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 Trading context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.2% (compared to the benchmark's drawdown of -17.7%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 1.9%, compared to a Buy-and-Hold benchmark return of 0.2%. The strategy executed 35 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.
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
🎯 Trading Horizon
Select risk profile & execution style for FSEC:
🛡️ Long-Term Investing
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading Active Horizon
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
-5.2% (vs -17.7% B&H)
+12.5% shallower drawdown
Downside Efficiency
0.50 Sortino
+0.45 vs 0.05 B&H
Capital Sheltered from Risk
57.5% 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 | -2.14% | -2.52% | -5.18% | -17.70% | -5.18% | -17.70% |
| Sharpe Ratio | 0.71 | 0.37 | 0.49 | 0.03 | 0.49 | 0.03 |
| Sortino Ratio | 0.83 | 0.56 | 0.50 | 0.05 | 0.50 | 0.05 |
| CAGR | 2.31% | 1.68% | 1.94% | 0.22% | 1.94% | 0.21% |
| % Time Invested | 55.8% | 100.0% | 42.4% | 100.0% | 42.5% | 100.0% |
| Trades / Year | 6.0 | 0.0 | 7.0 | 0.0 | 7.0 | 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 | ||||||||
| 2026-05-15 | 2026-06-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.34% | Interest Income | |
| 2025-08-28 | 2026-05-20 | Completed | 33.33% | $41.74 | $42.85 | 2.59% | Signal | |
| 2026-04-24 | 2026-05-15 | Completed | 33.33% | $43.54 | $43.07 | -1.11% | Signal | |
| 2026-03-20 | 2026-04-24 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2026-01-14 | 2026-03-31 | Completed | 33.33% | $43.18 | $43.22 | 0.04% | Signal | |
| 2026-01-20 | 2026-03-20 | Completed | 33.33% | $43.04 | $43.27 | 0.49% | Signal | |
| 2025-12-24 | 2026-01-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.23% | Interest Income | |
| 2025-12-08 | 2026-01-14 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.36% | Interest Income | |
| 2025-12-18 | 2025-12-24 | Completed | 33.33% | $43.16 | $43.01 | -0.40% | Signal | |
| 2025-11-18 | 2025-12-18 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.31% | Interest Income | |
| 2025-07-03 | 2025-12-08 | Completed | 33.33% | $41.18 | $42.85 | 4.01% | Signal | |
| 2025-08-25 | 2025-11-18 | Completed | 33.33% | $41.53 | $42.69 | 2.74% | Signal | |
| 2025-07-24 | 2025-08-28 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2025-08-01 | 2025-08-25 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2025-06-23 | 2025-08-01 | Completed | 33.33% | $41.09 | $41.34 | 0.55% | Signal | |
| 2025-02-28 | 2025-07-24 | Completed | 33.33% | $40.86 | $41.11 | 0.56% | Signal | |
| 2025-05-07 | 2025-07-03 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.67% | Interest Income | |
| 2025-04-15 | 2025-06-23 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income | |
| 2025-02-26 | 2025-05-07 | Completed | 33.33% | $40.62 | $40.88 | 0.58% | Signal | |
| 2025-02-07 | 2025-04-15 | Completed | 33.33% | $39.84 | $40.36 | 1.24% | Signal | |
| 2024-12-26 | 2025-02-28 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income | |
| 2024-10-28 | 2025-02-26 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.41% | Interest Income | |
| 2024-12-31 | 2025-02-07 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.42% | Interest Income | |
| 2024-12-10 | 2024-12-31 | Completed | 33.33% | $40.66 | $39.99 | -1.71% | Signal | |
| 2024-08-05 | 2024-12-26 | Completed | 33.33% | $40.64 | $39.66 | -2.47% | Signal | |
| 2024-10-15 | 2024-12-10 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.70% | Interest Income | |
| 2024-06-06 | 2024-10-28 | Completed | 33.33% | $39.04 | $39.66 | 1.54% | Signal | |
