FSEC Fidelity Investment Grade Securitized ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
Executive Summary
The quantitative backtest for FSEC (Fidelity Investment Grade Securitized ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -4.8% (compared to the benchmark's drawdown of -8.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 4.9%, compared to a Buy-and-Hold benchmark return of 5.2%. The strategy executed 6 total trades.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
* Excess Return MMA CA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility, with a month-end dynamic Cash Alternative sleeve rotation.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA Active
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
FSEC Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.76% | 7.29% | 3.13% | 0.56% | 4.86% | 5.25% |
| Sharpe Ratio | 1.25 | 1.32 | 0.89 | 0.08 | 1.11 | 0.72 |
| Max Drawdown | -2.52% | -2.52% | -4.76% | -17.97% | -4.76% | -8.58% |
| % Time Invested | 100.0% | 100.0% | 51.2% | 100.0% | 78.9% | 100.0% |
| Trades / Year | 1.0 | 0.0 | 1.2 | 0.0 | 1.8 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2025-08-27 | Open | Open | 33.33% | $42.30 | $43.92 | 3.82% | Mark-to-Market |
| 2024-08-20 | Open | Open | 33.33% | $41.04 | $43.92 | 7.02% | Mark-to-Market |
| 2026-05-20 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Mark-to-Market |
| 2025-08-28 | 2026-05-20 | Completed | 33.33% | $42.14 | $43.25 | 2.64% | Signal |
| 2025-07-25 | 2025-08-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.41% | Interest Income |
| 2025-06-03 | 2025-08-27 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.29% | Interest Income |
| 2025-02-28 | 2025-07-25 | Completed | 33.33% | $41.25 | $41.56 | 0.75% | Signal |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-03-27 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income |
| 2024-04-18 | 2025-03-27 | Completed | 33.33% | $37.98 | $41.15 | 8.34% | Signal |
| 2024-12-24 | 2025-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.87% | Interest Income |
| 2024-08-05 | 2024-12-24 | Completed | 33.33% | $41.03 | $40.00 | -2.49% | Signal |
| 2024-08-02 | 2024-08-20 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income |
| 2024-08-02 | 2024-08-05 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.09% | Interest Income |
| 2024-05-09 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.33% | Interest Income |
| 2023-06-02 | 2024-08-01 | Interest (FLOT) | 33.33% | $1.00 | $1.08 | 7.87% | Interest Income |
| 2024-01-23 | 2024-05-09 | Completed | 33.33% | $38.69 | $38.55 | -0.36% | Signal |
| 2023-06-02 | 2024-04-18 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 6.04% | Interest Income |
| 2023-06-02 | 2024-01-23 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.21% | Interest Income |
| 2023-05-17 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income |
| 2023-03-02 | 2023-05-17 | Completed | 33.33% | $37.03 | $38.20 | 3.15% | Signal |
| 2023-02-28 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.20% | Interest Income |
| 2023-02-28 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.20% | Interest Income |
| 2023-02-28 | 2023-03-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |