DWSH vs. KMLM
DWSH (AdvisorShares Dorsey Wright Short ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - DWSH is a Inverse Equities fund actively managed by AdvisorShares, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. DWSH is actively managed, while KMLM is passively managed. Over the past 5 years, DWSH returned -4.38%/yr vs 5.46%/yr for KMLM. Their 0.12 correlation means their historical movements had little consistent relationship. DWSH charges 3.67%/yr vs 0.90%/yr for KMLM.
Performance
DWSH vs. KMLM - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, DWSH achieves a -11.96% return, which is significantly lower than KMLM's 10.64% return.
DWSH
- 1D
- -2.20%
- 1M
- -5.81%
- 6M
- -8.92%
- YTD
- -11.96%
- 1Y
- -17.15%
- 3Y*
- -4.29%
- 5Y*
- -4.38%
- 10Y*
- —
- ALL TIME*
- -14.49%
KMLM
- 1D
- -2.05%
- 1M
- 4.67%
- 6M
- 8.67%
- YTD
- 10.64%
- 1Y
- 15.77%
- 3Y*
- -0.31%
- 5Y*
- 5.46%
- 10Y*
- —
- ALL TIME*
- 7.06%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $237.81K | $562.58K | $421.31K | |
| $10.28M | $9.90M | $7.93M |
DWSH vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
DWSH AdvisorShares Dorsey Wright Short ETF | -11.96% | -2.57% | 5.98% | -22.04% | 17.45% | -25.74% | -7.23% |
KMLM KFA Mount Lucas Index Strategy ETF | 10.64% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between DWSH and KMLM is 0.05, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.05 |
Correlation (3Y) Balances recent behavior with more history. | 0.05 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.15 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | 0.12 |
The correlation between DWSH and KMLM shifts across timeframes, from 0.05 (3 years) to 0.15 (5 years), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
DWSH vs. KMLM — Risk / Return Rank
DWSH
KMLM
DWSH vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AdvisorShares Dorsey Wright Short ETF (DWSH) 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.
| DWSH | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.12 | ||
| Sortino ratioReturn per unit of downside risk | -2.83 | ||
| Omega ratioGain probability vs. loss probability | 0.89 | 1.25 | -0.36 |
| Calmar ratioReturn relative to maximum drawdown | -0.86 | 1.65 | -2.50 |
| Martin ratioReturn relative to average drawdown | -1.88 | 5.33 | -7.21 |
Loading charts...
Drawdowns
DWSH vs. KMLM - Drawdown Comparison
The maximum DWSH drawdown since its inception was -83.80%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for DWSH and KMLM.
Loading charts...
Drawdown Indicators
| DWSH | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -83.80% | -27.47% | -56.33% |
Max Drawdown (1Y)Largest decline over 1 year | -20.08% | -9.61% | -10.47% |
Max Drawdown (3Y)Largest decline over 3 years | -33.61% | -22.28% | -11.33% |
Max Drawdown (5Y)Largest decline over 5 years | -37.03% | -27.47% | -9.56% |
Current DrawdownCurrent decline from peak | -83.64% | -13.73% | -69.91% |
Average DrawdownAverage peak-to-trough decline | -63.95% | -12.79% | -51.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.24% | 2.97% | +6.27% |
Volatility
DWSH vs. KMLM - Volatility Comparison
AdvisorShares Dorsey Wright Short ETF (DWSH) has a higher volatility of 12.14% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.35%. This indicates that DWSH'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.
Loading charts...
Volatility by Period
| DWSH | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.14% | 4.35% | +7.79% |
Volatility (6M)Calculated over the trailing 6-month period | 18.18% | 10.24% | +7.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 22.70% | 11.68% | +11.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 26.59% | 14.55% | +12.04% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.27% | 14.68% | +16.59% |
DWSH vs. KMLM - Expense Ratio Comparison
DWSH has a 3.67% expense ratio, which is higher than KMLM's 0.90% expense ratio.
Dividends
DWSH vs. KMLM - Dividend Comparison
DWSH's dividend yield for the trailing twelve months is around 7.17%, more than KMLM's 4.54% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
DWSH AdvisorShares Dorsey Wright Short ETF | 7.17% | 6.31% | 6.17% | 10.28% | 0.00% | 0.00% | 0.00% | 0.14% | 0.12% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.54% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
DWSH and KMLM have a correlation of 0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DWSH has higher volatility (12.14%) compared to KMLM (4.35%). In terms of maximum drawdown, DWSH dropped -83.80% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 5.46% vs -4.38% for DWSH. On fees, KMLM is cheaper at 0.90% per year. On volatility, KMLM has been the lower-risk option at 4.35%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, KMLM has performed better with a 5.46% return vs -4.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
KMLM is cheaper with a 0.90% expense ratio, compared with 3.67% for DWSH.
DWSH has the higher dividend yield at 7.17%, compared with 4.54% for KMLM.
DWSH is categorized as Inverse Equities, while KMLM is Systematic Trend. They also come from different issuers: AdvisorShares and KraneShares. Their fees differ too: 3.67% for DWSH and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.36 vs -0.76), 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.
Find the right allocation for DWSH and KMLM
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer