KMLM vs. CAOS

Last updated Jul 22, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while CAOS is a Options Trading fund actively managed by Alpha Architect. KMLM is passively managed, while CAOS is actively managed. Over the past 3 years, KMLM returned 0.48%/yr vs 3.63%/yr for CAOS. At a correlation of -0.04, they often move in opposite directions. KMLM charges 0.90%/yr vs 0.63%/yr for CAOS.

Performance

KMLM vs. CAOS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and Alpha Architect Tail Risk ETF (CAOS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, KMLM achieves a 13.45% return, which is significantly higher than CAOS's 0.95% return.

KMLM

• 1D: 0.65%
• 1M: 5.82%
• 6M: 11.47%
• YTD: 13.45%
• 1Y: 15.15%
• 3Y*: 0.48%
• 5Y*: 5.84%
• 10Y*: —
• ALL TIME*: 7.58%

CAOS

• 1D: -0.15%
• 1M: 0.30%
• 6M: 0.18%
• YTD: 0.95%
• 1Y: 1.98%
• 3Y*: 3.63%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 4.80%

*Multi-year figures are annualized to reflect compound growth (CAGR)

KMLM vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
KMLM KFA Mount Lucas Index Strategy ETF	13.45%	-2.98%	-1.69%	-4.22%
CAOS Alpha Architect Tail Risk ETF	0.95%	2.55%	5.33%	7.43%

Correlation

The correlation between KMLM and CAOS is 0.05, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.05
Correlation (3Y) Calculated over the trailing 3-year period	-0.05
Correlation (All Time) Calculated using the full available price history since Mar 6, 2023	-0.04

The correlation between KMLM and CAOS shifts across timeframes, from -0.05 (3 years) to 0.05 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

KMLM vs. CAOS — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

KMLM

KMLM Risk / Return Rank: 47
KMLM Sharpe Ratio Rank: 51
KMLM Sortino Ratio Rank: 49
KMLM Omega Ratio Rank: 51
KMLM Calmar Ratio Rank: 41
KMLM Martin Ratio Rank: 42

CAOS

CAOS Risk / Return Rank: 56
CAOS Sharpe Ratio Rank: 49
CAOS Sortino Ratio Rank: 56
CAOS Omega Ratio Rank: 56
CAOS Calmar Ratio Rank: 70
CAOS Martin Ratio Rank: 48

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

KMLM vs. CAOS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Alpha Architect Tail Risk ETF (CAOS). 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	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	1.32	1.27	+0.05
Sortino ratio: Return per unit of downside risk	1.84	2.03	-0.19
Omega ratio: Gain probability vs. loss probability	1.24	1.26	-0.02
Calmar ratio: Return relative to maximum drawdown	1.58	2.62	-1.04
Martin ratio: Return relative to average drawdown	4.94	5.89	-0.94

KMLM vs. CAOS - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 1.32, which is comparable to the CAOS Sharpe Ratio of 1.27. The chart below compares the historical Sharpe Ratios of KMLM and CAOS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

KMLM vs. CAOS - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for KMLM and CAOS.

Drawdown Indicators

	KMLM	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-3.89%	-23.58%
Max Drawdown (1Y) Largest decline over 1 year	-9.61%	-0.76%	-8.85%
Max Drawdown (3Y) Largest decline over 3 years	-22.28%	-3.60%	-18.68%
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	—	—
Current Drawdown Current decline from peak	-11.54%	-0.95%	-10.59%
Average Drawdown Average peak-to-trough decline	-12.79%	-0.92%	-11.87%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.07%	0.34%	+2.73%

Volatility

KMLM vs. CAOS - Volatility Comparison

KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 3.62% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.54%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than CAOS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.62%	0.54%	+3.08%
Volatility (6M) Calculated over the trailing 6-month period	10.11%	1.11%	+9.00%
Volatility (1Y) Calculated over the trailing 1-year period	11.51%	1.56%	+9.95%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.53%	4.19%	+10.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.67%	4.19%	+10.48%

KMLM vs. CAOS - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than CAOS's 0.63% expense ratio.

Dividends

KMLM vs. CAOS - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.43%, while CAOS has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021
CAOS Alpha Architect Tail Risk ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.43%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both KMLM and CAOS in my portfolio?

KMLM and CAOS have a correlation of 0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KMLM or CAOS?

KMLM has higher volatility (3.62%) compared to CAOS (0.54%). In terms of maximum drawdown, KMLM dropped -27.47% vs CAOS's -3.89%.

Which ETF is better, KMLM or CAOS?

On 3-year performance, CAOS leads with 3.63% vs 0.48% for KMLM. On fees, CAOS is cheaper at 0.63% per year. On volatility, CAOS has been the lower-risk option at 0.54%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KMLM or CAOS?

Over the 3-year period, CAOS has performed better with a 3.63% return vs 0.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KMLM or CAOS?

CAOS is cheaper with a 0.63% expense ratio, compared with 0.90% for KMLM.

Which ETF pays a higher dividend yield, KMLM or CAOS?

KMLM has the higher dividend yield at 4.43%, compared with 0.00% for CAOS.

What is the main difference between KMLM and CAOS?

KMLM is categorized as Systematic Trend, while CAOS is Options Trading. They also come from different issuers: KraneShares and Alpha Architect. Their fees differ too: 0.90% for KMLM and 0.63% for CAOS.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.32 vs 1.27), 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.