Net Other Assets (Liabilities) 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 its redeemable securities. Redeemable securities are redeemed on demand at the securityholder s option based on the Fund s NAVPS at the time of redemption. The Fund may be exposed to indirect liquidity risk through its investments. 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 liquidity position is monitored on a daily basis. As at March 31, 2017 and March 31, 2016, the Fund did not have financial liabilities with maturities greater than 3 months. Indirect Exposure to Other Price Risk, Interest Rate Risk and Currency Risk - The Fund may be exposed to indirect other price risk, interest rate risk and currency risk through its investments in any Underlying Fund with an equity, fixed-income and U.S. and global fixed-income strategy, respectively. 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), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. All financial instruments present a risk of loss of capital. The Fund and any Underlying Fund moderate 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. Accordingly, the Fund may be exposed to indirect other price risk through its investments in any Underlying Fund with an equity strategy. Interest rate risk arises on interest-bearing financial instruments held directly or indirectly in the investment portfolio such as bonds. The Fund and any Underlying Fund are 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 may be invested in short-term investments at market interest rates which are considered to have minimal sensitivity to changes in interest rates since the securities are short-term in nature. Accordingly, the Fund may be exposed to indirect interest rate risk through its investments in any Underlying Fund with a fixed-income strategy. The following tables summarize the Fund s exposure to interest-bearing financial instruments at period end categorized by the earlier of contractual interest rate reset or maturity dates. Maturity Diversification % of Fund s Net Assets as at 3/31/17 % of Fund s Net Assets as at 3/31/16 Years Over Annual Reportport 22

23 Currency risk arises from financial instruments that are denominated in a currency other than Canadian dollars, which is the Fund s and any Underlying Fund s functional currency. The Fund and any Underlying Fund are exposed to the risk that the fair 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 non-monetary assets and liabilities to be a component of other price risk, not foreign currency risk. In addition, an Underlying Fund may also hedge against other foreign currencies through the use of forward foreign currency contracts. For example, an underlying currency hedged fund uses derivatives to try to minimize the exposure to currency fluctuations between the foreign currencies (such as the U.S. dollar, the Euro or the Yen), and the Canadian dollar. Generally, the use of forward contracts to hedge currency fluctuations as completely as possible will not result in the impact of currency fluctuations being eliminated altogether. Furthermore, during times of extreme market stress or volatility, the Fund and any Underlying Fund may not be able to prevent losses from exposure to foreign currencies. Accordingly, the Fund may be exposed to indirect currency risk through its investments in any Underlying Fund with a U.S. or global fixed-income strategy. The impact on net assets attributable to securityholders, of a reasonable possible change in the returns of each Underlying Fund, would have increased or decreased by approximately $1,668 (March 31, 2016: $1,581). This change is calculated by applying a 5% possible movement for each strategy (excluding short-term) as a percentage of the net assets attributable to securityholders of each Underlying Fund. The analysis is based on the assumption that the returns on each strategy have increased or decreased as disclosed with all other variables held constant. In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material. 8. Investment in Structured Entities The Fund s investment in a Fidelity managed Underlying Fund represents an interest in a structured entity. A structured entity is an entity that has been designed so that voting or similar rights are not the dominant factor in deciding who controls the entity, such as when any voting rights relate to administrative tasks only and the relevant activities are directed by means of contractual arrangements such as those agreements executed by a Fund with its manager and portfolio advisor. An Underlying Fund is financed through the issuance of its redeemable trust securities. In addition, its purpose is to provide investment management services to its securityholders by investing its net assets for capital growth and/or investment income. The Fund does not control nor significantly influence an Underlying Fund, as defined by IFRS 10 and IAS 28, due to the Fund s inability to exercise its voting rights and direct or participate in the financial and operating policy decisions. The maximum risk of loss in an investment in an Underlying Fund is equal to its fair value and carrying value which is outlined in the tables below and included in Investments on the Statements of Financial Position. There is no difference between the maximum risk of loss and the carrying amounts of the assets and liabilities of an Underlying Fund that relate to the Fund s interests. There are additional risks associated with an investment in an Underlying Fund. Refer to the Financial Instruments Risk note for further discussion. In the normal course of operations to fulfil its investment objective, the Fund will, from time to time, subscribe for additional securities issued by an Underlying Fund or redeem in whole or in part its investment in an Underlying Fund. However, the Fund does not have any obligation or intention to provide financial support to an Underlying Fund. In addition, the Fund may receive a distribution of income and/or capital gains from an Underlying Fund as described above in the Investment Transactions, Income Recognition and Transaction Costs note. The following tables present additional information that is relevant to the Fund s investment in structured entities. Total Net Assets ($) Fair Value of Investment ($) March 31, 2017 Fidelity American Disciplined Equity Fund 1,211, Fidelity Canadian Bond Fund 11,227,494 5,197 Fidelity Emerging Markets Fund 1,025,949 1,222 Fidelity Floating Rate High Income Investment Trust 842, Fidelity Global Bond Fund 3,795,593 1,404 Fidelity International Disciplined Equity Fund 397,968 1,042 Fidelity NorthStar Fund 9,515, Annual Report

