CBLS vs. KMLM

Last updated Jun 3, 2026

CBLS (Changebridge Capital Long/Short Equity ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both Long-Short funds. Both are actively managed. Over the past 5 years, CBLS returned 5.73%/yr vs 4.37%/yr for KMLM. At a correlation of -0.01, they often move in opposite directions. CBLS charges 1.95%/yr vs 0.90%/yr for KMLM.

Performance

CBLS vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Changebridge Capital Long/Short Equity ETF (CBLS) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CBLS achieves a 24.17% return, which is significantly higher than KMLM's 10.60% return.

CBLS

• 1D: 3.27%
• 1M: 9.60%
• YTD: 24.17%
• 6M: 23.40%
• 1Y: 20.95%
• 3Y*: 19.86%
• 5Y*: 5.73%
• 10Y*: —

KMLM

• 1D: 0.53%
• 1M: -2.15%
• YTD: 10.60%
• 6M: 13.52%
• 1Y: 12.84%
• 3Y*: -0.53%
• 5Y*: 4.37%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

CBLS vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
CBLS Changebridge Capital Long/Short Equity ETF	24.17%	5.87%	28.74%	-2.67%	-11.64%	2.85%	10.31%
KMLM KFA Mount Lucas Index Strategy ETF	10.60%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.40%

Correlation

The correlation between CBLS and KMLM is 0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.01
Correlation (3Y) Calculated over the trailing 3-year period	-0.01
Correlation (5Y) Calculated over the trailing 5-year period	-0.02
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020	-0.01

Return for Risk

CBLS vs. KMLM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CBLS

CBLS Risk / Return Rank: 42
CBLS Sharpe Ratio Rank: 38
CBLS Sortino Ratio Rank: 37
CBLS Omega Ratio Rank: 38
CBLS Calmar Ratio Rank: 54
CBLS Martin Ratio Rank: 41

KMLM

KMLM Risk / Return Rank: 36
KMLM Sharpe Ratio Rank: 31
KMLM Sortino Ratio Rank: 30
KMLM Omega Ratio Rank: 31
KMLM Calmar Ratio Rank: 44
KMLM Martin Ratio Rank: 44

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CBLS vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Changebridge Capital Long/Short Equity ETF (CBLS) 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.

	CBLS	KMLM	Difference
Sharpe ratio Return per unit of total volatility	1.38	1.13	+0.25
Sortino ratio Return per unit of downside risk	1.94	1.59	+0.35
Omega ratio Gain probability vs. loss probability	1.25	1.20	+0.05
Calmar ratio Return relative to maximum drawdown	2.71	2.22	+0.49
Martin ratio Return relative to average drawdown	6.61	7.31	-0.70
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CBLS vs. KMLM - Sharpe Ratio Comparison

The current CBLS Sharpe Ratio is 1.38, which is comparable to the KMLM Sharpe Ratio of 1.13. The chart below compares the historical Sharpe Ratios of CBLS and KMLM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CBLS	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.38	1.13	+0.25
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.37	0.30	+0.07
Sharpe Ratio (All Time) Calculated using the full available price history	0.63	0.49	+0.14

Drawdowns

CBLS vs. KMLM - Drawdown Comparison

The maximum CBLS drawdown since its inception was -32.78%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for CBLS and KMLM.

Drawdown Indicators

	CBLS	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-32.78%	-27.47%	-5.31%
Max Drawdown (1Y) Largest decline over 1 year	-8.15%	-6.30%	-1.85%
Max Drawdown (3Y) Largest decline over 3 years	-15.27%	-22.28%	+7.01%
Max Drawdown (5Y) Largest decline over 5 years	-31.24%	-27.47%	-3.77%
Current Drawdown Current decline from peak	0.00%	-13.76%	+13.76%
Average Drawdown Average peak-to-trough decline	-12.80%	-12.74%	-0.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.34%	1.91%	+1.43%

Volatility

CBLS vs. KMLM - Volatility Comparison

Changebridge Capital Long/Short Equity ETF (CBLS) has a higher volatility of 7.08% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.49%. This indicates that CBLS'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.

Volatility by Period

	CBLS	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.08%	4.49%	+2.59%
Volatility (6M) Calculated over the trailing 6-month period	12.62%	9.64%	+2.98%
Volatility (1Y) Calculated over the trailing 1-year period	15.29%	11.46%	+3.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.64%	14.62%	+1.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.13%	14.74%	+1.39%

CBLS vs. KMLM - Expense Ratio Comparison

CBLS has a 1.95% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

CBLS vs. KMLM - Dividend Comparison

CBLS's dividend yield for the trailing twelve months is around 0.72%, less than KMLM's 4.54% yield.

Position	TTM	2025	2024	2023	2022	2021
CBLS Changebridge Capital Long/Short Equity ETF	0.72%	0.90%	0.73%	0.44%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.54%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both CBLS and KMLM in my portfolio?

CBLS and KMLM have a correlation of 0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CBLS or KMLM?

CBLS has higher volatility (7.08%) compared to KMLM (4.49%). In terms of maximum drawdown, CBLS dropped -32.78% vs KMLM's -27.47%.

Which ETF is better, CBLS or KMLM?

On 5-year performance, CBLS leads with 5.73% vs 4.37% for KMLM. On fees, KMLM is cheaper at 0.90% per year. On volatility, KMLM has been the lower-risk option at 4.49%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CBLS or KMLM?

Over the 5-year period, CBLS has performed better with a 5.73% return vs 4.37%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CBLS or KMLM?

KMLM is cheaper with a 0.90% expense ratio, compared with 1.95% for CBLS.

Which ETF pays a higher dividend yield, CBLS or KMLM?

KMLM has the higher dividend yield at 4.54%, compared with 0.72% for CBLS.

What is the main difference between CBLS and KMLM?

They also come from different issuers: Changebridge Capital LLC and CICC. Their fees differ too: 1.95% for CBLS and 0.90% for KMLM.

Which has better risk-adjusted returns?

CBLS currently has the higher Sharpe Ratio (1.38 vs 1.13), 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.