DGRO vs. KMLM
DGRO (iShares Core Dividend Growth ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - DGRO is a Large Cap Growth Equities fund tracking the Morningstar US Dividend Growth Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, DGRO returned 10.82%/yr vs 4.11%/yr for KMLM. At a correlation of -0.09, they often move in opposite directions. DGRO charges 0.08%/yr vs 0.90%/yr for KMLM.
Performance
DGRO vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, DGRO achieves a 9.86% return, which is significantly higher than KMLM's 8.32% return.
DGRO
- 1D
- 0.69%
- 1M
- 2.86%
- YTD
- 9.86%
- 6M
- 9.27%
- 1Y
- 23.49%
- 3Y*
- 16.74%
- 5Y*
- 10.82%
- 10Y*
- 13.52%
KMLM
- 1D
- -0.53%
- 1M
- -5.13%
- YTD
- 8.32%
- 6M
- 9.68%
- 1Y
- 13.24%
- 3Y*
- -1.51%
- 5Y*
- 4.11%
- 10Y*
- —
DGRO vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
DGRO iShares Core Dividend Growth ETF | 9.86% | 15.69% | 16.62% | 10.47% | -7.91% | 26.64% | 2.26% |
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 DGRO and KMLM is 0.09, 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 | 0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.00 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.10 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.09 |
The correlation between DGRO and KMLM shifts across timeframes, from -0.10 (5 years) to 0.09 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
DGRO vs. KMLM — Risk / Return Rank
DGRO
KMLM
DGRO vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Core Dividend Growth ETF (DGRO) 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.
| DGRO | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.28 | ||
| Sortino ratioReturn per unit of downside risk | +1.90 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.19 | +0.23 |
| Calmar ratioReturn relative to maximum drawdown | 3.46 | 1.78 | +1.67 |
| Martin ratioReturn relative to average drawdown | 13.36 | 5.86 | +7.51 |
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Drawdowns
DGRO vs. KMLM - Drawdown Comparison
The maximum DGRO drawdown since its inception was -35.10%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for DGRO and KMLM.
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Drawdown Indicators
| DGRO | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.10% | -27.47% | -7.63% |
Max Drawdown (1Y)Largest decline over 1 year | -6.47% | -6.83% | +0.36% |
Max Drawdown (3Y)Largest decline over 3 years | -14.03% | -22.28% | +8.25% |
Max Drawdown (5Y)Largest decline over 5 years | -19.31% | -27.47% | +8.16% |
Max Drawdown (10Y)Largest decline over 10 years | -35.10% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -15.54% | +15.54% |
Average DrawdownAverage peak-to-trough decline | -3.44% | -12.74% | +9.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.68% | 2.10% | -0.42% |
Volatility
DGRO vs. KMLM - Volatility Comparison
The current volatility for iShares Core Dividend Growth ETF (DGRO) is 2.64%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 3.35%. This indicates that DGRO 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
| DGRO | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.64% | 3.35% | -0.71% |
Volatility (6M)Calculated over the trailing 6-month period | 6.96% | 9.77% | -2.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.59% | 11.50% | -1.91% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.83% | 14.62% | -0.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.62% | 14.71% | +1.91% |
DGRO vs. KMLM - Expense Ratio Comparison
DGRO has a 0.08% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
DGRO vs. KMLM - Dividend Comparison
DGRO's dividend yield for the trailing twelve months is around 1.94%, less than KMLM's 4.64% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGRO iShares Core Dividend Growth ETF | 1.94% | 2.09% | 2.26% | 2.45% | 2.34% | 1.93% | 2.30% | 2.21% | 2.44% | 2.03% | 2.27% | 2.52% |
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% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
DGRO and KMLM have a correlation of 0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (3.35%) compared to DGRO (2.64%). In terms of maximum drawdown, DGRO dropped -35.10% vs KMLM's -27.47%.
On 5-year performance, DGRO leads with 10.82% vs 4.11% for KMLM. On fees, DGRO is cheaper at 0.08% per year. On volatility, DGRO has been the lower-risk option at 2.64%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, DGRO has performed better with a 10.82% return vs 4.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DGRO is cheaper with a 0.08% expense ratio, compared with 0.90% for KMLM.
KMLM has the higher dividend yield at 4.64%, compared with 1.94% for DGRO.
DGRO is categorized as Large Cap Growth Equities, while KMLM is Systematic Trend. DGRO tracks Morningstar US Dividend Growth Index, while KMLM tracks KFA MLM Index. They also come from different issuers: iShares and KraneShares. Their fees differ too: 0.08% for DGRO and 0.90% for KMLM.
DGRO currently has the higher Sharpe Ratio (2.34 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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