LBAY vs. KMLM
LBAY (Leatherback Long/Short Alternative Yield ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - LBAY is a Long-Short fund actively managed by Toroso Investments, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. LBAY is actively managed, while KMLM is passively managed. Over the past 5 years, LBAY returned 4.52%/yr vs 4.70%/yr for KMLM. At a 0.03 correlation, their price movements are largely independent. LBAY charges 1.09%/yr vs 0.90%/yr for KMLM.
Performance
LBAY vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, LBAY achieves a 2.94% return, which is significantly lower than KMLM's 7.82% return.
LBAY
- 1D
- -0.82%
- 1M
- -4.77%
- YTD
- 2.94%
- 6M
- 3.57%
- 1Y
- 3.91%
- 3Y*
- 1.80%
- 5Y*
- 4.52%
- 10Y*
- —
KMLM
- 1D
- 0.58%
- 1M
- -4.23%
- YTD
- 7.82%
- 6M
- 7.66%
- 1Y
- 15.91%
- 3Y*
- -0.44%
- 5Y*
- 4.70%
- 10Y*
- —
LBAY vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
LBAY Leatherback Long/Short Alternative Yield ETF | 2.94% | 4.08% | -3.49% | -8.54% | 22.41% | 22.27% | 3.30% |
KMLM KFA Mount Lucas Index Strategy ETF | 7.82% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between LBAY and KMLM is 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.18 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.01 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | 0.03 |
The correlation between LBAY and KMLM shifts across timeframes, from 0.01 (5 years) to 0.18 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
LBAY vs. KMLM — Risk / Return Rank
LBAY
KMLM
LBAY vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Leatherback Long/Short Alternative Yield ETF (LBAY) and KFA Mount Lucas Index Strategy ETF (KMLM). 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.
| LBAY | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.16 | ||
| Sortino ratioReturn per unit of downside risk | -1.46 | ||
| Omega ratioGain probability vs. loss probability | 1.06 | 1.25 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | 0.29 | 1.99 | -1.70 |
| Martin ratioReturn relative to average drawdown | 0.74 | 6.87 | -6.13 |
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Drawdowns
LBAY vs. KMLM - Drawdown Comparison
The maximum LBAY drawdown since its inception was -15.99%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for LBAY and KMLM.
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Drawdown Indicators
| LBAY | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.99% | -27.47% | +11.48% |
Max Drawdown (1Y)Largest decline over 1 year | -13.61% | -8.04% | -5.57% |
Max Drawdown (3Y)Largest decline over 3 years | -14.57% | -22.28% | +7.71% |
Max Drawdown (5Y)Largest decline over 5 years | -15.99% | -27.47% | +11.48% |
Current DrawdownCurrent decline from peak | -13.61% | -15.93% | +2.32% |
Average DrawdownAverage peak-to-trough decline | -6.83% | -12.75% | +5.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.27% | 2.32% | +2.95% |
Volatility
LBAY vs. KMLM - Volatility Comparison
Leatherback Long/Short Alternative Yield ETF (LBAY) has a higher volatility of 4.08% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.95%. This indicates that LBAY's price experiences larger fluctuations and is considered to be riskier than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| LBAY | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.08% | 2.95% | +1.13% |
Volatility (6M)Calculated over the trailing 6-month period | 12.54% | 9.80% | +2.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.64% | 11.38% | +4.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.56% | 14.58% | -1.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.76% | 14.69% | -0.93% |
LBAY vs. KMLM - Expense Ratio Comparison
LBAY has a 1.09% expense ratio, which is higher than KMLM's 0.90% expense ratio.
Dividends
LBAY vs. KMLM - Dividend Comparison
LBAY's dividend yield for the trailing twelve months is around 3.93%, less than KMLM's 4.66% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.66% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% |
LBAY Leatherback Long/Short Alternative Yield ETF | 3.93% | 3.80% | 3.77% | 3.47% | 2.74% | 2.96% | 0.29% |
Frequently Asked Questions
LBAY and KMLM have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LBAY has higher volatility (4.08%) compared to KMLM (2.95%). In terms of maximum drawdown, LBAY dropped -15.99% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 4.70% vs 4.52% for LBAY. On fees, KMLM is cheaper at 0.90% per year. On volatility, KMLM has been the lower-risk option at 2.95%. 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 4.70% return vs 4.52%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KMLM is cheaper with a 0.90% expense ratio, compared with 1.09% for LBAY.
KMLM has the higher dividend yield at 4.66%, compared with 3.93% for LBAY.
LBAY is categorized as Long-Short, while KMLM is Systematic Trend. They also come from different issuers: Toroso Investments and KraneShares. Their fees differ too: 1.09% for LBAY and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.41 vs 0.25), 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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