FSEC
Fidelity Investment Grade Securitized ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-09-09
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 4.1%, compared to a Buy-and-Hold benchmark return of 4.5%. 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.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for FSEC:
Excess Return MMA Active Model
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.
🎯 Trading Horizon
Select risk profile & execution style for FSEC:
🛡️ Long-Term Investing Active Horizon
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
🛡️ FSEC Drawdown Shield & Downside Protection
Why Drawdown Dictates Longevity →Peak Drawdown Defense
-4.8% (vs -8.6% B&H)
+3.8% shallower drawdown
Downside Efficiency
1.21 Sortino
+0.25 vs 0.96 B&H
Capital Sheltered from Risk
44.0% of Time
Earning Treasury yield during downturns
* Drawdown Shield demonstrates how systematic trend-following bounded historical drawdowns and protected principal capital compared to passive Buy & Hold.
📊 FSEC Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | Full | |||
|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| Max Drawdown | -2.52% | -2.52% | -4.81% | -17.70% | -4.81% | -8.58% |
| Sharpe Ratio | 0.53 | 0.37 | 0.82 | 0.03 | 0.98 | 0.63 |
| Sortino Ratio | 0.73 | 0.56 | 0.85 | 0.05 | 1.21 | 0.96 |
| CAGR | 2.12% | 1.68% | 2.89% | 0.22% | 4.12% | 4.49% |
| % Time Invested | 85.3% | 100.0% | 39.5% | 100.0% | 56.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.4 | 0.0 | 2.0 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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Loading Top Diversifiers for FSEC... Top Diversifiers for FSEC
Explore Correlation Across Horizons →Top 5 non-correlated asset sleeves evaluated on 1Y daily percentage returns (Pearson r). Compare them side-by-side in Compare Studio to analyze portfolio diversification.
| Diversifier Asset | Category | 1Y Correlation (r) | Action |
|---|---|---|---|
| Loading top diversifier assets... | |||
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. Subscribe to Unlock | ||||||||
| 2025-08-28 | 2026-05-20 | Completed | 33.33% | $41.74 | $42.85 | 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% | $40.86 | $41.17 | 0.70% | Signal | |
| 2024-04-18 | 2025-03-27 | Completed | 33.33% | $37.63 | $40.76 | 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% | $40.64 | $39.63 | -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% | $38.32 | $38.19 | -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% | $36.69 | $37.84 | 3.10% | Signal | |
| 2023-02-28 | 2023-03-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |