LMBS vs. VMBS
LMBS (First Trust Low Duration Mortgage Opportunities ETF) and VMBS (Vanguard Mortgage-Backed Securities ETF) are both Mortgage Backed Securities funds. LMBS is actively managed, while VMBS is passively managed. Over the past 10 years, LMBS returned 2.67%/yr vs 1.35%/yr for VMBS. A 0.55 correlation means they provide meaningful diversification when combined. LMBS charges 0.68%/yr vs 0.04%/yr for VMBS.
Performance
LMBS vs. VMBS - Performance Comparison
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Returns By Period
In the year-to-date period, LMBS achieves a 1.24% return, which is significantly higher than VMBS's 0.66% return. Over the past 10 years, LMBS has outperformed VMBS with an annualized return of 2.67%, while VMBS has yielded a comparatively lower 1.35% annualized return.
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%
VMBS
- 1D
- -0.15%
- 1M
- 0.33%
- YTD
- 0.66%
- 6M
- 0.85%
- 1Y
- 6.93%
- 3Y*
- 4.60%
- 5Y*
- 0.48%
- 10Y*
- 1.35%
LMBS vs. VMBS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
LMBS First Trust Low Duration Mortgage Opportunities ETF | 1.24% | 7.05% | 5.15% | 6.10% | -3.07% | -0.91% | 1.64% | 4.10% | 1.62% | 1.68% |
VMBS Vanguard Mortgage-Backed Securities ETF | 0.66% | 8.36% | 1.70% | 5.34% | -11.90% | -1.28% | 3.76% | 6.19% | 0.91% | 2.47% |
Correlation
The correlation between LMBS and VMBS is 0.81, 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 | 0.81 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.70 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.60 |
Correlation (All Time) Calculated using the full available price history since Nov 6, 2014 | 0.55 |
Over the past year, LMBS and VMBS have become more correlated (0.81) than their long-term average of 0.55, meaning their price movements have been converging.
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Return for Risk
LMBS vs. VMBS — Risk / Return Rank
LMBS
VMBS
LMBS vs. VMBS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Low Duration Mortgage Opportunities ETF (LMBS) and Vanguard Mortgage-Backed Securities ETF (VMBS). 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.
| LMBS | VMBS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.51 | ||
| Sortino ratioReturn per unit of downside risk | +2.42 | ||
| Omega ratioGain probability vs. loss probability | 1.62 | 1.29 | +0.33 |
| Calmar ratioReturn relative to maximum drawdown | 4.28 | 2.59 | +1.68 |
| Martin ratioReturn relative to average drawdown | 18.25 | 8.68 | +9.56 |
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
| LMBS | VMBS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.10 | 1.59 | +1.51 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.19 | 0.07 | +1.12 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.14 | 0.25 | +0.89 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.13 | 0.46 | +0.67 |
Drawdowns
LMBS vs. VMBS - Drawdown Comparison
The maximum LMBS drawdown since its inception was -6.49%, smaller than the maximum VMBS drawdown of -17.47%. Use the drawdown chart below to compare losses from any high point for LMBS and VMBS.
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Drawdown Indicators
| LMBS | VMBS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -6.49% | -17.47% | +10.98% |
Max Drawdown (1Y)Largest decline over 1 year | -1.43% | -2.68% | +1.25% |
Max Drawdown (3Y)Largest decline over 3 years | -1.72% | -7.65% | +5.93% |
Max Drawdown (5Y)Largest decline over 5 years | -6.12% | -17.12% | +11.00% |
Max Drawdown (10Y)Largest decline over 10 years | -6.49% | -17.47% | +10.98% |
Current DrawdownCurrent decline from peak | -0.34% | -1.33% | +0.99% |
Average DrawdownAverage peak-to-trough decline | -0.80% | -2.49% | +1.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.33% | 0.80% | -0.47% |
Volatility
LMBS vs. VMBS - Volatility Comparison
The current volatility for First Trust Low Duration Mortgage Opportunities ETF (LMBS) is 0.68%, while Vanguard Mortgage-Backed Securities ETF (VMBS) has a volatility of 1.62%. This indicates that LMBS experiences smaller price fluctuations and is considered to be less risky than VMBS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| LMBS | VMBS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.68% | 1.62% | -0.94% |
Volatility (6M)Calculated over the trailing 6-month period | 1.45% | 3.16% | -1.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.97% | 4.37% | -2.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.56% | 6.77% | -4.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 2.36% | 5.40% | -3.04% |
LMBS vs. VMBS - Expense Ratio Comparison
LMBS has a 0.68% expense ratio, which is higher than VMBS's 0.04% expense ratio.
Dividends
LMBS vs. VMBS - Dividend Comparison
LMBS's dividend yield for the trailing twelve months is around 4.10%, less than VMBS's 4.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
VMBS Vanguard Mortgage-Backed Securities ETF | 4.19% | 4.20% | 3.94% | 3.31% | 2.35% | 1.02% | 2.01% | 2.77% | 2.72% | 2.16% | 2.10% | 2.12% |
Frequently Asked Questions
LMBS and VMBS have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VMBS has higher volatility (1.62%) compared to LMBS (0.68%). In terms of maximum drawdown, LMBS dropped -6.49% vs VMBS's -17.47%.
On 10-year performance, LMBS leads with 2.67% vs 1.35% for VMBS. On fees, VMBS is cheaper at 0.04% 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 10-year period, LMBS has performed better with a 2.67% return vs 1.35%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VMBS is cheaper with a 0.04% expense ratio, compared with 0.68% for LMBS.
VMBS has the higher dividend yield at 4.19%, compared with 4.10% for LMBS.
They also come from different issuers: First Trust and Vanguard. Their fees differ too: 0.68% for LMBS and 0.04% for VMBS.
LMBS currently has the higher Sharpe Ratio (3.10 vs 1.59), 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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