LMBS First Trust Low Duration Opportunities ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-05-31
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 2.5%. 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 | 5.96% | 6.27% | 3.79% | 3.08% | 2.82% | 2.75% | 2.94% | 2.50% |
| Sharpe Ratio | 3.04 | 3.10 | 2.27 | 1.19 | 1.53 | 1.15 | 1.56 | 1.05 |
| Max Drawdown | -1.43% | -1.43% | -1.52% | -6.11% | -5.35% | -6.48% | -5.35% | -6.48% |
| % Time Invested | 100.0% | 100.0% | 68.2% | 100.0% | 75.3% | 100.0% | 78.6% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 1.4 | 0.0 | 1.5 | 0.0 | 1.6 | 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 / Mark-to-Market exit denotes a position currently held active, valued at the latest price. Interest entries record cash yields accrued during out-of-market periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason |
|---|---|---|---|---|---|---|---|
| 2025-06-27 | Open | Open | 33.33% | $47.42 | $49.83 | 5.09% | Mark-to-Market |
| 2024-03-28 | Open | Open | 33.33% | $44.17 | $49.83 | 12.82% | Mark-to-Market |
| 2026-05-26 | Open | Interest (FLOT) | 33.33% | $1.00 | $1.00 | 0.04% | Mark-to-Market |
| 2025-04-14 | 2026-05-26 | Completed | 33.33% | $46.55 | $49.71 | 6.80% | 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% | $45.99 | $46.83 | 1.84% | 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% | $45.99 | $45.92 | -0.14% | 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% | $45.43 | $45.45 | 0.06% | Stop |
| 2024-03-28 | 2024-08-20 | Completed | 33.33% | $44.17 | $45.45 | 2.91% | 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% | $43.73 | $44.13 | 0.92% | 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% | $41.52 | $42.09 | 1.36% | 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% | $40.21 | $42.15 | 4.83% | 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% | $40.21 | $42.87 | 6.63% | Signal |
| 2020-07-09 | 2021-05-05 | Completed | 33.33% | $42.58 | $42.88 | 0.70% | 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% | $40.21 | $42.44 | 5.56% | 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% | $39.38 | $39.98 | 1.52% | Signal |
| 2016-10-31 | 2018-02-23 | Completed | 33.33% | $39.38 | $39.78 | 1.00% | Signal |
| 2017-04-10 | 2017-12-12 | Completed | 33.33% | $39.46 | $39.88 | 1.07% | 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% | $39.38 | $39.35 | -0.07% | 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 |