Fidelity Funds - Absolute Return

Global Equity Fund

Matt Jones & Hiten Savani

Portfolio Managers

Stacie Mitchinson
Investment Director
May 2024

Marketing communication
1 Fidelity Funds - Absolute Return Global Equity Fund
This material is for investment professionals only, and should not be relied upon by private investors
Important Information

▪ The value of investments and the income from them can go down as well as up and investors may not get back the amount invested.

▪ Funds are subject to charges and expenses. Charges and expenses reduce the potential growth of your investment. This means you could get back less than you paid in. The
costs may increase or decrease as a result of currency and exchange rate fluctuations. Please note that not all costs are presented, further information on costs can be found in
the Prospectus.

▪ This Fund invests in overseas markets and the value of investments can be affected by changes in currency exchange rates

▪ This Fund invests in emerging markets which can be more volatile than other more developed markets

▪ The Fund may make increased and more complicated use of derivatives, and this may result in leverage. In such situations performance may rise or fall more than it would have
done otherwise. The fund may be exposed to the risk of financial loss if a counterparty used for derivative instruments subsequently defaults.

▪ Reference to specific securities should not be construed as a recommendation to buy or sell these securities and is included for the purposes of illustration only

▪ The Fund does not offer any guarantee or protection with respect to return, capital preservation, stable net asset value or volatility

▪ Investors should note that the views expressed may no longer be current and may have already been acted upon

▪ Past performance is not a reliable predictor of future returns. The Fund’s returns may increase or decrease as a result of currency fluctuations.

Please refer to the Prospectus and KID of the fund before making any final investment decisions. The investment which is promoted concerns the
acquisition of units or shares in a fund and not in a given underlying asset owned by the fund. Complete information on risks can be found in the
Prospectus.

2 Fidelity Funds - Absolute Return Global Equity Fund

Sustainability Information
SFDR Article 6

Sustainability Characteristics

▪ The Fund is classified as Article 6 under SFDR

▪ The Fund integrates sustainability analysis into its investment process.

Sustainability factors considered will vary based on the issuer in question

▪ While ESG risks are considered, they would not necessarily prevent the
portfolio manager from making any investment as investment decisions
remain discretionary

▪ The Fund excludes companies involved in the production and/or distribution

of cluster munitions and landmines (“Cluster Munitions and Anti-personnel
Landmines (CMAPL) Exclusion List”)

Source: Fidelity International, April 2024.

3 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity Absolute Return Global Equity Fund
Investment Objective and Policy Summary

Investment Objective
▪ The Fund aims to provide an absolute return over the medium to long term.

Investment Policy
▪ The Fund aims to achieve its investment objective by investing at least 70% of its assets, in equities of
companies anywhere in the world, including emerging markets, as well as cash and money market.
▪ The Investment Manager combines qualitative and quantitative market analysis into disciplined portfolio
construction process to allocate investments across various securities.
▪ The Fund may take long positions in securities that are deemed to be undervalued and may short those
deemed to be overvalued.

Source: Fidelity International, April 2024.

4 Fidelity Funds - Absolute Return Global Equity Fund

Contents 1 Fidelity Systematic Investing

2 Market Neutral Strategies – Key Benefits

3 Philosophy and Process

4 Risk, Performance and Positionning

5 Appendix

5 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity has strong presence across asset classes and geographies
Assets under management breakdown

Total assets split by asset class Equity assets($ c.260 bn) split by franchise/regions
2.14% 0.5% 0.5% 3.7%
4.3%

6.5%
14.40%

8.2% 34.1%

16.9%
$ 397.7 bn $ 260.0 bn
65.6%
18.2%

24.9%

Equity Fixed Income Global Asia Pacific ex Japan

Multi Asset & Multi Manager Money Market/Cash Europe ex UK Emerging Markets
Japan US
Real Estate Private Assets UK

Source: Fidelity International, 31 December 2023.

6 Fidelity Funds - Absolute Return Global Equity Fund

 Systematic Investing Team
Andrew McCaffrey
Global CIO, Asset Management

Henk-Jan Rikkerink
Global Head of Solutions & Multi Asset

Alastair Baillie Strong

Global Head of Systematic Investing

Systematic Equities Lucette Yvernault Joe Hanmer Stacie Mitchinson

Head of Systematic Fixed Income Global Head of Quant Head of Systematic Investment Directing

Matt Jones Ilia Chelomianski James Barrett Him Bhatt Jason Humphrey
Portfolio Manager Portfolio Manager Quant Analyst Associate Quant Specialist Investment Director

Hiten Savani Rajib Kumar Seth Ken Chan Matt Hurd Angela Choi
Portfolio Manager Portfolio Engineer Quant Analyst Senior Quant Analyst Investment Director

Karim Lamine
Daniel Swift Peter May Willem Onderwaater Dolly Moolchandani
Senior Portfolio Engineer &
Portfolio Manager Senior Quant Analyst Quant Analyst Associate Investment Director
Assistant Portfolio Manager
Konul Mustafayeva
Simina Mitu James Peters Barney Rowe Rohit Bansal
Senior Portfolio Engineer &
Portfolio Engineer Senior Quant Analyst Senior Quant Analyst Senior Investment Specialist
Assistant Portfolio Manager

Vincent Li Matteo Ricciarelli Nicolas Singer Abeshak Sindhi

Portfolio Manager Senior Quant Analyst Quant Analyst Investment Specialist

Edward Lui Lucien Shu Yingsong Zhang Kunal Basantani

Portfolio Manager Quant Analyst - insurance Quant Analyst Investment Fund Analyst

Edwin Leung Arohan Sharma Shirish Trivedi Alex Brennan

Portfolio Manager Associate Portfolio Engineer Associate Quant Analyst Apprentice - Investment Management

Azeem Malik Nathan Thomas Daniel Jones

Cross Asset - Portfolio Engineer Associate Quant Analyst Fixed Income Graduate

Roy Tang
Portfolio Engineer

Source: Fidelity International, April 2024. Reflects internal structure, for illustrative purposes only.

7 Fidelity Funds - Absolute Return Global Equity Fund

Portfolio Management Team
Combining deep fundamental experience with strong quantitative skills

Matt Jones, Portfolio Manager Hiten Savani, Portfolio Manager

Investment experience: 25 Investment experience: 21
Education: Master of Applied Finance, Postgraduate Diploma Education: Master of Financial Economics
Accounting, Bachelor of Commerce (Economics, Business Law) University of London, Master of Physics University of Oxford
Macquarie University

Current management responsibilities Current management responsibilities

FIRST Strategy1 July 2011 – Present FIRST Strategy1 Oct 2013 – Present
Absolute Return Strategy Sept 2020 - Present Absolute Return Strategy Sept 2020 - Present
Sustainable Equity Income Strategy Sept 2021 – Present Sustainable Research Enhanced Index Strategy June 2020 – Present
Regional/ Sector Best Ideas Advisory Mandates October 2021 - Present Regional/ Sector Best Ideas Advisory Mandates October 2021 – Present

Previous experience at Fidelity Previous experience at Fidelity

Quantitative Portfolio Assistant 2010 – 2011 Investment Director (including for the above products) 2010 – 2013
Quantitative Analyst / Senior Quantitative Analyst 2005 – 2010 Pre-Fidelity experience
Pre-Fidelity experience Financial Sector Consultant to UN / World Bank and others
2008 – 2010
(based in Africa)
Associate Quantitative Analyst, JPMorgan 2003 – 2005
Equity Portfolio Strategist, Goldman Sachs International 2003 – 2008
Quantitative Strategist / Portfolio Analyst, Bankers Trust 1998 – 2002

Systematic Investing – Equity Strategies AUM2 as at 30 April 2024: USD 7.7 bn

Source: Fidelity International as at 30 April 2024. 1 The FIRST Strategy consists of multiple portfolios run using the FIRST investment philosophy and process. 2Systematic Equities AUM is the sum of FIRST, Absolute Return Global Equity,
Sustainable Research Enhanced ETFs, Equity Income and Equity Quant/Thematic Strategies. This does not include advisory mandates’ AUM of USD c. 300m (as of January 2024).

