MRSK vs. KMLM
MRSK (Agility Shares Managed Risk ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - MRSK is a Equity Hedged fund actively managed by Toews, 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 7.55%/yr vs 5.77%/yr for KMLM. Their -0.08 correlation means they have often moved in opposite directions in the past. MRSK charges 0.99%/yr vs 0.90%/yr for KMLM.
Performance
MRSK vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, MRSK achieves a 5.79% return, which is significantly lower than KMLM's 12.95% return.
MRSK
- 1D
- 0.23%
- 1M
- 0.67%
- 6M
- 4.40%
- YTD
- 5.79%
- 1Y
- 16.09%
- 3Y*
- 10.11%
- 5Y*
- 7.55%
- 10Y*
- —
- ALL TIME*
- 11.01%
KMLM
- 1D
- 0.24%
- 1M
- 6.85%
- 6M
- 12.90%
- YTD
- 12.95%
- 1Y
- 18.19%
- 3Y*
- 0.08%
- 5Y*
- 5.77%
- 10Y*
- —
- ALL TIME*
- 7.46%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $14.29M | $9.53M | $7.83M | |
| $909.40K | $1.63M | $1.05M |
MRSK vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
MRSK Agility Shares Managed Risk ETF | 5.79% | 11.93% | 14.62% | 13.29% | -11.86% | 20.74% | 2.98% |
KMLM KFA Mount Lucas Index Strategy ETF | 12.95% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between MRSK and KMLM is -0.08, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.08 |
Correlation (3Y) Balances recent behavior with more history. | -0.02 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.09 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.08 |
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Return for Risk
MRSK vs. KMLM — Risk / Return Rank
MRSK
KMLM
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 ratioReturn per unit of total volatility | -0.21 | ||
| Sortino ratioReturn per unit of downside risk | -0.24 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.28 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 1.89 | 1.86 | +0.03 |
| Martin ratioReturn relative to average drawdown | 7.39 | 6.03 | +1.36 |
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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.
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Drawdown Indicators
| MRSK | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.70% | -27.47% | +12.77% |
Max Drawdown (1Y)Largest decline over 1 year | -7.82% | -9.61% | +1.79% |
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 DrawdownCurrent decline from peak | 0.00% | -11.93% | +11.93% |
Average DrawdownAverage peak-to-trough decline | -3.51% | -12.79% | +9.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.99% | 2.95% | -0.96% |
Volatility
MRSK vs. KMLM - Volatility Comparison
The current volatility for Agility Shares Managed Risk ETF (MRSK) is 1.77%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 3.70%. This indicates that MRSK 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.
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Volatility by Period
| MRSK | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.77% | 3.70% | -1.93% |
Volatility (6M)Calculated over the trailing 6-month period | 8.05% | 10.31% | -2.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.94% | 11.49% | -0.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.77% | 14.53% | -2.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.80% | 14.66% | -2.86% |
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 0.35%, less than KMLM's 4.45% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.45% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% |
MRSK Agility Shares Managed Risk ETF | 0.35% | 0.37% | 0.44% | 0.60% | 1.11% | 14.20% | 4.29% |
Frequently Asked Questions
MRSK and KMLM have a correlation of -0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (3.70%) compared to MRSK (1.77%). In terms of maximum drawdown, MRSK dropped -14.70% vs KMLM's -27.47%.
On 5-year performance, MRSK leads with 7.55% vs 5.77% for KMLM. On fees, KMLM is cheaper at 0.90% per year. On volatility, MRSK has been the lower-risk option at 1.77%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, MRSK has performed better with a 7.55% return vs 5.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KMLM is cheaper with a 0.90% expense ratio, compared with 0.99% for MRSK.
KMLM has the higher dividend yield at 4.45%, compared with 0.35% for MRSK.
MRSK is categorized as Equity Hedged, while KMLM is Systematic Trend. They also come from different issuers: Toews and KraneShares. Their fees differ too: 0.99% for MRSK and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.55 vs 1.35), 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.
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