Fidelity American Balanced Fund

Transcription

1 Fidelity American Balanced Fund Semi-Annual Report September 30, 2016 Notice to Readers The accompanying interim financial statements have not been reviewed by the external auditor of the Fund. The external auditor will be auditing the annual financial statements of the Fund in accordance with Canadian generally accepted auditing standards.

2 Fidelity American Balanced Fund Schedule of Investments September 30, 2016 (Unaudited) Showing Percentage of Net Assets Attributable to Holders of Redeemable Units (Net Assets) Equity Funds 63.2% Units Cost (000s) Market Value (000s) Global and International Equity Funds 32.6% Fidelity Global Intrinsic Value Investment Trust Series O 8,964,752 $ 96,234 $ 103,677 U.S. Equity Funds 30.6% Fidelity American Equity Fund Series O 4,431,627 93,350 97,060 TOTAL EQUITY FUNDS 189, ,737 Fixed-Income Funds 31.3% U.S. Fixed-Income Funds 31.3% Fidelity American High Yield Fund Series O 1,090,968 9,952 10,144 Fidelity Floating Rate High Income Investment Trust Series O 517,287 6,294 6,361 Fidelity High Income Commercial Real Estate Investment Trust Series O 409,052 5,662 5,563 Fidelity U.S. Bond Investment Trust Series O 6,576,934 74,797 77,278 TOTAL U.S. FIXED-INCOME FUNDS 96,705 99,346 TOTAL FIXED-INCOME FUNDS 96,705 99,346 TOTAL INVESTMENT PORTFOLIO 94.5% $286, ,083 NET OTHER ASSETS (LIABILITIES) 5.5% 17,574 NET ASSETS 100% $317,657 Investment Valuation The following is a summary of the inputs used, as of September 30, 2016 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 September 30, 2016: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equity Funds $200,737 $200,737 $ $ Fixed-Income Funds 99,346 99,346 Total Investments in Securities: $300,083 $300,083 $ $ Valuation Inputs at March 31, 2016: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Investments in Securities: Equity Funds $222,011 $222,011 $ $ Fixed-Income Funds 116, ,422 Total Investments in Securities: $338,433 $338,433 $ $ See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 2

3 Valuation Inputs at March 31, 2016: Description Total Level 1 Level 2 Level 3 (Amounts in thousands) Derivative Instruments: Liabilities Futures Contracts (286) (286) Total Liabilities $ (286) $ (286) $ $ Total Derivative Instruments: $ (286) $ (286) $ $ See accompanying notes which are an integral part of the financial statements. 3 Semi-Annual Report

4 Financial Statements (Unaudited) Statements of Financial Position Amounts in thousands of Canadian Dollars /thousands of units (except per unit amounts) As at September 30, 2016 March 31, 2016 Assets (Note 3) Current assets Investments at fair value through profit or loss (Note 8) $ 300,083 $ 338,433 Cash 17,395 Cash collateral 376 Receivable for investments sold 1,277 1,128 Receivable for daily variation margin for derivative instruments 15 Distributions receivable Receivable on sale of units , ,281 Liabilities (Note 3) Current liabilities Payable to custodian bank 466 Payable for investments purchased Payable on redemption of units 696 1,169 Distributions payable (Note 5) Management and advisory fees payable (Note 4) Other payables to affiliates (Note 4) Other payables and accrued expenses (Note 4) ,678 2,828 Net assets attributable to holders of redeemable units (Notes 3 and 6) $ 317,657 $ 338,453 Net assets attributable to holders of redeemable units per Series and per unit (Note 6) Series A: ($70,214 / 6,340 units and $70,394 / 6,591 units, respectively) $ $ Series B: ($92,578 / 8,345 units and $122,422 / 11,457 units, respectively) $ $ Series F: ($38,608 / 3,451 units and $63,469 / 5,923 units, respectively) $ $ Series F5: ($4,020 / 191 units and $9,826 / 476 units, respectively) $ $ Series F8: ($768 / 38 units and $1,450 / 72 units, respectively) $ $ Series O: ($32,138 / 2,849 units and $1 / units, respectively) $ $ Series T5: ($5,827 / 280 units and $6,622 / 322 units, respectively) $ $ Series T8: ($7,511 / 378 units and $7,193 / 359 units, respectively) $ $ Series S5: ($5,444 / 261 units and $13,672 / 665 units, respectively) $ $ See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 4

5 Statements of Financial Position continued Amounts in thousands of Canadian Dollars /thousands of units (except per unit amounts) As at September 30, 2016 March 31, 2016 Series S8: ($7,984 / 401 units and $9,457 / 472 units, respectively) $ $ Series E1: ($26,540 / 2,570 units and $18,832 / 1,894 units, respectively) $ $ Series E1T5: ($2,693 / 135 units and $1,516 / 77 units, respectively) $ $ Series E2: ($6,375 / 617 units and $3,112 / 313 units, respectively) $ $ Series E2T5: ($1,643 / 82 units and $1,103 / 56 units, respectively) $ $ Series E3: ($3,839 / 371 units and $3,159 / 318 units, respectively) $ $ Series E4: ($13 / 1 units and $558 / 56 units, respectively) $ $ Series E5: ($415 / 39 units and $- / units, respectively) $ $ Series P1: ($7,551 / 755 units and $3,288 / 343 units, respectively) $ $ Series P1T5: ($854 / 44 units and $1,238 / 66 units, respectively) $ $ Series P2: ($1,140 / 114 units and $711 / 74 units, respectively) $ $ Series P2T5: ($360 / 19 units and $427 / 23 units, respectively) $ $ Series P3: ($1,140 / 114 units and $1 / units, respectively) $ $ Series P4: ($1 / units and $1 / units, respectively) $ $ Series P5: ($1 / units and $1 / units, respectively) $ $ See accompanying notes which are an integral part of the financial statements. 5 Semi-Annual Report

