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 Moving Average (50/200)* 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 3 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 Strategy Model 4 Models Available
Compare quantitative moving average overlays for LMBS:
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
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active Model
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.
Switch to MMA to enable
🛡️ 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
1.31 Sortino
+0.14 vs 1.17 B&H
Capital Sheltered from Risk
16.9% 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% | -1.72% | -5.97% | -5.35% | -6.48% | -5.35% | -6.48% |
| Sharpe Ratio | 1.41 | 1.41 | 1.76 | 1.16 | 1.28 | 1.03 | 1.29 | 1.01 |
| Sortino Ratio | 1.94 | 1.94 | 2.09 | 1.67 | 1.30 | 1.20 | 1.31 | 1.17 |
| CAGR | 2.85% | 2.85% | 4.04% | 3.05% | 2.80% | 2.45% | 2.84% | 2.41% |
| % Time Invested | 100.0% | 100.0% | 72.3% | 100.0% | 81.9% | 100.0% | 83.1% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.3 | 0.0 | 0.3 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
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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 | ||||||||
| 2021-07-21 | 2023-01-30 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.44% | Interest Income | |
| 2021-05-27 | 2021-07-21 | Completed | 100% | $42.41 | $42.31 | -0.29% | Signal | |
| 2021-04-30 | 2021-05-27 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2020-06-10 | 2021-04-30 | Completed | 100% | $42.07 | $42.42 | 0.79% | Signal | |
| 2020-05-18 | 2020-06-10 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2016-10-31 | 2020-05-18 | Completed | 100% | $38.98 | $42.01 | 7.72% | Signal | |
| 2016-10-27 | 2016-10-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |