QLEIX vs. KMLM

Last updated Jun 24, 2026

QLEIX (AQR Long-Short Equity Fund) and KMLM (KFA Mount Lucas Index Strategy ETF) are both funds - QLEIX is a Long-Short fund actively managed by AQR Funds, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. QLEIX is actively managed, while KMLM is passively managed. Over the past 5 years, QLEIX returned 23.47%/yr vs 4.34%/yr for KMLM. At a 0.09 correlation, their price movements are largely independent. QLEIX charges 1.30%/yr vs 0.90%/yr for KMLM.

Performance

QLEIX vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Long-Short Equity Fund (QLEIX) 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, QLEIX achieves a -0.52% return, which is significantly lower than KMLM's 6.97% return.

QLEIX

• 1D: 0.19%
• 1M: 1.15%
• YTD: -0.52%
• 6M: -1.13%
• 1Y: 15.49%
• 3Y*: 25.79%
• 5Y*: 23.47%
• 10Y*: 12.26%

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)

QLEIX vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
QLEIX AQR Long-Short Equity Fund	-0.52%	34.43%	30.50%	23.95%	19.18%	31.10%	0.71%
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 QLEIX and KMLM is -0.02, 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	-0.02
Correlation (3Y) Calculated over the trailing 3-year period	0.06
Correlation (5Y) Calculated over the trailing 5-year period	0.08
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	0.09

The correlation between QLEIX and KMLM shifts across timeframes, from -0.02 (1 year) to 0.09 (all time), reflecting how their relationship changes across market environments.

Return for Risk

QLEIX vs. KMLM — Risk / Return Rank

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

QLEIX

QLEIX Risk / Return Rank: 57
QLEIX Sharpe Ratio Rank: 64
QLEIX Sortino Ratio Rank: 69
QLEIX Omega Ratio Rank: 61
QLEIX Calmar Ratio Rank: 52
QLEIX Martin Ratio Rank: 40

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.

QLEIX vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Long-Short Equity Fund (QLEIX) 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.

	QLEIX	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	2.16	1.16	+1.00
Sortino ratio: Return per unit of downside risk	3.15	1.61	+1.54
Omega ratio: Gain probability vs. loss probability	1.40	1.21	+0.19
Calmar ratio: Return relative to maximum drawdown	2.64	1.62	+1.02
Martin ratio: Return relative to average drawdown	8.20	5.47	+2.74

QLEIX vs. KMLM - Sharpe Ratio Comparison

The current QLEIX Sharpe Ratio is 2.16, which is higher than the KMLM Sharpe Ratio of 1.16. The chart below compares the historical Sharpe Ratios of QLEIX 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

QLEIX vs. KMLM - Drawdown Comparison

The maximum QLEIX drawdown since its inception was -38.11%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for QLEIX and KMLM.

Drawdown Indicators

	QLEIX	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-38.11%	-27.47%	-10.64%
Max Drawdown (1Y) Largest decline over 1 year	-6.01%	-8.04%	+2.03%
Max Drawdown (3Y) Largest decline over 3 years	-7.07%	-22.28%	+15.21%
Max Drawdown (5Y) Largest decline over 5 years	-17.07%	-27.47%	+10.40%
Max Drawdown (10Y) Largest decline over 10 years	-38.11%	—	—
Current Drawdown Current decline from peak	-1.13%	-16.59%	+15.46%
Average Drawdown Average peak-to-trough decline	-7.70%	-12.76%	+5.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.93%	2.37%	-0.44%

Volatility

QLEIX vs. KMLM - Volatility Comparison

AQR Long-Short Equity Fund (QLEIX) and KFA Mount Lucas Index Strategy ETF (KMLM) have volatilities of 2.82% and 2.95%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QLEIX	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.82%	2.95%	-0.13%
Volatility (6M) Calculated over the trailing 6-month period	5.76%	9.82%	-4.06%
Volatility (1Y) Calculated over the trailing 1-year period	7.37%	11.39%	-4.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.02%	14.57%	-4.55%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.59%	14.69%	-4.10%

QLEIX vs. KMLM - Expense Ratio Comparison

QLEIX has a 1.30% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

QLEIX vs. KMLM - Dividend Comparison

QLEIX's dividend yield for the trailing twelve months is around 1.76%, less than KMLM's 4.70% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
KMLM KFA Mount Lucas Index Strategy ETF	4.70%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
QLEIX AQR Long-Short Equity Fund	1.76%	1.75%	7.12%	20.88%	14.15%	0.00%	1.57%	0.00%	6.03%	9.11%	3.01%	4.98%

Frequently Asked Questions

Can I hold both QLEIX and KMLM in my portfolio?

QLEIX and KMLM have a correlation of -0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QLEIX or KMLM?

KMLM has higher volatility (2.95%) compared to QLEIX (2.82%). In terms of maximum drawdown, QLEIX dropped -38.11% vs KMLM's -27.47%.

Which has better risk-adjusted returns?

QLEIX currently has the higher Sharpe Ratio (2.16 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.