8 Fidelity Funds - Absolute Return Global Equity Fund

 2 Market Neutral Strategies – Key Benefits

9 Fidelity Funds - Absolute Return Global Equity Fund

Market Neutral Strategies – Key benefits

Uncorrelated ▪ Uncorrelated to other asset classes means that absolute return strategies can perform differently versus more traditional asset
source of alpha classes such as equities and bonds.

Diversification ▪ As a purer expression of the market in that they can both long and short securities, market neutral strategies can benefit investors in
benefits times of market weakness by offering a diversified source of returns.

Improvement to
▪ Adding a market neutral strategy within a wider portfolio can improve the risk adjusted returns over the long term.
risk/return profile

Source: Fidelity International April 2024.

10 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity Equity Market Neutral Strategy
Investment Philosophy

Fundamental research produces alpha What is the strategy?

▪ Aims to deliver long term absolute performance through proprietary idiosyncratic alpha
▪ Consistently captures the highest conviction buy and sell recommendations of Fidelity’s analysts ▪ Market neutral equity long short
strategy

Aims for superior risk adjusted returns ▪ Annualised long term return target:
Cash + 3% - 5%
▪ Targets stock selection as the driver of absolute risk & return
▪ Shorts to add alpha, mitigate market beta and common factor risk ▪ Volatility:
c.5% - 7%

▪ Leverage:
Diversifier Gross c.200% - 250%, Net c.0%
▪ Low to negative correlation to the majority of asset classes

Source: Fidelity International, April 2024.

11 Fidelity Funds - Absolute Return Global Equity Fund

 3 Philosophy and Process

12 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity International
Our core beliefs set us apart

Long-term approach
▪ We believe that the market can be inefficient at valuing companies in the long term. Our firm,
to fundamental
research process and compensation structure are designed to promote long-term thinking
analysis

Engagement and
▪ We believe that the assessment of investee companies' sustainability IS fundamental investing,
and our analytical process drives better returns for clients. We engage with corporates, fostering
Sustainability
change rather than forcing change
Highlights

Global coverage, ▪ A true understanding of a company requires a global team of locally-based analysts that can fully
local expertise analyse the entire value chain.

▪ Our investment team works together across industries, geographies and asset classes to leverage
Collaboration
each other’s insights

Constant ▪ Delivering outstanding results for our clients requires us to constantly evolve our research and
evolution technology to deliver excellence

Source: Fidelity International.

13 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity Equity Research – our competitive advantage for bottom-up stock selection
A unique proprietary research platform combining depth and breadth

A single platform, global team:

IT & Generalists,
Financials & Energy & Communication Technical & Directors of
Consumer Real Estate Healthcare Industrials Utilities Materials Services Shorting Research Analysts* TOTALS**

Asia Pacific ex-Japan 12 11 5 9 5 7 12 6 2 47

EMEA / LATAM 2 1 - 1 - 2 - 3 1 7

Europe 5 6 2 7 2 5 5 5 2 33

Japan 5 3 1 5 1 3 4 1 1 11

North America 6 7 6 7 2 7 9 3 3 36

30 26 14 27 10 19 28 14 9 133 142

Sustainable Investing Team 38

Global Sector Research Specialists (based in India & China) 73

Denotes elements of coverage: where analysts cover more than one sector, they appear in more than one box

Source: Fidelity International as at 31 March 2024; data is unaudited

*Analyst count: Totals per region are shown by team and may not reflect individuals’ locations; pan-regional analysts (e.g. US & Europe) are placed in one region by best fit.
** Number removes double-counting of DoR-Analyst hybrid roles.

14 Fidelity Funds - Absolute Return Global Equity Fund

Research in action: Fidelity’s competitive advantage
360°company review

Company Analyst believes value of

Management company is more than the Strong
market implies
Buy

Competitors

Buy

Customers

Hold
Suppliers

Sell
Industry Journals
& Other Sources
Analyst believes value of
company is less than the
Strong
market implies Sell
Broker research

Source: Fidelity International, 2023.

15 Fidelity Funds - Absolute Return Global Equity Fund

Best in class proprietary research inputs

Proprietary research consistently generates alpha1 across regions Cumulative returns of research ratings2
over long-term
15% 50%

40%
10%
30%

5% 20%

10%
0%
Asia Pac ex Japan
0%
Europe (inc EM)
-5%
Japan
-10%
US
-10% -20%
mar-12 lug-13 nov-14 mar-16 lug-17 nov-18 mar-20 lug-21 nov-22 mar-24 dic-09 lug-11 feb-13 set-14 apr-16 nov-17 giu-19 gen-21 ago-22 mar-24
Buys Sells

▪ Fundamental research drives alpha

Long term value add for clients
▪ Fidelity analysts long term track record – buy ratings outperform sell ratings

Based on historical simulated returns using Fidelity’s proprietary modelling. Past performance is not a reliable indicator of future results.
Returns may increase or decrease because of currency fluctuations.
Source: Fidelity International. Data as at 31 March 2024. 1Rolling 3 year annualised relative value added by Fidelity Research Ratings on an equal weighted basis – Strong Buys and Strong Sells double weighted, as at 31 March 2024. 2Regional
returns weighted by market cap of companies rated either buy or sell. Value add calculated vs. regional indices.

16 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity Absolute Return Global Equity Fund
Capturing alpha from Fidelity’s proprietary research

Stock selection drives risk and return Capturing the highest conviction ratings
100% 150%

100%
80%
50%

60% 0%

-50%
40%
-100%
20%
-150%
ott-20 apr-21 ott-21 apr-22 ott-22 apr-23 ott-23 apr-24
0%
dic-20 apr-21 ago-21 dic-21 apr-22 ago-22 dic-22 apr-23 ago-23 dic-23 apr-24 L - Other Buy Strong Buy S - Other Sell Strong Sell
Stock Specific Risk Indices Industry Country World Currency

Beta neutral to Idiosyncratic long/short Low correlation with Style, industry, country
MSCI AC World equity portfolio returns other asset classes and regional neutral

Past performance is not a reliable indicator of future results.

Source: Fidelity International, 30 April 2024 unless otherwise indicated. The LHS chart shows the historical risk decomposition contribution of Fidelity Funds - Absolute Return Global Equity Fund and the RHS shows the % of portfolio held across the
FIL fundamental rating buckets. Base Currency : USD. Basis: gross of fees.

17 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity for Absolute Return Market Neutral
Since inception performance – 24 September 2020 to 30 April 2024
Portfolio daily performance versus Cash Index (SOFR) – Gross
40
Cumulative return (%)
35
30
25
20
15
10
5
0
-5
-10
set-20 dic-20 mar-21 giu-21 set-21 dic-21 mar-22 giu-22 set-22 dic-22 mar-23 giu-23 set-23 dic-23 mar-24
FF - Absolute Return Global Equity Fund SOFR

3m 6m 1Y 3Y (p.a.) Since inception (p.a.)*

FF - Absolute Return Global Equity Fund 4.4% 8.6% 16.0% 11.5% 8.6%
SOFR Index 1.3% 2.7% 5.5% 2.9% 2.4%
Excess return (%) +3.1 +5.8 +10.5 +8.6 +6.2
Portfolio Annualized Volatility (%) 4.4% 5.5% 5.2% 5.4% 5.4%
Peers Beaten (%)** 79% 79% 89% 94% 80%

Past performance is not a reliable predictor of future returns. The Fund returns may increase or decrease because of currency fluctuations.
Source: Fidelity International, as at 30 April 2024, gross of fees performance for Fidelity Funds - Absolute Return Global Equity Fund Y-PF-ACC-USD share class, net income reinvested. Currency: USD Comparative Benchmark: USD Cash Index
(SOFR Index), *Inception start date 24/09/2020. Excludes initial charges (if applicable) for returns calculation. Totals may not sum due to rounding. **The peer group is the Morningstar EAA Fund Equity Market Neutral USD. Please note Y-PF-ACC-
USD share class is not the most expensive share class.