6 Financial Statements (Unaudited) continued Statements of Comprehensive Income Amounts in thousands of Canadian Dollars (except per unit amounts) For the six-month period ended September 30, 2016 and for the period April 20, 2015 (Inception date) to September 30, Investment income (Note 3) Interest $ 1 $ Income distributions from the underlying funds 1, Net gain (loss) on Investments Net realized gain (loss) on investments Change in net unrealized appreciation (depreciation) on investments 13,357 1,909 13,515 2,263 Net gain (loss) on Foreign Currencies Net realized gain (loss) on foreign currency transactions 42 1 Change in net unrealized appreciation (depreciation) on other net assets in foreign currencies Net gain (loss) on Derivatives Net realized gain (loss) on derivatives (243) Change in net unrealized appreciation (depreciation) on derivatives Total investment income (loss) 15,602 3,098 Operating expenses (Note 4) Management and advisory fees 2, Administration fees Independent Review Committee fees Commissions and other portfolio costs Sales tax Total operating expenses 3,221 1,243 Expenses waived (Note 4) (4) (13) Net operating expenses 3,217 1,230 Net increase (decrease) in net assets attributable to holders of redeemable units from operations $ 12,385 $ 1,868 Other information: Increase (decrease) in net assets attributable to holders of redeemable units from operations per Series (Note 3) Series A $ 2,565 $ 285 Series B $ 4,083 $ 448 Series F $ 1,916 $ 853 Series F5 $ 129 $ 63 Series F8 $ 61 $ 30 Series O $ 933 $ Series T5 $ 211 $ 79 Series T8 $ 283 $ (13) Series S5 $ 314 $ 78 Series S8 $ 324 $ 45 Series E1 $ 744 $ Series E1T5 $ 62 $ Series E2 $ 209 $ Series E2T5 $ 58 $ Series E3 $ 133 $ Series E4 $ (7) $ Series E5 $ 20 $ Series P1 $ 217 $ Series P1T5 $ 38 $ Series P2 $ 46 $ See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 6

7 Statements of Comprehensive Income continued Amounts in thousands of Canadian Dollars (except per unit amounts) For the six-month period ended September 30, 2016 and for the period April 20, 2015 (Inception date) to September 30, Series P2T5 $ 16 $ Series P3 $ 30 $ Series P4 $ $ Series P5 $ $ Increase (decrease) in net assets attributable to holders of redeemable units from operations per Series per unit (Note 3) Series A $.3892 $.1003 Series B $.3907 $.0756 Series F $.3967 $.2592 Series F5 $.4096 $.3107 Series F8 $.9134 $.5975 Series O $.7699 $.7900 Series T5 $.7128 $.4537 Series T8 $.7506 $ (.1085) Series S5 $.6339 $.1903 Series S8 $.7139 $.1915 Series E1 $.3873 $ Series E1T5 $.8133 $ Series E2 $.4696 $ Series E2T5 $.8992 $ Series E3 $.4023 $ Series E4 $ (.5968) $ Series E5 $.5225 $ Series P1 $.5094 $ Series P1T5 $.7138 $ Series P2 $.4599 $ Series P2T5 $.8385 $ Series P3 $.6914 $ Series P4 $.4340 $ Series P5 $.4340 $ For certain Series the period shown is from the commencement of sale of units to period end. See Note 1 for the commencement dates for newly offered Series. See accompanying notes which are an integral part of the financial statements. 7 Semi-Annual Report

8 Financial Statements (Unaudited) continued Statements of Changes in Net Assets Attributable to Holders of Redeemable Units Amounts in thousands of Canadian Dollars For the six-month period ended September 30, 2016 Fund Series A Series B Series F Series F5 Series F8 Net assets attributable to holders of redeemable units, beginning of period $ 338,453 $ 70,394 $ 122,422 $ 63,469 $ 9,826 $ 1,450 Distributions to holders of redeemable units (Note 5) Return of capital (1,375) (135) (54) Management fee reduction (33) (2) (18) (9) (1) (1,408) (2) (18) (9) (136) (54) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 100,669 6,786 15,302 7,759 2, Reinvestment of distributions Amounts paid upon redemption of redeemable units (132,791) (9,531) (49,228) (34,536) (7,845) (732) (31,773) (2,743) (33,909) (26,768) (5,799) (689) Increase (decrease) in net assets attributable to holders of redeemable units from operations 12,385 2,565 4,083 1, Net increase (decrease) in net assets attributable to holders of redeemable units (20,796) (180) (29,844) (24,861) (5,806) (682) Net assets attributable to holders of redeemable units, end of period $ 317,657 $ 70,214 $ 92,578 $ 38,608 $ 4,020 $ 768 Amounts in thousands of Canadian Dollars For the six-month period ended September 30, 2016 Series O Series T5 Series T8 Series S5 Series S8 Net assets attributable to holders of redeemable units, beginning of period $ 1 $ 6,622 $ 7,193 $ 13,672 $ 9,457 Distributions to holders of redeemable units (Note 5) Return of capital (145) (327) (228) (385) Management fee reduction (2) (1) (145) (327) (230) (386) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 32, , Reinvestment of distributions Amounts paid upon redemption of redeemable units (1,220) (1,092) (591) (9,356) (2,443) 31,204 (861) 362 (8,312) (1,411) Increase (decrease) in net assets attributable to holders of redeemable units from operations Net increase (decrease) in net assets attributable to holders of redeemable units 32,137 (795) 318 (8,228) (1,473) Net assets attributable to holders of redeemable units, end of period $ 32,138 $ 5,827 $ 7,511 $ 5,444 $ 7,984 See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 8

