MRSK vs. KMLM

Last updated Jun 24, 2026

MRSK (Agility Shares Managed Risk ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - MRSK is a Hedge Fund fund actively managed by Toews Corp., while KMLM is a Systematic Trend fund tracking the KFA MLM Index. MRSK is actively managed, while KMLM is passively managed. Over the past 5 years, MRSK returned 7.72%/yr vs 4.34%/yr for KMLM. At a correlation of -0.08, they often move in opposite directions. MRSK charges 0.99%/yr vs 0.90%/yr for KMLM.

Performance

MRSK vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Agility Shares Managed Risk ETF (MRSK) 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, MRSK achieves a 3.48% return, which is significantly lower than KMLM's 6.97% return.

MRSK

• 1D: -0.92%
• 1M: -0.16%
• YTD: 3.48%
• 6M: 2.84%
• 1Y: 16.47%
• 3Y*: 10.45%
• 5Y*: 7.72%
• 10Y*: —

KMLM

• 1D: -0.79%
• 1M: -4.98%
• YTD: 6.97%
• 6M: 6.95%
• 1Y: 12.95%
• 3Y*: -0.70%
• 5Y*: 4.34%
• 10Y*: —

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

MRSK vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
MRSK Agility Shares Managed Risk ETF	3.48%	11.93%	14.62%	13.29%	-11.86%	20.74%	2.98%
KMLM KFA Mount Lucas Index Strategy ETF	6.97%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.74%

Correlation

The correlation between MRSK and KMLM is -0.04, 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	-0.04
Correlation (3Y) Calculated over the trailing 3-year period	-0.02
Correlation (5Y) Calculated over the trailing 5-year period	-0.09
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	-0.08

Return for Risk

MRSK vs. KMLM — Risk / Return Rank

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

MRSK

MRSK Risk / Return Rank: 47
MRSK Sharpe Ratio Rank: 47
MRSK Sortino Ratio Rank: 45
MRSK Omega Ratio Rank: 47
MRSK Calmar Ratio Rank: 45
MRSK Martin Ratio Rank: 51

KMLM

KMLM Risk / Return Rank: 33
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 33
KMLM Martin Ratio Rank: 37

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.

MRSK vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Agility Shares Managed Risk ETF (MRSK) 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.

	MRSK	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	1.53	1.16	+0.37
Sortino ratio: Return per unit of downside risk	2.11	1.61	+0.50
Omega ratio: Gain probability vs. loss probability	1.28	1.21	+0.07
Calmar ratio: Return relative to maximum drawdown	2.11	1.62	+0.50
Martin ratio: Return relative to average drawdown	8.36	5.47	+2.89

MRSK vs. KMLM - Sharpe Ratio Comparison

The current MRSK Sharpe Ratio is 1.53, which is higher than the KMLM Sharpe Ratio of 1.16. The chart below compares the historical Sharpe Ratios of MRSK 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

MRSK vs. KMLM - Drawdown Comparison

The maximum MRSK drawdown since its inception was -14.70%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for MRSK and KMLM.

Drawdown Indicators

	MRSK	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-14.70%	-27.47%	+12.77%
Max Drawdown (1Y) Largest decline over 1 year	-7.82%	-8.04%	+0.22%
Max Drawdown (3Y) Largest decline over 3 years	-12.22%	-22.28%	+10.06%
Max Drawdown (5Y) Largest decline over 5 years	-14.70%	-27.47%	+12.77%
Current Drawdown Current decline from peak	-1.89%	-16.59%	+14.70%
Average Drawdown Average peak-to-trough decline	-3.56%	-12.76%	+9.20%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.98%	2.37%	-0.39%

Volatility

MRSK vs. KMLM - Volatility Comparison

Agility Shares Managed Risk ETF (MRSK) has a higher volatility of 3.37% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.95%. This indicates that MRSK'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

	MRSK	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.37%	2.95%	+0.42%
Volatility (6M) Calculated over the trailing 6-month period	8.27%	9.82%	-1.55%
Volatility (1Y) Calculated over the trailing 1-year period	10.85%	11.39%	-0.54%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.75%	14.57%	-2.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.86%	14.69%	-2.83%

MRSK vs. KMLM - Expense Ratio Comparison

MRSK has a 0.99% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

MRSK vs. KMLM - Dividend Comparison

MRSK's dividend yield for the trailing twelve months is around 0.36%, less than KMLM's 4.70% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
KMLM KFA Mount Lucas Index Strategy ETF	4.70%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%
MRSK Agility Shares Managed Risk ETF	0.36%	0.37%	0.44%	0.60%	1.11%	14.20%	4.29%

Frequently Asked Questions

Can I hold both MRSK and KMLM in my portfolio?

MRSK and KMLM have a correlation of -0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MRSK or KMLM?

MRSK has higher volatility (3.37%) compared to KMLM (2.95%). In terms of maximum drawdown, MRSK dropped -14.70% vs KMLM's -27.47%.

Which ETF is better, MRSK or KMLM?

On 5-year performance, MRSK leads with 7.72% vs 4.34% for KMLM. 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.

Which ETF has performed better, MRSK or KMLM?

Over the 5-year period, MRSK has performed better with a 7.72% return vs 4.34%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, MRSK or KMLM?

KMLM is cheaper with a 0.90% expense ratio, compared with 0.99% for MRSK.

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

KMLM has the higher dividend yield at 4.70%, compared with 0.36% for MRSK.

What is the main difference between MRSK and KMLM?

MRSK is categorized as Hedge Fund, while KMLM is Systematic Trend. They also come from different issuers: Toews Corp. and KraneShares. Their fees differ too: 0.99% for MRSK and 0.90% for KMLM.

Which has better risk-adjusted returns?

MRSK currently has the higher Sharpe Ratio (1.53 vs 1.16), 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.