18 Fidelity Funds - Absolute Return Global Equity Fund

Long term diversification: Low to negative correlation to other asset classes

42 monthly returns correlation matrix A B C D E F G H I J K L M

A Absolute Return Global Equity strategy 1 0.02 -0.06 0.12 0.29 0.11 0.02 0.11 0.12 0.15 0.07 0.07 0.03

B MSCI ACWI Net Total Return 1 0.14 0.28 0.10 0.88 0.34 0.73 0.73 0.69 0.78 0.72 0.89

C Eureka Equity Market Neutral Index 1 0.53 -0.09 0.16 0.30 -0.05 -0.03 -0.04 -0.04 -0.10 0.19

D HFR Equity Market Neutral Index 1 0.18 0.41 0.19 0.14 0.12 0.03 0.07 0.10 0.16

E Barclays Overnight USD 1 0.16 -0.35 0.22 0.27 0.15 0.21 0.19 -0.08

F US High Yield Index (BofAML) 1 0.32 0.78 0.81 0.75 0.80 0.76 0.78

G Commodity (DJ -AIG ) 1 0.15 0.07 0.09 0.07 0.11 0.33

H 1-10 Year Global Broad (BofAML) 1 0.96 0.93 0.94 0.99 0.64

I US Corp 1-10yr (BofAML) 1 0.95 0.98 0.95 0.64

J US Mortgage Backed (BofAML) 1 0.94 0.92 0.66

K US Corporate Index (BofAML) 1 0.95 0.70

L Investment Grade World (BofAML) 1 0.64

M NAREIT All Equity REITS (FTSE) 1

>0.3 0.3 to -0.3 <-0.3

Past performance is not a reliable indicator of future results. This strategy invests in overseas markets and the value of investments can be affected by changes in currency exchange rates.

Source: Fidelity International, Portfolio Performance data for Absolute Return Global Equity strategy from September 2020 – March 2024 is correlated with performance of different indices across asset classes to show the correlation of the absolute
return strategy with other asset classes. Currency: USD. All performance results are indicative only. The effect of transaction costs and fees is not included.

19 Fidelity Funds - Absolute Return Global Equity Fund

Investment Process
Systematically focussing on the highest conviction stock ideas

Increasing Conviction
Fidelity Opportunity Conviction Global Market
Rated Set List Neutral Portfolio

Buy
Buy
c.2600 stocks

Buy Buy
c.150
Sell Sell

Sell
Sell

1 2 3
Alpha Portfolio
Identification Construction &
& Stock Research* PM Review**
Source: Fidelity International, April 2024. Please note the numbers quoted on this slide are illustrative of a global portfolio. *Securities are scored using 7 proprietary signals to filter the opportunity set to a conviction list. **Mean variance optimization
process followed by with qualitative PM review determines final portfolio

20 Fidelity Funds - Absolute Return Global Equity Fund

Alpha Identification and Stock Research (1)

Rated stocks are assessed against 7 proprietary signals

1 Research Ratings

Fidelity analyst signals

2 Ratings Momentum
▪ Identify the highest conviction and most relevant analyst ideas
3 Ratings Conviction
▪ Provide the largest source of alpha

4 Ratings Recency

5 Consensus Ratings
External confirmatory signals

6 Earnings Revisions ▪ Afford a wider market context

▪ Provide confirmation and diversification

7 Valuation

Source: Fidelity International, April 2024.

21 Fidelity Funds - Absolute Return Global Equity Fund

Alpha Identification and Stock Research (2)

Conviction List – Identifying the highest conviction buy and sell ratings

Fidelity analyst signals External confirmatory signals

Rating Rating Rating Rating Consensus Earnings

Rank Name Valuation Score
Score Momentum Conviction Recency Rating Revisions
1 Technology Co. 2 0 1 1 0 1 0 5
...

11 Investment Bank 1 0 1 1 0 0 1 4
...

63 Energy Co. 1 1 1 1 -1 1 -1 3
...

Conviction List Cut-off

...

-55 Consumer Co. -1 0 -1 -1 1 0 -1 -3

...

-62 Mining Co. -1 -1 0 -1 0 -1 0 -4

...

-70 Oil Co. -2 0 -1 0 0 -1 -1 -5

...

Source: Fidelity International. April 2024. The table is included for the purposes of illustration only. Strong Buys or 1- rated stocks are double weighted in the illustration above, in keeping with the process followed by the Portfolio Managers. Please
note: the numbers quoted on this slide are illustrative of a global portfolio.

22 Fidelity Funds - Absolute Return Global Equity Fund

Portfolio Construction and PM Review (1)

Typical Key Parameters

Start: ‘Conviction List’ of c. 600 stocks
Absolute style exposure c. + / - 0.3 standard deviations

Absolute sector & country weights c. + / - 5.0%

Ex-ante beta (v. MSCI ACWI) c. +/- 0.02

PMs utilise
Suggested portfolio of c. 150 – 200 stocks Number of holdings c. 150 – 200
optimiser
Individual stock weights c. -2% to +2%

Gross Leverage Long: c.100-120%, Short: c.100-120%

Ensure suitable portfolio structure Typical portfolio characteristics

PMs evaluate Outperformance objective1 c. Cash + 3-5% p.a. (gross of fees)

portfolio to:
Ex-ante volatility c. 5% - 7%
Mitigate unintended biases
Turnover2 c. 150% - 200% p.a.

The investment objectives are targets and not guaranteed.

Fees are charged against the capital of the fund and with that may erode capital in the absence of capital gains.

Source: Fidelity International, April 2024. 1Outperformance objective is relative to USD Cash Index (SOFR Index) and is a long term through the market cycle i.e. at least 5 years target only. The strategy’s investment objective is to outperform the
Cash Index. 2Expected turnover refers to ex ante annual turnover and is calculated as the lesser of purchases or sales plus shorts divided by average TNA.

23 Fidelity Funds - Absolute Return Global Equity Fund

Portfolio Construction and PM Review (2)

Level of conviction in analyst rating

Suitability of investment thesis

PMs review each
stock to ensure: T3 Top 3
Appropriate technical conditions

Meets mandate characteristics

Stocks failing PM review are replaced

Source: Fidelity International, April 2024. For illustrative purposes only.

24 Fidelity Funds - Absolute Return Global Equity Fund

Rebalancing and Trading

Periodic rebalancing Ad hoc trading No automatic rebalancing triggers:

all trading done with due consideration
to liquidity and market volatility

PMs review each stock

Alignment of:
to ensure:
Primarily driven by: Calendar turnover = Min (Gross Purchases/ Gross Sales)/ Avg TNA*
50% 200%

Long downgrade to
Level of conviction in Sell rating, or 40%
Level of alpha scores 150%
Rating Short upgrade to Buy
rating
30%

Neutral rating – 100%

Suitable risks and Suitability of
evaluated on individual
exposures investment thesis 20%
risk/return basis

50%
10%
Adherence to strategy Appropriate technical
Change in leverage
parameters conditions

0% 0%
dic-20 apr-21 ago-21 dic-21 apr-22 ago-22 dic-22 apr-23 ago-23 dic-23 apr-24
Stocks failing PM review are replaced Monthly Turnover Rolling 12m turnover (RHS)

Source: Fidelity International, April 2024. For illustrative purposes only.

25 Fidelity Funds - Absolute Return Global Equity Fund

 Investment characteristics
Beta close to zero No systematic or ‘smart beta’ biases
0.5
0.30

Factor exposure (SD)

0.20 0.3
Beta

0.10
0.1
0.00
-0.1
-0.10

-0.20 -0.3
Beta Book-to-Price Earnings Yield Growth
-0.30 Size Dividend Yield Residual Volatility Momentum
Oct-20 Apr-21 Oct-21 Apr-22 Oct-22 Apr-23 Oct-23 Apr-24 -0.5
ott-20 apr-21 ott-21 apr-22 ott-22 apr-23 ott-23 apr-24

Gross Leverage Stock selection drives risk and return

300 100%

250 80%
200
60%
150
40%
100
50 20%

0 0%
ott-20 apr-21 ott-21 apr-22 ott-22 apr-23 ott-23 apr-24 dic-20 apr-21 ago-21 dic-21 apr-22 ago-22 dic-22 apr-23 ago-23 dic-23 apr-24
Long Short Total Stock Specific Risk Indices Industry Country World Currency

Past performance is not a reliable indicator of future results.

