MRSK vs. KMLM

Last updated Apr 1, 2026

Compare and contrast key facts about Agility Shares Managed Risk ETF (MRSK) and KFA Mount Lucas Index Strategy ETF (KMLM).

MRSK and KMLM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. MRSK is an actively managed fund by Toews Corp.. It was launched on Jun 25, 2020. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.

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.

MRSK vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
MRSK Agility Shares Managed Risk ETF	-3.97%	11.93%	14.62%	13.29%	-11.86%	20.74%	3.05%
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, MRSK achieves a -3.97% return, which is significantly lower than KMLM's 8.67% return.

MRSK

• 1D: 1.90%
• 1M: -4.65%
• YTD: -3.97%
• 6M: -0.45%
• 1Y: 12.10%
• 3Y*: 9.56%
• 5Y*: 7.08%
• 10Y*: —

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)

MRSK vs. KMLM - Expense Ratio Comparison

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

MRSK

Agility Shares Managed Risk ETF

KMLM

KFA Mount Lucas Index Strategy ETF

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: 61
MRSK Sharpe Ratio Rank: 58
MRSK Sortino Ratio Rank: 57
MRSK Omega Ratio Rank: 53
MRSK Calmar Ratio Rank: 65
MRSK Martin Ratio Rank: 71

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.

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.

	MRSK	KMLM	Difference
Sharpe ratio Return per unit of total volatility	1.01	0.88	+0.13
Sortino ratio Return per unit of downside risk	1.47	1.27	+0.20
Omega ratio Gain probability vs. loss probability	1.20	1.16	+0.03
Calmar ratio Return relative to maximum drawdown	1.62	1.13	+0.49
Martin ratio Return relative to average drawdown	7.21	3.31	+3.90
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MRSK vs. KMLM - Sharpe Ratio Comparison

The current MRSK Sharpe Ratio is 1.01, which is comparable to the KMLM Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of MRSK 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

	MRSK	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.01	0.88	+0.13
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.61	0.39	+0.22
Sharpe Ratio (All Time) Calculated using the full available price history	0.84	0.49	+0.35

Correlation

The correlation between MRSK and KMLM is -0.06. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Dividends

MRSK vs. KMLM - Dividend Comparison

MRSK's dividend yield for the trailing twelve months is around 0.39%, less than KMLM's 4.62% yield.

	TTM	2025	2024	2023	2022	2021	2020
MRSK Agility Shares Managed Risk ETF	0.39%	0.37%	0.44%	0.60%	1.11%	14.20%	4.29%
KMLM KFA Mount Lucas Index Strategy ETF	4.62%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%

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%	-6.73%	-1.09%
Max Drawdown (5Y) Largest decline over 5 years	-14.70%	-27.47%	+12.77%
Current Drawdown Current decline from peak	-6.08%	-15.27%	+9.19%
Average Drawdown Average peak-to-trough decline	-3.64%	-12.73%	+9.09%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.76%	2.41%	-0.65%

Volatility

MRSK vs. KMLM - Volatility Comparison

Agility Shares Managed Risk ETF (MRSK) has a higher volatility of 4.77% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.05%. 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	4.77%	4.05%	+0.72%
Volatility (6M) Calculated over the trailing 6-month period	8.83%	7.22%	+1.61%
Volatility (1Y) Calculated over the trailing 1-year period	12.09%	9.84%	+2.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.64%	14.57%	-2.93%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.91%	14.67%	-2.76%