PCG vs. KMLM

Last updated Aug 1, 2026

PCG (PG&E Corporation) 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, PCG returned 15.00%/yr vs 5.77%/yr for KMLM. Their -0.06 correlation means they have often moved in opposite directions in the past.

Performance

PCG vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PG&E Corporation (PCG) 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, PCG achieves a 8.78% return, which is significantly lower than KMLM's 12.95% return.

PCG

• 1D: -2.25%
• 1M: 1.94%
• 6M: 13.36%
• YTD: 8.78%
• 1Y: 24.39%
• 3Y*: 0.64%
• 5Y*: 15.00%
• 10Y*: -11.77%
• ALL TIME*: 2.89%

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%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
KMLM KFA Mount Lucas Index Strategy ETF	$14.29M	$9.53M	$7.83M
PCG PG&E Corporation	$444.15M	$335.07M	$322.91M

PCG vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
PCG PG&E Corporation	8.78%	-19.72%	12.25%	10.95%	33.94%	-2.57%	-1.81%
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 PCG 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.	-0.04
Correlation (5Y) Shows whether the relationship held over a longer period.	-0.07
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	-0.06

Return for Risk

PCG vs. KMLM — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

PCG

PCG Risk / Return Rank: 71
PCG Sharpe Ratio Rank: 75
PCG Sortino Ratio Rank: 70
PCG Omega Ratio Rank: 67
PCG Calmar Ratio Rank: 73
PCG Martin Ratio Rank: 72

KMLM

KMLM Risk / Return Rank: 61
KMLM Sharpe Ratio Rank: 69
KMLM Sortino Ratio Rank: 65
KMLM Omega Ratio Rank: 67
KMLM Calmar Ratio Rank: 52
KMLM Martin Ratio Rank: 52

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

PCG vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PG&E Corporation (PCG) 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.

	PCG	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	0.95	1.55	-0.60
Sortino ratio: Return per unit of downside risk	1.48	2.14	-0.66
Omega ratio: Gain probability vs. loss probability	1.18	1.28	-0.10
Calmar ratio: Return relative to maximum drawdown	1.51	1.86	-0.35
Martin ratio: Return relative to average drawdown	3.23	6.03	-2.80

PCG vs. KMLM - Sharpe Ratio Comparison

The current PCG Sharpe Ratio is 0.95, which is lower than the KMLM Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of PCG 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

PCG vs. KMLM - Drawdown Comparison

The maximum PCG drawdown since its inception was -94.65%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for PCG and KMLM.

Drawdown Indicators

	PCG	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-94.65%	-27.47%	-67.18%
Max Drawdown (1Y) Largest decline over 1 year	-16.82%	-9.61%	-7.21%
Max Drawdown (3Y) Largest decline over 3 years	-39.63%	-22.28%	-17.35%
Max Drawdown (5Y) Largest decline over 5 years	-39.63%	-27.47%	-12.16%
Max Drawdown (10Y) Largest decline over 10 years	-94.65%	—	—
Current Drawdown Current decline from peak	-75.09%	-11.93%	-63.16%
Average Drawdown Average peak-to-trough decline	-26.62%	-12.79%	-13.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	7.84%	2.95%	+4.89%

Volatility

PCG vs. KMLM - Volatility Comparison

PG&E Corporation (PCG) has a higher volatility of 7.40% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.70%. This indicates that PCG'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

	PCG	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.40%	3.70%	+3.70%
Volatility (6M) Calculated over the trailing 6-month period	18.88%	10.31%	+8.57%
Volatility (1Y) Calculated over the trailing 1-year period	26.69%	11.49%	+15.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	27.80%	14.53%	+13.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	59.59%	14.66%	+44.93%

Dividends

PCG vs. KMLM - Dividend Comparison

PCG's dividend yield for the trailing twelve months is around 1.01%, less than KMLM's 4.45% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
KMLM KFA Mount Lucas Index Strategy ETF	4.45%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
PCG PG&E Corporation	1.01%	0.78%	0.27%	0.06%	0.00%	0.00%	0.00%	0.00%	0.00%	3.46%	3.17%	3.42%

Frequently Asked Questions

Can I hold both PCG and KMLM in my portfolio?

PCG 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.

Which is riskier, PCG or KMLM?

PCG has higher volatility (7.40%) compared to KMLM (3.70%). In terms of maximum drawdown, PCG dropped -94.65% vs KMLM's -27.47%.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.55 vs 0.95), 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.