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.
Performance
FAAR vs. KMLM - Performance Comparison
Returns By Period
In the year-to-date period, FAAR achieves a 3.70% return, which is significantly higher than KMLM's -1.63% return.
FAAR
3.70%
-0.31%
-1.33%
2.65%
5.61%
N/A
KMLM
-1.63%
-0.18%
-3.96%
-7.65%
N/A
N/A
Key characteristics
| FAAR | KMLM | |
|---|---|---|
| Sharpe Ratio | 0.23 | -0.83 |
| Sortino Ratio | 0.39 | -1.07 |
| Omega Ratio | 1.04 | 0.88 |
| Calmar Ratio | 0.11 | -0.34 |
| Martin Ratio | 0.78 | -1.33 |
| Ulcer Index | 2.40% | 6.56% |
| Daily Std Dev | 8.34% | 10.57% |
| Max Drawdown | -16.65% | -25.42% |
| Current Drawdown | -12.97% | -23.50% |
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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.
Correlation
The correlation between FAAR and KMLM is 0.29, 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.
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 3.23%, while KMLM has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
FAAR First Trust Alternative Absolute Return Strategy ETF | 3.23% | 3.20% | 5.82% | 6.49% | 3.04% | 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 -25.42%. 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
First Trust Alternative Absolute Return Strategy ETF (FAAR) and KFA Mount Lucas Index Strategy ETF (KMLM) have volatilities of 3.16% and 3.17%, 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.