MBOX vs. LMBS
MBOX (Freedom Day Dividend ETF) and LMBS (First Trust Low Duration Mortgage Opportunities ETF) are both exchange-traded funds - MBOX is a Dividend fund actively managed by EMPIRICAL FINANCE LLC, while LMBS is a Mortgage Backed Securities fund actively managed by First Trust. Both are actively managed. Over the past 5 years, MBOX returned 11.86%/yr vs 3.03%/yr for LMBS. At a 0.14 correlation, their price movements are largely independent. MBOX charges 0.39%/yr vs 0.68%/yr for LMBS.
Performance
MBOX vs. LMBS - Performance Comparison
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Returns By Period
In the year-to-date period, MBOX achieves a 15.47% return, which is significantly higher than LMBS's 1.24% return.
MBOX
- 1D
- -0.28%
- 1M
- 5.07%
- YTD
- 15.47%
- 6M
- 14.89%
- 1Y
- 23.95%
- 3Y*
- 19.61%
- 5Y*
- 11.86%
- 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%
MBOX vs. LMBS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
MBOX Freedom Day Dividend ETF | 15.47% | 8.72% | 16.39% | 15.84% | -4.32% | 9.48% |
LMBS First Trust Low Duration Mortgage Opportunities ETF | 1.24% | 7.05% | 5.15% | 6.10% | -3.07% | -1.07% |
Correlation
The correlation between MBOX and LMBS is 0.29, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.29 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.23 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.14 |
Correlation (All Time) Calculated using the full available price history since May 6, 2021 | 0.14 |
The correlation between MBOX and LMBS shifts across timeframes, from 0.14 (all time) to 0.29 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
MBOX vs. LMBS — Risk / Return Rank
MBOX
LMBS
MBOX vs. LMBS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Freedom Day Dividend ETF (MBOX) 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.
| MBOX | LMBS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.86 | ||
| Sortino ratioReturn per unit of downside risk | -1.54 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.62 | -0.23 |
| Calmar ratioReturn relative to maximum drawdown | 4.19 | 4.28 | -0.09 |
| Martin ratioReturn relative to average drawdown | 13.88 | 18.25 | -4.37 |
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
| MBOX | LMBS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.24 | 3.10 | -0.86 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.82 | 1.19 | -0.36 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 1.14 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.83 | 1.13 | -0.30 |
Drawdowns
MBOX vs. LMBS - Drawdown Comparison
The maximum MBOX drawdown since its inception was -16.42%, which is greater than LMBS's maximum drawdown of -6.49%. Use the drawdown chart below to compare losses from any high point for MBOX and LMBS.
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Drawdown Indicators
| MBOX | LMBS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -16.42% | -6.49% | -9.93% |
Max Drawdown (1Y)Largest decline over 1 year | -5.75% | -1.43% | -4.32% |
Max Drawdown (3Y)Largest decline over 3 years | -16.37% | -1.72% | -14.65% |
Max Drawdown (5Y)Largest decline over 5 years | -16.42% | -6.12% | -10.30% |
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 | -3.46% | -0.80% | -2.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.73% | 0.33% | +1.40% |
Volatility
MBOX vs. LMBS - Volatility Comparison
Freedom Day Dividend ETF (MBOX) has a higher volatility of 3.14% compared to First Trust Low Duration Mortgage Opportunities ETF (LMBS) at 0.68%. This indicates that MBOX'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
| MBOX | LMBS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.14% | 0.68% | +2.46% |
Volatility (6M)Calculated over the trailing 6-month period | 7.81% | 1.45% | +6.36% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.76% | 1.97% | +8.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.49% | 2.56% | +11.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.47% | 2.36% | +12.11% |
MBOX vs. LMBS - Expense Ratio Comparison
MBOX has a 0.39% expense ratio, which is lower than LMBS's 0.68% expense ratio.
Dividends
MBOX vs. LMBS - Dividend Comparison
MBOX's dividend yield for the trailing twelve months is around 1.89%, less than LMBS's 4.10% 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% |
MBOX Freedom Day Dividend ETF | 1.89% | 1.94% | 1.60% | 2.13% | 2.87% | 1.17% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
MBOX and LMBS have a correlation of 0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MBOX has higher volatility (3.14%) compared to LMBS (0.68%). In terms of maximum drawdown, MBOX dropped -16.42% vs LMBS's -6.49%.
On 5-year performance, MBOX leads with 11.86% vs 3.03% for LMBS. On fees, MBOX is cheaper at 0.39% 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, MBOX has performed better with a 11.86% return vs 3.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
MBOX is cheaper with a 0.39% expense ratio, compared with 0.68% for LMBS.
LMBS has the higher dividend yield at 4.10%, compared with 1.89% for MBOX.
MBOX is categorized as Dividend, while LMBS is Mortgage Backed Securities. They also come from different issuers: EMPIRICAL FINANCE LLC and First Trust. Their fees differ too: 0.39% for MBOX and 0.68% for LMBS.
LMBS currently has the higher Sharpe Ratio (3.10 vs 2.24), 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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