LCR vs. LMBS
LCR (Leuthold Core ETF) and LMBS (First Trust Low Duration Mortgage Opportunities ETF) are both exchange-traded funds - LCR is a Diversified Portfolio fund actively managed by The Leuthold Group LLC, while LMBS is a Mortgage Backed Securities fund actively managed by First Trust. Both are actively managed. Over the past 5 years, LCR returned 6.74%/yr vs 3.03%/yr for LMBS. At a 0.13 correlation, their price movements are largely independent. LCR charges 0.79%/yr vs 0.68%/yr for LMBS.
Performance
LCR vs. LMBS - Performance Comparison
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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%
LCR vs. LMBS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
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
LCR
LMBS
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.
| LCR | LMBS | Difference | |
|---|---|---|---|
| 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 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| LCR | LMBS | Difference | |
|---|---|---|---|
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
| LCR | LMBS | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -0.28% | -0.34% | +0.06% |
Average DrawdownAverage peak-to-trough decline | -2.84% | -0.80% | -2.04% |
Ulcer IndexDepth 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
| LCR | LMBS | Difference | |
|---|---|---|---|
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.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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.
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