FSEC
Fidelity Investment Grade Securitized ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for FSEC (Fidelity Investment Grade Securitized ETF) using the Excess Return MMA* 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 4.2%, compared to a Buy-and-Hold benchmark return of 4.8%. The strategy executed 7 total trades.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
* Excess Return MMA: Multi-Moving Average (Triple-Band) model utilizing sophisticated long/short cross durations optimized against volatility.
📊 Mathematical Model
Excess Return MMA Active
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
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 | 3.88% | 4.88% | 2.84% | 0.29% | 4.21% | 4.76% |
| Sharpe Ratio | 0.92 | 1.02 | 0.81 | 0.04 | 0.99 | 0.66 |
| Max Drawdown | -2.52% | -2.52% | -4.81% | -17.97% | -4.81% | -8.58% |
| % Time Invested | 100.0% | 100.0% | 54.3% | 100.0% | 79.8% | 100.0% |
| Trades / Year | 2.0 | 0.0 | 1.4 | 0.0 | 2.1 | 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 or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2025-08-28 | 2026-05-20 | Completed | 33.33% | $42.01 | $43.12 | 2.59% | Signal | |
| 2025-07-25 | 2025-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.40% | Interest Income | |
| 2025-03-27 | 2025-08-27 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.80% | Interest Income | |
| 2025-02-28 | 2025-07-25 | Completed | 33.33% | $41.12 | $41.43 | 0.70% | Signal | |
| 2024-04-18 | 2025-03-27 | Completed | 33.33% | $37.87 | $41.02 | 8.29% | Signal | |
| 2024-12-24 | 2025-02-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.73% | Interest Income | |
| 2024-08-05 | 2024-12-24 | Completed | 33.33% | $40.90 | $39.88 | -2.54% | Signal | |
| 2023-02-28 | 2024-08-20 | Interest (CASH) | 33.33% | $1.00 | $1.08 | 8.04% | Interest Income | |
| 2024-05-09 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.25% | Interest Income | |
| 2024-01-23 | 2024-05-09 | Completed | 33.33% | $38.57 | $38.43 | -0.41% | Signal | |
| 2023-02-28 | 2024-04-18 | Interest (CASH) | 33.33% | $1.00 | $1.06 | 6.13% | Interest Income | |
| 2023-05-17 | 2024-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.70% | Interest Income | |
| 2023-03-02 | 2023-05-17 | Completed | 33.33% | $36.92 | $38.08 | 3.10% | Signal | |
| 2023-02-28 | 2023-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |