LMBS

First Trust Low Duration Opportunities ETF

TREND FOLLOWING PERFORMANCE HISTORY

2026-09-10

Executive Summary

The quantitative backtest for LMBS (First Trust Low Duration Opportunities ETF) using the Excess Return MMA* 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 2.8%, compared to a Buy-and-Hold benchmark return of 2.4%. The strategy executed 16 total trades.

* 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 LMBS:

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 LMBS:

🛡️ 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.

🛡️ LMBS Drawdown Shield & Downside Protection

Why Drawdown Dictates Longevity →

Peak Drawdown Defense

-5.3% (vs -6.5% B&H)

+1.1% shallower drawdown

Downside Efficiency

1.39 Sortino

+0.22 vs 1.17 B&H

Capital Sheltered from Risk

35.9% 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.

📊 LMBS Quality Metrics & KPI Summary

Metric	1Y		5Y		10Y		Full
	Strategy	B&H	Strategy	B&H	Strategy	B&H	Strategy	B&H
Max Drawdown	-1.43%	-1.43%	-1.52%	-5.97%	-5.35%	-6.48%	-5.35%	-6.48%
Sharpe Ratio	1.93	1.41	2.46	1.16	1.54	1.03	1.55	1.01
Sortino Ratio	2.70	1.94	2.52	1.67	1.37	1.20	1.39	1.17
CAGR	3.47%	2.85%	3.78%	3.05%	2.75%	2.45%	2.79%	2.41%
% Time Invested	86.8%	100.0%	48.1%	100.0%	63.3%	100.0%	64.1%	100.0%
Trades / Year	0.0	0.0	1.6	0.0	1.6	0.0	1.6	0.0

Cumulative Growth Performance

Hydrating Performance Trajectory... Loading historical performance data

Figure 1: Cumulative Trajectory Analysis. Logarithmic growth comparison of LMBS under the Excess Return MMA strategy (Investing) versus Buy & Hold. The strategy produced a 2.8% CAGR with a -5.3% Max Drawdown across 16 trade signals (compared to Buy & Hold's 2.4% CAGR and -6.5% Max Drawdown).

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

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Top Diversifiers for LMBS

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
2025-04-14	2026-05-26	Completed	33.33%	$46.07	$49.20	6.75%	Signal
2025-05-28	2025-06-27	Interest (CASH)	33.33%	$1.00	$1.00	0.36%	Interest Income
2024-09-12	2025-05-28	Completed	33.33%	$45.52	$46.35	1.79%	Signal
2024-12-31	2025-04-14	Interest (CASH)	33.33%	$1.00	$1.01	1.19%	Interest Income
2024-09-12	2024-12-31	Completed	33.33%	$45.52	$45.45	-0.19%	Signal
2024-08-20	2024-09-12	Interest (CASH)	33.33%	$1.00	$1.00	0.32%	Interest Income
2024-08-20	2024-09-12	Interest (CASH)	33.33%	$1.00	$1.00	0.32%	Interest Income
2024-08-02	2024-08-20	Completed	33.33%	$44.96	$44.99	0.01%	Stop
2024-03-28	2024-08-20	Completed	33.33%	$43.72	$44.99	2.86%	Stop
2024-05-20	2024-08-02	Interest (CASH)	33.33%	$1.00	$1.01	1.08%	Interest Income
2024-01-18	2024-05-20	Completed	33.33%	$43.28	$43.68	0.87%	Signal
2022-02-22	2024-03-28	Interest (CASH)	33.33%	$1.00	$1.09	8.76%	Interest Income
2021-07-29	2024-03-28	Interest (CASH)	33.33%	$1.00	$1.09	8.82%	Interest Income
2023-06-20	2024-01-18	Interest (CASH)	33.33%	$1.00	$1.03	3.16%	Interest Income
2023-02-24	2023-06-20	Completed	33.33%	$41.10	$41.66	1.31%	Signal
2021-05-05	2023-02-24	Interest (CASH)	33.33%	$1.00	$1.03	2.79%	Interest Income
2018-11-20	2022-02-22	Completed	33.33%	$39.80	$41.72	4.77%	Signal
2018-11-20	2021-07-29	Completed	33.33%	$39.80	$42.44	6.57%	Signal
2020-07-09	2021-05-05	Completed	33.33%	$42.15	$42.44	0.65%	Signal
2020-05-18	2020-07-09	Interest (CASH)	33.33%	$1.00	$1.00	0.02%	Interest Income
2018-11-20	2020-05-18	Completed	33.33%	$39.80	$42.01	5.50%	Signal
2018-06-08	2018-11-20	Interest (CASH)	33.33%	$1.00	$1.01	0.97%	Interest Income
2018-02-23	2018-11-20	Interest (CASH)	33.33%	$1.00	$1.01	1.49%	Interest Income
2017-12-12	2018-11-20	Interest (CASH)	33.33%	$1.00	$1.02	1.78%	Interest Income
2016-10-31	2018-06-08	Completed	33.33%	$38.98	$39.57	1.47%	Signal
2016-10-31	2018-02-23	Completed	33.33%	$38.98	$39.37	0.95%	Signal
2017-04-10	2017-12-12	Completed	33.33%	$39.06	$39.47	1.02%	Signal
2017-03-17	2017-04-10	Interest (CASH)	33.33%	$1.00	$1.00	0.05%	Interest Income
2016-10-31	2017-03-17	Completed	33.33%	$38.98	$38.95	-0.12%	Signal
2016-10-27	2016-10-31	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2016-10-27	2016-10-31	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income
2016-10-27	2016-10-31	Interest (CASH)	33.33%	$1.00	$1.00	0.00%	Interest Income

Next Steps: Portfolio Integration & Comparative Analysis

Single-ticker trend following is designed to truncate tail risk inside a broader portfolio. View where LMBS 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 LMBS → ⚖️ Compare LMBS vs Non-Correlated Assets →