MARB vs. KMLM

Last updated Jun 4, 2026

MARB (First Trust Merger Arbitrage ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both Long-Short funds. Both are actively managed. Over the past 5 years, MARB returned 2.64%/yr vs 4.33%/yr for KMLM. At a correlation of -0.06, they often move in opposite directions. MARB charges 2.30%/yr vs 0.90%/yr for KMLM.

Performance

MARB vs. KMLM - Performance Comparison

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

Returns By Period

In the year-to-date period, MARB achieves a 1.26% return, which is significantly lower than KMLM's 10.79% return.

MARB

• 1D: 0.05%
• 1M: 0.22%
• YTD: 1.26%
• 6M: 1.42%
• 1Y: 6.18%
• 3Y*: 4.29%
• 5Y*: 2.64%
• 10Y*: —

KMLM

• 1D: 0.17%
• 1M: -2.41%
• YTD: 10.79%
• 6M: 13.19%
• 1Y: 13.68%
• 3Y*: -0.47%
• 5Y*: 4.33%
• 10Y*: —

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

MARB vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
MARB First Trust Merger Arbitrage ETF	1.26%	7.02%	0.73%	2.16%	3.89%	0.26%	-0.30%
KMLM KFA Mount Lucas Index Strategy ETF	10.79%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.40%

Correlation

The correlation between MARB and KMLM is 0.01, 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	0.01
Correlation (3Y) Calculated over the trailing 3-year period	-0.02
Correlation (5Y) Calculated over the trailing 5-year period	-0.06
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020	-0.06

Return for Risk

MARB vs. KMLM — Risk / Return Rank

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

MARB

MARB Risk / Return Rank: 52
MARB Sharpe Ratio Rank: 32
MARB Sortino Ratio Rank: 34
MARB Omega Ratio Rank: 51
MARB Calmar Ratio Rank: 52
MARB Martin Ratio Rank: 90

KMLM

KMLM Risk / Return Rank: 36
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 43
KMLM Martin Ratio Rank: 43

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.

MARB vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Merger Arbitrage ETF (MARB) 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.

	MARB	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	1.17	1.20	-0.03
Sortino ratio: Return per unit of downside risk	1.80	1.68	+0.12
Omega ratio: Gain probability vs. loss probability	1.32	1.22	+0.10
Calmar ratio: Return relative to maximum drawdown	2.56	2.18	+0.38
Martin ratio: Return relative to average drawdown	20.98	7.18	+13.80
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MARB vs. KMLM - Sharpe Ratio Comparison

The current MARB Sharpe Ratio is 1.17, which is comparable to the KMLM Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of MARB and KMLM, 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

	MARB	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.17	1.20	-0.03
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.62	0.30	+0.32
Sharpe Ratio (All Time) Calculated using the full available price history	0.36	0.49	-0.13

Drawdowns

MARB vs. KMLM - Drawdown Comparison

The maximum MARB drawdown since its inception was -11.99%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for MARB and KMLM.

Drawdown Indicators

	MARB	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-11.99%	-27.47%	+15.48%
Max Drawdown (1Y) Largest decline over 1 year	-2.43%	-6.30%	+3.87%
Max Drawdown (3Y) Largest decline over 3 years	-3.67%	-22.28%	+18.61%
Max Drawdown (5Y) Largest decline over 5 years	-3.67%	-27.47%	+23.80%
Current Drawdown Current decline from peak	-0.00%	-13.61%	+13.61%
Average Drawdown Average peak-to-trough decline	-1.40%	-12.74%	+11.34%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.30%	1.91%	-1.61%

Volatility

MARB vs. KMLM - Volatility Comparison

The current volatility for First Trust Merger Arbitrage ETF (MARB) is 0.47%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.46%. This indicates that MARB experiences smaller price fluctuations and is considered to be less risky than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MARB	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.47%	4.46%	-3.99%
Volatility (6M) Calculated over the trailing 6-month period	2.18%	9.63%	-7.45%
Volatility (1Y) Calculated over the trailing 1-year period	5.31%	11.43%	-6.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.27%	14.62%	-10.35%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.60%	14.73%	-9.13%

MARB vs. KMLM - Expense Ratio Comparison

MARB has a 2.30% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

MARB vs. KMLM - Dividend Comparison

MARB's dividend yield for the trailing twelve months is around 2.98%, less than KMLM's 4.53% yield.

Position	TTM	2025	2024	2023	2022	2021
KMLM KFA Mount Lucas Index Strategy ETF	4.53%	5.02%	0.82%	0.00%	13.22%	6.94%
MARB First Trust Merger Arbitrage ETF	2.98%	3.01%	2.11%	2.20%	0.99%	0.00%

Frequently Asked Questions

Can I hold both MARB and KMLM in my portfolio?

MARB and KMLM have a correlation of 0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MARB or KMLM?

KMLM has higher volatility (4.46%) compared to MARB (0.47%). In terms of maximum drawdown, MARB dropped -11.99% vs KMLM's -27.47%.

Which ETF is better, MARB or KMLM?

On 5-year performance, KMLM leads with 4.33% vs 2.64% for MARB. On fees, KMLM is cheaper at 0.90% per year. On volatility, MARB has been the lower-risk option at 0.47%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, MARB or KMLM?

Over the 5-year period, KMLM has performed better with a 4.33% return vs 2.64%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MARB or KMLM?

KMLM is cheaper with a 0.90% expense ratio, compared with 2.30% for MARB.

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

KMLM has the higher dividend yield at 4.53%, compared with 2.98% for MARB.

What is the main difference between MARB and KMLM?

They also come from different issuers: First Trust and CICC. Their fees differ too: 2.30% for MARB and 0.90% for KMLM.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.20 vs 1.17), 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.