BTAL vs. KMLM
BTAL (AGF U.S. Market Neutral Anti-Beta Fund) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - BTAL is a Equity Market Neutral fund actively managed by AGF, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. BTAL is actively managed, while KMLM is passively managed. Over the past 5 years, BTAL returned -4.51%/yr vs 5.46%/yr for KMLM. Their 0.09 correlation means their historical movements had little consistent relationship. BTAL charges 1.40%/yr vs 0.90%/yr for KMLM.
Performance
BTAL vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, BTAL achieves a -16.19% return, which is significantly lower than KMLM's 10.64% return.
BTAL
- 1D
- -1.55%
- 1M
- 4.15%
- 6M
- -14.41%
- YTD
- -16.19%
- 1Y
- -26.63%
- 3Y*
- -9.91%
- 5Y*
- -4.51%
- 10Y*
- -4.34%
- ALL TIME*
- -3.88%
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) |
|---|---|---|---|
| $11.44M | $8.83M | $8.21M | |
| $10.28M | $9.90M | $7.93M |
BTAL vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
BTAL AGF U.S. Market Neutral Anti-Beta Fund | -16.19% | -20.17% | 12.83% | -15.11% | 20.48% | -6.81% | -1.50% |
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 BTAL and KMLM is 0.07, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.07 |
Correlation (3Y) Balances recent behavior with more history. | 0.06 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.13 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | 0.09 |
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Return for Risk
BTAL vs. KMLM — Risk / Return Rank
BTAL
KMLM
BTAL vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AGF U.S. 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.
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.
| BTAL | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.48 | ||
| Sortino ratioReturn per unit of downside risk | -3.50 | ||
| Omega ratioGain probability vs. loss probability | 0.83 | 1.25 | -0.42 |
| Calmar ratioReturn relative to maximum drawdown | -0.77 | 1.65 | -2.42 |
| Martin ratioReturn relative to average drawdown | -1.39 | 5.33 | -6.72 |
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Drawdowns
BTAL vs. KMLM - Drawdown Comparison
The maximum BTAL drawdown since its inception was -52.70%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for BTAL and KMLM.
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Drawdown Indicators
| BTAL | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.70% | -27.47% | -25.23% |
Max Drawdown (1Y)Largest decline over 1 year | -34.57% | -9.61% | -24.96% |
Max Drawdown (3Y)Largest decline over 3 years | -47.83% | -22.28% | -25.55% |
Max Drawdown (5Y)Largest decline over 5 years | -47.83% | -27.47% | -20.36% |
Max Drawdown (10Y)Largest decline over 10 years | -52.70% | — | — |
Current DrawdownCurrent decline from peak | -47.76% | -13.73% | -34.03% |
Average DrawdownAverage peak-to-trough decline | -22.25% | -12.79% | -9.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 19.17% | 2.97% | +16.20% |
Volatility
BTAL vs. KMLM - Volatility Comparison
AGF U.S. Market Neutral Anti-Beta Fund (BTAL) has a higher volatility of 7.90% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.35%. 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.
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Volatility by Period
| BTAL | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.90% | 4.35% | +3.55% |
Volatility (6M)Calculated over the trailing 6-month period | 17.92% | 10.24% | +7.68% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.82% | 11.68% | +12.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.41% | 14.55% | +4.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.48% | 14.68% | +2.80% |
BTAL vs. KMLM - Expense Ratio Comparison
BTAL has a 1.40% expense ratio, which is higher than KMLM's 0.90% expense ratio.
Dividends
BTAL vs. KMLM - Dividend Comparison
BTAL's dividend yield for the trailing twelve months is around 2.97%, less than KMLM's 4.54% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
BTAL AGF U.S. Market Neutral Anti-Beta Fund | 2.97% | 2.49% | 3.49% | 6.14% | 1.01% | 0.00% | 0.00% | 0.88% | 0.39% |
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% |
Frequently Asked Questions
BTAL and KMLM have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTAL has higher volatility (7.90%) compared to KMLM (4.35%). In terms of maximum drawdown, BTAL dropped -52.70% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 5.46% vs -4.51% for BTAL. On fees, KMLM is cheaper at 0.90% per year. On volatility, KMLM has been the lower-risk option at 4.35%. 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 -4.51%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KMLM is cheaper with a 0.90% expense ratio, compared with 1.40% for BTAL.
KMLM has the higher dividend yield at 4.54%, compared with 2.97% for BTAL.
BTAL is categorized as Equity Market Neutral, while KMLM is Systematic Trend. They also come from different issuers: AGF and KraneShares. Their fees differ too: 1.40% for BTAL and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.36 vs -1.12), 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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