DBC vs. KMLM
DBC (Invesco DB Commodity Index Tracking Fund) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - DBC is a Commodities fund tracking the DBIQ Optimum Yield Diversified Commodity Index Excess Return, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, DBC returned 11.29%/yr vs 4.11%/yr for KMLM. At a 0.23 correlation, their price movements are largely independent. DBC charges 0.85%/yr vs 0.90%/yr for KMLM.
Performance
DBC vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, DBC achieves a 27.68% return, which is significantly higher than KMLM's 8.32% return.
DBC
- 1D
- -1.04%
- 1M
- -8.46%
- YTD
- 27.68%
- 6M
- 28.76%
- 1Y
- 30.29%
- 3Y*
- 12.92%
- 5Y*
- 11.29%
- 10Y*
- 8.27%
KMLM
- 1D
- -0.53%
- 1M
- -5.80%
- YTD
- 8.32%
- 6M
- 9.68%
- 1Y
- 13.24%
- 3Y*
- -1.51%
- 5Y*
- 4.11%
- 10Y*
- —
DBC vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
DBC Invesco DB Commodity Index Tracking Fund | 27.68% | 8.10% | 2.18% | -6.19% | 19.34% | 41.36% | 5.76% |
KMLM KFA Mount Lucas Index Strategy ETF | 8.32% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between DBC and KMLM is 0.46, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.46 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.14 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.20 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | 0.23 |
Over the past year, DBC and KMLM have become more correlated (0.46) than their long-term average of 0.23, meaning their price movements have been converging.
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Return for Risk
DBC vs. KMLM — Risk / Return Rank
DBC
KMLM
DBC vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco DB Commodity Index Tracking Fund (DBC) 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.
| DBC | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.76 | ||
| Sortino ratioReturn per unit of downside risk | +0.93 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.19 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | 3.48 | 1.78 | +1.70 |
| Martin ratioReturn relative to average drawdown | 9.64 | 5.86 | +3.78 |
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Drawdowns
DBC vs. KMLM - Drawdown Comparison
The maximum DBC drawdown since its inception was -76.36%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for DBC and KMLM.
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Drawdown Indicators
| DBC | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -76.36% | -27.47% | -48.89% |
Max Drawdown (1Y)Largest decline over 1 year | -9.91% | -6.83% | -3.08% |
Max Drawdown (3Y)Largest decline over 3 years | -13.82% | -22.28% | +8.46% |
Max Drawdown (5Y)Largest decline over 5 years | -27.34% | -27.47% | +0.13% |
Max Drawdown (10Y)Largest decline over 10 years | -41.71% | — | — |
Current DrawdownCurrent decline from peak | -26.14% | -15.54% | -10.60% |
Average DrawdownAverage peak-to-trough decline | -46.19% | -12.74% | -33.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.57% | 2.10% | +1.47% |
Volatility
DBC vs. KMLM - Volatility Comparison
Invesco DB Commodity Index Tracking Fund (DBC) has a higher volatility of 5.20% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.35%. This indicates that DBC'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.
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Volatility by Period
| DBC | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.20% | 3.35% | +1.85% |
Volatility (6M)Calculated over the trailing 6-month period | 16.11% | 9.77% | +6.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.94% | 11.50% | +7.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.22% | 14.62% | +4.60% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.82% | 14.71% | +3.11% |
DBC vs. KMLM - Expense Ratio Comparison
DBC has a 0.85% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
DBC vs. KMLM - Dividend Comparison
DBC's dividend yield for the trailing twelve months is around 2.61%, less than KMLM's 4.64% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
DBC Invesco DB Commodity Index Tracking Fund | 2.61% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.64% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
DBC and KMLM have a correlation of 0.46, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DBC has higher volatility (5.20%) compared to KMLM (3.35%). In terms of maximum drawdown, DBC dropped -76.36% vs KMLM's -27.47%.
On 5-year performance, DBC leads with 11.29% vs 4.11% for KMLM. On fees, DBC is cheaper at 0.85% per year. On volatility, KMLM has been the lower-risk option at 3.35%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, DBC has performed better with a 11.29% return vs 4.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DBC is cheaper with a 0.85% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.64%, compared with 2.61% for DBC.
DBC is categorized as Commodities, while KMLM is Systematic Trend. DBC tracks DBIQ Optimum Yield Diversified Commodity Index Excess Return, while KMLM tracks KFA MLM Index. They also come from different issuers: Invesco and KraneShares. Their fees differ too: 0.85% for DBC and 0.90% for KMLM.
DBC currently has the higher Sharpe Ratio (1.82 vs 1.06), 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.
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