DFMC vs. KMLM

Last updated Jun 4, 2026

DFMC (Dimensional US Micro Cap Portfolio ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - DFMC is a Small Cap Blend Equities fund actively managed by Dimensional Fund Advisors, while KMLM is a Long-Short fund actively managed by CICC. Both are actively managed. At a correlation of -0.48, they often move in opposite directions. DFMC charges 0.41%/yr vs 0.90%/yr for KMLM.

Performance

DFMC vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional US Micro Cap Portfolio ETF (DFMC) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

DFMC

• 1D: -1.12%
• 1M: 1.77%
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

KMLM

• 1D: 0.17%
• 1M: -2.41%
• YTD: 10.79%
• 6M: 13.19%
• 1Y: 13.68%
• 3Y*: -0.47%
• 5Y*: 4.33%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

DFMC vs. KMLM - Yearly Performance Comparison

	2026 (YTD)
DFMC Dimensional US Micro Cap Portfolio ETF	11.97%
KMLM KFA Mount Lucas Index Strategy ETF	5.12%

Correlation

The correlation between DFMC and KMLM is -0.48, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (All Time) Calculated using the full available price history since Mar 24, 2026	-0.48

Return for Risk

DFMC vs. KMLM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

KMLM

KMLM Risk / Return Rank: 36
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 43
KMLM Martin Ratio Rank: 43

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.

DFMC vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional US Micro Cap Portfolio ETF (DFMC) 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.

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

Sharpe Ratios by Period

	DFMC	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	—	1.20	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.30	—
Sharpe Ratio (All Time) Calculated using the full available price history	4.79	0.49	+4.30

Drawdowns

DFMC vs. KMLM - Drawdown Comparison

The maximum DFMC drawdown since its inception was -4.29%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for DFMC and KMLM.

Drawdown Indicators

	DFMC	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-4.29%	-27.47%	+23.18%
Max Drawdown (1Y) Largest decline over 1 year	—	-6.30%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-22.28%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-1.12%	-13.61%	+12.49%
Average Drawdown Average peak-to-trough decline	-0.84%	-12.74%	+11.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	—	1.91%	—

Volatility

Volatility by Period

	DFMC	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	4.46%	—
Volatility (6M) Calculated over the trailing 6-month period	—	9.63%	—
Volatility (1Y) Calculated over the trailing 1-year period	16.19%	11.43%	+4.76%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.19%	14.62%	+1.57%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.19%	14.73%	+1.46%

DFMC vs. KMLM - Expense Ratio Comparison

DFMC has a 0.41% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

DFMC vs. KMLM - Dividend Comparison

DFMC has not paid dividends to shareholders, while KMLM's dividend yield for the trailing twelve months is around 4.53%.

Position	TTM	2025	2024	2023	2022	2021
DFMC Dimensional US Micro Cap Portfolio ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.53%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both DFMC and KMLM in my portfolio?

DFMC and KMLM have a correlation of -0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, DFMC or KMLM?

On fees, DFMC is cheaper at 0.41% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, DFMC or KMLM?

DFMC is cheaper with a 0.41% expense ratio, compared with 0.90% for KMLM.

Which ETF pays a higher dividend yield, DFMC or KMLM?

KMLM has the higher dividend yield at 4.53%, compared with 0.00% for DFMC.

What is the main difference between DFMC and KMLM?

DFMC is categorized as Small Cap Blend Equities, while KMLM is Long-Short. They also come from different issuers: Dimensional Fund Advisors and CICC. Their fees differ too: 0.41% for DFMC and 0.90% for KMLM.