CMDY vs. KMLM
Compare and contrast key facts about iShares Bloomberg Roll Select Commodity Strategy ETF (CMDY) and KFA Mount Lucas Index Strategy ETF (KMLM).
CMDY and KMLM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CMDY is a passively managed fund by iShares that tracks the performance of the Bloomberg Roll Select Commodity Total Return Index. It was launched on Apr 3, 2018. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CMDY or KMLM.
Performance
CMDY vs. KMLM - Performance Comparison
Returns By Period
In the year-to-date period, CMDY achieves a 2.27% return, which is significantly higher than KMLM's -2.43% return.
CMDY
2.27%
-2.14%
-6.21%
-0.06%
7.20%
N/A
KMLM
-2.43%
-1.68%
-4.74%
-8.43%
N/A
N/A
Key characteristics
| CMDY | KMLM | |
|---|---|---|
| Sharpe Ratio | -0.11 | -0.80 |
| Sortino Ratio | -0.08 | -1.03 |
| Omega Ratio | 0.99 | 0.88 |
| Calmar Ratio | -0.05 | -0.33 |
| Martin Ratio | -0.25 | -1.28 |
| Ulcer Index | 4.81% | 6.59% |
| Daily Std Dev | 11.14% | 10.56% |
| Max Drawdown | -31.20% | -25.42% |
| Current Drawdown | -22.29% | -24.12% |
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CMDY vs. KMLM - Expense Ratio Comparison
CMDY has a 0.28% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Correlation
The correlation between CMDY and KMLM is 0.10, 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.
Risk-Adjusted Performance
CMDY vs. KMLM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Bloomberg Roll Select Commodity Strategy ETF (CMDY) 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.
Dividends
CMDY vs. KMLM - Dividend Comparison
CMDY's dividend yield for the trailing twelve months is around 4.98%, while KMLM has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|
CMDY iShares Bloomberg Roll Select Commodity Strategy ETF | 4.98% | 5.09% | 3.98% | 16.09% | 0.14% | 2.21% | 1.73% |
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% | 0.00% |
Drawdowns
CMDY vs. KMLM - Drawdown Comparison
The maximum CMDY drawdown since its inception was -31.20%, which is greater than KMLM's maximum drawdown of -25.42%. Use the drawdown chart below to compare losses from any high point for CMDY and KMLM. For additional features, visit the drawdowns tool.
Volatility
CMDY vs. KMLM - Volatility Comparison
iShares Bloomberg Roll Select Commodity Strategy ETF (CMDY) has a higher volatility of 3.63% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.05%. This indicates that CMDY'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.