LGOV vs. LMBS
LGOV (First Trust Long Duration Opportunities ETF) and LMBS (First Trust Low Duration Mortgage Opportunities ETF) are both Mortgage Backed Securities funds from First Trust. Both are actively managed. Over the past 5 years, LGOV returned -1.74%/yr vs 3.03%/yr for LMBS. A 0.62 correlation means they provide meaningful diversification when combined. LGOV charges 0.70%/yr vs 0.68%/yr for LMBS.
Performance
LGOV vs. LMBS - Performance Comparison
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Returns By Period
In the year-to-date period, LGOV achieves a -0.60% return, which is significantly lower than LMBS's 1.24% return.
LGOV
- 1D
- -0.58%
- 1M
- 0.01%
- YTD
- -0.60%
- 6M
- -1.29%
- 1Y
- 5.85%
- 3Y*
- 2.47%
- 5Y*
- -1.74%
- 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%
LGOV vs. LMBS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
LGOV First Trust Long Duration Opportunities ETF | -0.60% | 9.13% | -2.05% | 4.91% | -19.73% | -1.93% | 11.31% | 11.53% |
LMBS First Trust Low Duration Mortgage Opportunities ETF | 1.24% | 7.05% | 5.15% | 6.10% | -3.07% | -0.91% | 1.64% | 3.95% |
Correlation
The correlation between LGOV and LMBS is 0.80, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.80 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.73 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.68 |
Correlation (All Time) Calculated using the full available price history since Jan 24, 2019 | 0.62 |
The correlation between LGOV and LMBS shifts across timeframes, from 0.62 (all time) to 0.80 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
LGOV vs. LMBS — Risk / Return Rank
LGOV
LMBS
LGOV vs. LMBS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Long Duration Opportunities ETF (LGOV) 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.
| LGOV | LMBS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.26 | ||
| Sortino ratioReturn per unit of downside risk | -3.55 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.62 | -0.48 |
| Calmar ratioReturn relative to maximum drawdown | 1.05 | 4.28 | -3.23 |
| Martin ratioReturn relative to average drawdown | 3.08 | 18.25 | -15.16 |
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
| LGOV | LMBS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.84 | 3.10 | -2.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.19 | 1.19 | -1.38 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 1.14 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.13 | 1.13 | -1.00 |
Drawdowns
LGOV vs. LMBS - Drawdown Comparison
The maximum LGOV drawdown since its inception was -30.86%, which is greater than LMBS's maximum drawdown of -6.49%. Use the drawdown chart below to compare losses from any high point for LGOV and LMBS.
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Drawdown Indicators
| LGOV | LMBS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.86% | -6.49% | -24.37% |
Max Drawdown (1Y)Largest decline over 1 year | -5.62% | -1.43% | -4.19% |
Max Drawdown (3Y)Largest decline over 3 years | -12.54% | -1.72% | -10.82% |
Max Drawdown (5Y)Largest decline over 5 years | -28.14% | -6.12% | -22.02% |
Max Drawdown (10Y)Largest decline over 10 years | — | -6.49% | — |
Current DrawdownCurrent decline from peak | -15.30% | -0.34% | -14.96% |
Average DrawdownAverage peak-to-trough decline | -13.08% | -0.80% | -12.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.90% | 0.33% | +1.57% |
Volatility
LGOV vs. LMBS - Volatility Comparison
First Trust Long Duration Opportunities ETF (LGOV) has a higher volatility of 2.71% compared to First Trust Low Duration Mortgage Opportunities ETF (LMBS) at 0.68%. This indicates that LGOV'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
| LGOV | LMBS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.71% | 0.68% | +2.03% |
Volatility (6M)Calculated over the trailing 6-month period | 5.15% | 1.45% | +3.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.01% | 1.97% | +5.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.07% | 2.56% | +6.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.24% | 2.36% | +6.88% |
LGOV vs. LMBS - Expense Ratio Comparison
LGOV has a 0.70% expense ratio, which is higher than LMBS's 0.68% expense ratio.
Dividends
LGOV vs. LMBS - Dividend Comparison
LGOV's dividend yield for the trailing twelve months is around 4.27%, more than LMBS's 4.10% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
LGOV First Trust Long Duration Opportunities ETF | 4.27% | 4.02% | 4.03% | 3.59% | 1.97% | 2.58% | 3.75% | 3.01% | 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
LGOV and LMBS have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LGOV has higher volatility (2.71%) compared to LMBS (0.68%). In terms of maximum drawdown, LGOV dropped -30.86% vs LMBS's -6.49%.
On 5-year performance, LMBS leads with 3.03% vs -1.74% for LGOV. 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, LMBS has performed better with a 3.03% return vs -1.74%. 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 0.70% for LGOV.
LGOV has the higher dividend yield at 4.27%, compared with 4.10% for LMBS.
Their fees differ too: 0.70% for LGOV and 0.68% for LMBS.
LMBS currently has the higher Sharpe Ratio (3.10 vs 0.84), 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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