KMLM vs. CTA

Last updated Jun 3, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and CTA (Simplify Managed Futures Strategy ETF) are both exchange-traded funds - KMLM is a Long-Short fund actively managed by CICC, while CTA is a Systematic Trend fund actively managed by Simplify. Both are actively managed. Over the past 3 years, KMLM returned -0.53%/yr vs 11.59%/yr for CTA. At a 0.39 correlation, their price movements are largely independent. KMLM charges 0.90%/yr vs 0.78%/yr for CTA.

Performance

KMLM vs. CTA - Performance Comparison

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

Returns By Period

In the year-to-date period, KMLM achieves a 10.60% return, which is significantly lower than CTA's 11.70% return.

KMLM

• 1D: 0.53%
• 1M: -2.15%
• YTD: 10.60%
• 6M: 13.52%
• 1Y: 12.84%
• 3Y*: -0.53%
• 5Y*: 4.37%
• 10Y*: —

CTA

• 1D: 0.54%
• 1M: -6.72%
• YTD: 11.70%
• 6M: 12.40%
• 1Y: 15.29%
• 3Y*: 11.59%
• 5Y*: —
• 10Y*: —

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

KMLM vs. CTA - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
KMLM KFA Mount Lucas Index Strategy ETF	10.60%	-2.98%	-1.69%	-5.66%	6.88%
CTA Simplify Managed Futures Strategy ETF	11.70%	0.88%	24.15%	-2.23%	9.55%

Correlation

The correlation between KMLM and CTA is 0.59, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.59
Correlation (3Y) Calculated over the trailing 3-year period	0.38
Correlation (All Time) Calculated using the full available price history since Mar 9, 2022	0.39

Over the past year, KMLM and CTA have become more correlated (0.59) than their long-term average of 0.39, meaning their price movements have been converging.

Return for Risk

KMLM vs. CTA — Risk / Return Rank

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

KMLM

KMLM Risk / Return Rank: 36
KMLM Sharpe Ratio Rank: 31
KMLM Sortino Ratio Rank: 30
KMLM Omega Ratio Rank: 31
KMLM Calmar Ratio Rank: 44
KMLM Martin Ratio Rank: 44

CTA

CTA Risk / Return Rank: 24
CTA Sharpe Ratio Rank: 22
CTA Sortino Ratio Rank: 21
CTA Omega Ratio Rank: 23
CTA Calmar Ratio Rank: 29
CTA Martin Ratio Rank: 26

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. CTA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and Simplify Managed Futures Strategy ETF (CTA). 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.

	KMLM	CTA	Difference
Sharpe ratio Return per unit of total volatility	1.13	0.76	+0.37
Sortino ratio Return per unit of downside risk	1.59	1.10	+0.49
Omega ratio Gain probability vs. loss probability	1.20	1.15	+0.05
Calmar ratio Return relative to maximum drawdown	2.22	1.40	+0.81
Martin ratio Return relative to average drawdown	7.31	3.71	+3.60
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

KMLM vs. CTA - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 1.13, which is higher than the CTA Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of KMLM and CTA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	KMLM	CTA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.13	0.76	+0.37
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.30	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.49	0.61	-0.12

Drawdowns

KMLM vs. CTA - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, which is greater than CTA's maximum drawdown of -18.07%. Use the drawdown chart below to compare losses from any high point for KMLM and CTA.

Drawdown Indicators

	KMLM	CTA	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-18.07%	-9.40%
Max Drawdown (1Y) Largest decline over 1 year	-6.30%	-11.00%	+4.70%
Max Drawdown (3Y) Largest decline over 3 years	-22.28%	-11.23%	-11.05%
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	—	—
Current Drawdown Current decline from peak	-13.76%	-8.35%	-5.41%
Average Drawdown Average peak-to-trough decline	-12.74%	-5.67%	-7.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.91%	4.16%	-2.25%

Volatility

KMLM vs. CTA - Volatility Comparison

The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 4.49%, while Simplify Managed Futures Strategy ETF (CTA) has a volatility of 8.01%. This indicates that KMLM experiences smaller price fluctuations and is considered to be less risky than CTA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	CTA	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.49%	8.01%	-3.52%
Volatility (6M) Calculated over the trailing 6-month period	9.64%	17.30%	-7.66%
Volatility (1Y) Calculated over the trailing 1-year period	11.46%	20.12%	-8.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.62%	16.59%	-1.97%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.74%	16.59%	-1.85%

KMLM vs. CTA - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is higher than CTA's 0.78% expense ratio.

Dividends

KMLM vs. CTA - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.54%, less than CTA's 4.88% yield.

Position	TTM	2025	2024	2023	2022	2021
CTA Simplify Managed Futures Strategy ETF	4.88%	3.19%	4.80%	7.78%	6.58%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.54%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both KMLM and CTA in my portfolio?

KMLM and CTA have a correlation of 0.59, 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 CTA?

CTA has higher volatility (8.01%) compared to KMLM (4.49%). In terms of maximum drawdown, KMLM dropped -27.47% vs CTA's -18.07%.

Which ETF is better, KMLM or CTA?

On 3-year performance, CTA leads with 11.59% vs -0.53% for KMLM. On fees, CTA is cheaper at 0.78% per year. On volatility, KMLM has been the lower-risk option at 4.49%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KMLM or CTA?

Over the 3-year period, CTA has performed better with a 11.59% return vs -0.53%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KMLM or CTA?

CTA is cheaper with a 0.78% expense ratio, compared with 0.90% for KMLM.

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

CTA has the higher dividend yield at 4.88%, compared with 4.54% for KMLM.

What is the main difference between KMLM and CTA?

KMLM is categorized as Long-Short, while CTA is Systematic Trend. They also come from different issuers: CICC and Simplify. Their fees differ too: 0.90% for KMLM and 0.78% for CTA.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.13 vs 0.76), 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.