LMBS
First Trust Low Duration Opportunities ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for LMBS (First Trust Low Duration Opportunities ETF) using the Excess Return MMA CA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -5.3% (compared to the benchmark's drawdown of -6.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.9%, compared to a Buy-and-Hold benchmark return of 2.4%. The strategy executed 15 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.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
LMBS Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.91% | 4.70% | 3.76% | 3.05% | 2.77% | 2.59% | 2.85% | 2.44% |
| Sharpe Ratio | 2.59 | 2.33 | 2.24 | 1.17 | 1.49 | 1.09 | 1.51 | 1.02 |
| Max Drawdown | -1.43% | -1.43% | -1.52% | -6.05% | -5.35% | -6.48% | -5.35% | -6.48% |
| % Time Invested | 100.0% | 100.0% | 68.2% | 100.0% | 76.8% | 100.0% | 79.0% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.4 | 0.0 | 1.5 | 0.0 | 1.5 | 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 | ||||||||
| 2025-04-14 | 2026-05-26 | Completed | 33.33% | $46.23 | $49.37 | 6.75% | Signal | |
| 2025-06-03 | 2025-06-27 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.39% | Interest Income | |
| 2025-05-28 | 2025-06-02 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.07% | Interest Income | |
| 2024-09-12 | 2025-05-28 | Completed | 33.33% | $45.67 | $46.51 | 1.79% | Signal | |
| 2024-12-31 | 2025-04-14 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.16% | Interest Income | |
| 2024-09-12 | 2024-12-31 | Completed | 33.33% | $45.67 | $45.61 | -0.19% | Signal | |
| 2024-08-20 | 2024-09-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2024-08-20 | 2024-09-12 | Interest (SHV) | 33.33% | $1.00 | $1.00 | 0.35% | Interest Income | |
| 2024-08-02 | 2024-08-20 | Completed | 33.33% | $45.12 | $45.15 | 0.01% | Stop | |
| 2024-03-28 | 2024-08-20 | Completed | 33.33% | $43.87 | $45.15 | 2.86% | Stop | |
| 2024-05-20 | 2024-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 1.21% | Interest Income | |
| 2024-01-18 | 2024-05-20 | Completed | 33.33% | $43.43 | $43.83 | 0.87% | Signal | |
| 2023-06-02 | 2024-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 5.70% | Interest Income | |
| 2023-06-02 | 2024-03-28 | Interest (FLOT) | 33.33% | $1.00 | $1.06 | 5.70% | Interest Income | |
| 2023-06-20 | 2024-01-18 | Interest (FLOT) | 33.33% | $1.00 | $1.04 | 3.70% | Interest Income | |
| 2023-02-24 | 2023-06-20 | Completed | 33.33% | $41.24 | $41.80 | 1.31% | Signal | |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income | |
| 2023-04-04 | 2023-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.01 | 0.71% | Interest Income | |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income | |
| 2022-12-02 | 2023-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.87% | Interest Income | |
| 2022-12-02 | 2023-02-24 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.89% | 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 | 2022-12-01 | Interest (BIL) | 33.33% | $1.00 | $1.01 | 0.52% | Interest Income | |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income | |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income | |
| 2022-09-02 | 2022-10-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.05% | Interest Income | |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2022-03-02 | 2022-09-01 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.37% | Interest Income | |
| 2022-02-22 | 2022-03-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.06% | 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 | |
| 2018-11-20 | 2022-02-22 | Completed | 33.33% | $39.94 | $41.86 | 4.77% | Signal | |
| 2021-11-02 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income | |
| 2021-11-02 | 2022-01-03 | Interest (BIL) | 33.33% | $1.00 | $1.00 | -0.03% | Interest Income | |
| 2021-09-02 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-09-02 | 2021-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |
| 2021-08-03 | 2021-09-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |
| 2021-07-29 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2021-05-05 | 2021-08-02 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2018-11-20 | 2021-07-29 | Completed | 33.33% | $39.94 | $42.58 | 6.57% | Signal | |
| 2020-07-09 | 2021-05-05 | Completed | 33.33% | $42.29 | $42.59 | 0.65% | Signal | |
| 2020-06-02 | 2020-07-09 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.66% | Interest Income | |
| 2020-05-18 | 2020-06-01 | Interest (SHV) | 33.33% | $1.00 | $1.00 | -0.02% | Interest Income | |
| 2018-11-20 | 2020-05-18 | Completed | 33.33% | $39.94 | $42.15 | 5.50% | Signal | |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2018-11-02 | 2018-11-20 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.08% | Interest Income | |
| 2018-06-08 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.01 | 0.92% | Interest Income | |
| 2018-02-23 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.52% | Interest Income | |
| 2017-12-12 | 2018-11-01 | Interest (FLOT) | 33.33% | $1.00 | $1.02 | 1.96% | Interest Income | |
| 2016-10-31 | 2018-06-08 | Completed | 33.33% | $39.11 | $39.71 | 1.47% | Signal | |
| 2016-10-31 | 2018-02-23 | Completed | 33.33% | $39.11 | $39.51 | 0.95% | Signal | |
| 2017-04-10 | 2017-12-12 | Completed | 33.33% | $39.19 | $39.61 | 1.02% | Signal | |
| 2017-04-04 | 2017-04-10 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2017-03-17 | 2017-04-03 | Interest (FLOT) | 33.33% | $1.00 | $1.00 | -0.07% | Interest Income | |
| 2016-10-31 | 2017-03-17 | Completed | 33.33% | $39.11 | $39.09 | -0.12% | Signal | |
| 2016-10-27 | 2016-10-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-10-27 | 2016-10-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2016-10-27 | 2016-10-31 | Interest (BIL) | 33.33% | $1.00 | $1.00 | 0.02% | Interest Income | |