BAB vs. KMLM
BAB (Invesco Taxable Municipal Bond ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - BAB is a Municipal Bonds fund tracking the BofA Merrill Lynch Build America Bond Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, BAB returned -1.31%/yr vs 5.46%/yr for KMLM. Their -0.34 correlation means they have often moved in opposite directions in the past. BAB charges 0.28%/yr vs 0.90%/yr for KMLM.
Performance
BAB vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, BAB achieves a -0.69% return, which is significantly lower than KMLM's 10.64% return.
BAB
- 1D
- 0.30%
- 1M
- -1.24%
- 6M
- -0.25%
- YTD
- -0.69%
- 1Y
- 2.76%
- 3Y*
- 4.48%
- 5Y*
- -1.31%
- 10Y*
- 1.92%
- ALL TIME*
- 4.63%
KMLM
- 1D
- -2.05%
- 1M
- 4.67%
- 6M
- 8.67%
- YTD
- 10.64%
- 1Y
- 15.77%
- 3Y*
- -0.31%
- 5Y*
- 5.46%
- 10Y*
- —
- ALL TIME*
- 7.06%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $6.38M | $6.97M | $5.75M | |
| $10.28M | $9.90M | $7.93M |
BAB vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
BAB Invesco Taxable Municipal Bond ETF | -0.69% | 8.30% | 1.03% | 8.67% | -19.50% | 1.00% | 1.52% |
KMLM KFA Mount Lucas Index Strategy ETF | 10.64% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between BAB and KMLM is -0.33, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.33 |
Correlation (3Y) Balances recent behavior with more history. | -0.26 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.36 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.34 |
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Return for Risk
BAB vs. KMLM — Risk / Return Rank
BAB
KMLM
BAB vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Taxable Municipal Bond ETF (BAB) and KFA Mount Lucas Index Strategy ETF (KMLM). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| BAB | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.86 | ||
| Sortino ratioReturn per unit of downside risk | -1.10 | ||
| Omega ratioGain probability vs. loss probability | 1.09 | 1.25 | -0.16 |
| Calmar ratioReturn relative to maximum drawdown | 0.67 | 1.65 | -0.98 |
| Martin ratioReturn relative to average drawdown | 1.58 | 5.33 | -3.75 |
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Drawdowns
BAB vs. KMLM - Drawdown Comparison
The maximum BAB drawdown since its inception was -27.80%, roughly equal to the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for BAB and KMLM.
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Drawdown Indicators
| BAB | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.80% | -27.47% | -0.33% |
Max Drawdown (1Y)Largest decline over 1 year | -4.15% | -9.61% | +5.46% |
Max Drawdown (3Y)Largest decline over 3 years | -6.43% | -22.28% | +15.85% |
Max Drawdown (5Y)Largest decline over 5 years | -24.77% | -27.47% | +2.70% |
Max Drawdown (10Y)Largest decline over 10 years | -27.80% | — | — |
Current DrawdownCurrent decline from peak | -6.40% | -13.73% | +7.33% |
Average DrawdownAverage peak-to-trough decline | -5.31% | -12.79% | +7.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.75% | 2.97% | -1.22% |
Volatility
BAB vs. KMLM - Volatility Comparison
The current volatility for Invesco Taxable Municipal Bond ETF (BAB) is 1.38%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.35%. This indicates that BAB experiences smaller price fluctuations and is considered to be less risky than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BAB | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.38% | 4.35% | -2.97% |
Volatility (6M)Calculated over the trailing 6-month period | 3.84% | 10.24% | -6.40% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.55% | 11.68% | -6.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.29% | 14.55% | -6.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.68% | 14.68% | -5.00% |
BAB vs. KMLM - Expense Ratio Comparison
BAB has a 0.28% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
BAB vs. KMLM - Dividend Comparison
BAB's dividend yield for the trailing twelve months is around 4.22%, less than KMLM's 4.54% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BAB Invesco Taxable Municipal Bond ETF | 4.22% | 3.96% | 3.97% | 3.65% | 3.40% | 2.63% | 2.96% | 3.77% | 4.20% | 3.96% | 4.26% | 4.71% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.54% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
BAB and KMLM have a correlation of -0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (4.35%) compared to BAB (1.38%). In terms of maximum drawdown, BAB dropped -27.80% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 5.46% vs -1.31% for BAB. On fees, BAB is cheaper at 0.28% per year. On volatility, BAB has been the lower-risk option at 1.38%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, KMLM has performed better with a 5.46% return vs -1.31%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
BAB is cheaper with a 0.28% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.54%, compared with 4.22% for BAB.
BAB is categorized as Municipal Bonds, while KMLM is Systematic Trend. BAB tracks BofA Merrill Lynch Build America Bond Index, while KMLM tracks KFA MLM Index. They also come from different issuers: Invesco and KraneShares. Their fees differ too: 0.28% for BAB and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.36 vs 0.50), 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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