PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan

KFA Mount Lucas Index Strategy ETF (KMLM) Sharpe Ratio: 1.41

ETF · Currency in USD · Last updated Jun 23, 2026

The KraneShares KFA Mount Lucas Index Strategy ETF (KMLM) seeks to track the KFA MLM Index, a rules-based managed futures benchmark that takes long and short positions across a diversified portfolio of commodity, currency, and global fixed income futures using a trend-following methodology. The fund is commonly used as a diversifier and potential crisis-period hedge against traditional stock and bond portfolios. It launched in December 2020.

KMLM's Sharpe Ratio of 1.41 indicates that for each unit of volatility, it generates 1.41 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 23, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

KMLM Sharpe Ratio Rank

KMLM Sharpe Ratio Rank: 40.741
Average

KMLM ranks above 40.7% of all investments in our database based on Sharpe Ratio over the past 12 months, showing balanced returns relative to total risk taken. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Returns are proportional to volatility—neither strong nor weak
  • Evaluate whether the volatility profile aligns with your risk tolerance
  • Review higher-ranked alternatives in the same category
  • Monitor rank direction to identify improving or deteriorating trends

KMLM Sharpe Ratio Market Positioning

The chart shows KMLM's Sharpe Ratio relative to all ETFs on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.86 or lower
  • Yellow zone (middle 50%): 0.86 to 2.31
  • Green zone (top 25%): 2.31 or higher
  • Top 1%: 7.29+
  • Median: 1.67 — half of all investments score higher

How it compares to other similar ETFs

The table compares KFA Mount Lucas Index Strategy ETF's Sharpe Ratio with other ETFs in the Systematic Trend category across multiple time periods, showing how KMLM's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 23, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
ISMFiShares Managed Futures Active ETF2.85
DBMFiMGP DBi Managed Futures Strategy ETF2.24
RSSTReturn Stacked U.S. Stocks & Managed Futures ETF2.23
AHLTAmerican Beacon AHL Trend ETF2.16
MFUTCambria Chesapeake Pure Trend ETF2.14
IMFInvesco Managed Futures Strategy ETF2.01
FFUTFidelity Managed Futures ETF1.69
ASMFVirtus AlphaSimplex Managed Futures ETF1.60
KMLMKFA Mount Lucas Index Strategy ETF1.41
GXDWGlobal X Dorsey Wright Thematic ETF0.60

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows KMLM's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when KMLM consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

Loading charts...

Sharpe Ratio Calculator

How does KMLM fit in your portfolio?

Add your other holdings to see your portfolio's Sharpe Ratio and find out.

Analyze Your Portfolio