9 Statements of Changes in Net Assets Attributable to Holders of Redeemable Units continued Amounts in thousands of Canadian Dollars For the six-month period ended September 30, 2016 Series E1 Series E1T5 Series E2 Series E2T5 Series E3 Net assets attributable to holders of redeemable units, beginning of period $ 18,832 $ 1,516 $ 3,112 $ 1,103 $ 3,159 Distributions to holders of redeemable units (Note 5) Return of capital (40) (32) (40) (32) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 15,398 1,724 4, Reinvestment of distributions 2 22 Amounts paid upon redemption of redeemable units (8,434) (571) (1,664) (150) (1) 6,964 1,155 3, Increase (decrease) in net assets attributable to holders of redeemable units from operations Net increase (decrease) in net assets attributable to holders of redeemable units 7,708 1,177 3, Net assets attributable to holders of redeemable units, end of period $ 26,540 $ 2,693 $ 6,375 $ 1,643 $ 3,839 Amounts in thousands of Canadian Dollars For the six-month period ended September 30, 2016 Series E4 Series E5 Series P1 Series P1T5 Series P2 Net assets attributable to holders of redeemable units, beginning of period $ 558 $ $ 3,288 $ 1,238 $ 711 Distributions to holders of redeemable units (Note 5) Return of capital (22) (22) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units , ,627 Reinvestment of distributions 13 Amounts paid upon redemption of redeemable units (549) (1,797) (1,275) (1,244) (538) 395 4,046 (400) 383 Increase (decrease) in net assets attributable to holders of redeemable units from operations (7) Net increase (decrease) in net assets attributable to holders of redeemable units (545) 415 4,263 (384) 429 Net assets attributable to holders of redeemable units, end of period $ 13 $ 415 $ 7,551 $ 854 $ 1,140 For certain Series the period shown is from the commencement of sale of units to period end. See Note 1 for the commencement dates for newly offered Series. Amounts in thousands of Canadian Dollars For the six-month period ended September 30, 2016 Series P2T5 Series P3 Series P4 Series P5 Net assets attributable to holders of redeemable units, beginning of period $ 427 $ 1 $ 1 $ 1 Distributions to holders of redeemable units (Note 5) Return of capital (7) (7) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 409 1,156 Amounts paid upon redemption of redeemable units (485) (47) (76) 1,109 Increase (decrease) in net assets attributable to holders of redeemable units from operations Net increase (decrease) in net assets attributable to holders of redeemable units (67) 1,139 Net assets attributable to holders of redeemable units, end of period $ 360 $ 1,140 $ 1 $ 1 See accompanying notes which are an integral part of the financial statements. 9 Semi-Annual Report

10 Financial Statements (Unaudited) continued Statements of Changes in Net Assets Attributable to Holders of Redeemable Units continued Amounts in thousands of Canadian Dollars For the period April 20, 2015 (Inception date) to September 30, 2015 Fund Series A Series B Series F Series F5 Series F8 Net assets attributable to holders of redeemable units, beginning of period $ $ $ $ $ $ Distributions to holders of redeemable units (Note 5) From net investment income (105) (7) (27) (55) (6) (2) Return of capital (620) (81) (33) Management fee reduction (20) (13) (3) (745) (7) (40) (58) (87) (35) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 264,647 52, ,459 58,306 7,832 1,637 Reinvestment of distributions Amounts paid upon redemption of redeemable units (9,528) (1,573) (4,246) (1,541) (175) (35) 255,337 51, ,249 56,810 7,673 1,605 Increase (decrease) in net assets attributable to holders of redeemable units from operations 1, Net increase (decrease) in net assets attributable to holders of redeemable units 256,460 51, ,657 57,605 7,649 1,600 Net assets attributable to holders of redeemable units, end of period $ 256,460 $ 51,388 $ 105,657 $ 57,605 $ 7,649 $ 1,600 Amounts in thousands of Canadian Dollars For the period April 20, 2015 (Inception date) to September 30, 2015 Series O Series T5 Series T8 Series S5 Series S8 Net assets attributable to holders of redeemable units, beginning of period $ $ $ $ $ Distributions to holders of redeemable units (Note 5) From net investment income (1) (1) (4) (2) Return of capital (69) (95) (179) (163) Management fee reduction (3) (1) (70) (96) (186) (166) Redeemable unit transactions (Note 6) Proceeds from sale of redeemable units 10 5,251 5,872 15,246 8,358 Reinvestment of distributions Amounts paid upon redemption of redeemable units (9) (253) (349) (724) (623) 1 5,019 5,563 14,553 7,754 Increase (decrease) in net assets attributable to holders of redeemable units from operations 79 (13) Net increase (decrease) in net assets attributable to holders of redeemable units 1 5,028 5,454 14,445 7,633 Net assets attributable to holders of redeemable units, end of period $ 1 $ 5,028 $ 5,454 $ 14,445 $ 7,633 See accompanying notes which are an integral part of the financial statements. Semi-Annual Reportport 10

