OWL vs. KMLM
OWL (Blue Owl Capital Inc.) is a stock, while KMLM (KFA Mount Lucas Index Strategy ETF) is Systematic Trend fund tracking the KFA MLM Index. Over the past 5 years, OWL returned 2.16%/yr vs 5.46%/yr for KMLM. Their -0.12 correlation means they have often moved in opposite directions in the past.
Performance
OWL vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, OWL achieves a -22.03% return, which is significantly lower than KMLM's 10.64% return.
OWL
- 1D
- 8.35%
- 1M
- 23.45%
- 6M
- -13.20%
- YTD
- -22.03%
- 1Y
- -36.54%
- 3Y*
- 1.74%
- 5Y*
- 2.16%
- 10Y*
- —
- ALL TIME*
- 4.59%
KMLM
- 1D
- -2.05%
- 1M
- 4.67%
- 6M
- 8.67%
- YTD
- 10.64%
- 1Y
- 15.77%
- 3Y*
- -0.31%
- 5Y*
- 5.46%
- 10Y*
- —
- ALL TIME*
- 7.06%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $10.28M | $9.90M | $7.93M | |
| $206.28M | $173.17M | $215.56M |
OWL vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
OWL Blue Owl Capital Inc. | -22.03% | -32.83% | 61.76% | 47.40% | -26.29% | 32.18% | 5.86% |
KMLM KFA Mount Lucas Index Strategy ETF | 10.64% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 4.41% |
Correlation
The correlation between OWL and KMLM is -0.07, 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. | -0.07 |
Correlation (3Y) Balances recent behavior with more history. | -0.08 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.13 |
Correlation (All Time) Calculated using the full available price history since Dec 14, 2020 | -0.12 |
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Return for Risk
OWL vs. KMLM — Risk / Return Rank
OWL
KMLM
OWL vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Blue Owl Capital Inc. (OWL) 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.
| OWL | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.16 | ||
| Sortino ratioReturn per unit of downside risk | -2.95 | ||
| Omega ratioGain probability vs. loss probability | 0.88 | 1.25 | -0.37 |
| Calmar ratioReturn relative to maximum drawdown | -0.64 | 1.65 | -2.28 |
| Martin ratioReturn relative to average drawdown | -0.98 | 5.33 | -6.31 |
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Drawdowns
OWL vs. KMLM - Drawdown Comparison
The maximum OWL drawdown since its inception was -67.10%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for OWL and KMLM.
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Drawdown Indicators
| OWL | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -67.10% | -27.47% | -39.63% |
Max Drawdown (1Y)Largest decline over 1 year | -57.61% | -9.61% | -48.00% |
Max Drawdown (3Y)Largest decline over 3 years | -67.10% | -22.28% | -44.82% |
Max Drawdown (5Y)Largest decline over 5 years | -67.10% | -27.47% | -39.63% |
Current DrawdownCurrent decline from peak | -54.34% | -13.73% | -40.61% |
Average DrawdownAverage peak-to-trough decline | -25.04% | -12.79% | -12.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 37.21% | 2.97% | +34.24% |
Volatility
OWL vs. KMLM - Volatility Comparison
Blue Owl Capital Inc. (OWL) has a higher volatility of 12.87% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.35%. This indicates that OWL'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.
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Volatility by Period
| OWL | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.87% | 4.35% | +8.52% |
Volatility (6M)Calculated over the trailing 6-month period | 36.46% | 10.24% | +26.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 45.73% | 11.68% | +34.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 41.87% | 14.55% | +27.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 42.85% | 14.68% | +28.17% |
Dividends
OWL vs. KMLM - Dividend Comparison
OWL's dividend yield for the trailing twelve months is around 8.11%, more than KMLM's 4.54% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
KMLM KFA Mount Lucas Index Strategy ETF | 4.54% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% |
OWL Blue Owl Capital Inc. | 8.11% | 5.72% | 2.92% | 3.69% | 4.06% | 0.87% |
Frequently Asked Questions
OWL and KMLM have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
OWL has higher volatility (12.87%) compared to KMLM (4.35%). In terms of maximum drawdown, OWL dropped -67.10% vs KMLM's -27.47%.
KMLM currently has the higher Sharpe Ratio (1.36 vs -0.80), 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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