EMPB vs. KMLM

Last updated Aug 1, 2026

EMPB (Efficient Market Portfolio Plus ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - EMPB is a Long-Short fund actively managed by NextGen EMP, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. EMPB is actively managed, while KMLM is passively managed. Over the past year, EMPB returned 17.10% vs 18.19% for KMLM. Their -0.02 correlation means they have often moved in opposite directions in the past. EMPB charges 1.82%/yr vs 0.90%/yr for KMLM.

Performance

EMPB vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Efficient Market Portfolio Plus ETF (EMPB) 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, EMPB achieves a 14.62% return, which is significantly higher than KMLM's 12.95% return.

EMPB

• 1D: 1.10%
• 1M: 1.13%
• 6M: 14.24%
• YTD: 14.62%
• 1Y: 17.10%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 18.65%

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)
EMPB Efficient Market Portfolio Plus ETF	$259.83K	$233.39K	$230.26K
KMLM KFA Mount Lucas Index Strategy ETF	$14.29M	$9.53M	$7.83M

EMPB vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
EMPB Efficient Market Portfolio Plus ETF	14.62%	14.84%	0.43%
KMLM KFA Mount Lucas Index Strategy ETF	12.95%	-2.98%	1.42%

Correlation

The correlation between EMPB 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 (All Time) Calculated using the full available price history since Dec 12, 2024	-0.02

Return for Risk

EMPB vs. KMLM — Risk / Return Rank

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

EMPB

EMPB Risk / Return Rank: 66
EMPB Sharpe Ratio Rank: 62
EMPB Sortino Ratio Rank: 62
EMPB Omega Ratio Rank: 60
EMPB Calmar Ratio Rank: 79
EMPB Martin Ratio Rank: 66

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.

EMPB vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Efficient Market Portfolio Plus ETF (EMPB) 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.

	EMPB	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	1.44	1.55	-0.11
Sortino ratio: Return per unit of downside risk	2.07	2.14	-0.08
Omega ratio: Gain probability vs. loss probability	1.26	1.28	-0.02
Calmar ratio: Return relative to maximum drawdown	2.81	1.86	+0.95
Martin ratio: Return relative to average drawdown	8.07	6.03	+2.04

EMPB vs. KMLM - Sharpe Ratio Comparison

The current EMPB Sharpe Ratio is 1.44, which is comparable to the KMLM Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of EMPB 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

EMPB vs. KMLM - Drawdown Comparison

The maximum EMPB drawdown since its inception was -7.55%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for EMPB and KMLM.

Drawdown Indicators

	EMPB	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-7.55%	-27.47%	+19.92%
Max Drawdown (1Y) Largest decline over 1 year	-5.98%	-9.61%	+3.63%
Max Drawdown (3Y) Largest decline over 3 years	—	-22.28%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-0.76%	-11.93%	+11.17%
Average Drawdown Average peak-to-trough decline	-1.44%	-12.79%	+11.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.07%	2.95%	-0.88%

Volatility

EMPB vs. KMLM - Volatility Comparison

Efficient Market Portfolio Plus ETF (EMPB) and KFA Mount Lucas Index Strategy ETF (KMLM) have volatilities of 3.75% and 3.70%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EMPB	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.75%	3.70%	+0.05%
Volatility (6M) Calculated over the trailing 6-month period	9.07%	10.31%	-1.24%
Volatility (1Y) Calculated over the trailing 1-year period	11.67%	11.49%	+0.18%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.72%	14.53%	-2.81%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.72%	14.66%	-2.94%

EMPB vs. KMLM - Expense Ratio Comparison

EMPB has a 1.82% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

EMPB vs. KMLM - Dividend Comparison

EMPB's dividend yield for the trailing twelve months is around 0.77%, less than KMLM's 4.45% yield.

Position	TTM	2025	2024	2023	2022	2021
EMPB Efficient Market Portfolio Plus ETF	0.77%	0.88%	0.28%	0.00%	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 EMPB and KMLM in my portfolio?

EMPB 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.

Which is riskier, EMPB or KMLM?

EMPB has higher volatility (3.75%) compared to KMLM (3.70%). In terms of maximum drawdown, EMPB dropped -7.55% vs KMLM's -27.47%.

Which ETF is better, EMPB or KMLM?

On 1-year performance, KMLM leads with 18.19% vs 17.10% for EMPB. On fees, KMLM is cheaper at 0.90% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EMPB or KMLM?

Over the 1-year period, KMLM has performed better with a 18.19% return vs 17.10%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EMPB or KMLM?

KMLM is cheaper with a 0.90% expense ratio, compared with 1.82% for EMPB.

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

KMLM has the higher dividend yield at 4.45%, compared with 0.77% for EMPB.

What is the main difference between EMPB and KMLM?

EMPB is categorized as Long-Short, while KMLM is Systematic Trend. They also come from different issuers: NextGen EMP and KraneShares. Their fees differ too: 1.82% for EMPB and 0.90% for KMLM.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.55 vs 1.44), 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.