Data as of Nov 4, 2026.
KMLM vs TFPN: Correlation to the S&P 500
Over the year to Nov 4, 2026, KMLM moved less with the S&P 500 than TFPN: correlation −0.12 against +0.75.
askIQ about this page
askIQ about KMLM and TFPN
Net assets: $586m on Nov 4, 2026 for KraneShares Mount Lucas Managed Futures Index Strategy ETF, and $170m on Jun 30, 2026 for Blueprint Chesapeake Multi-Asset Trend ETF.
KMLM in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, KMLM +0.18%.
TFPN in the 26 weeks SPY fell, year to Nov 4, 2026: SPY averaged −1.07%, TFPN −1.32%.
Pair scorecard
KMLM costs 0.23 points a year less; their one-year returns differ by 2.3 points.
| Measure | KMLM | TFPN |
|---|---|---|
| Return | ||
| Total return, 1 year | +16.5% | +14.2% |
| Against its benchmark | ||
| Treasury bills, 52 weeks | +3.7% | |
| Cost and size | ||
| Expense ratio | 0.90% | 1.13% |
| Net assets, KMLM as of Nov 4, 2026 and TFPN as of Jun 30, 2026 | $586m | $170m |
| Holdings | ||
| Holdings in common | not published | |
| Risk | ||
| Beta to the S&P 500 | −0.12: about 0.12% for each 1% | +1.00: about 1.00% for each 1% |
| Its average week when the S&P 500 fell | rose 0.18% | fell 1.32% |
How much it diversifies a stock portfolio, ranked against 17 systematic trend alternatives ETFs with a full year. 100 is best. How it is computed
One year of weekly moves against the S&P 500, within one strategy; it ignores what the fund returned. All alternatives ETFs ranked by it →
Risk and return
Jul 21, 2023 to Oct 30, 2026 · 171 weekly returnsFrom Jul 2023 to Oct 2026, TFPN returned more: +18.9% to +5.7%. TFPN swung slightly less: 10.7% to 11.2%. TFPN fell less at its worst: −15.4% to −22.1%.
Full scorecard
9 measures, with how each is measured Open ↓
| Measure | KMLM | TFPN | Edge | How it is measured |
|---|---|---|---|---|
| Return | ||||
| Total return | +5.7% | +18.9% | TFPN | Price change plus distributions, reinvested. |
| Annualized | +1.7% | +5.4% | TFPN | Total return as a yearly rate. |
| Price return | −0.2% | +16.7% | TFPN | Price change alone, distributions left out. |
| Risk | ||||
| Volatility | 11.2% | 10.7% | TFPN (slight) | Spread of weekly returns, annualized. Lower is steadier. |
| Downside deviation | 8.6% | 7.9% | TFPN (slight) | Like volatility, counting only weeks below the Treasury bill rate. |
| Max drawdown | −22.1% | −15.4% | TFPN | Deepest fall from a high to the low after it. |
| Risk-adjusted | ||||
| Sharpe | −0.20 | 0.12 | TFPN | Return above Treasury bills per unit of volatility. |
| Sortino | −0.26 | 0.17 | TFPN | Return above Treasury bills per unit of downside deviation. |
| Calmar | 0.08 | 0.35 | TFPN | Annualized return divided by the max drawdown. |
Computed by ETFIQ from Tiingo daily prices and ETFIQ's distribution records, 171 weekly returns. Cash rate: the 13-week Treasury bill.
Window by window
| Total return | vs its benchmark | |||
|---|---|---|---|---|
| Window | KMLM | TFPN | KMLM | TFPN |
| 3 months | +3.0% | −3.4% | not measured | −3.3 pts vs VOO |
| 6 months | +0.6% | −8.5% | not measured | −13.5 pts vs VOO |
| 1 year | +16.5% | +14.2% | not measured | −0.6 pts vs VOO |
| 3 years | −0.7% | +18.6% | not measured | −64.7 pts vs VOO |
| Since launchNot the same days: KMLM Dec 2020 · TFPN Jul 2023 | +49.0% | +17.8% | not measured | −61.6 pts vs VOO |
Side by side
As of Nov 4, 2026. Source: ETFIQ.
One strategy, two funds
KMLM and TFPN both run a managed futures strategy. Over the same 52 weeks to Nov 4, 2026, KMLM’s weekly returns had a correlation of −0.12 with the S&P 500 and TFPN’s +0.75. In the 26 weeks the index fell, by 1.07% a week on average, KMLM averaged +0.18% and TFPN −1.32%. Over the same weeks, KMLM finished 12.9 percentage points ahead of cash and TFPN finished 10.8 points ahead of cash.
Client brief:
The two-page PDF for this pair is coming. Save the comparison to follow its changes. Free. It needs an email sign-in, once.
KMLM
KMLM is a managed futures fund. ETFIQ measures what every alternatives fund is sold on: whether it moves differently from the stock market. Over the year to Nov 4, 2026, its weekly returns had a correlation of −0.12 with the S&P 500’s and a beta of −0.12, so for each 1% the index moved it moved about 0.12% the other way. The S&P 500 fell in 26 of those 52 weeks, by 1.07% on average. In the same weeks KMLM rose 0.18% on average, a down-week capture of −16.3%. Over the same 52 weeks KMLM returned +16.6% and a Treasury bill fund +3.7%, so it finished 12.9 percentage points ahead of cash.
TFPN
TFPN is a managed futures fund. Over the year to Nov 4, 2026, its weekly returns had a correlation of +0.75 with the S&P 500’s and a beta of +1.00, so for each 1% the index moved it moved about 1.00% the same way. In the same weeks TFPN fell 1.32% on average, a down-week capture of 123.6%. Over the same 52 weeks TFPN returned +14.4% and a Treasury bill fund +3.7%, so it finished 10.8 percentage points ahead of cash.
Questions people ask
- Which moved less with the S&P 500, KMLM or TFPN?
- Over the 52 weeks to Nov 4, 2026, KMLM’s weekly returns had a correlation of −0.12 with the S&P 500 and TFPN’s +0.75, so KMLM moved less with the index.
- Which did better when the S&P 500 fell, KMLM or TFPN?
- In the 26 weeks the S&P 500 fell, by 1.07% a week on average, KMLM averaged +0.18% and TFPN −1.32%, so KMLM returned more in those weeks.
Links are sources, not endorsements. A comparison is not a recommendation.
How this is computed
It is a place in a set, not a rating or a recommendation.
Every number is an ETFIQ calculation with distributions reinvested.
Cite this pageCitation, APA and Markdown
ETFIQ, KMLM against TFPN, data as of Nov 4, 2026. https://etfiq.com/compare/alternatives/kmlm-vs-tfpn
ETFIQ. (Nov 4, 2026). KMLM against TFPN. Retrieved from https://etfiq.com/compare/alternatives/kmlm-vs-tfpn
[KMLM against TFPN (ETFIQ, Nov 4, 2026)](https://etfiq.com/compare/alternatives/kmlm-vs-tfpn)
Free to use with attribution for data ETFIQ computes; issuer data stays under its owner's terms.