KMLM vs. SLQD
KMLM (KFA Mount Lucas Index Strategy ETF) and SLQD (iShares 0-5 Year Investment Grade Corporate Bond ETF) are both exchange-traded funds - KMLM is a Systematic Trend fund tracking the KFA MLM Index, while SLQD is a Corporate Bonds fund tracking the Markit iBoxx USD Liquid Investment Grade 0-5 Index. Both are passively managed. Over the past 5 years, KMLM returned 5.46%/yr vs 2.54%/yr for SLQD. Their -0.33 correlation means they have often moved in opposite directions in the past. KMLM charges 0.90%/yr vs 0.06%/yr for SLQD.
Performance
KMLM vs. SLQD - Performance Comparison
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Returns By Period
In the year-to-date period, KMLM achieves a 10.64% return, which is significantly higher than SLQD's 1.19% return.
KMLM
- 1D
- -2.05%
- 1M
- 4.67%
- 6M
- 8.67%
- YTD
- 10.64%
- 1Y
- 15.77%
- 3Y*
- -0.31%
- 5Y*
- 5.46%
- 10Y*
- —
- ALL TIME*
- 7.06%
SLQD
- 1D
- 0.09%
- 1M
- -0.05%
- 6M
- 0.85%
- YTD
- 1.19%
- 1Y
- 3.34%
- 3Y*
- 5.27%
- 5Y*
- 2.54%
- 10Y*
- 2.62%
- ALL TIME*
- 2.51%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $10.28M | $9.90M | $7.93M | |
| $9.25M | $10.44M | $10.22M |
KMLM vs. SLQD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 10.64% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
SLQD iShares 0-5 Year Investment Grade Corporate Bond ETF | 1.19% | 6.27% | 4.94% | 5.98% | -4.38% | -0.61% | 0.40% |
Correlation
The correlation between KMLM and SLQD is -0.32, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.32 |
Correlation (3Y) Balances recent behavior with more history. | -0.26 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.35 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.33 |
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Return for Risk
KMLM vs. SLQD — Risk / Return Rank
KMLM
SLQD
KMLM vs. SLQD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for KFA Mount Lucas Index Strategy ETF (KMLM) and iShares 0-5 Year Investment Grade Corporate Bond ETF (SLQD). 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 | SLQD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.91 | ||
| Sortino ratioReturn per unit of downside risk | -1.51 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.43 | -0.18 |
| Calmar ratioReturn relative to maximum drawdown | 1.65 | 3.15 | -1.51 |
| Martin ratioReturn relative to average drawdown | 5.33 | 13.87 | -8.55 |
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Drawdowns
KMLM vs. SLQD - Drawdown Comparison
The maximum KMLM drawdown since its inception was -27.47%, which is greater than SLQD's maximum drawdown of -12.69%. Use the drawdown chart below to compare losses from any high point for KMLM and SLQD.
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Drawdown Indicators
| KMLM | SLQD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.47% | -12.69% | -14.78% |
Max Drawdown (1Y)Largest decline over 1 year | -9.61% | -1.06% | -8.55% |
Max Drawdown (3Y)Largest decline over 3 years | -22.28% | -1.06% | -21.22% |
Max Drawdown (5Y)Largest decline over 5 years | -27.47% | -7.57% | -19.90% |
Max Drawdown (10Y)Largest decline over 10 years | — | -12.69% | — |
Current DrawdownCurrent decline from peak | -13.73% | -0.08% | -13.65% |
Average DrawdownAverage peak-to-trough decline | -12.79% | -0.86% | -11.93% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.97% | 0.24% | +2.73% |
Volatility
KMLM vs. SLQD - Volatility Comparison
KFA Mount Lucas Index Strategy ETF (KMLM) has a higher volatility of 4.35% compared to iShares 0-5 Year Investment Grade Corporate Bond ETF (SLQD) at 0.41%. This indicates that KMLM's price experiences larger fluctuations and is considered to be riskier than SLQD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| KMLM | SLQD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.35% | 0.41% | +3.94% |
Volatility (6M)Calculated over the trailing 6-month period | 10.24% | 1.24% | +9.00% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.68% | 1.48% | +10.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.55% | 2.46% | +12.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.68% | 3.13% | +11.55% |
KMLM vs. SLQD - Expense Ratio Comparison
KMLM has a 0.90% expense ratio, which is higher than SLQD's 0.06% expense ratio.
Dividends
KMLM vs. SLQD - Dividend Comparison
KMLM's dividend yield for the trailing twelve months is around 4.54%, more than SLQD's 4.38% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.54% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SLQD iShares 0-5 Year Investment Grade Corporate Bond ETF | 4.38% | 4.15% | 3.71% | 2.99% | 2.00% | 1.67% | 2.34% | 2.89% | 2.55% | 1.98% | 1.81% | 1.43% |
Frequently Asked Questions
KMLM and SLQD have a correlation of -0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (4.35%) compared to SLQD (0.41%). In terms of maximum drawdown, KMLM dropped -27.47% vs SLQD's -12.69%.
On 5-year performance, KMLM leads with 5.46% vs 2.54% for SLQD. On fees, SLQD is cheaper at 0.06% per year. On volatility, SLQD has been the lower-risk option at 0.41%. 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 5.46% return vs 2.54%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SLQD is cheaper with a 0.06% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.54%, compared with 4.38% for SLQD.
KMLM is categorized as Systematic Trend, while SLQD is Corporate Bonds. KMLM tracks KFA MLM Index, while SLQD tracks Markit iBoxx USD Liquid Investment Grade 0-5 Index. They also come from different issuers: KraneShares and iShares. Their fees differ too: 0.90% for KMLM and 0.06% for SLQD.
SLQD currently has the higher Sharpe Ratio (2.27 vs 1.36), 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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