CLOX vs. KMLM

Last updated Aug 2, 2026

CLOX (Eldridge AAA CLO ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - CLOX is a CLO fund actively managed by Eldridge, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. CLOX is actively managed, while KMLM is passively managed. Over the past 3 years, CLOX returned 6.16%/yr vs 0.08%/yr for KMLM. Their 0.03 correlation means their historical movements had little consistent relationship. CLOX charges 0.20%/yr vs 0.90%/yr for KMLM.

Performance

CLOX vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eldridge AAA CLO ETF (CLOX) 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, CLOX achieves a 2.77% return, which is significantly lower than KMLM's 12.95% return.

CLOX

• 1D: 0.02%
• 1M: 0.11%
• 6M: 2.30%
• YTD: 2.77%
• 1Y: 5.23%
• 3Y*: 6.16%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.39%

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%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CLOX Eldridge AAA CLO ETF	$4.44M	$3.63M	$4.03M
KMLM KFA Mount Lucas Index Strategy ETF	$14.29M	$9.53M	$7.83M

CLOX vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
CLOX Eldridge AAA CLO ETF	2.77%	5.52%	7.16%	3.85%
KMLM KFA Mount Lucas Index Strategy ETF	12.95%	-2.98%	-1.69%	-6.82%

Correlation

The correlation between CLOX and KMLM is -0.12, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.12
Correlation (3Y) Balances recent behavior with more history.	0.01
Correlation (All Time) Calculated using the full available price history since Jul 19, 2023	0.03

The correlation between CLOX and KMLM shifts across timeframes, from -0.12 (1 year) to 0.03 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CLOX vs. KMLM — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

CLOX

CLOX Risk / Return Rank: 98
CLOX Sharpe Ratio Rank: 98
CLOX Sortino Ratio Rank: 98
CLOX Omega Ratio Rank: 98
CLOX Calmar Ratio Rank: 97
CLOX Martin Ratio Rank: 98

KMLM

KMLM Risk / Return Rank: 61
KMLM Sharpe Ratio Rank: 69
KMLM Sortino Ratio Rank: 65
KMLM Omega Ratio Rank: 67
KMLM Calmar Ratio Rank: 52
KMLM Martin Ratio Rank: 52

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

CLOX vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Eldridge AAA CLO ETF (CLOX) 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.

	CLOX	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	4.14	1.55	+2.59
Sortino ratio: Return per unit of downside risk	6.83	2.14	+4.69
Omega ratio: Gain probability vs. loss probability	2.04	1.28	+0.75
Calmar ratio: Return relative to maximum drawdown	7.93	1.86	+6.07
Martin ratio: Return relative to average drawdown	41.18	6.03	+35.15

CLOX vs. KMLM - Sharpe Ratio Comparison

The current CLOX Sharpe Ratio is 4.14, which is higher than the KMLM Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of CLOX 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.

Drawdowns

CLOX vs. KMLM - Drawdown Comparison

The maximum CLOX drawdown since its inception was -4.13%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for CLOX and KMLM.

Drawdown Indicators

	CLOX	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-4.13%	-27.47%	+23.34%
Max Drawdown (1Y) Largest decline over 1 year	-0.66%	-9.61%	+8.95%
Max Drawdown (3Y) Largest decline over 3 years	-4.13%	-22.28%	+18.15%
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	0.00%	-11.93%	+11.93%
Average Drawdown Average peak-to-trough decline	-0.08%	-12.79%	+12.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.13%	2.95%	-2.82%

Volatility

CLOX vs. KMLM - Volatility Comparison

The current volatility for Eldridge AAA CLO ETF (CLOX) is 0.31%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 3.70%. This indicates that CLOX experiences smaller price fluctuations and is considered to be less risky than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CLOX	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.31%	3.70%	-3.39%
Volatility (6M) Calculated over the trailing 6-month period	0.93%	10.31%	-9.38%
Volatility (1Y) Calculated over the trailing 1-year period	1.26%	11.49%	-10.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.25%	14.53%	-11.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.25%	14.66%	-11.41%

CLOX vs. KMLM - Expense Ratio Comparison

CLOX has a 0.20% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

CLOX vs. KMLM - Dividend Comparison

CLOX's dividend yield for the trailing twelve months is around 4.94%, more than KMLM's 4.45% yield.

Position	TTM	2025	2024	2023	2022	2021
CLOX Eldridge AAA CLO ETF	4.94%	5.18%	6.25%	2.90%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.45%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both CLOX and KMLM in my portfolio?

CLOX and KMLM have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CLOX or KMLM?

KMLM has higher volatility (3.70%) compared to CLOX (0.31%). In terms of maximum drawdown, CLOX dropped -4.13% vs KMLM's -27.47%.

Which ETF is better, CLOX or KMLM?

On 3-year performance, CLOX leads with 6.16% vs 0.08% for KMLM. On fees, CLOX is cheaper at 0.20% per year. On volatility, CLOX has been the lower-risk option at 0.31%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CLOX or KMLM?

Over the 3-year period, CLOX has performed better with a 6.16% return vs 0.08%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CLOX or KMLM?

CLOX is cheaper with a 0.20% expense ratio, compared with 0.90% for KMLM.

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

CLOX has the higher dividend yield at 4.94%, compared with 4.45% for KMLM.

What is the main difference between CLOX and KMLM?

CLOX is categorized as CLO, while KMLM is Systematic Trend. They also come from different issuers: Eldridge and KraneShares. Their fees differ too: 0.20% for CLOX and 0.90% for KMLM.

Which has better risk-adjusted returns?

CLOX currently has the higher Sharpe Ratio (4.14 vs 1.55), 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.