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 SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.2% (compared to the benchmark's drawdown of -8.6%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 3.9%, compared to a Buy-and-Hold benchmark return of 4.5%. The strategy executed 0 total trades.

* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.

📊 Strategy Model 4 Models Available

Compare quantitative moving average overlays for FSEC:

Excess Return MMA

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 Active Model

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.

Switch to MMA to enable

🛡️ FSEC Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-5.2% (vs -8.6% B&H)

+3.4% shallower drawdown

Drawdown Shield

3.4% Cut

Protected capital vs -8.6% B&H

Capital Sheltered from Risk

41.8% 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%	-5.22%	-17.70%	-5.22%	-8.58%
Sharpe Ratio	0.37	0.37	0.69	0.03	0.82	0.63
Sortino Ratio	0.56	0.56	0.66	0.05	0.94	0.96
CAGR	1.68%	1.68%	2.71%	0.22%	3.85%	4.49%
% Time Invested	100.0%	100.0%	41.0%	100.0%	58.2%	100.0%
Trades / Year	0.0	0.0	0.0	0.0	0.0	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of FSEC under the Excess Return SMA strategy (Investing) versus Buy & Hold. The strategy produced a 3.9% CAGR with a -5.2% Max Drawdown across 0 trade signals (compared to Buy & Hold's 4.5% CAGR and -8.6% Max Drawdown).

Histogram of monthly return distribution for FSEC under Excess Return SMA strategy in Investing context, illustrating downside risk mitigation and return skewness. — **Figure 2: Monthly Return Distribution Profile.** Monthly return distribution for **FSEC** under **Excess Return SMA** (Investing). Visualizes return frequency, volatility clustering, and tail-risk truncation relative to standard buy-and-hold returns.

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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
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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
2023-02-28	2024-08-20	Interest (CASH)	100%	$1.00	$1.08	8.04%	Interest Income

Next Steps: Portfolio Integration & Comparative Analysis

Single-ticker trend following is designed to truncate tail risk inside a broader portfolio. View where FSEC ranks across 40+ tracked assets, evaluate correlation against non-correlated diversifiers, or model it inside a custom all-weather asset mix.

📊 View Full 40-Asset Backtest Matrix → 🛠️ Build Custom Portfolio with FSEC → ⚖️ Compare FSEC vs Non-Correlated Assets →