| 2024-05-17 | 2024-10-15 | Completed | 33.33% | $38.39 | $40.51 | 5.47% | Signal | |
| 2024-05-09 | 2024-08-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 1.25% | Interest Income | |
| 2024-02-21 | 2024-06-06 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.57% | Interest Income | |
| 2024-03-26 | 2024-05-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.78% | Interest Income | |
| 2024-01-23 | 2024-05-09 | Completed | 33.33% | $38.32 | $38.19 | -0.41% | Signal | |
| 2024-03-25 | 2024-03-26 | Completed | 33.33% | $41.14 | $38.55 | -6.35% | Stop | |
| 2024-01-30 | 2024-03-25 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.80% | Interest Income | |
| 2023-11-30 | 2024-02-21 | Completed | 33.33% | $37.31 | $38.02 | 1.85% | Signal | |
| 2023-11-16 | 2024-01-30 | Completed | 33.33% | $36.81 | $38.51 | 4.56% | Signal | |
| 2023-05-15 | 2024-01-23 | Interest (CASH) | 33.33% | $1.00 | $1.04 | 3.74% | Interest Income | |
| 2023-05-24 | 2023-11-30 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.83% | Interest Income | |
| 2023-05-03 | 2023-11-16 | Interest (CASH) | 33.33% | $1.00 | $1.03 | 2.95% | Interest Income | |
| 2023-04-17 | 2023-05-24 | Completed | 33.33% | $37.71 | $37.47 | -0.69% | Signal | |
| 2023-02-15 | 2023-05-15 | Completed | 33.33% | $37.47 | $37.93 | 1.18% | Signal | |
| 2023-03-29 | 2023-05-03 | Completed | 33.33% | $37.60 | $38.29 | 1.78% | Signal | |
| 2023-03-06 | 2023-04-17 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.55% | Interest Income | |
| 2023-02-23 | 2023-03-29 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.45% | Interest Income | |
| 2022-12-05 | 2023-03-06 | Completed | 33.33% | $37.20 | $36.85 | -0.99% | Signal | |
| 2023-02-09 | 2023-02-23 | Completed | 33.33% | $37.76 | $37.21 | -1.51% | Signal | |
| 2022-09-15 | 2023-02-15 | Interest (CASH) | 33.33% | $1.00 | $1.02 | 1.74% | Interest Income | |
| 2023-01-18 | 2023-02-09 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.29% | Interest Income | |
| 2022-11-18 | 2023-01-18 | Completed | 33.33% | $36.62 | $38.24 | 4.35% | Signal | |
| 2022-09-13 | 2022-12-05 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.89% | Interest Income | |
| 2022-08-31 | 2022-11-18 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.81% | Interest Income | |
| 2022-08-01 | 2022-09-15 | Completed | 33.33% | $39.41 | $37.35 | -5.27% | Stop | |
| 2022-08-01 | 2022-09-13 | Completed | 33.33% | $39.41 | $37.48 | -4.95% | Signal | |
| 2022-07-20 | 2022-08-31 | Completed | 33.33% | $38.36 | $38.14 | -0.61% | Signal | |
| 2021-11-18 | 2022-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.53% | Interest Income | |
| 2021-09-29 | 2022-08-01 | Interest (CASH) | 33.33% | $1.00 | $1.01 | 0.54% | Interest Income | |
| 2022-06-16 | 2022-07-20 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.17% | Interest Income | |
| 2022-06-02 | 2022-06-16 | Completed | 33.33% | $38.75 | $37.53 | -3.19% | Signal | |
| 2022-01-06 | 2022-06-02 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2021-12-30 | 2022-01-06 | Completed | 33.33% | $42.13 | $41.83 | -0.76% | Signal | |
| 2021-10-01 | 2021-12-30 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-09-16 | 2021-11-18 | Completed | 33.33% | $42.56 | $42.15 | -1.01% | Signal | |
| 2021-09-17 | 2021-10-01 | Completed | 33.33% | $42.52 | $42.41 | -0.31% | Signal | |
| 2021-09-16 | 2021-09-29 | Completed | 33.33% | $42.56 | $42.24 | -0.80% | Signal | |
| 2021-09-14 | 2021-09-17 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-09-14 | 2021-09-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2021-09-14 | 2021-09-16 | Interest (CASH) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |