MFTFX vs. KMLM

Last updated Apr 1, 2026

Compare and contrast key facts about Arrow Managed Futures Stragegy Fund (MFTFX) and KFA Mount Lucas Index Strategy ETF (KMLM).

MFTFX is managed by Arrow Funds. It was launched on Apr 28, 2010. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.

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.

MFTFX vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
MFTFX Arrow Managed Futures Stragegy Fund	5.39%	9.29%	6.87%	-13.57%	57.88%	2.13%	8.83%
KMLM KFA Mount Lucas Index Strategy ETF	8.67%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.40%

Returns By Period

In the year-to-date period, MFTFX achieves a 5.39% return, which is significantly lower than KMLM's 8.67% return.

MFTFX

• 1D: 0.47%
• 1M: -6.93%
• YTD: 5.39%
• 6M: 14.77%
• 1Y: 21.93%
• 3Y*: 6.88%
• 5Y*: 10.71%
• 10Y*: 5.15%

KMLM

• 1D: -0.28%
• 1M: 4.21%
• YTD: 8.67%
• 6M: 10.01%
• 1Y: 8.60%
• 3Y*: 0.44%
• 5Y*: 5.63%
• 10Y*: —

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

MFTFX vs. KMLM - Expense Ratio Comparison

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

MFTFX

Arrow Managed Futures Stragegy Fund

KMLM

KFA Mount Lucas Index Strategy ETF

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: 42
MFTFX Sharpe Ratio Rank: 45
MFTFX Sortino Ratio Rank: 42
MFTFX Omega Ratio Rank: 36
MFTFX Calmar Ratio Rank: 61
MFTFX Martin Ratio Rank: 27

KMLM

KMLM Risk / Return Rank: 46
KMLM Sharpe Ratio Rank: 52
KMLM Sortino Ratio Rank: 50
KMLM Omega Ratio Rank: 44
KMLM Calmar Ratio Rank: 48
KMLM Martin Ratio Rank: 38

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.

	MFTFX	KMLM	Difference
Sharpe ratio Return per unit of total volatility	0.89	0.88	+0.01
Sortino ratio Return per unit of downside risk	1.27	1.27	0.00
Omega ratio Gain probability vs. loss probability	1.17	1.16	+0.01
Calmar ratio Return relative to maximum drawdown	1.40	1.13	+0.27
Martin ratio Return relative to average drawdown	2.86	3.31	-0.45
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MFTFX vs. KMLM - Sharpe Ratio Comparison

The current MFTFX Sharpe Ratio is 0.89, which is comparable to the KMLM Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of MFTFX and KMLM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	MFTFX	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.89	0.88	+0.01
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.49	0.39	+0.10
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.23	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.15	0.49	-0.34

Correlation

The correlation between MFTFX and KMLM is 0.58, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

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 4.62%.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
KMLM KFA Mount Lucas Index Strategy ETF	4.62%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

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	-10.94%	-6.73%	-4.21%
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	-8.12%	-15.27%	+7.15%
Average Drawdown Average peak-to-trough decline	-17.15%	-12.73%	-4.42%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.42%	2.41%	+4.01%

Volatility

MFTFX vs. KMLM - Volatility Comparison

Arrow Managed Futures Stragegy Fund (MFTFX) has a higher volatility of 4.96% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.05%. 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	4.96%	4.05%	+0.91%
Volatility (6M) Calculated over the trailing 6-month period	15.24%	7.22%	+8.02%
Volatility (1Y) Calculated over the trailing 1-year period	21.16%	9.84%	+11.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.09%	14.57%	+7.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.13%	14.67%	+7.46%