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 Long-Short fund actively managed by CICC. Both are actively managed. Over the past 5 years, DWSH returned -1.61%/yr vs 4.33%/yr for KMLM. At a 0.11 correlation, their price movements are largely independent. DWSH charges 3.67%/yr vs 0.90%/yr for KMLM.
Performance
DWSH vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, DWSH achieves a 0.85% return, which is significantly lower than KMLM's 10.79% return.
DWSH
- 1D
- 2.36%
- 1M
- 0.62%
- YTD
- 0.85%
- 6M
- 1.07%
- 1Y
- -10.40%
- 3Y*
- -4.14%
- 5Y*
- -1.61%
- 10Y*
- —
KMLM
- 1D
- 0.17%
- 1M
- -2.41%
- YTD
- 10.79%
- 6M
- 13.19%
- 1Y
- 13.68%
- 3Y*
- -0.47%
- 5Y*
- 4.33%
- 10Y*
- —
DWSH vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
DWSH AdvisorShares Dorsey Wright Short ETF | 0.85% | -2.57% | 5.98% | -22.04% | 17.45% | -25.74% | -5.15% |
KMLM KFA Mount Lucas Index Strategy ETF | 10.79% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.40% |
Correlation
The correlation between DWSH and KMLM is -0.12, 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 (1Y) Calculated over the trailing 1-year period | -0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.13 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020 | 0.11 |
The correlation between DWSH and KMLM shifts across timeframes, from -0.12 (1 year) to 0.13 (5 years), reflecting how their relationship changes across market environments.
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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.
| DWSH | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.70 | ||
| Sortino ratioReturn per unit of downside risk | -2.23 | ||
| Omega ratioGain probability vs. loss probability | 0.93 | 1.22 | -0.28 |
| Calmar ratioReturn relative to maximum drawdown | -0.58 | 2.18 | -2.76 |
| Martin ratioReturn relative to average drawdown | -0.88 | 7.18 | -8.06 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DWSH | KMLM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.50 | 1.20 | -1.70 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | -0.06 | 0.30 | -0.36 |
Sharpe Ratio (All Time)Calculated using the full available price history | -0.43 | 0.49 | -0.92 |
Drawdowns
DWSH vs. KMLM - Drawdown Comparison
The maximum DWSH drawdown since its inception was -82.73%, 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.
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Drawdown Indicators
| DWSH | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -82.73% | -27.47% | -55.26% |
Max Drawdown (1Y)Largest decline over 1 year | -18.08% | -6.30% | -11.78% |
Max Drawdown (3Y)Largest decline over 3 years | -29.23% | -22.28% | -6.95% |
Max Drawdown (5Y)Largest decline over 5 years | -32.87% | -27.47% | -5.40% |
Current DrawdownCurrent decline from peak | -81.25% | -13.61% | -67.64% |
Average DrawdownAverage peak-to-trough decline | -63.61% | -12.74% | -50.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 11.82% | 1.91% | +9.91% |
Volatility
DWSH vs. KMLM - Volatility Comparison
AdvisorShares Dorsey Wright Short ETF (DWSH) has a higher volatility of 6.08% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.46%. 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.
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Volatility by Period
| DWSH | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.08% | 4.46% | +1.62% |
Volatility (6M)Calculated over the trailing 6-month period | 13.93% | 9.63% | +4.30% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.19% | 11.43% | +9.76% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.93% | 14.62% | +11.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 31.22% | 14.73% | +16.49% |
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 6.26%, more than KMLM's 4.53% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 |
|---|---|---|---|---|---|---|---|---|---|
DWSH AdvisorShares Dorsey Wright Short ETF | 6.26% | 6.31% | 6.17% | 10.28% | 0.00% | 0.00% | 0.00% | 0.14% | 0.12% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.53% | 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 -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DWSH has higher volatility (6.08%) compared to KMLM (4.46%). In terms of maximum drawdown, DWSH dropped -82.73% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 4.33% vs -1.61% for DWSH. On fees, KMLM is cheaper at 0.90% per year. On volatility, KMLM has been the lower-risk option at 4.46%. 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 4.33% return vs -1.61%. 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 6.26%, compared with 4.53% for KMLM.
DWSH is categorized as Inverse Equities, while KMLM is Long-Short. They also come from different issuers: AdvisorShares and CICC. Their fees differ too: 3.67% for DWSH and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.20 vs -0.50), 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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