11 Statements of Cash Flows Amounts in thousands of Canadian Dollars For the six-month period ended September 30, 2016 and for the period April 20, 2015 (Inception date) to September 30, Cash, beginning of period $ $ Cash flows from (used in) operating activities: Purchases of investments and derivatives (23,835) (261,945) Proceeds from sale and maturity of investments and derivatives 75,593 8,733 Cash (deposited) returned for collateral 376 Cash receipts from interest income 1 Cash receipts from other investment income 1, Cash paid for operating expenses (3,310) (828) Net cash from (used in) operating activities 50,688 (253,484) Cash flows from (used in) financing activities: Distributions to holders of redeemable units net of reinvestments (1,121) (365) Proceeds from sales of units 101, ,884 Amounts paid upon redemption of units (133,264) (9,062) Amounts borrowed from (repaid to) custodian bank (466) 27 Net cash from (used in) financing activities (33,530) 253,484 Net change in cash 17,158 Foreign exchange gain (loss) on cash 237 Cash, end of period $ 17,395 $ See accompanying notes which are an integral part of the financial statements. 11 Semi-Annual Report

12 Notes to Financial Statements (Unaudited) For the period ended September 30, 2016 (Unaudited) (Amounts in thousands of Canadian dollars/thousands of units (except per unit amounts)) 1. Formation of the Fund Fidelity American Balanced Fund (Fund) is an open end mutual fund trust formed under the laws of Ontario and governed by a Master Declaration of Trust dated April 20, 2015 (Inception Date), as amended thereafter from time to time. The Fund is authorized to issue an unlimited number of units. 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 affiliated equity, fixed income and money market funds (Underlying Funds). Currently, Fidelity mutual funds are offered in the following Series: Series A, Series B, Series C, Series D, Series F, Series F5, Series F8, Series I, Series I5, Series I8, Series O, Series T5, Series T8, Series S5, Series S8, Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5, Series E5T5, Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P3T5, Series P4, Series P4T5, Series P5 and Series P5T5. Series A, Series C, Series T5 and Series T8 units are available to all investors in a deferred sales charge (DSC) option. Series A, Series T5 and Series T8 units will be converted to lower management and advisory fee Series B, Series S5 and Series S8 units, respectively, one year after completion of their redemption schedule. Series T5 and Series T8 units have substantially all the same attributes as the Series A units with the exception that Series T5 and Series T8 units distribute an amount comprised of net income and/or return of capital monthly, if available. Series B, Series D, Series S5 and Series S8 units are available to all investors in an initial sales charge (ISC) option. Series S5 and Series S8 units have substantially all the same attributes as the Series B units with the exception that Series S5 and Series S8 units distribute an amount comprised of net income and/or return of capital monthly, if available. Series C and Series D units are available to investors who have enrolled in the rebalancing service. Series F, Series F5 and Series F8 units are usually only available to investors who have fee based accounts with dealers who have signed an eligibility agreement with Fidelity. Series F5 and Series F8 units have substantially all the same attributes as the Series F units with the exception that Series F5 and Series F8 units distribute an amount comprised of net income and/or return of capital monthly, if available. Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5 and Series E5T5 units are available only to investors who initially hold Series B and/or Series S5 units and then become eligible to hold certain Series E units. Series E1, Series E1T5, Series E2, Series E2T5, Series E3, Series E3T5, Series E4, Series E4T5, Series E5 and Series E5T5 units have lower combined management and administration fees than Series B or Series S5 units. Series E1T5, Series E2T5, Series E3T5, Series E4T5 and Series E5T5 units have the same attributes as the other Series E units with the exception that Series E1T5, Series E2T5, Series E3T5, Series E4T5 and Series E5T5 units distribute an amount comprised of net income and/or return of capital monthly, if available. Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P3T5, Series P4, Series P4T5, Series P5 and Series P5T5 units are available only to investors who initially hold Series F and/or Series F5 units and then become eligible to hold certain Series P units. Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P3T5, Series P4, Series P4T5, Series P5 and Series P5T5 units have lower combined management and administration fees than Series F or Series F5 units. Series P1T5, Series P2T5, Series P3T5, Series P4T5 and Series P5T5 units have the same attributes as the other Series P units with the exception that Series P1T5, Series P2T5, Series P3T5, Series P4T5 and Series P5T5 units distribute an amount comprised of net income and/or return of capital monthly, if available. Series O units 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 units are available to all investors who have entered into a Series I Agreement with Fidelity and are available to all investors in an initial sales charge (ISC) option. Series I5 and Series I8 units have substantially all the same attributes as the Series I units with the exception that Series I5 and Series I8 units distribute an amount comprised of net income and/or return of capital monthly, if available. This Fund offers Series O units, which are only available to other Fidelity products and are not available for public purchase. 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 E2T5, Series E3, Series E4, Series E5, Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P4 and Series P5 units. The Fund commenced the offering of Series P1, Series P1T5, Series P2, Series P2T5, Series P3, Series P4 and Series P5 units on December 4, 2015, commenced the offering of Series E1, Series E1T5, Series E2, Series E2T5, Series E3 and Series E4 units on February 5, 2016 and commenced the offering of Series E5 units on May 13, The Fund meets the definition of an investment entity and its purpose is to provide investment management services to its unitholders 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. The Fund commenced operations on May 6, Basis of Preparation Statement of Compliance - These interim financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS) as published by the International Accounting Standards Board (IASB) and as applicable to the preparation of interim financial statements, including IAS 34 Interim Financial Reporting. The accounting policies set out below have been applied consistently unless otherwise stated. Semi-Annual Reportport 12

