CMDT vs. KMLM

Last updated Jun 23, 2026

CMDT (PIMCO Commodity Strategy Active Exchange-Traded Fund) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - CMDT is a Commodities fund tracking the Bloomberg Roll Select Commodity Total Return Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 3 years, CMDT returned 13.20%/yr vs -0.44%/yr for KMLM. At a 0.14 correlation, their price movements are largely independent. CMDT charges 0.65%/yr vs 0.90%/yr for KMLM.

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.

Returns By Period

In the year-to-date period, CMDT achieves a 14.74% return, which is significantly higher than KMLM's 7.82% return.

CMDT

• 1D: -0.69%
• 1M: -7.81%
• YTD: 14.74%
• 6M: 15.38%
• 1Y: 20.78%
• 3Y*: 13.20%
• 5Y*: —
• 10Y*: —

KMLM

• 1D: 0.58%
• 1M: -4.23%
• YTD: 7.82%
• 6M: 7.66%
• 1Y: 15.91%
• 3Y*: -0.44%
• 5Y*: 4.70%
• 10Y*: —

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

CMDT vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
CMDT PIMCO Commodity Strategy Active Exchange-Traded Fund	14.74%	12.78%	6.93%	5.37%
KMLM KFA Mount Lucas Index Strategy ETF	7.82%	-2.98%	-1.69%	-6.79%

Correlation

The correlation between CMDT and KMLM is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.45
Correlation (3Y) Calculated over the trailing 3-year period	0.17
Correlation (All Time) Calculated using the full available price history since May 10, 2023	0.14

Over the past year, CMDT and KMLM have become more correlated (0.45) than their long-term average of 0.14, meaning their price movements have been converging.

Return for Risk

CMDT vs. KMLM — Risk / Return Rank

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

CMDT

CMDT Risk / Return Rank: 48
CMDT Sharpe Ratio Rank: 49
CMDT Sortino Ratio Rank: 48
CMDT Omega Ratio Rank: 45
CMDT Calmar Ratio Rank: 43
CMDT Martin Ratio Rank: 57

KMLM

KMLM Risk / Return Rank: 41
KMLM Sharpe Ratio Rank: 41
KMLM Sortino Ratio Rank: 39
KMLM Omega Ratio Rank: 39
KMLM Calmar Ratio Rank: 41
KMLM Martin Ratio Rank: 44

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.

CMDT vs. KMLM - Risk-Adjusted Trends 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	CMDT	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	1.66	1.41	+0.25
Sortino ratio: Return per unit of downside risk	2.32	1.94	+0.37
Omega ratio: Gain probability vs. loss probability	1.28	1.25	+0.03
Calmar ratio: Return relative to maximum drawdown	2.07	1.99	+0.08
Martin ratio: Return relative to average drawdown	9.74	6.87	+2.87

CMDT vs. KMLM - Sharpe Ratio Comparison

The current CMDT Sharpe Ratio is 1.66, which is comparable to the KMLM Sharpe Ratio of 1.41. The chart below compares the historical Sharpe Ratios of CMDT and KMLM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CMDT vs. KMLM - Drawdown Comparison

The maximum CMDT drawdown since its inception was -10.09%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for CMDT and KMLM.

Drawdown Indicators

	CMDT	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-10.09%	-27.47%	+17.38%
Max Drawdown (1Y) Largest decline over 1 year	-10.09%	-8.04%	-2.05%
Max Drawdown (3Y) Largest decline over 3 years	-10.09%	-22.28%	+12.19%
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-10.09%	-15.93%	+5.84%
Average Drawdown Average peak-to-trough decline	-2.76%	-12.75%	+9.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.28%	2.32%	-0.04%

Volatility

CMDT vs. KMLM - Volatility Comparison

PIMCO Commodity Strategy Active Exchange-Traded Fund (CMDT) has a higher volatility of 3.18% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.95%. 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.

Volatility by Period

	CMDT	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.18%	2.95%	+0.23%
Volatility (6M) Calculated over the trailing 6-month period	10.52%	9.80%	+0.72%
Volatility (1Y) Calculated over the trailing 1-year period	12.62%	11.38%	+1.24%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.23%	14.58%	-2.35%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.23%	14.69%	-2.46%

CMDT vs. KMLM - Expense Ratio Comparison

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

Dividends

CMDT vs. KMLM - Dividend Comparison

CMDT's dividend yield for the trailing twelve months is around 2.64%, less than KMLM's 4.66% yield.

Position	TTM	2025	2024	2023	2022	2021
CMDT PIMCO Commodity Strategy Active Exchange-Traded Fund	2.64%	3.04%	8.80%	2.71%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.66%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both CMDT and KMLM in my portfolio?

CMDT and KMLM have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CMDT or KMLM?

CMDT has higher volatility (3.18%) compared to KMLM (2.95%). In terms of maximum drawdown, CMDT dropped -10.09% vs KMLM's -27.47%.

Which ETF is better, CMDT or KMLM?

On 3-year performance, CMDT leads with 13.20% vs -0.44% for KMLM. On fees, CMDT is cheaper at 0.65% per year. On volatility, KMLM has been the lower-risk option at 2.95%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CMDT or KMLM?

Over the 3-year period, CMDT has performed better with a 13.20% return vs -0.44%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CMDT or KMLM?

CMDT is cheaper with a 0.65% expense ratio, compared with 0.90% for KMLM.

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

KMLM has the higher dividend yield at 4.66%, compared with 2.64% for CMDT.

What is the main difference between CMDT and KMLM?

CMDT is categorized as Commodities, while KMLM is Systematic Trend. CMDT tracks Bloomberg Roll Select Commodity Total Return Index, while KMLM tracks KFA MLM Index. They also come from different issuers: PIMCO and KraneShares. Their fees differ too: 0.65% for CMDT and 0.90% for KMLM.

Which has better risk-adjusted returns?

CMDT currently has the higher Sharpe Ratio (1.66 vs 1.41), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.