CMFP.L vs. KMLM
CMFP.L (L&G Longer Dated All Commodities UCITS ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - CMFP.L is a Commodities fund tracking the Bloomberg Commodity 3 Month Forward, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, CMFP.L returned 12.26%/yr vs 5.02%/yr for KMLM. At a 0.26 correlation, their price movements are largely independent. CMFP.L charges 0.30%/yr vs 0.90%/yr for KMLM.
Performance
CMFP.L vs. KMLM - Performance Comparison
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Different Trading Currencies
CMFP.L is traded in GBp, while KMLM is traded in USD. To make them comparable, the KMLM values have been converted to GBp using the latest available exchange rates.
Returns By Period
In the year-to-date period, CMFP.L achieves a 14.35% return, which is significantly higher than KMLM's 8.38% return.
CMFP.L
- 1D
- -0.63%
- 1M
- -6.61%
- YTD
- 14.35%
- 6M
- 15.89%
- 1Y
- 23.80%
- 3Y*
- 9.26%
- 5Y*
- 12.26%
- 10Y*
- 8.57%
KMLM
- 1D
- -0.46%
- 1M
- -6.80%
- YTD
- 8.38%
- 6M
- 8.77%
- 1Y
- 14.12%
- 3Y*
- -2.24%
- 5Y*
- 5.02%
- 10Y*
- —
CMFP.L vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
CMFP.L L&G Longer Dated All Commodities UCITS ETF | 14.35% | 8.49% | 6.86% | -11.43% | 32.79% | 34.61% | 2.83% |
KMLM KFA Mount Lucas Index Strategy ETF | 8.38% | -9.89% | 0.02% | -10.38% | 46.14% | 8.05% | 3.47% |
Correlation
The correlation between CMFP.L and KMLM is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.36 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.16 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.25 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | 0.26 |
The correlation between CMFP.L and KMLM shifts across timeframes, from 0.16 (3 years) to 0.36 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
CMFP.L vs. KMLM — Risk / Return Rank
CMFP.L
KMLM
CMFP.L vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for L&G Longer Dated All Commodities UCITS ETF (CMFP.L) 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.
| CMFP.L | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.47 | ||
| Sortino ratioReturn per unit of downside risk | +0.49 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.21 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 3.15 | 2.08 | +1.06 |
| Martin ratioReturn relative to average drawdown | 8.23 | 7.20 | +1.03 |
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Drawdowns
CMFP.L vs. KMLM - Drawdown Comparison
The maximum CMFP.L drawdown since its inception was -66.80%, which is greater than KMLM's maximum drawdown of -41.08%. Use the drawdown chart below to compare losses from any high point for CMFP.L and KMLM.
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Drawdown Indicators
| CMFP.L | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -66.80% | -41.08% | -25.72% |
Max Drawdown (1Y)Largest decline over 1 year | -7.53% | -6.80% | -0.73% |
Max Drawdown (3Y)Largest decline over 3 years | -25.15% | -30.08% | +4.93% |
Max Drawdown (5Y)Largest decline over 5 years | -25.15% | -41.08% | +15.93% |
Max Drawdown (10Y)Largest decline over 10 years | -25.15% | — | — |
Current DrawdownCurrent decline from peak | -9.06% | -31.48% | +22.42% |
Average DrawdownAverage peak-to-trough decline | -43.95% | -20.59% | -23.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.88% | 1.97% | +0.91% |
Volatility
CMFP.L vs. KMLM - Volatility Comparison
L&G Longer Dated All Commodities UCITS ETF (CMFP.L) and KFA Mount Lucas Index Strategy ETF (KMLM) have volatilities of 3.78% and 3.86%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CMFP.L | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.78% | 3.86% | -0.08% |
Volatility (6M)Calculated over the trailing 6-month period | 12.33% | 11.16% | +1.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.90% | 12.64% | +2.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.04% | 18.65% | +1.39% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.84% | 18.30% | -1.46% |
CMFP.L vs. KMLM - Expense Ratio Comparison
CMFP.L has a 0.30% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
CMFP.L vs. KMLM - Dividend Comparison
CMFP.L has not paid dividends to shareholders, while KMLM's dividend yield for the trailing twelve months is around 4.66%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
CMFP.L L&G Longer Dated All Commodities UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 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
CMFP.L and KMLM have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, CMFP.L is cheaper at 0.30% per year. The better choice depends on whether you care most about return, fees, risk, or income.
CMFP.L is cheaper with a 0.30% expense ratio, compared with 0.90% for KMLM.
CMFP.L is categorized as Commodities, while KMLM is Systematic Trend. CMFP.L tracks Bloomberg Commodity 3 Month Forward, while KMLM tracks KFA MLM Index. They also come from different issuers: Legal & General and KraneShares. Their fees differ too: 0.30% for CMFP.L and 0.90% for KMLM.
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