13 The policies applied in these interim financial statements are based on IFRS issued as of November 8, 2016, which is the date on which the interim financial statements were authorized for issue by Fidelity s board of directors. Any subsequent changes to IFRS that are given effect in the Fund s annual financial statements for the period ending March 31, 2017 could result in restatement of these interim financial statements. Functional and Presentation Currency These financial statements are presented in Canadian dollars, which is the Fund s functional currency. 3. Summary of Significant Accounting Policies Basis of Measurement These financial statements have been prepared on the historical cost basis except for investments and derivatives which are measured at fair value in the Statements of Financial Position. Use of Estimates and Judgments Under IFRS, management is required to make certain estimates and judgments at the date of the financial statements. The principal financial statement components subject to significant accounting estimates and judgments include: Fair value measurements The Fund may invest in financial instruments that are not quoted in an active market. Where applicable, these instruments are categorized in Level 2 and Level 3 of the fair value hierarchy explained below. When current market prices or quotations are not readily available or reliable, valuation techniques will be applied in good faith and in accordance with procedures adopted by the manager. Factors used in determining fair value may include, but are not limited to, broker quotes from reputable pricing sources, market or security specific events, changes in interest rates and credit quality. Fair value models use observable data, to the extent practical; however, the manager is required from time to time to make estimates and assumptions that are based on the best information available at that particular time. Changes in these estimates could impact the fair values of the financial instruments, and the impact could be material. The aggregate fair value of investments measured by valuation techniques as at September 30, 2016 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 units as financial liabilities in accordance with IAS 32 Financial Instruments Presentation (IAS 32). These judgments centre upon the determination that the Fund s redeemable units 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 unitholder). Therefore, the ongoing redemption feature is not the units only contractual obligation. Determination of Relationship with Underlying Funds The Fund has made significant judgments when determining the nature of its relationship with any 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 any Underlying Fund. In both determinations, the Fund looks at the relevant activities of any 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 any 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 any Underlying Fund. Investment and Derivative Valuation Investments, excluding derivatives, are designated at their fair value through profit or loss in accordance with IAS 39 and are carried at their fair value. Derivatives are classified as held-for-trading in accordance with IAS 39 and are carried at fair value. The Fund categorizes the inputs to valuation techniques used to fair value its investments and derivatives into a disclosure hierarchy consisting of three levels as shown below: Level 1 quoted prices in active markets for identical investments Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.) Level 3 unobservable inputs (including the Fund s own assumptions based on the best information available) Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. There were no significant transfers between Level 1 and Level 2 during the periods. The aggregate value of investments by input level, as at September 30, 2016 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 and derivatives by major category are as follows: Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investment in any Underlying Fund is valued at its closing net asset value per unit (NAVPU) each business day and is categorized as Level 1 in the hierarchy. 13 Semi-Annual Report

14 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of units (except per unit amounts)) 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 September 30, 2016 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. 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, unit 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 shortterm nature. Classification of redeemable units issued by the Fund In accordance with IAS 32, the Fund s redeemable units 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 unitholder) and, therefore, the ongoing redemption feature is not the units only contractual obligation. In addition, each series of redeemable units are equally subordinated to each other, but have differing features as outlined in the notes below. Therefore, the Fund s redeemable units do not meet the criteria for classification as equity and have been classified as financial liabilities on the Statements of Financial Position. The Fund s obligation for net assets attributable to holders of redeemable units is recorded at the redemption amount. As at September 30, 2016 and March 31, 2016, the Fund s net asset value per Series per unit may differ by less than $0.01 from its net assets attributable to holders of redeemable units per Series per unit 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. Income from investments is recognized on an accrual basis. Interest income is accrued as earned. Distributions from any Underlying Fund, if any, are recognized on the ex-dividend date by the Fund in the same form that they were distributed. Net realized gains and losses from the sale of investments and change in net unrealized appreciation (depreciation) on investments are calculated with reference to average cost of the related investment securities which exclude transaction costs and may include proceeds received from litigation. Transaction costs, such as brokerage commissions, incurred in the purchase and sale of securities by the Fund are recognized as Commissions and other portfolio costs in the Statements of Comprehensive Income. Foreign Currency Translation Securities and other assets and liabilities denominated in a foreign currency are translated into Canadian dollars at the period-end exchange rates. Purchases and sales of securities, income and expenses denominated in foreign currencies are translated into Canadian dollars at the exchange rate on the date of the respective transaction. The effects of exchange rate fluctuations on investments are included in the Net realized gain (loss) and change in net unrealized appreciation (depreciation) on investments and exchange rate fluctuations on other foreign currency transactions are included in the Net realized gain (loss) on foreign currency transactions and Change in net unrealized appreciation (depreciation) on other net assets in foreign currencies in the Statements of Comprehensive Income. Futures Contracts The Fund may invest in futures contracts to manage its exposure to the markets. Upon entering into a futures contract, the Fund is required to deposit with the clearing broker, no later than the following business day, an amount (initial margin) equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on the settlement date. Subsequent payments (variation margin) are made or received by the Fund depending on the daily fluctuations in the value of the futures contract and are accounted for as change in net unrealized appreciation (depreciation) on derivatives in the Statements of Comprehensive Income. Upon the expiration or closing of the futures contract, realized gains or losses are recognized, and are recorded in the Statements of Comprehensive Income as Net realized gain (loss) on derivatives. The Fund pledged $0 (March 31, 2016: $376) as cash collateral, which is included in Cash collateral in the Statements of Financial Position. Futures contracts involve, to varying degrees, risk of loss in excess of the futures variation margin reflected in the Statements of Financial Position. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption Futures Contracts. This amount reflects each contract s exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract s terms. Valuation of Series Separate net assets attributable to holders of redeemable units is calculated for each Series of units in the Fund. The net assets attributable to holders of redeemable units 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 Semi-Annual Reportport 14

