DFIV vs. KMLM
DFIV (Dimensional International Value ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - DFIV is a Foreign Large Cap Equities fund actively managed by Dimensional, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. DFIV is actively managed, while KMLM is passively managed. Over the past 3 years, DFIV returned 22.23%/yr vs 0.48%/yr for KMLM. At a correlation of -0.09, they often move in opposite directions. DFIV charges 0.27%/yr vs 0.90%/yr for KMLM.
Performance
DFIV vs. KMLM - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with DFIV having a 14.01% return and KMLM slightly lower at 13.45%.
DFIV
- 1D
- 1.19%
- 1M
- 2.64%
- 6M
- 11.75%
- YTD
- 14.01%
- 1Y
- 33.73%
- 3Y*
- 22.23%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 15.66%
KMLM
- 1D
- 0.65%
- 1M
- 5.82%
- 6M
- 11.47%
- YTD
- 13.45%
- 1Y
- 15.15%
- 3Y*
- 0.48%
- 5Y*
- 5.84%
- 10Y*
- —
- ALL TIME*
- 7.58%
DFIV vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
DFIV Dimensional International Value ETF | 14.01% | 45.36% | 7.26% | 17.75% | -3.70% | 0.50% |
KMLM KFA Mount Lucas Index Strategy ETF | 13.45% | -2.98% | -1.69% | -5.66% | 30.61% | 0.46% |
Correlation
The correlation between DFIV and KMLM is 0.08, 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 | 0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.00 |
Correlation (All Time) Calculated using the full available price history since Sep 13, 2021 | -0.09 |
The correlation between DFIV and KMLM shifts across timeframes, from -0.09 (all time) to 0.08 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
DFIV vs. KMLM — Risk / Return Rank
DFIV
KMLM
DFIV vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional International Value ETF (DFIV) 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.
| DFIV | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.08 | ||
| Sortino ratioReturn per unit of downside risk | +1.48 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.24 | +0.19 |
| Calmar ratioReturn relative to maximum drawdown | 3.51 | 1.58 | +1.93 |
| Martin ratioReturn relative to average drawdown | 13.33 | 4.94 | +8.38 |
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Drawdowns
DFIV vs. KMLM - Drawdown Comparison
The maximum DFIV drawdown since its inception was -25.42%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for DFIV and KMLM.
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Drawdown Indicators
| DFIV | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.42% | -27.47% | +2.05% |
Max Drawdown (1Y)Largest decline over 1 year | -9.66% | -9.61% | -0.05% |
Max Drawdown (3Y)Largest decline over 3 years | -14.72% | -22.28% | +7.56% |
Max Drawdown (5Y)Largest decline over 5 years | — | -27.47% | — |
Current DrawdownCurrent decline from peak | -0.34% | -11.54% | +11.20% |
Average DrawdownAverage peak-to-trough decline | -4.39% | -12.79% | +8.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.54% | 3.07% | -0.53% |
Volatility
DFIV vs. KMLM - Volatility Comparison
The current volatility for Dimensional International Value ETF (DFIV) is 3.43%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 3.62%. This indicates that DFIV 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
| DFIV | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.43% | 3.62% | -0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 11.68% | 10.11% | +1.57% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.11% | 11.51% | +2.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.56% | 14.53% | +2.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.56% | 14.67% | +1.89% |
DFIV vs. KMLM - Expense Ratio Comparison
DFIV has a 0.27% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
DFIV vs. KMLM - Dividend Comparison
DFIV's dividend yield for the trailing twelve months is around 2.64%, less than KMLM's 4.43% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
DFIV Dimensional International Value ETF | 2.64% | 2.92% | 3.88% | 3.93% | 3.84% | 2.30% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.43% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% |
Frequently Asked Questions
DFIV and KMLM have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (3.62%) compared to DFIV (3.43%). In terms of maximum drawdown, DFIV dropped -25.42% vs KMLM's -27.47%.
On 3-year performance, DFIV leads with 22.23% vs 0.48% for KMLM. On fees, DFIV is cheaper at 0.27% per year. On volatility, DFIV has been the lower-risk option at 3.43%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, DFIV has performed better with a 22.23% return vs 0.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DFIV is cheaper with a 0.27% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.43%, compared with 2.64% for DFIV.
DFIV is categorized as Foreign Large Cap Equities, while KMLM is Systematic Trend. They also come from different issuers: Dimensional and KraneShares. Their fees differ too: 0.27% for DFIV and 0.90% for KMLM.
DFIV currently has the higher Sharpe Ratio (2.40 vs 1.32), 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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