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BTAL vs. KMLM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

BTAL vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AGFiQ US Market Neutral Anti-Beta Fund (BTAL) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.84%
-4.79%
BTAL
KMLM

Returns By Period

In the year-to-date period, BTAL achieves a 12.15% return, which is significantly higher than KMLM's -3.40% return.


BTAL

YTD

12.15%

1M

-3.60%

6M

-0.83%

1Y

-0.98%

5Y (annualized)

-2.14%

10Y (annualized)

0.40%

KMLM

YTD

-3.40%

1M

-0.39%

6M

-4.79%

1Y

-10.02%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


BTALKMLM
Sharpe Ratio-0.06-0.94
Sortino Ratio0.03-1.24
Omega Ratio1.000.86
Calmar Ratio-0.03-0.39
Martin Ratio-0.20-1.49
Ulcer Index5.15%6.74%
Daily Std Dev16.63%10.61%
Max Drawdown-38.36%-25.42%
Current Drawdown-22.39%-24.88%

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BTAL vs. KMLM - Expense Ratio Comparison

BTAL has a 2.11% expense ratio, which is higher than KMLM's 0.90% expense ratio.


BTAL
AGFiQ US Market Neutral Anti-Beta Fund
Expense ratio chart for BTAL: current value at 2.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%2.11%
Expense ratio chart for KMLM: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%

Correlation

-0.50.00.51.00.1

The correlation between BTAL and KMLM is 0.12, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

BTAL vs. KMLM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AGFiQ US Market Neutral Anti-Beta Fund (BTAL) 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.


Sharpe ratio
The chart of Sharpe ratio for BTAL, currently valued at -0.06, compared to the broader market0.002.004.00-0.06-0.94
The chart of Sortino ratio for BTAL, currently valued at 0.03, compared to the broader market-2.000.002.004.006.008.0010.0012.000.03-1.24
The chart of Omega ratio for BTAL, currently valued at 1.00, compared to the broader market0.501.001.502.002.503.001.000.86
The chart of Calmar ratio for BTAL, currently valued at -0.06, compared to the broader market0.005.0010.0015.0020.00-0.06-0.39
The chart of Martin ratio for BTAL, currently valued at -0.20, compared to the broader market0.0020.0040.0060.0080.00100.00-0.20-1.49
BTAL
KMLM

The current BTAL Sharpe Ratio is -0.06, which is higher than the KMLM Sharpe Ratio of -0.94. The chart below compares the historical Sharpe Ratios of BTAL and KMLM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
-0.06
-0.94
BTAL
KMLM

Dividends

BTAL vs. KMLM - Dividend Comparison

BTAL's dividend yield for the trailing twelve months is around 5.48%, while KMLM has not paid dividends to shareholders.


TTM202320222021202020192018
BTAL
AGFiQ US Market Neutral Anti-Beta Fund
5.48%6.14%1.00%0.00%0.00%0.88%0.39%
KMLM
KFA Mount Lucas Index Strategy ETF
0.00%0.00%8.12%6.94%0.00%0.00%0.00%

Drawdowns

BTAL vs. KMLM - Drawdown Comparison

The maximum BTAL drawdown since its inception was -38.36%, which is greater than KMLM's maximum drawdown of -25.42%. Use the drawdown chart below to compare losses from any high point for BTAL and KMLM. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-9.13%
-24.88%
BTAL
KMLM

Volatility

BTAL vs. KMLM - Volatility Comparison

AGFiQ US Market Neutral Anti-Beta Fund (BTAL) has a higher volatility of 3.77% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.03%. This indicates that BTAL's price experiences larger fluctuations and is considered to be riskier than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.77%
3.03%
BTAL
KMLM