15 upon the relative net assets attributable to holders of redeemable units of each Series, except for items that can be specifically attributed to one or more Series. Per Unit from Operations - The increase (decrease) in net assets attributable to holders of redeemable units resulting from operations per unit in the Statements of Comprehensive Income represent the increase (decrease) in net assets attributable to holders of redeemable units resulting from operations for each Series of the Fund, divided by the weighted average units outstanding for each Series of the Fund during the period as follows: Weighted Average Units Period ended September 30, 2016 Series A 6,591 Series B 10,447 Series F 4,830 Series F5 313 Series F8 67 Series O 1,215 Series T5 296 Series T8 377 Series S5 495 Series S8 452 Series E1 1,921 Series E1T5 77 Series E2 445 Series E2T5 66 Series E3 332 Series E4 13 Series E5 39 Series P1 426 Series P1T5 54 Series P2 99 Series P2T5 18 Series P3 43 Series P4 Series P5 Period ended September 30, 2015 Series A 2,845 Series B 5,935 Series F 3,291 Series F5 202 Series F8 49 Series O Series T5 172 Series T8 125 Series S5 416 Series S8 236 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 15 Semi-Annual Report

16 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of units (except per unit amounts)) 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 has not yet determined when it will adopt the new standard. 4. Expenses and Other Related Party Transactions Management and Advisory Fees Fidelity serves as the manager and investment advisor of the Fund. Fidelity has entered into a subadvisory agreements with a number of entities including FMR Co., Inc., to provide investment advice with respect to all or a portion of the investments of the Fund. The sub-advisors arrange for acquisition and disposition of portfolio investments, including all necessary brokerage arrangements. The Fund pays Fidelity a monthly management and advisory fee for their services and the provision of key management personnel to the Fund, based on the net asset value of each Series, calculated daily and payable monthly. Fidelity may reduce the management and advisory fee or fund expenses for certain investors by reducing the management and advisory fee it charges to the Fund or reducing the amount charged to the Fund for certain expenses and having the Fund pay out the amount of the reduction to the investors as a distribution. These distributions are disclosed as Management fee reduction in the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units. No management and advisory fees are charged with respect to the Series O units, but investors will be charged a negotiated management fee. To avoid duplication of fees, Series O units of any Underlying Fund are not subject to management and advisory fees. The annual management and advisory fee rates for each Series were as follows: Annual Management and Advisory Fee Rate (%) Series A Series B Series F Series F Series F Series T Series T Series S Series S Series E Series E1T Series E Series E2T Series E Series E Series E Series P Series P1T Series P Series P2T Series P Series P Series P Administration Fee Fidelity charges the Fund a fixed administration fee in place of certain variable expenses and the provision of key management personnel to the Fund. Fidelity, in turn, pays all of the operating expenses of the Fund, other than certain specified fund costs, including the fees and expenses of the Independent Review Committee (IRC), taxes, brokerage commissions and interest charges. To avoid duplication of fees, Series O units of any 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 units. The annual rate of the administration fee will fall under one of three tiers, depending on the net asset value of the Fund: Under $100 Million (Tier 1), $100 Million to $1 Billion (Tier 2) and Over $1 Billion (Tier 3). The administration fee is calculated as a fixed annual percentage, accrued daily and payable monthly, of the net asset value of each Series as follows: Semi-Annual Reportport 16

17 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 E2T Series E Series E Series E Series P Series P1T Series P Series P2T Series P Series P Series P Prior to October 29, 2015, the administration fee was calculated as a fixed annual percentage of the net asset value of each Series as follows (some or all Series administration fees may not have changed): Tier 1 (%) Tier 2 (%) Tier 3 (%) Series A Series B Series F Series F Series F Series T Series T Series S Series S Independent Review Committee Fees - The IRC, as required under National Instrument , reviews conflict of interest matters referred to it by the manager and provides recommendations or approves actions, as appropriate, that are in the best interest of the funds. There are currently four members of the IRC who are independent of Fidelity and its affiliates. IRC members are compensated by way of an annual retainer fee and a per meeting attendance fee, as well as reimbursed for expenses associated with IRC duties. These costs are allocated among the individual funds proportionately by assets. No IRC fees are charged with respect to the Series O units. 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 HST liability or refund is calculated using the residency of unitholders 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 unitholders proportionate investments by province, using each province s HST rate or GST rate in the case of non-participating provinces. All amounts are included in the Statements of Comprehensive Income as Sales tax. Expenses Waived - Fidelity may absorb or waive certain expenses at its sole discretion. Fidelity can terminate the absorption or waiver at any time. The manager of the Fund waived a portion of its administration fee. The expenses absorbed or waived during the periods are disclosed as Expenses waived in the Statements of Comprehensive Income, if applicable. 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 17 Semi-Annual Report