24 Notes to Financial Statements continued (Amounts in thousands of Canadian dollars/thousands of securities (except per security amounts)) Total Net Assets ($) Fair Value of Investment ($) March 31, 2016 Fidelity American Disciplined Equity Fund 1,041, Fidelity Canadian Bond Fund 10,034,803 5,533 Fidelity Emerging Markets Fund 744,107 1,036 Fidelity Floating Rate High Income Investment Trust 572, Fidelity Global Bond Fund 3,180,342 1,508 Fidelity International Disciplined Equity Fund 348, Fidelity NorthStar Fund 9,006, Underlying Fund names presented in the tables reflect names in effect as at the dates shown. The Fund also invests in ETFs which may be considered structured entities. As of March 31, 2017, the carrying value and maximum exposure to losses of such ETF holdings included in the Statements of Financial Position is $23,762 (March 31, 2016: $21,157). The change in fair value of these ETF holdings is included in the Statements of Comprehensive Income in Change in net unrealized appreciation (depreciation) on investments. The ownership percentage of any ETF was less than 1%. Annual Reportport 24

25 Management Report and Independent Auditor s Report Management Responsibility for Financial Reporting To the Securityholders and Trustee of Fidelity Tactical Strategies Fund (Fund) The accompanying financial statements have been prepared by Fidelity Investments Canada ULC (Fidelity), as manager of the Fund. Fidelity is responsible for the information and representations contained in these financial statements. The Board of Directors of Fidelity is responsible for reviewing and approving the financial statements. Fidelity maintains appropriate processes to ensure that relevant and reliable financial information is produced. The financial statements have been prepared in accordance with International Financial Reporting Standards and include certain amounts and disclosures that are based on estimates and judgments. The significant accounting policies, which management believes are appropriate for the Fund, are described in Note 3 to the financial statements. PricewaterhouseCoopers LLP is the external auditor of the Fund. They have audited the financial statements in accordance with Canadian generally accepted auditing standards to enable them to express to the securityholders their opinion on the financial statements. Their report is set out below. Brock Dunlop Vice President and Fund Treasurer Fidelity Investments Canada ULC June 8, 2017 Independent Auditor s Report To the Securityholders and Trustee of Fidelity Tactical Strategies Fund (Fund) We have audited the accompanying financial statements of the Fund, which comprise the statements of financial position as at March 31, 2017 and 2016 and the statements of comprehensive income, changes in net assets attributable to securityholders and cash flows for the years ended March 31, 2017 and 2016, and the related notes, which comprise a summary of significant accounting policies and other explanatory information. Management s responsibility for the financial statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with International Financial Reporting Standards, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor s responsibility Our responsibility is to express an opinion on the financial statements based on our audits. We conducted our audits in accordance with Canadian generally accepted auditing standards. Those standards require that we comply with ethical requirements and plan and perform the audits to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained in our audits is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as at March 31, 2017 and 2016 and its financial performance and its cash flows for the years ended March 31, 2017 and 2016 in accordance with International Financial Reporting Standards. PricewaterhouseCoopers LLP Chartered Professional Accountants, Licensed Public Accountants Toronto, Ontario June 8, Annual Report

26 Annual Reportport 26

27 27 Annual Report

28 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-TSF-ANN-0617