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CSM vs. KMLM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

CSM vs. KMLM

Last updated Jun 3, 2026

CSM (Proshares Large Cap Core Plus) and KMLM (KFA Mount Lucas Index Strategy ETF) are both Long-Short funds. CSM is passively managed, while KMLM is actively managed. Over the past 5 years, CSM returned 13.79%/yr vs 4.37%/yr for KMLM. At a correlation of -0.10, they often move in opposite directions. CSM charges 0.45%/yr vs 0.90%/yr for KMLM.

Performance

CSM vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Proshares Large Cap Core Plus (CSM) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, CSM achieves a 9.53% return, which is significantly lower than KMLM's 10.60% return.

CSM

1D
-0.34%
1M
5.19%
YTD
9.53%
6M
11.44%
1Y
30.50%
3Y*
22.38%
5Y*
13.79%
10Y*
14.46%

KMLM

1D
0.53%
1M
-2.15%
YTD
10.60%
6M
13.52%
1Y
12.84%
3Y*
-0.53%
5Y*
4.37%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

CSM vs. KMLM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
CSM
Proshares Large Cap Core Plus		9.53%21.84%22.09%23.50%-18.27%33.13%2.57%
KMLM
KFA Mount Lucas Index Strategy ETF		10.60%-2.98%-1.69%-5.66%30.61%7.04%5.40%

Correlation

The correlation between CSM and KMLM is -0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

-0.02

Correlation (3Y)
Calculated over the trailing 3-year period

-0.04

Correlation (5Y)
Calculated over the trailing 5-year period

-0.11

Correlation (All Time)
Calculated using the full available price history since Dec 3, 2020

-0.10

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Proshares Large Cap Core Plus

KFA Mount Lucas Index Strategy ETF

Often compared with CSM:
CSM vs. SPYCSM vs. VOOCSM vs. QQQCSM vs. VTICSM vs. BRK-BCSM vs. BDGSCSM vs. ^GSPC
Often compared with KMLM:
KMLM vs. DBMFKMLM vs. SPYKMLM vs. VOOKMLM vs. WTMFKMLM vs. FMFKMLM vs. BTALKMLM vs. CMDY

Return for Risk

CSM vs. KMLM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
CSM
CSM Risk / Return Rank: 7474
Overall Rank
CSM Sharpe Ratio Rank: 7878
Sharpe Ratio Rank
CSM Sortino Ratio Rank: 7878
Sortino Ratio Rank
CSM Omega Ratio Rank: 7575
Omega Ratio Rank
CSM Calmar Ratio Rank: 6464
Calmar Ratio Rank
CSM Martin Ratio Rank: 7474
Martin Ratio Rank
KMLM
KMLM Risk / Return Rank: 3636
Overall Rank
KMLM Sharpe Ratio Rank: 3131
Sharpe Ratio Rank
KMLM Sortino Ratio Rank: 3030
Sortino Ratio Rank
KMLM Omega Ratio Rank: 3131
Omega Ratio Rank
KMLM Calmar Ratio Rank: 4444
Calmar Ratio Rank
KMLM Martin Ratio Rank: 4444
Martin Ratio Rank
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.

CSM vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Proshares Large Cap Core Plus (CSM) 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.

CSMKMLMDifference

Sharpe ratio

Return per unit of total volatility

2.57

1.13

+1.44

Sortino ratio

Return per unit of downside risk

3.52

1.59

+1.94

Omega ratio

Gain probability vs. loss probability

1.45

1.20

+0.25

Calmar ratio

Return relative to maximum drawdown

3.26

2.22

+1.04

Martin ratio

Return relative to average drawdown

14.22

7.31

+6.91

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CSM vs. KMLM - Sharpe Ratio Comparison

The current CSM Sharpe Ratio is 2.57, which is higher than the KMLM Sharpe Ratio of 1.13. The chart below compares the historical Sharpe Ratios of CSM 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.

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Sharpe Ratios by Period

CSMKMLMDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.57

1.13

+1.44

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.81

0.30

+0.51

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.79

—

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.86

0.49

+0.37

Drawdowns

CSM vs. KMLM - Drawdown Comparison

The maximum CSM drawdown since its inception was -36.11%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for CSM and KMLM.

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Drawdown Indicators

CSMKMLMDifference

Max Drawdown

Largest peak-to-trough decline

-36.11%

-27.47%

-8.64%

Max Drawdown (1Y)

Largest decline over 1 year

-9.40%

-6.30%

-3.10%

Max Drawdown (3Y)

Largest decline over 3 years

-18.30%

-22.28%

+3.98%

Max Drawdown (5Y)

Largest decline over 5 years

-23.82%

-27.47%

+3.65%

Max Drawdown (10Y)

Largest decline over 10 years

-36.11%

—

—

Current Drawdown

Current decline from peak

-0.34%

-13.76%

+13.42%

Average Drawdown

Average peak-to-trough decline

-4.04%

-12.74%

+8.70%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.15%

1.91%

+0.24%

Volatility

CSM vs. KMLM - Volatility Comparison

The current volatility for Proshares Large Cap Core Plus (CSM) is 2.74%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.49%. This indicates that CSM experiences smaller price fluctuations and is considered to be less risky than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

CSMKMLMDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.74%

4.49%

-1.75%

Volatility (6M)

Calculated over the trailing 6-month period

8.78%

9.64%

-0.86%

Volatility (1Y)

Calculated over the trailing 1-year period

11.91%

11.46%

+0.45%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.11%

14.62%

+2.49%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.38%

14.74%

+3.64%

CSM vs. KMLM - Expense Ratio Comparison

CSM has a 0.45% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

CSM vs. KMLM - Dividend Comparison

CSM's dividend yield for the trailing twelve months is around 1.00%, less than KMLM's 4.54% yield.

PositionTTM20252024202320222021202020192018201720162015
CSM
Proshares Large Cap Core Plus		1.00%1.04%1.06%1.17%1.37%0.78%1.21%1.41%1.54%1.28%1.49%1.67%
KMLM
KFA Mount Lucas Index Strategy ETF		4.54%5.02%0.82%0.00%13.22%6.94%0.00%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

CSM and KMLM have a correlation of -0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

KMLM has higher volatility (4.49%) compared to CSM (2.74%). In terms of maximum drawdown, CSM dropped -36.11% vs KMLM's -27.47%.

On 5-year performance, CSM leads with 13.79% vs 4.37% for KMLM. On fees, CSM is cheaper at 0.45% per year. On volatility, CSM has been the lower-risk option at 2.74%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, CSM has performed better with a 13.79% return vs 4.37%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

CSM is cheaper with a 0.45% expense ratio, compared with 0.90% for KMLM.

KMLM has the higher dividend yield at 4.54%, compared with 1.00% for CSM.

They also come from different issuers: ProShares and CICC. Their fees differ too: 0.45% for CSM and 0.90% for KMLM.

CSM currently has the higher Sharpe Ratio (2.57 vs 1.13), 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.

Portfolio Optimizer

Find the right allocation for CSM and KMLM

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