This fund invests in overseas markets and the value of investments can be affected by changes in currency exchange rates.

Source: Fidelity International, MSCI Barra, as of 30 April 2024. The data is for Fidelity Funds - Absolute Return Global Equity Fund from October 2020 to March 2024. The RHS bottom chart shows the historical risk decomposition contribution of the
fund.

26 Fidelity Funds - Absolute Return Global Equity Fund

Technology Platform
Proprietary portfolio management tools and integrated research database

Flexible interface
▪ Investment team have full visibility of
the portfolio and can model effects of
trading

Integrated risk management

▪ Ensures the portfolio complies with
all guidelines

Enhanced monitoring and oversight

▪ Information on portfolio
characteristics, research updates and
actionable events

Natural language processing / AI tool is

used to help focus human attention

Developed and maintained by a global technology team

Source: Fidelity International, April 2024. For illustrative purposes only. Reference to specific securities mentioned within this material (if any) is for illustrative purpose only and should not be construed as a recommendation to the investor to buy or
sell the same.

27 Fidelity Funds - Absolute Return Global Equity Fund

 4 Risk, Performance and Positioning

28 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity Absolute Return Global Equity Fund
Performance to 30 April 2024

Standard period returns gross of fees, USD (%)

Fund Index
18.0
16.0
16.0
14.0
11.5
12.0
10.0 8.6 8.6
8.0
5.5
6.0 4.4
4.0 2.7 2.9 2.4
2.0 1.3

0.0

3m 6m 1Y 3Y (p.a.) Since inception (p.a.)

Fidelity Funds - Absolute Return
4.4 8.6 16.0 11.5 8.6
Global Equity Fund Y-PF-ACC-USD
SOFR Index 1.3 2.7 5.5 2.9 2.4
Excess return +3.1 +5.9 +10.5 +8.6 +6.2
Peers Beaten (%)* 79% 79% 89% 94% 80%

Past performance is not a reliable predictor of future returns. The Fund returns may increase or decrease as a result of currency fluctuations.

Source: Fidelity International, Morningstar, as at 30 April 2024, gross of fees performance for Fidelity’s Absolute Return Global Equity Fund strategy, net income reinvested. Currency : USD. Comparative Benchmark: USD Cash Index (SOFR Index),
Inception start date 24/09/2020. Excludes initial charges (if applicable) for returns calculation. Totals may not sum due to rounding. *The peer group is the Morningstar EAA Fund Equity Market Neutral USD. Please note Y-PF-ACC-USD share class
is not the most expensive share class.

29 Fidelity Funds - Absolute Return Global Equity Fund

Performance contribution – Since inception
As at 30 April 2024
Avg. Weight (%) Contribution (%) Company Sector Region Avg weight (%) Contribution (bps)
Consumer Discretionary 0.8 Short Position - Name Withheld Cons. Disc. North America -1.2 308.7
Information Technology 3.8
D'Ieteren Group Nv Cons. Disc. Europe ex UK 0.7 308.0
Consumer Staples -2.3
Health Care 3.0 Jpmorgan Chase & Co Financials North America 2.2 254.1

Communication Services -2.2 Meta Platforms Inc Comms. Srvcs. North America 0.7 249.3
Energy -0.9 Emerging
Brilliance China Automotive Hlds Ltd Cons. Disc. 0.4 202.5
Markets
Industrials 1.8
Applied Materials Inc I.T. North America 0.8 186.6
Materials -1.1
Short Position - Name Withheld I.T. Europe ex UK -0.3 183.0
Financials -1.9
Short Position - Name Withheld I.T. North America -0.4 176.8
Utilities 0.1
Real Estate -0.4 Wells Fargo & Co Financials North America 1.6 168.3
Ivanhoe Mines (Eur) Materials Europe ex UK 0.4 168.2
-20% -10% 0% 10% 20%
Long book (%) Short Book (%) Net Contribution (%) Short Position - Name Withheld Financials North America -1.5 -264.8
Short Position - Name Withheld Financials Europe ex UK -0.7 -225.2
Avg. Weight (%) Contribution (%) Short Position - Name Withheld Industrials Europe ex UK -1.9 -197.7
North America -0.2
Short Position - Name Withheld Cons. Disc. Europe ex UK -0.9 -197.3
Europe ex UK -1.3
Adler Group Sa Real Estate Europe ex UK 0.6 -183.8
UK 1.5
Short Position - Name Withheld Financials Europe ex UK -1.0 -176.4
Emerging Markets 1.3
Short Position - Name Withheld Financials North America -1.1 -171.6
Japan 0.6
Pacific Basin ex JP -1.2 Short Position - Name Withheld Financials North America -1.2 -159.0
Short Position - Name Withheld I.T. North America -0.3 -156.3
-20% -10% 0% 10% 20% 30%
Long book (%) Short Book (%) Net Contribution (%) Short Position - Name Withheld Financials North America -0.4 -144.5

Past performance is not a reliable predictor of future returns. Reference to specific securities should not be construed as a recommendation to buy or sell these securities and is included for the
purposes of illustration only. The Fund’s returns may increase or decrease as a result of currency fluctuations.
Source: MSCI Barra, Fidelity International as at 30 April 2024, Comparative Benchmark: USD Cash Index (SOFR Index), Inception start date 24/09/2020. Attribution data is from 25/09/2020. Attribution is based on gross returns and on a daily buy
and hold basis, with no transactions. Apart from that, there's also other differences to NAV like pricing time, tax, derivative treatment and other fund accounting adjustments. Totals may not sum due to rounding. Performance of the security is not a
representation of the Fund’s performance. The Fund’s past holdings are not indicative of existing and future holdings.

30 Fidelity Funds - Absolute Return Global Equity Fund

Positioning
As at 30 April 2024

Net weight Net weight Net weight

Sector Short/Long/Net (%) Region Short/Long/Net (%) Market cap Short/Long/Net (%)
(%) (%) (%)

Communication Services 4.2

Emerging Markets 6.8 >=50bn 5.7
Materials 1.8

Utilities 1.3
UK 1.3 20-50bn -10.1

Health Care 0.8

Real Estate 0.0 Europe ex UK -1.0 10-20bn 1.8

Industrials 0.0

Financials -0.9 North America -1.9 5-10bn -8.7

Consumer Staples -1.0

Pacific Basin ex JP -2.3 2-5bn 5.5

Information Technology -1.7

Energy -2.2
Japan -3.0 0-2bn 5.6
Consumer Discretionary -2.5

-50% -25% 0% 25% 50% -50% -25% 0% 25% 50% -50% -25% 0% 25% 50%

Source: Fidelity International as at 30 April 2024. Positioning data for Fidelity Absolute Return Global Equity Fund.

31 Fidelity Funds - Absolute Return Global Equity Fund

Top and Bottom 10 Positions
As at 30 April 2024

Security Name Sector Country/Region Fund Weight (%) Security Name Sector Country/Region Fund Weight (%)

Agnico Eagle Mines Materials Canada 2.5% Short Position - Name Withheld Consumer Discretionary Japan -2.2%

Taiwan Semiconductor Mfg Co. Information Technology Taiwan 2.2% Short Position - Name Withheld Industrials United States -2.2%

Siemens Energy Industrials Germany 2.2% Short Position - Name Withheld Industrials United States -2.1%

Applied Materials Information Technology United States 2.2% Short Position - Name Withheld Consumer Discretionary France -2.1%

Jpmorgan Chase & Co. Financials United States 2.1% Short Position - Name Withheld Information Technology United States -2.1%

Fedex Industrials United States 2.0% Short Position - Name Withheld Health Care Japan -2.0%

Ipsos Communication Services France 2.0% Short Position - Name Withheld Financials United States -2.0%

Wells Fargo & Co Financials United States 2.0% Short Position - Name Withheld Industrials Germany -2.0%

NN Group Nv Financials Netherlands 1.9% Short Position - Name Withheld Information Technology United States -2.0%

Airbus Industrials France 1.9% Short Position - Name Withheld Industrials Switzerland -1.9%

Reference to specific securities should not be construed as a recommendation to buy or sell these securities and is included for the purposes of illustration only.

