BTAL vs. KMLM
Compare and contrast key facts about AGFiQ US Market Neutral Anti-Beta Fund (BTAL) and KFA Mount Lucas Index Strategy ETF (KMLM).
BTAL and KMLM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. BTAL is a passively managed fund by AGF that tracks the performance of the Dow Jones U.S. Thematic Market Neutral Anti-Beta Total Return Index. It was launched on Sep 13, 2011. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: BTAL or KMLM.
Key characteristics
| BTAL | KMLM | |
|---|---|---|
| YTD Return | 14.45% | -2.64% |
| 1Y Return | -1.96% | -11.54% |
| 3Y Return (Ann) | 8.00% | 2.69% |
| Sharpe Ratio | -0.11 | -1.03 |
| Sortino Ratio | -0.04 | -1.34 |
| Omega Ratio | 0.99 | 0.84 |
| Calmar Ratio | -0.06 | -0.44 |
| Martin Ratio | -0.29 | -1.43 |
| Ulcer Index | 6.53% | 7.91% |
| Daily Std Dev | 16.74% | 10.91% |
| Max Drawdown | -38.36% | -25.42% |
| Current Drawdown | -20.80% | -24.28% |
Correlation
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.
Performance
BTAL vs. KMLM - Performance Comparison
In the year-to-date period, BTAL achieves a 14.45% return, which is significantly higher than KMLM's -2.64% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Dividends
BTAL vs. KMLM - Dividend Comparison
BTAL's dividend yield for the trailing twelve months is around 5.37%, while KMLM has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 5.37% | 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.
Volatility
BTAL vs. KMLM - Volatility Comparison
AGFiQ US Market Neutral Anti-Beta Fund (BTAL) has a higher volatility of 3.91% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.10%. 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.