IEF vs. KMLM
IEF (iShares 7-10 Year Treasury Bond ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - IEF is a Government Bonds fund tracking the ICE U.S. Treasury 7-10 Year Bond Index, while KMLM is a Long-Short fund actively managed by CICC. IEF is passively managed, while KMLM is actively managed. Over the past 5 years, IEF returned -1.34%/yr vs 4.40%/yr for KMLM. At a correlation of -0.36, they often move in opposite directions. IEF charges 0.15%/yr vs 0.90%/yr for KMLM.
Performance
IEF vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, IEF achieves a -1.16% return, which is significantly lower than KMLM's 9.83% return.
IEF
- 1D
- -0.11%
- 1M
- -1.19%
- YTD
- -1.16%
- 6M
- -0.96%
- 1Y
- 3.91%
- 3Y*
- 2.43%
- 5Y*
- -1.34%
- 10Y*
- 0.53%
KMLM
- 1D
- 0.42%
- 1M
- -2.33%
- YTD
- 9.83%
- 6M
- 12.35%
- 1Y
- 12.99%
- 3Y*
- -0.87%
- 5Y*
- 4.40%
- 10Y*
- —
IEF vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
IEF iShares 7-10 Year Treasury Bond ETF | -1.16% | 8.03% | -0.63% | 3.64% | -15.15% | -3.33% | 0.46% |
KMLM KFA Mount Lucas Index Strategy ETF | 9.83% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
Correlation
The correlation between IEF and KMLM is -0.20, 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 | -0.20 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.28 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.37 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020 | -0.36 |
The correlation between IEF and KMLM shifts across timeframes, from -0.37 (5 years) to -0.20 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
IEF vs. KMLM — Risk / Return Rank
IEF
KMLM
IEF vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares 7-10 Year Treasury Bond ETF (IEF) 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.
| IEF | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.30 | ||
| Sortino ratioReturn per unit of downside risk | -0.33 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.21 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | 0.96 | 2.07 | -1.11 |
| Martin ratioReturn relative to average drawdown | 2.79 | 6.61 | -3.82 |
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
| IEF | KMLM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.84 | 1.14 | -0.30 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.17 | 0.30 | -0.48 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.08 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.50 | 0.48 | +0.02 |
Drawdowns
IEF vs. KMLM - Drawdown Comparison
The maximum IEF drawdown since its inception was -23.93%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for IEF and KMLM.
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Drawdown Indicators
| IEF | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.93% | -27.47% | +3.54% |
Max Drawdown (1Y)Largest decline over 1 year | -4.07% | -6.30% | +2.23% |
Max Drawdown (3Y)Largest decline over 3 years | -7.74% | -22.28% | +14.54% |
Max Drawdown (5Y)Largest decline over 5 years | -21.40% | -27.47% | +6.07% |
Max Drawdown (10Y)Largest decline over 10 years | -23.93% | — | — |
Current DrawdownCurrent decline from peak | -11.80% | -14.36% | +2.56% |
Average DrawdownAverage peak-to-trough decline | -5.35% | -12.74% | +7.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.40% | 1.97% | -0.57% |
Volatility
IEF vs. KMLM - Volatility Comparison
The current volatility for iShares 7-10 Year Treasury Bond ETF (IEF) is 1.51%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.27%. This indicates that IEF 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
| IEF | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.51% | 4.27% | -2.76% |
Volatility (6M)Calculated over the trailing 6-month period | 3.36% | 9.68% | -6.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.69% | 11.46% | -6.77% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.71% | 14.62% | -6.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.63% | 14.72% | -8.09% |
IEF vs. KMLM - Expense Ratio Comparison
IEF has a 0.15% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
IEF vs. KMLM - Dividend Comparison
IEF's dividend yield for the trailing twelve months is around 3.92%, less than KMLM's 4.57% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IEF iShares 7-10 Year Treasury Bond ETF | 3.92% | 3.77% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.57% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
IEF and KMLM have a correlation of -0.20, 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 IEF (1.51%). In terms of maximum drawdown, IEF dropped -23.93% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 4.40% vs -1.34% for IEF. On fees, IEF is cheaper at 0.15% per year. On volatility, IEF has been the lower-risk option at 1.51%. 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 4.40% return vs -1.34%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IEF is cheaper with a 0.15% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.57%, compared with 3.92% for IEF.
IEF 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 IEF and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.14 vs 0.84), 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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