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LCR vs. LMBS
Performance
Return for Risk
Drawdowns
Volatility
Dividends

Performance

LCR vs. LMBS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Leuthold Core ETF (LCR) and First Trust Low Duration Mortgage Opportunities ETF (LMBS). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, LCR achieves a 4.15% return, which is significantly higher than LMBS's 1.24% return.


LCR

1D
-0.28%
1M
2.71%
YTD
4.15%
6M
5.01%
1Y
14.07%
3Y*
11.32%
5Y*
6.74%
10Y*

LMBS

1D
-0.10%
1M
0.11%
YTD
1.24%
6M
1.47%
1Y
6.09%
3Y*
5.73%
5Y*
3.03%
10Y*
2.67%
*Multi-year figures are annualized to reflect compound growth (CAGR)

LCR vs. LMBS - Yearly Performance Comparison


2026 (YTD)202520242023202220212020
LCR
Leuthold Core ETF
4.15%12.43%8.68%12.80%-7.58%12.12%13.28%
LMBS
First Trust Low Duration Mortgage Opportunities ETF
1.24%7.05%5.15%6.10%-3.07%-0.91%1.41%

Correlation

The correlation between LCR and LMBS is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.


Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.36

Correlation (3Y)
Calculated over the trailing 3-year period

0.31

Correlation (5Y)
Calculated over the trailing 5-year period

0.19

Correlation (All Time)
Calculated using the full available price history since Jan 7, 2020

0.13

Over the past year, LCR and LMBS have become more correlated (0.36) than their long-term average of 0.13, meaning their price movements have been converging.

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Return for Risk

LCR vs. LMBS — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

LCR
LCR Risk / Return Rank: 5555
Overall Rank
LCR Sharpe Ratio Rank: 5555
Sharpe Ratio Rank
LCR Sortino Ratio Rank: 5959
Sortino Ratio Rank
LCR Omega Ratio Rank: 5656
Omega Ratio Rank
LCR Calmar Ratio Rank: 4848
Calmar Ratio Rank
LCR Martin Ratio Rank: 5656
Martin Ratio Rank

LMBS
LMBS Risk / Return Rank: 8888
Overall Rank
LMBS Sharpe Ratio Rank: 9090
Sharpe Ratio Rank
LMBS Sortino Ratio Rank: 9393
Sortino Ratio Rank
LMBS Omega Ratio Rank: 9292
Omega Ratio Rank
LMBS Calmar Ratio Rank: 8181
Calmar Ratio Rank
LMBS Martin Ratio Rank: 8686
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

LCR vs. LMBS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Leuthold Core ETF (LCR) and First Trust Low Duration Mortgage Opportunities ETF (LMBS). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


LCRLMBSDifference
Sharpe ratioReturn per unit of total volatility

-1.21

Sortino ratioReturn per unit of downside risk

-2.04

Omega ratioGain probability vs. loss probability

1.34

1.62

-0.28

Calmar ratioReturn relative to maximum drawdown

2.35

4.28

-1.93

Martin ratioReturn relative to average drawdown

9.69

18.25

-8.56

LCR vs. LMBS - Sharpe Ratio Comparison

The current LCR Sharpe Ratio is 1.89, which is lower than the LMBS Sharpe Ratio of 3.10. The chart below compares the historical Sharpe Ratios of LCR and LMBS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Sharpe Ratios by Period


LCRLMBSDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.89

3.10

-1.21

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.75

1.19

-0.44

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

1.14

Sharpe Ratio (All Time)

Calculated using the full available price history

0.75

1.13

-0.38

Drawdowns

LCR vs. LMBS - Drawdown Comparison

The maximum LCR drawdown since its inception was -17.44%, which is greater than LMBS's maximum drawdown of -6.49%. Use the drawdown chart below to compare losses from any high point for LCR and LMBS.


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Drawdown Indicators


LCRLMBSDifference

Max Drawdown

Largest peak-to-trough decline

-17.44%

-6.49%

-10.95%

Max Drawdown (1Y)

Largest decline over 1 year

-6.02%

-1.43%

-4.59%

Max Drawdown (3Y)

Largest decline over 3 years

-8.59%

-1.72%

-6.87%

Max Drawdown (5Y)

Largest decline over 5 years

-13.40%

-6.12%

-7.28%

Max Drawdown (10Y)

Largest decline over 10 years

-6.49%

Current Drawdown

Current decline from peak

-0.28%

-0.34%

+0.06%

Average Drawdown

Average peak-to-trough decline

-2.84%

-0.80%

-2.04%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.46%

0.33%

+1.13%

Volatility

LCR vs. LMBS - Volatility Comparison

Leuthold Core ETF (LCR) has a higher volatility of 2.08% compared to First Trust Low Duration Mortgage Opportunities ETF (LMBS) at 0.68%. This indicates that LCR's price experiences larger fluctuations and is considered to be riskier than LMBS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


LCRLMBSDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.08%

0.68%

+1.40%

Volatility (6M)

Calculated over the trailing 6-month period

5.98%

1.45%

+4.53%

Volatility (1Y)

Calculated over the trailing 1-year period

7.49%

1.97%

+5.52%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

9.02%

2.56%

+6.46%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

11.40%

2.36%

+9.04%

LCR vs. LMBS - Expense Ratio Comparison

LCR has a 0.79% expense ratio, which is higher than LMBS's 0.68% expense ratio.


Dividends

LCR vs. LMBS - Dividend Comparison

LCR's dividend yield for the trailing twelve months is around 1.31%, less than LMBS's 4.10% yield.


PositionTTM20252024202320222021202020192018201720162015
LCR
Leuthold Core ETF
1.31%1.37%1.86%1.60%0.75%0.21%0.62%0.00%0.00%0.00%0.00%0.00%
LMBS
First Trust Low Duration Mortgage Opportunities ETF
4.10%4.08%4.28%3.96%2.22%2.04%2.27%2.55%2.76%2.73%2.84%3.03%

Frequently Asked Questions


LCR and LMBS have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

LCR has higher volatility (2.08%) compared to LMBS (0.68%). In terms of maximum drawdown, LCR dropped -17.44% vs LMBS's -6.49%.

On 5-year performance, LCR leads with 6.74% vs 3.03% for LMBS. On fees, LMBS is cheaper at 0.68% per year. On volatility, LMBS has been the lower-risk option at 0.68%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, LCR has performed better with a 6.74% return vs 3.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

LMBS is cheaper with a 0.68% expense ratio, compared with 0.79% for LCR.

LMBS has the higher dividend yield at 4.10%, compared with 1.31% for LCR.

LCR is categorized as Diversified Portfolio, while LMBS is Mortgage Backed Securities. They also come from different issuers: The Leuthold Group LLC and First Trust. Their fees differ too: 0.79% for LCR and 0.68% for LMBS.

LMBS currently has the higher Sharpe Ratio (3.10 vs 1.89), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

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