18 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of units (except per unit amounts)) unitholders 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. Distributions are taxable in unitholders 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 units outstanding. For Series F5, Series F8, Series T5, Series T8, Series S5, Series S8, Series E1T5, Series E2T5, Series P1T5 and Series P2T5, the Fund will make monthly distributions of an amount that will generally be comprised of a return of capital and/or net investment income, if available. Distributions, if any, are declared separately for each Series. Capital losses may be carried forward indefinitely to reduce future realized capital gains. As at the last taxation year-end, the Fund had no capital losses available to be carried forward. Non capital losses may be carried forward for up to 20 tax years to reduce future taxable income, but expire in December of the year noted. As at the last taxation year-end, the Fund had the following no non capital losses available to be carried forward. 6. Capital Risk Management Units 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 units of equal value, with no par value. All units in a series of the Fund rank equally with respect to distributions. A unitholder of the Fund is entitled to one vote for each one dollar in value of units owned. Fractional units are proportionately entitled to these rights. The Fund generally has no restrictions or specific capital requirements on the subscriptions and redemptions of units other than minimum subscription requirements; although, on rare occasions, Fidelity may temporarily suspend unitholders right to redeem units and postpone paying sale proceeds. The relevant movements attributable to unitholders are shown in the Statements of Changes in Net Assets Attributable to Holders of Redeemable Units. 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. Unit Transactions - Unit transactions for each Series were as follows: Semi-Annual Reportport 18

19 Units Outstanding, Beginning of Period Issued Reinvested Redeemed Units Outstanding, End of Period Period ended September 30, 2016 Series A 6, (883) 6,340 Series B 11,457 1,424 2 (4,538) 8,345 Series F 5, (3,188) 3,451 Series F (383) 191 Series F (36) 38 Series O 2,958 (109) 2,849 Series T (53) 280 Series T (30) 378 Series S (454) 261 Series S (123) 401 Series E1 1,894 1,517 (841) 2,570 Series E1T (29) 135 Series E (166) 617 Series E2T (8) 82 Series E Series E (56) 1 Series E Series P (185) 755 Series P1T (68) 44 Series P (128) 114 Series P2T (25) 19 Series P3 119 (5) 114 Series P4 Series P5 Period ended September 30, 2015 Series A 4,958 1 (147) 4,812 Series B 10,281 3 (395) 9,889 Series F 5,514 4 (143) 5,375 Series F (8) 362 Series F8 78 (2) 76 Series O 1 (1) Series T (12) 239 Series T (16) 262 Series S (33) 686 Series S (30) 366 Affiliated Ownership - As at September 30, 2016, Fidelity and its affiliates held approximately 10% 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. The Fund may use derivative financial instruments 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. 19 Semi-Annual Report

20 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of units (except per unit amounts)) The Fund aims to achieve long-term capital growth. The Fund invests primarily in a mix of equity securities, fixed income securities and money market instruments of U.S. issuers and other issuers from around the world. The Fund can invest in these securities either directly or indirectly through investments in underlying funds. The Fund is not managed to a specific benchmark. Portfolio risk is monitored daily and reviewed monthly by an investment compliance group. In addition, there is a formal quarterly review of each fund. The investment compliance group, portfolio managers and the senior analysts attend a quarterly portfolio review. Portfolios within each strategy are reviewed relative to each other and to their benchmark. Active industry and security allocations are analyzed. Credit Risk - Credit risk is the risk that a counterparty to a financial instrument will fail to discharge an obligation or commitment that it has entered into with the Fund. The Fund s own credit risk in the case of financial liabilities and a counterparty s credit risk in the case of financial assets are considered, where applicable, in determining the fair value of financial assets and financial liabilities, including derivative instruments. The Fund may be exposed to indirect credit risk through its investments in any Underlying Fund. In addition, as part of its cash management, the Fund limits its direct exposure to credit loss by placing its cash with high credit quality financial institutions. The carrying amount of investments and other assets represents the maximum credit risk exposure as at September 30, 2016 and March 31, The following table summarizes the credit risk that is relevant for the Fund based on its investment objective, which it is exposed to, through its investments in any Underlying Fund. Quality Diversification % of Fund s Net Assets as at 9/30/16 % 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. 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 September 30, 2016 and March 31, Concentration Risk - Fidelity analyzes credit concentration based on the counterparty, industry and/or geographical location of the financial assets that the Fund holds. The following tables summarize the investment concentration risks that are relevant for the Fund based on its investment objective, which it is exposed to, through its investment in any Underlying Fund. Asset Mix % of Fund s Net Assets as at 9/30/16 % of Fund s Net Assets as at 3/31/16 Foreign Equities Foreign Bonds Canadian Equities Canadian Bonds Foreign Preferred Securities Cash and Short-Term Investments Net Other Assets (Liabilities) Derivative Exposure Semi-Annual Reportport 20

