MFTFX vs. KMLM

Last updated Jun 23, 2026

MFTFX (Arrow Managed Futures Stragegy Fund) and KMLM (KFA Mount Lucas Index Strategy ETF) are both Systematic Trend funds. Over the past 5 years, MFTFX returned 11.96%/yr vs 4.70%/yr for KMLM. A 0.58 correlation means they provide meaningful diversification when combined. MFTFX charges 1.54%/yr vs 0.90%/yr for KMLM.

Performance

MFTFX vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Arrow Managed Futures Stragegy Fund (MFTFX) 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, MFTFX achieves a 13.07% return, which is significantly higher than KMLM's 7.82% return.

MFTFX

• 1D: 0.73%
• 1M: -2.26%
• YTD: 13.07%
• 6M: 13.82%
• 1Y: 46.30%
• 3Y*: 2.94%
• 5Y*: 11.96%
• 10Y*: 5.65%

KMLM

• 1D: 0.58%
• 1M: -4.23%
• YTD: 7.82%
• 6M: 7.66%
• 1Y: 15.91%
• 3Y*: -0.44%
• 5Y*: 4.70%
• 10Y*: —

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

MFTFX vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
MFTFX Arrow Managed Futures Stragegy Fund	13.07%	9.29%	6.87%	-13.57%	57.88%	2.13%	8.63%
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 MFTFX and KMLM is 0.50, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.50
Correlation (3Y) Calculated over the trailing 3-year period	0.51
Correlation (5Y) Calculated over the trailing 5-year period	0.59
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	0.58

The correlation between MFTFX and KMLM has been stable across timeframes, ranging from 0.50 to 0.59 - a consistent structural relationship.

Return for Risk

MFTFX vs. KMLM — Risk / Return Rank

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

MFTFX

MFTFX Risk / Return Rank: 69
MFTFX Sharpe Ratio Rank: 71
MFTFX Sortino Ratio Rank: 57
MFTFX Omega Ratio Rank: 59
MFTFX Calmar Ratio Rank: 90
MFTFX Martin Ratio Rank: 67

KMLM

KMLM Risk / Return Rank: 41
KMLM Sharpe Ratio Rank: 41
KMLM Sortino Ratio Rank: 39
KMLM Omega Ratio Rank: 39
KMLM Calmar Ratio Rank: 41
KMLM Martin Ratio Rank: 44

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.

MFTFX vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Arrow Managed Futures Stragegy Fund (MFTFX) 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.

	MFTFX	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	2.25	1.41	+0.85
Sortino ratio: Return per unit of downside risk	2.91	1.94	+0.96
Omega ratio: Gain probability vs. loss probability	1.39	1.25	+0.13
Calmar ratio: Return relative to maximum drawdown	4.36	1.99	+2.37
Martin ratio: Return relative to average drawdown	12.29	6.87	+5.42

MFTFX vs. KMLM - Sharpe Ratio Comparison

The current MFTFX Sharpe Ratio is 2.25, which is higher than the KMLM Sharpe Ratio of 1.41. The chart below compares the historical Sharpe Ratios of MFTFX 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.

Drawdowns

MFTFX vs. KMLM - Drawdown Comparison

The maximum MFTFX drawdown since its inception was -35.70%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for MFTFX and KMLM.

Drawdown Indicators

	MFTFX	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-35.70%	-27.47%	-8.23%
Max Drawdown (1Y) Largest decline over 1 year	-9.83%	-8.04%	-1.79%
Max Drawdown (3Y) Largest decline over 3 years	-32.57%	-22.28%	-10.29%
Max Drawdown (5Y) Largest decline over 5 years	-32.57%	-27.47%	-5.10%
Max Drawdown (10Y) Largest decline over 10 years	-35.70%	—	—
Current Drawdown Current decline from peak	-3.76%	-15.93%	+12.17%
Average Drawdown Average peak-to-trough decline	-16.94%	-12.75%	-4.19%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.49%	2.32%	+1.17%

Volatility

MFTFX vs. KMLM - Volatility Comparison

Arrow Managed Futures Stragegy Fund (MFTFX) has a higher volatility of 4.77% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.95%. This indicates that MFTFX'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.

Volatility by Period

	MFTFX	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.77%	2.95%	+1.82%
Volatility (6M) Calculated over the trailing 6-month period	12.41%	9.80%	+2.61%
Volatility (1Y) Calculated over the trailing 1-year period	19.05%	11.38%	+7.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.96%	14.58%	+7.38%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.14%	14.69%	+7.45%

MFTFX vs. KMLM - Expense Ratio Comparison

MFTFX has a 1.54% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

MFTFX vs. KMLM - Dividend Comparison

MFTFX has not paid dividends to shareholders, while KMLM's dividend yield for the trailing twelve months is around 4.66%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
KMLM KFA Mount Lucas Index Strategy ETF	4.66%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MFTFX Arrow Managed Futures Stragegy Fund	0.00%	0.00%	0.00%	11.75%	41.04%	2.30%	0.00%	20.00%	7.84%	2.12%	9.36%	1.21%

Frequently Asked Questions

Can I hold both MFTFX and KMLM in my portfolio?

MFTFX and KMLM have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MFTFX or KMLM?

MFTFX has higher volatility (4.77%) compared to KMLM (2.95%). In terms of maximum drawdown, MFTFX dropped -35.70% vs KMLM's -27.47%.

Which has better risk-adjusted returns?

MFTFX currently has the higher Sharpe Ratio (2.25 vs 1.41), 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.