PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
TAIL vs. KMLM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

TAIL vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Cambria Tail Risk ETF (TAIL) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-1.58%
-4.23%
TAIL
KMLM

Returns By Period

In the year-to-date period, TAIL achieves a -9.13% return, which is significantly lower than KMLM's -3.16% return.


TAIL

YTD

-9.13%

1M

-2.03%

6M

-1.80%

1Y

-7.11%

5Y (annualized)

-9.02%

10Y (annualized)

N/A

KMLM

YTD

-3.16%

1M

-1.10%

6M

-4.12%

1Y

-9.73%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


TAILKMLM
Sharpe Ratio-0.61-0.91
Sortino Ratio-0.85-1.19
Omega Ratio0.900.86
Calmar Ratio-0.14-0.38
Martin Ratio-1.02-1.44
Ulcer Index7.11%6.66%
Daily Std Dev11.91%10.57%
Max Drawdown-51.27%-25.42%
Current Drawdown-50.79%-24.69%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


TAIL vs. KMLM - Expense Ratio Comparison

TAIL has a 0.59% expense ratio, which is lower than KMLM's 0.90% expense ratio.


KMLM
KFA Mount Lucas Index Strategy ETF
Expense ratio chart for KMLM: current value at 0.90% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.90%
Expense ratio chart for TAIL: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%

Correlation

-0.50.00.51.0-0.1

The correlation between TAIL and KMLM is -0.10. 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.

Risk-Adjusted Performance

TAIL vs. KMLM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Tail Risk ETF (TAIL) 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.


Sharpe ratio
The chart of Sharpe ratio for TAIL, currently valued at -0.61, compared to the broader market0.002.004.00-0.61-0.91
The chart of Sortino ratio for TAIL, currently valued at -0.85, compared to the broader market-2.000.002.004.006.008.0010.0012.00-0.85-1.19
The chart of Omega ratio for TAIL, currently valued at 0.90, compared to the broader market0.501.001.502.002.503.000.900.86
The chart of Calmar ratio for TAIL, currently valued at -0.18, compared to the broader market0.005.0010.0015.00-0.18-0.38
The chart of Martin ratio for TAIL, currently valued at -1.02, compared to the broader market0.0020.0040.0060.0080.00100.00-1.02-1.44
TAIL
KMLM

The current TAIL Sharpe Ratio is -0.61, which is higher than the KMLM Sharpe Ratio of -0.91. The chart below compares the historical Sharpe Ratios of TAIL 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.

Rolling 12-month Sharpe Ratio-1.50-1.00-0.500.00JuneJulyAugustSeptemberOctoberNovember
-0.61
-0.91
TAIL
KMLM

Dividends

TAIL vs. KMLM - Dividend Comparison

TAIL's dividend yield for the trailing twelve months is around 3.55%, while KMLM has not paid dividends to shareholders.


TTM2023202220212020201920182017
TAIL
Cambria Tail Risk ETF
3.55%3.73%1.50%0.49%0.36%1.58%1.52%0.91%
KMLM
KFA Mount Lucas Index Strategy ETF
0.00%0.00%8.12%6.94%0.00%0.00%0.00%0.00%

Drawdowns

TAIL vs. KMLM - Drawdown Comparison

The maximum TAIL drawdown since its inception was -51.27%, which is greater than KMLM's maximum drawdown of -25.42%. Use the drawdown chart below to compare losses from any high point for TAIL and KMLM. For additional features, visit the drawdowns tool.


-40.00%-35.00%-30.00%-25.00%-20.00%JuneJulyAugustSeptemberOctoberNovember
-40.76%
-24.69%
TAIL
KMLM

Volatility

TAIL vs. KMLM - Volatility Comparison

Cambria Tail Risk ETF (TAIL) has a higher volatility of 3.65% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.92%. This indicates that TAIL'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.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.65%
2.92%
TAIL
KMLM