Source: Fidelity International as at 30 April 2024. Positioning data for Fidelity Absolute Return Global Equity Fund. Performance of the security is not a representation of the fund’s performance. The fund’s past holdings are not indicative of existing
and future holdings.

32 Fidelity Funds - Absolute Return Global Equity Fund

Meta Platforms – Long Position
Case study as at 31 October 2023 (position initiated in February 2023)

Share Price (USD) Theme and stock thesis

420
▪ Meta is a leading social media / digital advertising company.
370
320 ▪ Strong revenue coupled with aggressive cost control/margin expansion is boosting
270 the earnings growth trajectory. We are positive on continuing improvements in ad tech
220 stack + Reels adoption + macro environment getting better – best among its peers.
170 ▪ The incremental news flows around EU privacy hints towards “Accept or Pay” model
120 Entry may be acceptable to EU privacy regulators.
70
▪ The consensus estimates look very conservative making the risk-reward potential
20
ott-18 ott-19 ott-20 ott-21 ott-22 ott-23 look very attractive.

Rolling 5 year table shows percentage growth rate for the period indicated
Price return 31.10.18 – 31.10.19 31.10.19 – 31.10.20 31.10.20 – 31.10.21 31.10.21 – 31.10.22 31.10.22 – 31.10.23

Meta Platforms 26.3% 37.3% 23.0% -71.2% 223.4%

Fidelity analyst signals External confirmatory signals

As at 31 October 2023 Rating Score Rating Momentum Rating Conviction Rating Recency Consensus Rating Earnings Revisions Valuation Alpha Score

Meta Platforms 1 0 1 1 0 1 1 5

Past performance is not a reliable predictor of future returns. Reference to specific securities should not be construed as a recommendation to buy or sell these securities and is included for the
purposes of illustration only. The Fund’s returns may increase or decrease as a result of currency fluctuations.

Source: Fidelity International, Refinitiv DataStream, 31 October 2023. Holding in Fidelity Funds - Absolute Return Global Equity Fund. This is for illustration purposes only and should not be taken as a recommendation to buy or sell. Performance of
the security is not a representation of the Fund’s performance. The Fund’s past holdings are not indicative of existing and future holdings. The third party mark appearing in this material is the property of the respective owner and not by Fidelity.

33 Fidelity Funds - Absolute Return Global Equity Fund

Appian – Short Position as at 31st December 2022
Case study based on fund holdings (short side) from March 2021 to November 2022

Share Price (USD) Short thesis as at March 2021

250
Entry ▪ Appian is a software vendor that has both a low-code platform and vertical-specific
200 applications it sells to customers, primarily in the Financial Services, Life Sciences,
and Government verticals. Low-code software platforms enable developers to create
150 and modify applications faster than traditional software development platforms or
Exit stand-alone software languages.
100
▪ Our analysts considered that increasing competition in the low-code space would
50 incrementally pressure APPN over the medium term

0
▪ We believed inefficient sales channel conflicts would prevent APPN from realizing a
dic-17 dic-18 dic-19 dic-20 dic-21 dic-22 dramatic acceleration in subscription revenue and act as a headwind to profitability;
Rolling 5 year table shows percentage growth rate for the period indicated ▪ Technical factors like limited float, high short interest, and momentum were drivers of
Price return
31.12.17 – 31.12.18 – 31.12.19 – 31.12.20 – 31.12.21 – APPN’s dramatic move higher, offering potential for mean reversion.
31.12.18 31.12.19 31.12.20 31.12.21 31.12.22

Appian -15.2% 43.1% 324.2% -59.8% -50.1%

Fidelity analyst signals External confirmatory signals

AT THE TIME OF INITIATING SHORT

Rating Score Rating Momentum Rating Conviction Rating Recency Consensus Rating Earnings Revisions Valuation Score
POSITION

Appian -1 0 0 -1 -1 0 -1 -4

Past performance is not a reliable predictor of future returns. Reference to specific securities should not be construed as a recommendation to buy or sell these securities and is included for the
purposes of illustration only. The Fund’s returns may increase or decrease as a result of currency fluctuations.
Source: Fidelity International, Refinitiv DataStream, 31 December 2022. Holding in Fidelity Funds - Absolute Return Global Equity Fund. This is for illustration purposes only and should not be taken as a recommendation to buy or sell. The third party
mark appearing in this material is the property of the respective owner and not by Fidelity. Performance of the security is not a representation of the fund’s performance. The Fund’s past holdings are not indicative of existing and future holdings. The
third party mark appearing in this material is the property of the respective owner and not by Fidelity.

34 Fidelity Funds - Absolute Return Global Equity Fund

Summary

Absolute return, market neutral global equity strategy uncorrelated/negatively correlated to many
other asset classes

Leverages Fidelity’s global research platform to identify long and short ideas aiming to achieve
superior risk adjusted returns

Bottom-up approach with disciplined risk management approach

Diversifier within a broader asset allocation context

Source: Fidelity International, April 2024.

35 Fidelity Funds - Absolute Return Global Equity Fund

 5 Appendix

36 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity Funds - Absolute Return Global Equity Fund
Since inception performance vs drawdown – 24 September 2020 to 31 March 2024

Portfolio monthly performance versus Max Drawdown

35
30
25
20
15
10
5
0
-5
-10
set-20 dic-20 mar-21 giu-21 set-21 dic-21 mar-22 giu-22 set-22 dic-22 mar-23 giu-23 set-23 dic-23 mar-24
Monthly drawdown Daily cumulative performance

Higher Drawdown • Highly macro driven environments • ‘Correlation one’ type moments
periods driven by: • Lack of focus on company ‘fundamentals’ • Large rotations and leveraging/deleveraging

Past performance is not a reliable predictor of future returns. The Fund’s returns may increase or decrease as a result of currency fluctuations.

Source: Fidelity International, as at 31 March 2024, gross of fees performance for Fidelity Funds - Absolute Return Global Equity Fund Y-PF-ACC-USD share class, net income reinvested. Currency: USD Performance basis: NAV to NAV.
Comparative Benchmark: USD Cash Index (SOFR Index), Inception start date 24/09/2020. Excludes initial charges (if applicable) for returns calculation. Totals may not sum due to rounding.

37 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity Funds - Absolute Return Global Equity Fund
Maximum % drawdown versus other asset classes since inception (September 2020)
0

-5
-5.2
-10

-15 -13.5
-15.7 -14.6
-20 -16.7
-20.1 -19.8
-25
-25.7 -25.6 -25.5
-30
-31.4
-35

Gold
MSCI ACWI
Commodity (DJ -AIG )

US Corporate Index (BofAML)

US Corp 1-10yr (BofAML)

NAREIT All Equity REITS (FTSE)

US High Yield Index (BofAML)

FF Absolute Return Global Equity

1-10 Year Global Broad (BofAML)

US Mortgage Backed (BofAML)

Investment Grade World (BofAML)

Fund
Past performance is not a reliable indicator of future results.
This Fund invests in overseas markets and the value of investments can be affected by changes in currency exchange rates.
Source: Fidelity International, Bloomberg, 31 March 2024. Maximum drawdown calculated using monthly performance for Fidelity Funds Absolute Return Global Equity Fund and other representative indices across asset classes from September
2020 – December 2023.

