FAAR vs. KMLM
Compare and contrast key facts about First Trust Alternative Absolute Return Strategy ETF (FAAR) and KFA Mount Lucas Index Strategy ETF (KMLM).
FAAR and KMLM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. FAAR is an actively managed fund by First Trust. It was launched on May 18, 2016. 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: FAAR or KMLM.
Key characteristics
| FAAR | KMLM | |
|---|---|---|
| YTD Return | 3.18% | 3.16% |
| 1Y Return | -0.06% | -4.07% |
| 3Y Return (Ann) | 2.59% | 5.54% |
| Sharpe Ratio | -0.07 | -0.30 |
| Daily Std Dev | 8.33% | 11.92% |
| Max Drawdown | -16.65% | -24.15% |
| Current Drawdown | -13.41% | -19.78% |
Correlation
The correlation between FAAR and KMLM is 0.31, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
FAAR vs. KMLM - Performance Comparison
The year-to-date returns for both stocks are quite close, with FAAR having a 3.18% return and KMLM slightly lower at 3.16%. 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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FAAR vs. KMLM - Expense Ratio Comparison
FAAR has a 0.95% expense ratio, which is higher than KMLM's 0.90% expense ratio.
Risk-Adjusted Performance
FAAR vs. KMLM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Alternative Absolute Return Strategy ETF (FAAR) 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
FAAR vs. KMLM - Dividend Comparison
FAAR's dividend yield for the trailing twelve months is around 3.28%, while KMLM has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
FAAR First Trust Alternative Absolute Return Strategy ETF | 3.28% | 3.20% | 5.82% | 6.49% | 3.05% | 1.02% | 0.58% | 2.83% |
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
FAAR vs. KMLM - Drawdown Comparison
The maximum FAAR drawdown since its inception was -16.65%, smaller than the maximum KMLM drawdown of -24.15%. Use the drawdown chart below to compare losses from any high point for FAAR and KMLM. For additional features, visit the drawdowns tool.
Volatility
FAAR vs. KMLM - Volatility Comparison
The current volatility for First Trust Alternative Absolute Return Strategy ETF (FAAR) is 2.46%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.28%. This indicates that FAAR 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.