Fidelity Sustainable US Equity ETF (FSST US) – Portfolio Construction Methodology

The investment strategy shaping the actively managed Fidelity Sustainable US Equity ETF targets U.S. equities, emphasizing companies with durable fundamentals and favorable sustainability characteristics while excluding issuers failing defined environmental, social or governance thresholds. Research is bottom-up and analyst-driven, combining assessment of return on capital, cash-flow durability, competitive positioning and management quality with proprietary ESG evaluations and materiality mapping by industry. Portfolio construction is benchmark-aware but active, with risk taken through stock selection rather than top-down sector bets; position sizes reflect conviction, liquidity and factor exposures, with issuer caps, sector bands and drawdown controls limiting unintended concentrations. The manager monitors valuation dispersion and factor balance to contain active risk. Cash is used for flow and event liquidity. Sell and trim discipline is triggered by thesis break, ESG deterioration, unfavorable risk-reward versus alternatives, or superior opportunities that improve expected alpha per unit of tracking error.

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