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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.6% (compared to the benchmark's drawdown of -17.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.2%, compared to a Buy-and-Hold benchmark return of 0.5%. The strategy executed 33 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.
Available in Investing Mode
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
Available in Investing Mode
FSEC Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full History | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 5.05% | 7.29% | 2.07% | 0.56% | 2.19% | 0.46% |
| Sharpe Ratio | 1.19 | 1.32 | 0.51 | 0.08 | 0.53 | 0.07 |
| Max Drawdown | -2.12% | -2.52% | -5.59% | -17.97% | -5.59% | -17.70% |
| % Time Invested | 97.2% | 100.0% | 65.6% | 100.0% | 69.7% | 100.0% |
| Trades / Year | 8.0 | 0.0 | 6.6 | 0.0 | 7.0 | 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 |
|---|---|---|---|---|---|---|---|
| 2026-05-20 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.12% | Mark-to-Market |
| 2026-05-15 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.20% | Mark-to-Market |
| 2026-05-04 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.35% | Mark-to-Market |
| 2025-08-28 | 2026-05-20 | Completed | 33.33% | $42.14 | $43.25 | 2.64% | Signal |
| 2026-04-24 | 2026-05-15 | Completed | 33.33% | $43.95 | $43.48 | -1.06% | Signal |
| 2026-03-31 | 2026-05-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2026-03-20 | 2026-04-24 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income |
| 2026-01-14 | 2026-03-31 | Completed | 33.33% | $43.59 | $43.63 | 0.09% | Signal |
| 2026-01-20 | 2026-03-20 | Completed | 33.33% | $43.45 | $43.68 | 0.54% | Signal |
| 2025-12-24 | 2026-01-20 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.33% | Interest Income |
| 2025-12-08 | 2026-01-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.44% | Interest Income |
| 2025-12-18 | 2025-12-24 | Completed | 33.33% | $43.57 | $43.42 | -0.35% | Signal |
| 2025-11-18 | 2025-12-18 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.38% | Interest Income |
| 2025-07-03 | 2025-12-08 | Completed | 33.33% | $41.57 | $43.26 | 4.06% | Signal |
| 2025-08-25 | 2025-11-18 | Completed | 33.33% | $41.92 | $43.09 | 2.80% | Signal |
| 2025-07-24 | 2025-08-28 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2025-08-01 | 2025-08-25 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.43% | Interest Income |
| 2025-06-23 | 2025-08-01 | Completed | 33.33% | $41.48 | $41.73 | 0.60% | Signal |
| 2025-02-28 | 2025-07-24 | Completed | 33.33% | $41.25 | $41.50 | 0.61% | Signal |
| 2025-06-03 | 2025-07-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.48% | Interest Income |
| 2025-06-03 | 2025-06-23 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.30% | Interest Income |
| 2025-05-07 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income |
| 2025-05-02 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.32% | Interest Income |
| 2025-02-26 | 2025-05-07 | Completed | 33.33% | $41.00 | $41.26 | 0.63% | Signal |
| 2025-04-15 | 2025-05-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.73% | Interest Income |
| 2025-02-07 | 2025-04-15 | Completed | 33.33% | $40.22 | $40.74 | 1.29% | Signal |
| 2024-12-26 | 2025-02-28 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.83% | Interest Income |
| 2024-10-28 | 2025-02-26 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.79% | Interest Income |
| 2024-12-31 | 2025-02-07 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income |
| 2024-12-10 | 2024-12-31 | Completed | 33.33% | $41.05 | $40.37 | -1.66% | Signal |
| 2024-08-05 | 2024-12-26 | Completed | 33.33% | $41.03 | $40.03 | -2.42% | Signal |
| 2024-10-15 | 2024-12-10 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.96% | Interest Income |
| 2024-06-06 | 2024-10-28 | Completed | 33.33% | $39.41 | $40.04 | 1.59% | Signal |
| 2024-05-17 | 2024-10-15 | Completed | 33.33% | $38.75 | $40.89 | 5.52% | Signal |
| 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 |
| 2024-02-21 | 2024-06-06 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 2.03% | Interest Income |
| 2024-03-26 | 2024-05-17 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.94% | Interest Income |
