KMLM vs. QRPNX

Last updated Jul 26, 2026

KMLM (KFA Mount Lucas Index Strategy ETF) and QRPNX (AQR Alternative Risk Premia Fund Class N) are both funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while QRPNX is a Multistrategy fund actively managed by AQR. KMLM is passively managed, while QRPNX is actively managed. Over the past 5 years, KMLM returned 5.96%/yr vs 19.57%/yr for QRPNX. Their 0.27 correlation means their historical movements had little consistent relationship. KMLM charges 0.90%/yr vs 5.29%/yr for QRPNX.

Performance

KMLM vs. QRPNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KFA Mount Lucas Index Strategy ETF (KMLM) and AQR Alternative Risk Premia Fund Class N (QRPNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, KMLM achieves a 14.14% return, which is significantly lower than QRPNX's 20.97% return.

KMLM

• 1D: -0.80%
• 1M: 7.36%
• 6M: 12.54%
• YTD: 14.14%
• 1Y: 15.04%
• 3Y*: 1.14%
• 5Y*: 5.96%
• 10Y*: —
• ALL TIME*: 7.68%

QRPNX

• 1D: 0.30%
• 1M: 3.32%
• 6M: 19.57%
• YTD: 20.97%
• 1Y: 37.49%
• 3Y*: 21.88%
• 5Y*: 19.57%
• 10Y*: —
• ALL TIME*: 8.56%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
KMLM KFA Mount Lucas Index Strategy ETF	$9.77M	$7.65M	$7.75M
QRPNX AQR Alternative Risk Premia Fund Class N	$0.00	$0.00	$0.00

KMLM vs. QRPNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
KMLM KFA Mount Lucas Index Strategy ETF	14.14%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.74%
QRPNX AQR Alternative Risk Premia Fund Class N	20.97%	23.09%	18.64%	6.94%	24.83%	14.04%	-0.18%

Correlation

The correlation between KMLM and QRPNX is 0.26, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.26
Correlation (3Y) Balances recent behavior with more history.	0.23
Correlation (5Y) Shows whether the relationship held over a longer period.	0.29
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	0.27

Return for Risk

KMLM vs. QRPNX — Risk / Return Rank

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

KMLM

KMLM Risk / Return Rank: 50
KMLM Sharpe Ratio Rank: 55
KMLM Sortino Ratio Rank: 52
KMLM Omega Ratio Rank: 53
KMLM Calmar Ratio Rank: 44
KMLM Martin Ratio Rank: 45

QRPNX

QRPNX Risk / Return Rank: 98
QRPNX Sharpe Ratio Rank: 99
QRPNX Sortino Ratio Rank: 98
QRPNX Omega Ratio Rank: 96
QRPNX Calmar Ratio Rank: 99
QRPNX Martin Ratio Rank: 98

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. QRPNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and AQR Alternative Risk Premia Fund Class N (QRPNX). 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	QRPNX	Difference
Sharpe ratio: Return per unit of total volatility	1.30	3.92	-2.62
Sortino ratio: Return per unit of downside risk	1.80	5.66	-3.86
Omega ratio: Gain probability vs. loss probability	1.24	1.70	-0.47
Calmar ratio: Return relative to maximum drawdown	1.55	10.26	-8.71
Martin ratio: Return relative to average drawdown	4.97	27.66	-22.69

KMLM vs. QRPNX - Sharpe Ratio Comparison

The current KMLM Sharpe Ratio is 1.30, which is lower than the QRPNX Sharpe Ratio of 3.92. The chart below compares the historical Sharpe Ratios of KMLM and QRPNX, 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. QRPNX - Drawdown Comparison

The maximum KMLM drawdown since its inception was -27.47%, roughly equal to the maximum QRPNX drawdown of -28.78%. Use the drawdown chart below to compare losses from any high point for KMLM and QRPNX.

Drawdown Indicators

	KMLM	QRPNX	Difference
Max Drawdown Largest peak-to-trough decline	-27.47%	-28.78%	+1.31%
Max Drawdown (1Y) Largest decline over 1 year	-9.61%	-3.62%	-5.99%
Max Drawdown (3Y) Largest decline over 3 years	-22.28%	-11.22%	-11.06%
Max Drawdown (5Y) Largest decline over 5 years	-27.47%	-11.22%	-16.25%
Current Drawdown Current decline from peak	-11.00%	0.00%	-11.00%
Average Drawdown Average peak-to-trough decline	-12.79%	-7.74%	-5.05%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.01%	1.34%	+1.67%

Volatility

KMLM vs. QRPNX - Volatility Comparison

KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 3.39% compared to AQR Alternative Risk Premia Fund Class N (QRPNX) at 2.51%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than QRPNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KMLM	QRPNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.39%	2.51%	+0.88%
Volatility (6M) Calculated over the trailing 6-month period	10.18%	6.92%	+3.26%
Volatility (1Y) Calculated over the trailing 1-year period	11.53%	9.48%	+2.05%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.52%	11.81%	+2.71%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.67%	10.31%	+4.36%

KMLM vs. QRPNX - Expense Ratio Comparison

KMLM has a 0.90% expense ratio, which is lower than QRPNX's 5.29% expense ratio.

Dividends

KMLM vs. QRPNX - Dividend Comparison

KMLM's dividend yield for the trailing twelve months is around 4.40%, more than QRPNX's 0.94% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
KMLM KFA Mount Lucas Index Strategy ETF	4.40%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%	0.00%
QRPNX AQR Alternative Risk Premia Fund Class N	0.94%	1.14%	2.04%	4.33%	0.00%	3.84%	1.98%	0.57%	0.07%

Frequently Asked Questions

Can I hold both KMLM and QRPNX in my portfolio?

KMLM and QRPNX have a correlation of 0.26, 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 QRPNX?

KMLM has higher volatility (3.39%) compared to QRPNX (2.51%). In terms of maximum drawdown, KMLM dropped -27.47% vs QRPNX's -28.78%.

Which has better risk-adjusted returns?

QRPNX currently has the higher Sharpe Ratio (3.92 vs 1.30), 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.