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CMDT vs. KMLM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CMDT and KMLM is 0.09, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.0
Correlation: 0.1

Performance

CMDT vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO Commodity Strategy Active Exchange-Traded Fund (CMDT) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

-40.00%-20.00%0.00%20.00%40.00%December2025FebruaryMarchAprilMay
-32.23%
21.21%
CMDT
KMLM

Key characteristics

Sharpe Ratio

CMDT:

-0.17

KMLM:

-1.32

Sortino Ratio

CMDT:

0.26

KMLM:

-1.77

Omega Ratio

CMDT:

1.04

KMLM:

0.80

Calmar Ratio

CMDT:

-0.21

KMLM:

-0.49

Martin Ratio

CMDT:

-1.23

KMLM:

-1.54

Ulcer Index

CMDT:

10.34%

KMLM:

9.26%

Daily Std Dev

CMDT:

72.98%

KMLM:

10.76%

Max Drawdown

CMDT:

-60.09%

KMLM:

-29.10%

Current Drawdown

CMDT:

-55.12%

KMLM:

-28.72%

Returns By Period

In the year-to-date period, CMDT achieves a -15.55% return, which is significantly lower than KMLM's -6.76% return.


CMDT

YTD

-15.55%

1M

-23.54%

6M

-11.82%

1Y

-11.46%

5Y*

-7.50%

10Y*

-5.17%

KMLM

YTD

-6.76%

1M

-3.57%

6M

-6.21%

1Y

-14.65%

5Y*

N/A

10Y*

N/A

*Annualized

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CMDT vs. KMLM - Expense Ratio Comparison

CMDT has a 0.65% expense ratio, which is lower than KMLM's 0.90% expense ratio.


Expense ratio chart for KMLM: current value is 0.90%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
KMLM: 0.90%
Expense ratio chart for CMDT: current value is 0.65%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
CMDT: 0.65%

Risk-Adjusted Performance

CMDT vs. KMLM — Risk-Adjusted Performance Rank

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

CMDT
The Risk-Adjusted Performance Rank of CMDT is 1515
Overall Rank
The Sharpe Ratio Rank of CMDT is 1212
Sharpe Ratio Rank
The Sortino Ratio Rank of CMDT is 2525
Sortino Ratio Rank
The Omega Ratio Rank of CMDT is 2727
Omega Ratio Rank
The Calmar Ratio Rank of CMDT is 99
Calmar Ratio Rank
The Martin Ratio Rank of CMDT is 33
Martin Ratio Rank

KMLM
The Risk-Adjusted Performance Rank of KMLM is 11
Overall Rank
The Sharpe Ratio Rank of KMLM is 00
Sharpe Ratio Rank
The Sortino Ratio Rank of KMLM is 00
Sortino Ratio Rank
The Omega Ratio Rank of KMLM is 00
Omega Ratio Rank
The Calmar Ratio Rank of KMLM is 22
Calmar Ratio Rank
The Martin Ratio Rank of KMLM is 11
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

CMDT vs. KMLM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PIMCO Commodity Strategy Active Exchange-Traded Fund (CMDT) 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.


The chart of Sharpe ratio for CMDT, currently valued at -0.17, compared to the broader market0-1.000.001.002.003.004.00
CMDT: -0.17
KMLM: -1.41
The chart of Sortino ratio for CMDT, currently valued at 0.26, compared to the broader market-2.000.002.004.006.008.00
CMDT: 0.26
KMLM: -1.90
The chart of Omega ratio for CMDT, currently valued at 1.04, compared to the broader market0.501.001.502.002.50
CMDT: 1.04
KMLM: 0.78
The chart of Calmar ratio for CMDT, currently valued at -0.32, compared to the broader market0.002.004.006.008.0010.00
CMDT: -0.32
KMLM: -0.52
The chart of Martin ratio for CMDT, currently valued at -1.23, compared to the broader market0.0020.0040.0060.00
CMDT: -1.23
KMLM: -1.73

The current CMDT Sharpe Ratio is -0.17, which is higher than the KMLM Sharpe Ratio of -1.32. The chart below compares the historical Sharpe Ratios of CMDT 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-1.50-1.00-0.500.000.501.00December2025FebruaryMarchAprilMay
-0.17
-1.41
CMDT
KMLM

Dividends

CMDT vs. KMLM - Dividend Comparison

CMDT's dividend yield for the trailing twelve months is around 9.75%, more than KMLM's 0.88% yield.


TTM2024202320222021
CMDT
PIMCO Commodity Strategy Active Exchange-Traded Fund
9.75%8.45%2.71%0.00%0.00%
KMLM
KFA Mount Lucas Index Strategy ETF
0.88%0.82%0.00%8.12%6.94%

Drawdowns

CMDT vs. KMLM - Drawdown Comparison

The maximum CMDT drawdown since its inception was -60.09%, which is greater than KMLM's maximum drawdown of -29.10%. Use the drawdown chart below to compare losses from any high point for CMDT and KMLM. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%December2025FebruaryMarchAprilMay
-32.26%
-28.72%
CMDT
KMLM

Volatility

CMDT vs. KMLM - Volatility Comparison

PIMCO Commodity Strategy Active Exchange-Traded Fund (CMDT) has a higher volatility of 39.82% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.78%. This indicates that CMDT'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.


0.00%10.00%20.00%30.00%40.00%December2025FebruaryMarchAprilMay
39.82%
2.78%
CMDT
KMLM