38 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity Funds - Absolute Return Global Equity Fund
Return/risk ratio versus other asset classes since inception (24th September, 2020)
2.5x
Return/Risk Ratio 2.1x
2.0x

1.5x

1.0x 0.8x
0.7x
0.5x
0.5x 0.3x
0.2x
0.0x
-0.1x
-0.5x -0.2x
-0.5x -0.4x
-1.0x -0.7x

US Mortgage NAREIT All FF Absolute

Sept 2020 – Investmnt Grade 1-10 Year Global Backed US Corporate US Corp 1-10yr Equity REITS US High Yield Commodity (DJ - Return Global
Dec 2023 World (BofAML) Broad (BofAML) (BofAML) Index (BofAML) (BofAML) Gold (FTSE) Index (BofAML) MSCI ACWI AIG ) Equity Fund

Annualised
-5.6 -3.2 -2.7 -1.9 -0.5 2.8 6.8 4.0 11.6 14.3 9.4
Return (%)
Annualised
8.2 6.6 7.2 8.3 5.3 14.4 20.7 8.1 16.8 17.3 4.6
Risk (%)
Return/Risk
-0.7x -0.5x -0.4x -0.2x -0.1x 0.2x 0.3x 0.5x 0.7x 0.8x 2.1x
Ratio

Past performance is not a reliable indicator of future results.

This Fund invests in overseas markets and the value of investments can be affected by changes in currency exchange rates.
Source: Fidelity International, Bloomberg, 31 March 2024. Annualised risk/return parameters calculated using monthly performance for Fidelity Funds Absolute Return Global Equity Fund and other representative indices across asset classes from
September 2020 – December 2023.

39 Fidelity Funds - Absolute Return Global Equity Fund

Understanding the SAA impact of allocating to absolute return strategies
Asset allocations calculated using FIL’s 2023 10 year capital market & standard hedge fund assumptions

Efficient portfolio asset allocation with/without absolute return Comparison of risk/return metrics with/without absolute return
(max 20% absolute return allocation) strategies (max 20% absolute return allocation)
100 7.0

6.5
80

6.0

60

Potential return
5.5

40 5.0

4.5
20

4.0

0
Cash +1% Cash +1% inc Cash +2% Cash +2% inc Cash +3% Cash +3% inc 3.5
ABS return ABS return ABS return 1 3 5 7 9 11 13 15 17
Cash USD_Agg_Bond Global_ACWI Absolute return Risk
Continued expected challenges to bond returns result in significant allocations to diversified
alternatives strategies such as absolute return across the risk return spectrum
Source: Fidelity International, June 2023, all returns in USD using Fidelity International’s 10 year capital market assumptions and standard hedge fund assumptions (excess return of 3%, 6% volatility and 0.2 correlation with
other asset classes). ABS return refers to Absolute return. Reference to returns are gross of fees. Please refer to capital market assumptions slide in the appendix to know expected risk and returns for each of the asset
classes (Fidelity analysts’ estimates) used for calculation of expected risk-return of the portfolios above.

40 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity Research generates alpha from Long and Short ideas
Symmetry in residual alpha is important

Long beta return

7.8%

1.6% Long
After neutralising for beta,
Fidelity research creates
both long and short side 3.5%
alpha
Short
1.9%
Total Return = Beta + Alpha

-7.8%
Alpha
Short beta return

Source: Fidelity International, April 2024. The data shows the attribution for simulated annualised gross returns through the back-test period (from 30 June 2005 to 31 March 2020) for Fidelity Absolute Return Global Equity
strategy. For illustrative purposes only. The effects of leverage are included in the simulations.

41 Fidelity Funds - Absolute Return Global Equity Fund

Zero beta does not mean zero risk!
Simple shorting of beta using index futures does not negate other risks

Portfolio Manager Portfolio Manager Portfolio Manager

A B C
Absolute Returns by simple shorting of beta 100%

using index futures does not effectively remove

80%

Tracking error contribution (%)

all risk.
60%
Stock Specific Risk is lower in all cases when

only removing beta risk 40%

20%

Other risks still exist:

0%

▪ Common Factor Risks are not neutralised

-20%
Absolute Return Long Fund* Beta 1.0 All Country World Fund** Fidelity Absolute Return Global Equity Strategy
▪ Single stock long positions will be + Short MSCI ACWI Future + Short MSCI ACWI Future (FARGE)

neutralised or even reversed

Specific Industry Risk Indices Country World Currency Market Timing

Source: Fidelity International, March 2023. *Absolute Return Long Fund refers to long positions of representative strategy FF Absolute Return Global Equity Fund. **Beta 1.0 All Country World Fund refers to Systematic Equity flagship long-only fund
FF FIRST All Country World Fund. For illustrative purpose only.

42 Fidelity Funds - Absolute Return Global Equity Fund

Strategy Implementation
CFDs are used for shorting and long extension, the strategy is hedged fully to USD

110%
100%
Total Net Assets Fund pays benchmark cash rate • CFDs are marked to market daily and
Long CFD
90% and fees collateral is paid to/from each prime broker
with zero buffer. As the unrealised profit and
loss builds up over the month, it is reset to
Physical zero at month-end.
Equity Long
• The strategy is continuously hedged to the
Cash held
USD using FX forwards to between 95% and
10% Fund receives
cash rate 105% of TNA.
0%
• Each non-USD foreign currency exposure is
aggregated over all positions and hedged back
to the USD. CFD positions* generate currency
Short CFD Fund receives benchmark cash exposure only on the accrued profit and loss
rate less borrow cost and fees and not the full notional exposure.

-110%

Source: Fidelity International, April 2024. For illustrative purpose only. CFDs stands for Contracts for Difference. CFDs are bilateral OTC transactions that provide very similar exposure and performance to equity ownership. CFDs are also known
within the market as Synthetic Equity Swaps. *A small number of out of currency CFDs generate exposure to the full notional value and are treated accordingly

43 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity Funds - Absolute Return Global Equity Fund
Investment performance to 30 April 2024

Standard period returns net of fees, USD (%)

Fund Index
16.0
14.5
14.0

12.0
10.0
10.0
8.0
8.0 7.2
5.5
6.0
4.1
4.0 2.7 2.9
2.4
2.0 1.3

0.0

3m 6m 1Y 3Y (p.a.) Since inception (p.a.)

Fidelity Funds - Absolute Return
4.1 8.0 14.5 10.0 7.2
Global Equity Fund Y-PF-ACC-USD
SOFR Index 1.3 2.7 5.5 2.9 2.4
Excess return +2.8 +5.3 +9.0 +7.1 +4.8
Peers Beaten (%)* 79% 79% 89% 94% 80%

Past performance does not predict future returns. The fund returns may increase or decrease as a result of currency fluctuations.

Source: Fidelity International, Morningstar, as at 30 April 2024, net of fees performance for Fidelity Funds - Absolute Return Global Equity Fund Y-PF-ACC-USD share class, net income reinvested. Currency : USD Performance basis: NAV to NAV.
Comparative Benchmark: USD Cash Index (SOFR Index), Inception start date 24/09/2020. Excludes initial charges (if applicable) for returns calculation. Totals may not sum due to rounding. *The peer group is the Morningstar EAA Fund Equity
Market Neutral USD. Please note Y-PF-ACC-USD share class is not the most expensive share class.

44 Fidelity Funds - Absolute Return Global Equity Fund

Fidelity Funds - Absolute Return Global Equity Fund
Investment performance to 30 April 2024

Rolling 12-month returns net of fees, USD (%)

16.0
14.5
Fund Index
14.0

12.0
9.7
10.0

8.0
6.0
6.0 5.5

4.0 3.2

2.0
N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.1
0.0

30.04.14 - 30.04.15 - 30.04.16 - 30.04.17 - 30.04.18 - 30.04.19 - 30.04.20 - 30.04.21 - 30.04.22 - 30.04.23 -
30.04.15 30.04.16 30.04.17 30.04.18 30.04.19 30.04.20 30.04.21 30.04.22 30.04.23 30.04.24
Fidelity Funds - Absolute Return
Global Equity Fund Y-PF-ACC- N/A N/A N/A N/A N/A N/A N/A 6.0 9.7 14.5
USD
SOFR Index N/A N/A N/A N/A N/A N/A N/A 0.1 3.2 5.5

Excess return N/A N/A N/A N/A N/A N/A N/A +5.9 +6.5 +9.0

Past performance does not predict future returns. The funds returns may increase or decrease as a result of currency fluctuations.

