CSAIX vs. KMLM
Compare and contrast key facts about Credit Suisse Managed Futures Strategy Fund (CSAIX) and KFA Mount Lucas Index Strategy ETF (KMLM).
CSAIX is managed by Credit Suisse (New York, NY). It was launched on Sep 27, 2012. 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: CSAIX or KMLM.
Key characteristics
| CSAIX | KMLM | |
|---|---|---|
| YTD Return | -6.14% | -2.50% |
| 1Y Return | -4.10% | -8.74% |
| 3Y Return (Ann) | -3.29% | 2.74% |
| Sharpe Ratio | -0.62 | -1.05 |
| Sortino Ratio | -0.76 | -1.35 |
| Omega Ratio | 0.91 | 0.84 |
| Calmar Ratio | -0.20 | -0.45 |
| Martin Ratio | -1.11 | -1.72 |
| Ulcer Index | 5.08% | 6.62% |
| Daily Std Dev | 9.18% | 10.90% |
| Max Drawdown | -28.97% | -25.42% |
| Current Drawdown | -28.40% | -24.18% |
Correlation
The correlation between CSAIX and KMLM is 0.54, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
CSAIX vs. KMLM - Performance Comparison
In the year-to-date period, CSAIX achieves a -6.14% return, which is significantly lower than KMLM's -2.50% 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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CSAIX vs. KMLM - Expense Ratio Comparison
CSAIX has a 1.30% expense ratio, which is higher than KMLM's 0.90% expense ratio.
Risk-Adjusted Performance
CSAIX vs. KMLM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Credit Suisse Managed Futures Strategy Fund (CSAIX) 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
CSAIX vs. KMLM - Dividend Comparison
CSAIX's dividend yield for the trailing twelve months is around 0.55%, while KMLM has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
CSAIX Credit Suisse Managed Futures Strategy Fund | 0.55% | 0.52% | 4.51% | 8.84% | 0.00% | 1.75% | 0.00% | 0.00% | 0.00% | 4.83% | 0.34% |
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
CSAIX vs. KMLM - Drawdown Comparison
The maximum CSAIX drawdown since its inception was -28.97%, which is greater than KMLM's maximum drawdown of -25.42%. Use the drawdown chart below to compare losses from any high point for CSAIX and KMLM. For additional features, visit the drawdowns tool.
Volatility
CSAIX vs. KMLM - Volatility Comparison
The current volatility for Credit Suisse Managed Futures Strategy Fund (CSAIX) is 2.50%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 2.88%. This indicates that CSAIX 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.