KMLM vs. QUAL
KMLM (KFA Mount Lucas Index Strategy ETF) and QUAL (iShares MSCI USA Quality Factor ETF) are both exchange-traded funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while QUAL is a Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index. Both are passively managed. Over the past 5 years, KMLM returned 4.11%/yr vs 11.97%/yr for QUAL. At a correlation of -0.11, they often move in opposite directions. KMLM charges 0.90%/yr vs 0.15%/yr for QUAL.
Performance
KMLM vs. QUAL - Performance Comparison
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Returns By Period
In the year-to-date period, KMLM achieves a 8.32% return, which is significantly lower than QUAL's 9.44% return.
KMLM
- 1D
- -0.53%
- 1M
- -5.13%
- YTD
- 8.32%
- 6M
- 9.68%
- 1Y
- 13.24%
- 3Y*
- -1.51%
- 5Y*
- 4.11%
- 10Y*
- —
QUAL
- 1D
- 0.47%
- 1M
- 2.14%
- YTD
- 9.44%
- 6M
- 9.29%
- 1Y
- 22.87%
- 3Y*
- 19.30%
- 5Y*
- 11.97%
- 10Y*
- 14.46%
KMLM vs. QUAL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 8.32% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
QUAL iShares MSCI USA Quality Factor ETF | 9.44% | 12.65% | 22.29% | 30.88% | -20.50% | 26.94% | 2.30% |
Correlation
The correlation between KMLM and QUAL is -0.00, 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 | -0.00 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.12 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.11 |
The correlation between KMLM and QUAL shifts across timeframes, from -0.12 (5 years) to -0.00 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
KMLM vs. QUAL — Risk / Return Rank
KMLM
QUAL
KMLM vs. QUAL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and iShares MSCI USA Quality Factor ETF (QUAL). 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 | QUAL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.68 | ||
| Sortino ratioReturn per unit of downside risk | -0.97 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.31 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 1.78 | 2.32 | -0.54 |
| Martin ratioReturn relative to average drawdown | 5.86 | 10.60 | -4.74 |
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Drawdowns
KMLM vs. QUAL - Drawdown Comparison
The maximum KMLM drawdown since its inception was -27.47%, smaller than the maximum QUAL drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for KMLM and QUAL.
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Drawdown Indicators
| KMLM | QUAL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.47% | -34.06% | +6.59% |
Max Drawdown (1Y)Largest decline over 1 year | -6.83% | -9.03% | +2.20% |
Max Drawdown (3Y)Largest decline over 3 years | -22.28% | -18.00% | -4.28% |
Max Drawdown (5Y)Largest decline over 5 years | -27.47% | -28.23% | +0.76% |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.06% | — |
Current DrawdownCurrent decline from peak | -15.54% | -0.19% | -15.35% |
Average DrawdownAverage peak-to-trough decline | -12.74% | -4.10% | -8.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.10% | 1.99% | +0.11% |
Volatility
KMLM vs. QUAL - Volatility Comparison
The current volatility for KFA Mount Lucas Index Strategy ETF (KMLM) is 3.35%, while iShares MSCI USA Quality Factor ETF (QUAL) has a volatility of 3.63%. This indicates that KMLM experiences smaller price fluctuations and is considered to be less risky than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| KMLM | QUAL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.35% | 3.63% | -0.28% |
Volatility (6M)Calculated over the trailing 6-month period | 9.77% | 9.43% | +0.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.50% | 12.10% | -0.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.62% | 17.36% | -2.74% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.71% | 18.11% | -3.40% |
KMLM vs. QUAL - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is higher than QUAL's 0.15% expense ratio.
Dividends
KMLM vs. QUAL - Dividend Comparison
KMLM's dividend yield for the trailing twelve months is around 4.64%, more than QUAL's 0.87% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.64% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QUAL iShares MSCI USA Quality Factor ETF | 0.87% | 0.94% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% |
Frequently Asked Questions
KMLM and QUAL have a correlation of -0.00, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QUAL has higher volatility (3.63%) compared to KMLM (3.35%). In terms of maximum drawdown, KMLM dropped -27.47% vs QUAL's -34.06%.
On 5-year performance, QUAL leads with 11.97% vs 4.11% for KMLM. On fees, QUAL is cheaper at 0.15% per year. On volatility, KMLM has been the lower-risk option at 3.35%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, QUAL has performed better with a 11.97% return vs 4.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
QUAL is cheaper with a 0.15% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.64%, compared with 0.87% for QUAL.
KMLM is categorized as Systematic Trend, while QUAL is Large Cap Blend Equities. KMLM tracks KFA MLM Index, while QUAL tracks MSCI USA Sector Neutral Quality Index. They also come from different issuers: KraneShares and iShares. Their fees differ too: 0.90% for KMLM and 0.15% for QUAL.
QUAL currently has the higher Sharpe Ratio (1.74 vs 1.06), 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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