Source: Fidelity International, as at 30 April 2024, net of fees for Y-PF-ACC-USD share class, net income reinvested. Performance basis: NAV to NAV. Comparative Benchmark: USD Cash Index (SOFR Index), Inception start date 24/09/2020.
Excludes initial charges (if applicable) for returns calculation. Totals may not sum due to rounding. Please note Y-PF-ACC-USD is not the most expensive share class.

45 Fidelity Funds - Absolute Return Global Equity Fund

Aligned incentive structures

Quantitative element Qualitative element

Equity Research Team Quantitative Performance Qualitative Assessment

20% Stock Picking 20% Stock Picking 20% Client 40% Equity Research Team
vs. Market vs. Sector Fund Attribution 80% Fixed Income Research Team

Analyst model portfolio Measures:

Impact on client funds from Evaluates 360 degree feedback from:
Stock picking versus a broad (AMP). Sector relative stock- ▪ Thought leadership
‘following’ research ▪ Peers
index and implied sector call picking / position sizing of ▪ Corporate citizenship client engagement
recommendations ▪ Portfolio managers
high conviction positions ▪ Training & development
▪ Colleagues across other business units
▪ Values and behaviour
3 & 5 year time horizon (67% / 33%)
360-degree feedback / productivity / commerciality / teamwork and collaboration /
corporate citizenship / sustainability / values and behaviours / thought leadership /
Code of Ethics and training
Fixed Income Team Quantitative Performance

20% linked to Fixed Income Franchise

Fixed Income analyst remuneration is directly linked to performance of the FI franchise
performance over the preceding 12 months Values and behaviours

Brave Bold Curious Compassionate

1 year time horizon

Source: Fidelity International, December 2023.

46 Fidelity Funds - Absolute Return Global Equity Fund

Glossary

Volatility A measure of how variable returns for a fund or comparative market index have been around their historical average (also known as “standard deviation”).

A measure of a fund’s sensitivity to market movements (as represented by a market index). The beta of the market is 1.00 by definition. A beta of 1.10 shows that the fund could be
Beta expected to perform 10% better than the index in up markets and 10% worse in down markets, assuming all other factors remain constant. Conversely, a beta of 0.85 indicates that the fund
could be expected to perform 15% worse than the market return during up markets and 15% better during down markets.
The ongoing charges figure represents the charges taken from the fund over a year. It is calculated at the fund's financial year end and may vary from year to year. For classes of funds with
fixed ongoing charges, this may not vary from year to year. For new classes of funds or classes undergoing corporate actions (eg amendment to annual management charge), the
ongoing charges figure is estimated until the criteria are met for an actual ongoing charges figure to be published. The types of charges included in the ongoing charges figure are
Ongoing charges management fees, administration fees, custodian and depositary fees and transaction charges, shareholder reporting costs, regulatory registration fees, Directors fees (where applicable)
and bank charges. It excludes: performance fees (where applicable); portfolio transaction costs, except in the case of an entry/exit charge paid by the fund when buying or selling units in
another collective investment undertaking. For more information about charges (including details of the fund's financial year end), please consult the charges section in the most recent
Prospectus.
Shows the classification given to each fund as part of the EU Sustainable Finance Disclosure Regulation (SFDR). Article 9 funds aim to achieve an ESG outcome and are products with
SFDR Classification ESG objectives. Article 8 funds focus on promoting ESG characteristics and this must be a primary focus of the product. Article 6 funds integrate sustainability risks into investment analysis
and decision-making, without the funds promoting environmental or social characteristics or having sustainable investments as their objective.

Turnover How frequently assets within a fund are bought and sold by the managers.

Long positions are created through purchases of company shares or derivatives. They profit from share price increases and suffer losses if prices fall. Long equity exposure is the total of
Long equity exposure
the fund’s long positions after aggregation.

Short positions are created through derivatives. They can allow the fund to profit from a fall in the price of an underlying share (although fund returns will be hurt if the price of the underlying
Short equity exposure
share rises). Short equity exposure is the total of the fund’s short positions after aggregation.

The percentage of the fund invested in the equity market. It is the difference between the long and the short exposures. For example, if the fund is 120% long and 25% short, the fund is
Net equity exposure
95% net invested.

This is shown before and after the aggregation of investments linked to a particular issuing company or basket security. Any difference between the two figures shows the fund is holding
Gross Equity exposure
long and short positions in the same issuing company or basket security.

Source: Fidelity International, April 2024.

47 Fidelity Funds - Absolute Return Global Equity Fund

Important information
This information must not be reproduced or circulated without prior permission. Fidelity only offers information on products and services and does not provide investment advice based on individual
circumstances, other than when specifically stipulated by an appropriately authorised firm, in a formal communication with the client. Fidelity International refers to the group of companies which form
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not be acted upon by persons inside the United States and is otherwise only directed at persons residing in jurisdictions where the relevant funds are authorised for distribution or where no such
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International, the Fidelity International logo and F symbol are registered trademarks of FIL Limited. FIL Limited assets and resources as at 30/04/2024 - data is unaudited. Research professionals
include both analysts and associates. No statements or representations made in this document are legally binding on Fidelity or the recipient. Any proposal is subject to contract terms being agreed.
UK: The Key Investor Information Document (KIID) is available in English and can be obtained from our website at www.fidelityinternational.com. The Prospectus may also be obtained from Fidelity.
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owners. Barra. Inc.’s analytics and data (www.barra.com) were used in the preparation of this document. Copyright 2024 BARRA, INC. All rights reserved.

Issued by FIL Pensions Management. Authorised and regulated by the Financial Conduct Authority.

Luxembourg: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in English, French and
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https://www.fidelityinternational.com, or from our distributors and from our European Service Centre in Luxembourg, FIL (Luxembourg) S.A. 2a, rue Albert Borschette BP 2174 L-1021 Luxembourg.
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Austria: We recommend that you obtain detailed information before taking any investment decision on the basis of the current prospectus (in English and German) and the KID (key information
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Finland: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in English) and the KID (Key
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information on their respective rights regarding complaints and litigation on the following link: https://www.fidelity.fi in English.

48 Fidelity Funds - Absolute Return Global Equity Fund

Important information
Sweden: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in English)/and the KID (Key
Information Document) available in Swedish, along with the current annual and semi-annual reports free of charge through https://www.fidelityinternational.com, from your financial advisor or from the
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and supervised by the CSSF (Commission de Surveillance du Secteur Financier). Investors/ potential investors can obtain information on their respective rights regarding complaints and litigation on the
following link: https://www.fidelity.se in Swedish.

Norway: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in English) and the KID (Key
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Denmark: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in English) and the KID (Key
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Poland: This material does not constitute a recommendation within the meaning of the Regulation of the Polish Minister of Finance Regarding Information Constituting Recommendations Concerning
Financial Instruments or Issuers Thereof dated October 19, 2005. No statements or representations made in this document are legally binding on Fidelity or the recipient and not constitute an offer
within the meaning of the Polish Civil Code Act of 23 April 1964. We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of
the current prospectus (in English and Polish), and the KID (Key Information Document) and the Additional Information for Investors, available in English and Polish along with the current annual and
semi-annual reports free of charge through https://www.fidelityinternational.com, from our distributors, from our European Service Centre in Luxembourg, and from the fund’s representative office in
Poland. Issued by FIL (Luxembourg) S.A., authorised and supervised by the CSSF (Commission de Surveillance du Secteur Financier). Investors/ potential investors can obtain information on their
respective rights regarding complaints and litigation on the following link: https://www.fidelity.pl in Polish.

Switzerland: Fidelity undertakes the financial services of purchasing and/or selling financial instruments within the meaning of the Financial Services Act (""FinSA""). Fidelity is not required to assess the
appropriateness and suitability under FinSA. We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current
prospectus (in English, German and French) and the KID (key information document), available in English, German and French along with the current annual and semi-annual reports free of charge
through https://www.fidelityinternational.com, from our distributors, from our European Service Center in Luxembourg FIL (Luxembourg) S.A. 2a, rue Albert Borschette BP 2174 L-1021 Luxembourg and
from the representative and paying agent in Switzerland, BNP Paribas, Paris, succursale de Zurich, Selnaustrasse 16, 8002 Zurich. Issued by FIL Investment Switzerland AG. Investors/ potential
investors can obtain information on their respective rights regarding complaints and litigation on the following link: https://www.fidelity.ch in German and English.

