If you like artists whose genre is tough to peg, then Caravan of Thieves should be right up your alley. Not only does the band combine elements of gypsy jazz, swing and folk music, but they also add a bit of Vaudevillian theatricality to their live shows. A Caravan of Thieves concert is sure to be something you have never seen before — even if you have seen them before.

“When you start out, people are just getting familiar with you, and then over the years they start to know what they’re getting into at your shows,” says Carrie Sangiovanni, one of the band’s singers and guitarists. “Even if they’re coming to their fifth or sixth or seventh show, you want to surprise them. So you have to reinvent yourself each time.”

Since forming in early 2008, the quartet has grown increasingly comfortable with their left-of-center genre choice. Their third and most recent album, 2012’s Funhouse, showcases the band’s energy and clever lyrics. Swinging jazz numbers like “Eat You” are a lot more sensual than sadistic, and the romantic gypsy folk track “I Can’t Behave” has a surprisingly pleasant humorous bent. And for folks who are wondering what the band has up their sleeves, expect a new album in early 2015.

“It’s a bigger sound, but in some ways it’s more intimate,” says guitarist and vocalist Fuzz Sangiovanni — Carrie’s husband — of the untitled project. “We’ve complexified the production some. There’s a marching band on one song, but then on another it’s just Carrie and I on an acoustic guitar, so this one is a big leap forward for us.”

Caravan of Thieves perform 8:30 pm Saturday, Nov. 1, at Axe & Fiddle, Cottage Grove; $10. — Brian Palmer