GOOG vs. KMLM
GOOG (Alphabet Inc) is a stock, while KMLM (KFA Mount Lucas Index Strategy ETF) is Systematic Trend fund tracking the KFA MLM Index. Over the past 5 years, GOOG returned 24.12%/yr vs 4.15%/yr for KMLM. At a correlation of -0.10, they often move in opposite directions.
Performance
GOOG vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, GOOG achieves a 17.14% return, which is significantly higher than KMLM's 7.90% return.
GOOG
- 1D
- 2.50%
- 1M
- -6.61%
- YTD
- 17.14%
- 6M
- 18.84%
- 1Y
- 109.32%
- 3Y*
- 43.99%
- 5Y*
- 24.12%
- 10Y*
- 26.76%
KMLM
- 1D
- -0.39%
- 1M
- -6.17%
- YTD
- 7.90%
- 6M
- 9.07%
- 1Y
- 12.79%
- 3Y*
- -0.78%
- 5Y*
- 4.15%
- 10Y*
- —
GOOG vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
GOOG Alphabet Inc | 17.14% | 65.42% | 35.62% | 58.83% | -38.67% | 65.17% | -2.57% |
KMLM KFA Mount Lucas Index Strategy ETF | 7.90% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between GOOG and KMLM is -0.11, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.03 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.11 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.10 |
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Return for Risk
GOOG vs. KMLM — Risk / Return Rank
GOOG
KMLM
GOOG vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Alphabet Inc (GOOG) 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.
| GOOG | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.70 | ||
| Sortino ratioReturn per unit of downside risk | +3.59 | ||
| Omega ratioGain probability vs. loss probability | 1.62 | 1.20 | +0.42 |
| Calmar ratioReturn relative to maximum drawdown | 5.30 | 1.79 | +3.51 |
| Martin ratioReturn relative to average drawdown | 18.58 | 6.05 | +12.52 |
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Drawdowns
GOOG vs. KMLM - Drawdown Comparison
The maximum GOOG drawdown since its inception was -44.60%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for GOOG and KMLM.
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Drawdown Indicators
| GOOG | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -44.60% | -27.47% | -17.13% |
Max Drawdown (1Y)Largest decline over 1 year | -20.75% | -7.19% | -13.56% |
Max Drawdown (3Y)Largest decline over 3 years | -29.35% | -22.28% | -7.07% |
Max Drawdown (5Y)Largest decline over 5 years | -44.60% | -27.47% | -17.13% |
Max Drawdown (10Y)Largest decline over 10 years | -44.60% | — | — |
Current DrawdownCurrent decline from peak | -7.95% | -15.87% | +7.92% |
Average DrawdownAverage peak-to-trough decline | -8.89% | -12.74% | +3.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.91% | 2.12% | +3.79% |
Volatility
GOOG vs. KMLM - Volatility Comparison
Alphabet Inc (GOOG) has a higher volatility of 7.87% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.31%. This indicates that GOOG's price experiences larger fluctuations and is considered to be riskier than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GOOG | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.87% | 3.31% | +4.56% |
Volatility (6M)Calculated over the trailing 6-month period | 20.46% | 9.74% | +10.72% |
Volatility (1Y)Calculated over the trailing 1-year period | 28.85% | 11.47% | +17.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 31.18% | 14.62% | +16.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 29.04% | 14.70% | +14.34% |
Dividends
GOOG vs. KMLM - Dividend Comparison
GOOG's dividend yield for the trailing twelve months is around 0.23%, less than KMLM's 4.66% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
GOOG Alphabet Inc | 0.23% | 0.26% | 0.32% | 0.00% | 0.00% | 0.00% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.66% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% |
Frequently Asked Questions
GOOG and KMLM have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GOOG has higher volatility (7.87%) compared to KMLM (3.31%). In terms of maximum drawdown, GOOG dropped -44.60% vs KMLM's -27.47%.
GOOG currently has the higher Sharpe Ratio (3.82 vs 1.12), 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.
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