DBMF vs. KMLM
Compare and contrast key facts about iM DBi Managed Futures Strategy ETF (DBMF) and KFA Mount Lucas Index Strategy ETF (KMLM).
DBMF and KMLM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DBMF is an actively managed fund by Litman Gregory Capital Partners LLC. It was launched on May 8, 2019. 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: DBMF or KMLM.
Key characteristics
| DBMF | KMLM | |
|---|---|---|
| YTD Return | 15.74% | 7.39% |
| 1Y Return | 15.26% | -0.23% |
| 3Y Return (Ann) | 9.20% | 7.20% |
| Sharpe Ratio | 1.48 | 0.04 |
| Daily Std Dev | 9.73% | 11.50% |
| Max Drawdown | -20.39% | -24.15% |
| Current Drawdown | -4.96% | -16.49% |
Correlation
The correlation between DBMF and KMLM is 0.50, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
DBMF vs. KMLM - Performance Comparison
In the year-to-date period, DBMF achieves a 15.74% return, which is significantly higher than KMLM's 7.39% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DBMF vs. KMLM - Expense Ratio Comparison
DBMF has a 0.85% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Risk-Adjusted Performance
DBMF vs. KMLM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for iM DBi Managed Futures Strategy ETF (DBMF) 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
DBMF vs. KMLM - Dividend Comparison
DBMF's dividend yield for the trailing twelve months is around 3.06%, while KMLM has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
DBMF iM DBi Managed Futures Strategy ETF | 3.06% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% |
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% |
Drawdowns
DBMF vs. KMLM - Drawdown Comparison
The maximum DBMF drawdown since its inception was -20.39%, smaller than the maximum KMLM drawdown of -24.15%. Use the drawdown chart below to compare losses from any high point for DBMF and KMLM. For additional features, visit the drawdowns tool.
Volatility
DBMF vs. KMLM - Volatility Comparison
iM DBi Managed Futures Strategy ETF (DBMF) has a higher volatility of 4.94% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.91%. This indicates that DBMF'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.