Italy: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in Italian and English) and the KID
(Key Information Document), available in Italian along with the current annual and semi-annual reports free of charge through https://www.fidelityinternational.com, from your financial advisor or from the
branch of your bank. Issued by FIL (Luxembourg) S.A., authorised and supervised by the CSSF (Commission de Surveillance du Secteur Financier). Investors/ potential investors can obtain information
on their respective rights regarding complaints and litigation on the following link: https://www.fidelity-italia.it in Italian.

49 Fidelity Funds - Absolute Return Global Equity Fund

Important information
Spain: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in Spanish and English) and the
KID (Key Information Document), available in Spanish along with the current annual and semi-annual reports free of charge through https://www.fidelityinternational.com. Issued by FIL (Luxembourg)
S.A., authorised and supervised by the CSSF (Commission de Surveillance du Secteur Financier). Fidelity Funds and Fidelity Active Strategy (FAST) are open-ended collective investment schemes
incorporated in Luxembourg. The distributing and depositary entities are, respectively, FIL (Luxembourg) S.A. and Brown Brothers Harriman (Luxembourg) S.C.A. Fidelity Funds and FAST are
registered for marketing in Spain in the register of Foreign Collective Investment Undertakings of the CNMV under registration numbers 124 and 649 respectively, where detailed information on the local
distributors can be obtained. Investors/ potential investors can obtain information on their respective rights regarding complaints and litigation on the following link: https://www.fondosfidelity.es in
Spanish.

Slovakia: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in English) and the KID (Key
Information Document), available in English and Slovakian along with the current annual and semi-annual reports free of charge through https://www.fidelityinternational.com. Issued by FIL
(Luxembourg) S.A., authorised and supervised by the CSSF (Commission de Surveillance du Secteur Financier). Investors/ potential investors can obtain information on their respective rights regarding
complaints and litigation on the following link: https://www.fidelity.sk in Slovakian.

Czech Republic: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in English and Czech)
and the KID (Key Information Document), available in English and Czech along with the current annual and semi-annual reports free of charge through https://www.fidelityinternational.com. Issued by
FIL (Luxembourg) S.A., authorised and supervised by the CSSF (Commission de Surveillance du Secteur Financier). Investors/ potential investors can obtain information on their respective rights
regarding complaints and litigation on the following link: https://www.fidelity.cz in Czech.

Portugal: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in English) and the KID (Key
Information Document), available in Portuguese along with the current annual and semi-annual reports free of charge through https://www.fidelityinternational.com. Issued by FIL (Luxembourg) S.A.,
authorised and supervised by the CSSF (Commission de Surveillance du Secteur Financier). Investors/ potential investors can obtain information on their respective rights regarding complaints and
litigation on the following link: https://www.fidelity.pt in Portuguese.

Romania: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in English) and the KID (key
information document), available in English and Romanian along with the current annual and semi-annual reports free of charge through https://www.fidelityinternational.com, from our distributors and
from our European Service Centre in Luxembourg, FIL (Luxembourg) S.A. 2a, rue Albert Borschette BP 2174 L-1021 Luxembourg. Issued by FIL (Luxembourg) S.A., authorised and supervised by the
CSSF (Commission de Surveillance du Secteur Financier). Investors/ potential investors can obtain information on their respective rights regarding complaints and litigation on the following link:
https://www.fidelity.ro in Romanian.

France: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in French) and the KID (Key
Information Document), available in French along with the current annual and semi-annual reports free of charge through https://www.fidelity.fr, from your financial advisor or from the branch of your
bank. The document is available in French upon request. If you do not wish to receive documents in English dedicated to Professional, please contact your Fidelity contact. Issued by FIL Gestion,
authorised and supervised by the AMF (Autorité des Marchés Financiers) N°GP03-004, 21 Avenue Kléber, 75116 Paris. Investors/ potential investors can obtain information on their respective rights
regarding complaints and litigation on the following link: https://www.fidelity.fr in French.

50 Fidelity Funds - Absolute Return Global Equity Fund

Important information
Germany: Any performance disclosure is not compliant with German regulations regarding retail clients and must therefore not be handed out to these. Investments should be made on the basis of the
current prospectus (in German) and the KID (key investor document) in English and German, which is available along with the current annual and semi-annual reports free of charge through
fidelity.de/fondsuebersicht, fidelityinternational.com or can be requested free of charge via fidelity.de. For German Wholesale clients issued by FIL Investments Services GmbH, Kastanienhöhe 1, 61476
Kronberg im Taunus. For German Pension clients issued by FIL Finance Services GmbH, Kastanienhöhe 1, 61476 Kronberg im Taunus. Investors/ potential investors can obtain information on their
respective rights regarding complaints and litigation on the following link: Beschwerdemanagement (fidelity.de) in German. For German Institutional clients issued by FIL (Luxembourg) S.A., 2a, rue
Albert Borschette BP 2174 L-1021 Luxembourg. Investors/ potential investors can obtain information on their respective rights regarding complaints and litigation on the following link:
https://www.fidelity.lu/complaints-handling-policy in English. The information above includes disclosure requirements of the fund’s management company according to Regulation (EU) 2019/1156.

Hungary: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in English) and the KID (Key
Information Document), available in English and Hungarian along with the current annual and semi-annual reports free of charge through https://www.fidelityinternational.com, from our distributors and
from our European Service Centre in Luxembourg, FIL (Luxembourg) S.A. 2a, rue Albert Borschette BP 2174 L-1021 Luxembourg. Issued by FIL (Luxembourg) S.A., authorised and supervised by the
CSSF (Commission de Surveillance du Secteur Financier). Investors/ potential investors can obtain information on their respective rights regarding complaints and litigation on the following link:
https://www.fidelity.co.hu in Hungarian.

Liechtenstein: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (In German and English)
and the KID (Key Information Document) , available in German and English along with the current annual and semi-annual reports free of charge through https://www.fidelityinternational.com, from our
distributors, from our European Service Center in Luxembourg, FIL (Luxembourg) S.A. 2a, rue Albert Borschette, BP 2174, 1021 Luxembourg as well as from the Liechtenstein paying agent VP Bank
AG, Äulestrasse 6, 9490 Vaduz. Issued by FIL (Luxembourg) S.A., authorised and supervised by the CSSF (Commission de Surveillance du Secteur Financier). Investors/ potential investors can obtain
information on their respective rights regarding complaints and litigation on the following link: https://www.fidelity.li. in German and English.

Croatia: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the current prospectus (in English) and the KID (key
information document), available in Croatian along with the current annual and semi-annual reports free of charge through https://www.fidelityinternational.com, from our distributors, from our European
Service Centre in Luxembourg, FIL (Luxembourg) S.A. 2a, rue Albert Borschette BP 2174 L-1021 Luxembourg and from our paying agent Zagrebacka banka d.d., Trg bana Josipa Jelacica 10, 10000
Zagreb. Issued by FIL (Luxembourg) S.A., authorised and supervised by the CSSF (Commission de Surveillance du Secteur Financier). Investors/ potential investors can obtain information on their
respective rights regarding complaints and litigation on the following link: https://www.fidelity.hr in Croatian.

Ireland: We recommend that you obtain detailed information before taking any investment decision. Investments should be made on the basis of the prospectus and KID (key information document),
which are available free of charge in English along with the current annual and semi-annual reports at www.fidelityinternational.com. Issued by FIL (Luxembourg) S.A., authorised and supervised by the
CSSF (Commission de Surveillance du Secteur Financier). Investors/ potential investors can obtain information on their respective rights regarding complaints and litigation on the following link:
https://www.fidelity.ie in English.

FSI-2024-432

51 Fidelity Funds - Absolute Return Global Equity Fund