| 2024-01-23 | 2024-05-09 | Completed | 33.33% | $38.69 | $38.55 | -0.36% | Signal |
| 2024-03-25 | 2024-03-26 | Completed | 33.33% | $41.53 | $38.91 | -6.30% | Stop |
| 2024-01-30 | 2024-03-25 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.13% | Interest Income |
| 2023-11-30 | 2024-02-21 | Completed | 33.33% | $37.66 | $38.38 | 1.90% | Signal |
| 2023-11-16 | 2024-01-30 | Completed | 33.33% | $37.16 | $38.87 | 4.61% | Signal |
| 2023-06-02 | 2024-01-23 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 4.21% | Interest Income |
| 2023-06-02 | 2023-11-30 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 3.14% | Interest Income |
| 2023-06-02 | 2023-11-16 | Interest (FLOT) | 33.33% | $1.00 | $1.03 | 2.93% | Interest Income |
| 2023-05-24 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2023-05-15 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income |
| 2023-05-03 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income |
| 2023-04-17 | 2023-05-24 | Completed | 33.33% | $38.07 | $37.82 | -0.64% | Signal |
| 2023-02-15 | 2023-05-15 | Completed | 33.33% | $37.82 | $38.29 | 1.23% | Signal |
| 2023-03-29 | 2023-05-03 | Completed | 33.33% | $37.96 | $38.65 | 1.83% | Signal |
| 2023-04-04 | 2023-04-17 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.15% | Interest Income |
| 2023-03-06 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.33% | Interest Income |
| 2023-02-23 | 2023-03-29 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.47% | Interest Income |
| 2022-12-05 | 2023-03-06 | Completed | 33.33% | $37.56 | $37.20 | -0.94% | Signal |
| 2023-02-09 | 2023-02-23 | Completed | 33.33% | $38.12 | $37.56 | -1.46% | Signal |
| 2022-12-02 | 2023-02-15 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.63% | Interest Income |
| 2023-01-18 | 2023-02-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.68% | Interest Income |
| 2022-11-18 | 2023-01-18 | Completed | 33.33% | $36.97 | $38.60 | 4.41% | Signal |
| 2022-12-02 | 2022-12-05 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income |
| 2022-10-04 | 2022-11-18 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income |
| 2022-09-15 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.20% | Interest Income |
| 2022-09-13 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.28% | Interest Income |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income |
| 2022-08-01 | 2022-09-15 | Completed | 33.33% | $39.79 | $37.71 | -5.22% | Stop |
| 2022-08-01 | 2022-09-13 | Completed | 33.33% | $39.79 | $37.83 | -4.90% | Signal |
| 2022-08-31 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-07-20 | 2022-08-31 | Completed | 33.33% | $38.72 | $38.51 | -0.56% | Signal |
| 2022-03-02 | 2022-08-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2022-03-02 | 2022-08-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income |
| 2022-06-16 | 2022-07-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.05% | Interest Income |
| 2022-06-02 | 2022-06-16 | Completed | 33.33% | $39.12 | $37.89 | -3.14% | Signal |
| 2022-03-02 | 2022-06-02 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.04% | Interest Income |
| 2022-01-06 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2022-01-04 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income |
| 2021-12-30 | 2022-01-06 | Completed | 33.33% | $42.53 | $42.23 | -0.71% | Signal |
| 2021-11-18 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.01% | Interest Income |
| 2021-11-02 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-11-02 | 2021-12-30 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income |
| 2021-09-16 | 2021-11-18 | Completed | 33.33% | $42.96 | $42.55 | -0.96% | Signal |
| 2021-10-01 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.12% | Interest Income |
| 2021-09-29 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | Interest Income |
| 2021-09-17 | 2021-10-01 | Completed | 33.33% | $42.92 | $42.81 | -0.26% | Signal |
| 2021-09-16 | 2021-09-29 | Completed | 33.33% | $42.96 | $42.64 | -0.75% | Signal |
| 2021-09-14 | 2021-09-17 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.04% | Interest Income |
| 2021-09-14 | 2021-09-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |
| 2021-09-14 | 2021-09-16 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income |