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 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 2.9%, 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.
📊 Mathematical Model
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
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Investment Objective
🛡️ Long-Term Investing Active
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 Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 4.70% | 4.70% | 4.05% | 3.05% | 2.80% | 2.59% | 2.88% | 2.44% |
| Sharpe Ratio | 2.33 | 2.33 | 1.78 | 1.17 | 1.29 | 1.09 | 1.31 | 1.02 |
| Max Drawdown | -1.43% | -1.43% | -1.72% | -6.05% | -5.35% | -6.48% | -5.35% | -6.48% |
| % Time Invested | 100.0% | 100.0% | 69.6% | 100.0% | 80.6% | 100.0% | 82.8% | 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
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 | ||||||||
| 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% | $42.56 | $42.46 | -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% | $42.21 | $42.56 | 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% | $39.11 | $42.15 | 7.72% | Signal | |
| 2016-10-27 | 2016-10-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |