TMB vs. KMLM

Last updated Jun 5, 2026

TMB (Thornburg Multi Sector Bond ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - TMB is a Multisector Bonds fund actively managed by Thornburg, while KMLM is a Long-Short fund actively managed by CICC. Both are actively managed. At a correlation of -0.71, they often move in opposite directions. TMB charges 0.55%/yr vs 0.90%/yr for KMLM.

Performance

TMB vs. KMLM - Performance Comparison

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

Returns By Period

TMB

• 1D: 0.17%
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

KMLM

• 1D: -0.94%
• 1M: -3.49%
• YTD: 9.75%
• 6M: 12.48%
• 1Y: 12.78%
• 3Y*: -0.84%
• 5Y*: 4.13%
• 10Y*: —

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

TMB vs. KMLM - Yearly Performance Comparison

	2026 (YTD)
TMB Thornburg Multi Sector Bond ETF	0.34%
KMLM KFA Mount Lucas Index Strategy ETF	-1.42%

Correlation

The correlation between TMB and KMLM is -0.71, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (All Time) Calculated using the full available price history since May 27, 2026	-0.71

Return for Risk

TMB vs. KMLM — Risk / Return Rank

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

KMLM

KMLM Risk / Return Rank: 35
KMLM Sharpe Ratio Rank: 32
KMLM Sortino Ratio Rank: 30
KMLM Omega Ratio Rank: 31
KMLM Calmar Ratio Rank: 42
KMLM Martin Ratio Rank: 42

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.

TMB vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Thornburg Multi Sector Bond ETF (TMB) 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.

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

Sharpe Ratios by Period

	TMB	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	—	1.12	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.28	—
Sharpe Ratio (All Time) Calculated using the full available price history	5.77	0.48	+5.28

Drawdowns

TMB vs. KMLM - Drawdown Comparison

The maximum TMB drawdown since its inception was -0.24%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for TMB and KMLM.

Drawdown Indicators

	TMB	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-0.24%	-27.47%	+27.23%
Max Drawdown (1Y) Largest decline over 1 year	—	-6.30%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-22.28%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-0.06%	-14.42%	+14.36%
Average Drawdown Average peak-to-trough decline	-0.06%	-12.74%	+12.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	—	1.94%	—

Volatility

Volatility by Period

	TMB	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	4.53%	—
Volatility (6M) Calculated over the trailing 6-month period	—	9.68%	—
Volatility (1Y) Calculated over the trailing 1-year period	2.46%	11.45%	-8.99%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.46%	14.62%	-12.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.46%	14.73%	-12.27%

TMB vs. KMLM - Expense Ratio Comparison

TMB has a 0.55% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

TMB vs. KMLM - Dividend Comparison

TMB's dividend yield for the trailing twelve months is around 0.36%, less than KMLM's 4.58% yield.

Position	TTM	2025	2024	2023	2022	2021
KMLM KFA Mount Lucas Index Strategy ETF	4.58%	5.02%	0.82%	0.00%	13.22%	6.94%
TMB Thornburg Multi Sector Bond ETF	0.36%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both TMB and KMLM in my portfolio?

TMB and KMLM have a correlation of -0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, TMB or KMLM?

On fees, TMB is cheaper at 0.55% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, TMB or KMLM?

TMB is cheaper with a 0.55% expense ratio, compared with 0.90% for KMLM.

Which ETF pays a higher dividend yield, TMB or KMLM?

KMLM has the higher dividend yield at 4.58%, compared with 0.36% for TMB.

What is the main difference between TMB and KMLM?

TMB is categorized as Multisector Bonds, while KMLM is Long-Short. They also come from different issuers: Thornburg and CICC. Their fees differ too: 0.55% for TMB and 0.90% for KMLM.