KMLM vs. BTAL
KMLM (KFA Mount Lucas Index Strategy ETF) and BTAL (AGF U.S. Market Neutral Anti-Beta Fund) are both exchange-traded funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while BTAL is a Equity Market Neutral fund actively managed by AGF. KMLM is passively managed, while BTAL is actively managed. Over the past 5 years, KMLM returned 5.77%/yr vs -4.14%/yr for BTAL. Their 0.09 correlation means their historical movements had little consistent relationship. KMLM charges 0.90%/yr vs 1.40%/yr for BTAL.
Performance
KMLM vs. BTAL - Performance Comparison
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Returns By Period
In the year-to-date period, KMLM achieves a 12.95% return, which is significantly higher than BTAL's -14.87% return.
KMLM
- 1D
- 0.24%
- 1M
- 6.85%
- 6M
- 12.90%
- YTD
- 12.95%
- 1Y
- 18.19%
- 3Y*
- 0.08%
- 5Y*
- 5.77%
- 10Y*
- —
- ALL TIME*
- 7.46%
BTAL
- 1D
- -0.33%
- 1M
- 5.79%
- 6M
- -13.85%
- YTD
- -14.87%
- 1Y
- -25.47%
- 3Y*
- -8.33%
- 5Y*
- -4.14%
- 10Y*
- -4.41%
- ALL TIME*
- -3.78%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $10.19M | $8.38M | $8.16M | |
| $14.29M | $9.53M | $7.83M |
KMLM vs. BTAL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 12.95% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
BTAL AGF U.S. Market Neutral Anti-Beta Fund | -14.87% | -20.17% | 12.83% | -15.11% | 20.48% | -6.81% | -1.50% |
Correlation
The correlation between KMLM and BTAL is 0.06, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.06 |
Correlation (3Y) Balances recent behavior with more history. | 0.06 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.13 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | 0.09 |
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Return for Risk
KMLM vs. BTAL — Risk / Return Rank
KMLM
BTAL
KMLM vs. BTAL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and AGF U.S. Market Neutral Anti-Beta Fund (BTAL). 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.
| KMLM | BTAL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.55 | ||
| Sortino ratioReturn per unit of downside risk | +3.55 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 0.85 | +0.43 |
| Calmar ratioReturn relative to maximum drawdown | 1.86 | -0.69 | +2.54 |
| Martin ratioReturn relative to average drawdown | 6.03 | -1.25 | +7.28 |
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Drawdowns
KMLM vs. BTAL - Drawdown Comparison
The maximum KMLM drawdown since its inception was -27.47%, smaller than the maximum BTAL drawdown of -52.70%. Use the drawdown chart below to compare losses from any high point for KMLM and BTAL.
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Drawdown Indicators
| KMLM | BTAL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.47% | -52.70% | +25.23% |
Max Drawdown (1Y)Largest decline over 1 year | -9.61% | -34.57% | +24.96% |
Max Drawdown (3Y)Largest decline over 3 years | -22.28% | -47.83% | +25.55% |
Max Drawdown (5Y)Largest decline over 5 years | -27.47% | -47.83% | +20.36% |
Max Drawdown (10Y)Largest decline over 10 years | — | -52.70% | — |
Current DrawdownCurrent decline from peak | -11.93% | -46.94% | +35.01% |
Average DrawdownAverage peak-to-trough decline | -12.79% | -22.25% | +9.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.95% | 19.09% | -16.14% |
Volatility
KMLM vs. BTAL - Volatility Comparison
The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 3.70%, while AGF U.S. Market Neutral Anti-Beta Fund (BTAL) has a volatility of 7.89%. This indicates that KMLM experiences smaller price fluctuations and is considered to be less risky than BTAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| KMLM | BTAL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.70% | 7.89% | -4.19% |
Volatility (6M)Calculated over the trailing 6-month period | 10.31% | 17.97% | -7.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.49% | 23.85% | -12.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.53% | 19.39% | -4.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.66% | 17.47% | -2.81% |
KMLM vs. BTAL - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is lower than BTAL's 1.40% expense ratio.
Dividends
KMLM vs. BTAL - Dividend Comparison
KMLM's dividend yield for the trailing twelve months is around 4.45%, more than BTAL's 2.92% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
BTAL AGF U.S. Market Neutral Anti-Beta Fund | 2.92% | 2.49% | 3.49% | 6.14% | 1.01% | 0.00% | 0.00% | 0.88% | 0.39% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.45% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
KMLM and BTAL have a correlation of 0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTAL has higher volatility (7.89%) compared to KMLM (3.70%). In terms of maximum drawdown, KMLM dropped -27.47% vs BTAL's -52.70%.
On 5-year performance, KMLM leads with 5.77% vs -4.14% for BTAL. On fees, KMLM is cheaper at 0.90% per year. On volatility, KMLM has been the lower-risk option at 3.70%. 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 5.77% return vs -4.14%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KMLM is cheaper with a 0.90% expense ratio, compared with 1.40% for BTAL.
KMLM has the higher dividend yield at 4.45%, compared with 2.92% for BTAL.
KMLM is categorized as Systematic Trend, while BTAL is Equity Market Neutral. They also come from different issuers: KraneShares and AGF. Their fees differ too: 0.90% for KMLM and 1.40% for BTAL.
KMLM currently has the higher Sharpe Ratio (1.55 vs -1.00), 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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