GOVZ vs. KMLM
GOVZ (iShares 25+ Year Treasury STRIPS Bond ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - GOVZ is a Government Bonds fund tracking the ICE BofA Long US Treasury Principal STRIPS Index, while KMLM is a Long-Short fund actively managed by CICC. GOVZ is passively managed, while KMLM is actively managed. Over the past 5 years, GOVZ returned -11.53%/yr vs 4.06%/yr for KMLM. At a correlation of -0.31, they often move in opposite directions. GOVZ charges 0.15%/yr vs 0.90%/yr for KMLM.
Performance
GOVZ vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, GOVZ achieves a -0.91% return, which is significantly lower than KMLM's 9.36% return.
GOVZ
- 1D
- -0.33%
- 1M
- -0.38%
- YTD
- -0.91%
- 6M
- -2.71%
- 1Y
- 2.81%
- 3Y*
- -7.61%
- 5Y*
- -11.53%
- 10Y*
- —
KMLM
- 1D
- -0.35%
- 1M
- -2.74%
- YTD
- 9.36%
- 6M
- 12.51%
- 1Y
- 12.51%
- 3Y*
- -0.86%
- 5Y*
- 4.06%
- 10Y*
- —
GOVZ vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
GOVZ iShares 25+ Year Treasury STRIPS Bond ETF | -0.91% | -1.81% | -16.24% | 0.90% | -41.03% | -4.86% | 1.81% |
KMLM KFA Mount Lucas Index Strategy ETF | 9.36% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
Correlation
The correlation between GOVZ and KMLM is -0.15, 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 | -0.15 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.24 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.31 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020 | -0.31 |
The correlation between GOVZ and KMLM shifts across timeframes, from -0.31 (5 years) to -0.15 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
GOVZ vs. KMLM — Risk / Return Rank
GOVZ
KMLM
GOVZ vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares 25+ Year Treasury STRIPS Bond ETF (GOVZ) 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.
| GOVZ | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.99 | ||
| Sortino ratioReturn per unit of downside risk | -1.28 | ||
| Omega ratioGain probability vs. loss probability | 1.02 | 1.19 | -0.17 |
| Calmar ratioReturn relative to maximum drawdown | 0.06 | 1.89 | -1.84 |
| Martin ratioReturn relative to average drawdown | 0.13 | 6.13 | -6.00 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GOVZ | KMLM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.05 | 1.04 | -0.99 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.48 | 0.28 | -0.76 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.58 | 0.48 | -1.06 |
Drawdowns
GOVZ vs. KMLM - Drawdown Comparison
The maximum GOVZ drawdown since its inception was -59.65%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for GOVZ and KMLM.
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Drawdown Indicators
| GOVZ | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.65% | -27.47% | -32.18% |
Max Drawdown (1Y)Largest decline over 1 year | -14.16% | -6.30% | -7.86% |
Max Drawdown (3Y)Largest decline over 3 years | -28.72% | -22.28% | -6.44% |
Max Drawdown (5Y)Largest decline over 5 years | -57.63% | -27.47% | -30.16% |
Current DrawdownCurrent decline from peak | -56.46% | -14.72% | -41.74% |
Average DrawdownAverage peak-to-trough decline | -39.93% | -12.74% | -27.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.27% | 1.98% | +4.29% |
Volatility
GOVZ vs. KMLM - Volatility Comparison
The current volatility for iShares 25+ Year Treasury STRIPS Bond ETF (GOVZ) is 4.05%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.27%. This indicates that GOVZ 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.
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Volatility by Period
| GOVZ | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.05% | 4.27% | -0.22% |
Volatility (6M)Calculated over the trailing 6-month period | 10.50% | 9.68% | +0.82% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.05% | 11.46% | +4.59% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.90% | 14.62% | +9.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.34% | 14.73% | +8.61% |
GOVZ vs. KMLM - Expense Ratio Comparison
GOVZ has a 0.15% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
GOVZ vs. KMLM - Dividend Comparison
GOVZ's dividend yield for the trailing twelve months is around 5.18%, more than KMLM's 4.59% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
GOVZ iShares 25+ Year Treasury STRIPS Bond ETF | 5.18% | 5.00% | 4.68% | 3.84% | 3.69% | 1.76% | 0.39% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.59% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% |
Frequently Asked Questions
GOVZ and KMLM have a correlation of -0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (4.27%) compared to GOVZ (4.05%). In terms of maximum drawdown, GOVZ dropped -59.65% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 4.06% vs -11.53% for GOVZ. On fees, GOVZ is cheaper at 0.15% per year. On volatility, GOVZ has been the lower-risk option at 4.05%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, KMLM has performed better with a 4.06% return vs -11.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
GOVZ is cheaper with a 0.15% expense ratio, compared with 0.90% for KMLM.
GOVZ has the higher dividend yield at 5.18%, compared with 4.59% for KMLM.
GOVZ is categorized as Government Bonds, while KMLM is Long-Short. They also come from different issuers: iShares and CICC. Their fees differ too: 0.15% for GOVZ and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.04 vs 0.05), 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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