CCAP vs. KMLM
CCAP (Crescent Capital BDC, Inc.) is a stock, while KMLM (KFA Mount Lucas Index Strategy ETF) is Systematic Trend fund tracking the KFA MLM Index. Over the past 5 years, CCAP returned 1.26%/yr vs 5.77%/yr for KMLM. Their -0.05 correlation means they have often moved in opposite directions in the past.
Performance
CCAP vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, CCAP achieves a -16.75% return, which is significantly lower than KMLM's 12.95% return.
CCAP
- 1D
- 0.74%
- 1M
- -1.71%
- 6M
- -18.71%
- YTD
- -16.75%
- 1Y
- -11.88%
- 3Y*
- -2.24%
- 5Y*
- 1.26%
- 10Y*
- —
- ALL TIME*
- 5.56%
KMLM
- 1D
- 0.24%
- 1M
- 6.85%
- 6M
- 12.90%
- YTD
- 12.95%
- 1Y
- 18.19%
- 3Y*
- 0.08%
- 5Y*
- 5.77%
- 10Y*
- —
- ALL TIME*
- 7.46%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $2.58M | $2.63M | $2.84M | |
| $14.29M | $9.53M | $7.83M |
CCAP vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
CCAP Crescent Capital BDC, Inc. | -16.75% | -17.51% | 23.51% | 52.61% | -17.99% | 32.51% | 9.69% |
KMLM KFA Mount Lucas Index Strategy ETF | 12.95% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between CCAP and KMLM is -0.09, 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. | -0.09 |
Correlation (3Y) Balances recent behavior with more history. | -0.02 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.04 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.05 |
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Return for Risk
CCAP vs. KMLM — Risk / Return Rank
CCAP
KMLM
CCAP vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Crescent Capital BDC, Inc. (CCAP) 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.
| CCAP | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.03 | ||
| Sortino ratioReturn per unit of downside risk | -2.64 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.28 | -0.34 |
| Calmar ratioReturn relative to maximum drawdown | -0.50 | 1.86 | -2.35 |
| Martin ratioReturn relative to average drawdown | -0.96 | 6.03 | -6.99 |
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Drawdowns
CCAP vs. KMLM - Drawdown Comparison
The maximum CCAP drawdown since its inception was -63.68%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for CCAP and KMLM.
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Drawdown Indicators
| CCAP | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.68% | -27.47% | -36.21% |
Max Drawdown (1Y)Largest decline over 1 year | -24.39% | -9.61% | -14.78% |
Max Drawdown (3Y)Largest decline over 3 years | -35.83% | -22.28% | -13.55% |
Max Drawdown (5Y)Largest decline over 5 years | -35.83% | -27.47% | -8.36% |
Current DrawdownCurrent decline from peak | -34.00% | -11.93% | -22.07% |
Average DrawdownAverage peak-to-trough decline | -13.29% | -12.79% | -0.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 12.70% | 2.95% | +9.75% |
Volatility
CCAP vs. KMLM - Volatility Comparison
Crescent Capital BDC, Inc. (CCAP) has a higher volatility of 5.75% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.70%. This indicates that CCAP'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
| CCAP | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.75% | 3.70% | +2.05% |
Volatility (6M)Calculated over the trailing 6-month period | 20.48% | 10.31% | +10.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 25.62% | 11.49% | +14.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.36% | 14.53% | +7.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 33.67% | 14.66% | +19.01% |
Dividends
CCAP vs. KMLM - Dividend Comparison
CCAP's dividend yield for the trailing twelve months is around 15.37%, more than KMLM's 4.45% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
CCAP Crescent Capital BDC, Inc. | 15.37% | 13.02% | 10.61% | 10.41% | 14.83% | 9.63% | 11.26% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.45% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% |
Frequently Asked Questions
CCAP and KMLM have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CCAP has higher volatility (5.75%) compared to KMLM (3.70%). In terms of maximum drawdown, CCAP dropped -63.68% vs KMLM's -27.47%.
KMLM currently has the higher Sharpe Ratio (1.55 vs -0.48), 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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