21 % of Fund s Net Assets as at 9/30/16 % of Fund s Net Assets as at 3/31/16 Futures Contracts Futures Contracts percentage is calculated by dividing the sum of the underlying face amount at value by total net assets. Geographic Mix % of Fund s Net Assets as at 9/30/16 % of Fund s Net Assets as at 3/31/16 United States of America Japan United Kingdom Australia Others (Individually Less Than 1%) Cash and Short-Term Investments Net Other Assets (Liabilities) Fidelity regularly monitors the relative weights of individual securities, sectors, countries, and also monitors the market capitalization and trading liquidity of each holding. Liquidity Risk - Liquidity risk is defined as the risk that the Fund may not be able to settle or meet its obligations on time or at a reasonable price. The Fund is exposed to daily cash redemptions of redeemable units. Redeemable units are redeemed on demand at the unitholder s option based on the Fund s NAVPU at the time of redemption. The Fund may be exposed to indirect liquidity risk through its investment in any Underlying Fund. In accordance with securities regulations, investment funds must maintain at least 90% of assets in liquid investments; investments that are traded in an active market and can be readily disposed of. In addition, the Fund aims to retain sufficient cash and short-term investments to maintain liquidity, and has the ability to borrow up to 5% of its net asset value from the custodian for the purpose of funding redemptions. The Fund may, from time to time, invest in securities that are not traded in an active market and may be illiquid. Private and/or restricted securities held, if any, are identified in the Fund s Schedule of Investments as at their respective period ends. The liquidity position of the Fund is monitored on a daily basis. As at September 30, 2016 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 investment in any Underlying Fund. 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 securities present a risk of loss of capital. The Fund moderates this risk through a careful selection of securities and other financial instruments within the parameters of the investment strategy. The maximum risk resulting from financial instruments is equivalent to their fair value. The Fund s investments and derivatives are susceptible to other price risk arising from uncertainties about future prices of the instruments. The Fund may be exposed to indirect other price risk through its investments in the Underlying Funds. Interest rate risk arises on interest-bearing financial instruments held in the investment portfolio such as bonds. The Fund is exposed to the risk that the fair value or the future cash flows of interest-bearing financial instruments will fluctuate due to changes in the prevailing levels of market interest rates. Any excess cash and cash equivalents are invested at short-term market interest rates. The Fund may be exposed to indirect interest rate risk through its investments in the Underlying Funds. Maturity Diversification % of Fund s Net Assets as at 9/30/16 % of Fund s Net Assets as at 3/31/16 Years Over Semi-Annual Report

22 Notes to Financial Statements (Unaudited) continued (Amounts in thousands of Canadian dollars/thousands of units (except per unit amounts)) Currency risk arises from financial instruments that are denominated in a currency other than Canadian dollars, which is the Fund s functional currency. The Fund is 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. The Fund may be exposed to indirect currency risk through its investments in the Underlying Funds. The Underlying Funds may also hedge against other foreign currencies through the use of forward foreign currency contracts. For example, underlying currency hedged funds use 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. The table below summarizes the impact on the Fund s net assets attributable to holders of redeemable units, of reasonable possible changes in the returns of each of the strategies to which the Fund is exposed through any Underlying Fund in which it invests. The impact on net assets attributable to holders of redeemable units is calculated by applying a 5% possible movement determined for each strategy as a percentage of the net assets attributable to holders of redeemable units of the 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. Money market funds have minimal sensitivity to changes in interest rates since the securities tend to be short-term in nature. The impact on net assets attributable to holders of redeemable units for the sensitivity analysis excludes money market funds. In practice, the actual trading results may differ from this sensitivity analysis and the difference could be material. The indirect risk disclosures presented in the table below represent the market risks to which the various strategies are exposed net of forward foreign currency contracts: I, C, O representing Interest rate, Currency and Other price risks, respectively. Underlying risk exposures Number of Underlying Funds Impact on net assets based on 5% increase or decrease ($) Strategy As at September 30, 2016 Global and International Equity O 1 5,184 U.S. Equity O 1 4,853 U.S. Fixed-Income I,C 4 4,967 TOTAL 6 15,004 As at March 31, 2016 Global and International Equity O 1 5,518 U.S. Equity O 1 5,583 U.S. Fixed-Income I,C 3 5,821 TOTAL 5 16, Investment in Structured Entities The Fund s investment in any 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 units. In addition, the purpose of any Underlying Fund is to provide investment management services to its unitholders by investing its net assets for capital growth and/or investment income. The Fund has assessed its ability to control or significantly influence any Underlying Fund in accordance with IFRS 10 and IAS 28. 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. 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 units issued by an Underlying Fund or redeem in whole or in part its investment in an Underlying Fund. In addition, the Fund may receive a distribution of income Semi-Annual Reportport 22

23 from an Underlying Fund as described above in the Investment Transactions, Income Recognition and Transaction Costs note. The Fund does not have any obligation or intention to provide financial support to an Underlying Fund. The following tables present additional information that is relevant to the Fund s investment in structured entities. Underlying Fund names presented in the tables reflect names in effect as at the dates shown: Total Net Assets ($) Fair Value of Investment ($) September 30, 2016 Fidelity American Equity Fund Series O 1,795,363 97,060 Fidelity American High Yield Fund Series O 4,389,877 10,144 Fidelity Floating Rate High Income Investment Trust Series O 662,738 6,361 Fidelity Global Intrinsic Value Investment Trust Series O 982, ,677 Fidelity High Income Commercial Real Estate Investment Trust Series O 570,108 5,563 Fidelity U.S. Bond Investment Trust Series O 1,586,321 77,278 Total Net Assets ($) Fair Value of Investment ($) March 31, 2016 Fidelity American Equity Fund Series O 1,851, ,655 Fidelity American High Yield Fund Series O 3,743,222 19,572 Fidelity Global Intrinsic Value Investment Trust Series O 966, ,356 Fidelity High Income Commercial Real Estate Investment Trust Series O 539,478 6,705 Fidelity U.S. Bond Investment Trust Series O 1,467,199 90, Semi-Annual Report

24 Fidelity Investments Canada ULC 483 Bay Street, Suite 300 Toronto, Ontario M5G 2N7 Manager, Transfer Agent and Registrar Fidelity Investments Canada ULC 483 Bay Street, Suite 300 Toronto, Ontario M5G 2N7 Portfolio Adviser Fidelity Investments Canada ULC Toronto, Ontario Custodian State Street Trust Company of Canada Toronto, Ontario 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 units 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-GEB-SANN-1116