FMF vs. KMLM
FMF (First Trust Managed Futures Strategy Fund) and KMLM (KFA Mount Lucas Index Strategy ETF) are both Systematic Trend funds. FMF is actively managed, while KMLM is passively managed. Over the past 5 years, FMF returned 4.42%/yr vs 5.77%/yr for KMLM. Their 0.48 correlation means their historical movements had little consistent relationship. FMF charges 0.95%/yr vs 0.90%/yr for KMLM.
Performance
FMF vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, FMF achieves a 7.57% return, which is significantly lower than KMLM's 12.95% return.
FMF
- 1D
- 0.30%
- 1M
- 1.46%
- 6M
- 5.09%
- YTD
- 7.57%
- 1Y
- 15.06%
- 3Y*
- 5.15%
- 5Y*
- 4.42%
- 10Y*
- 2.77%
- ALL TIME*
- 1.85%
KMLM
- 1D
- 0.24%
- 1M
- 6.85%
- 6M
- 12.90%
- YTD
- 12.95%
- 1Y
- 18.19%
- 3Y*
- 0.08%
- 5Y*
- 5.77%
- 10Y*
- —
- ALL TIME*
- 7.46%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.63M | $1.43M | $2.63M | |
| $14.29M | $9.53M | $7.83M |
FMF vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 7.57% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 2.39% |
KMLM KFA Mount Lucas Index Strategy ETF | 12.95% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between FMF and KMLM is 0.53, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.53 |
Correlation (3Y) Balances recent behavior with more history. | 0.48 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.50 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | 0.48 |
The correlation between FMF and KMLM has been stable across timeframes, ranging from 0.48 to 0.53 - a consistent structural relationship.
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Return for Risk
FMF vs. KMLM — Risk / Return Rank
FMF
KMLM
FMF vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for First Trust Managed Futures Strategy Fund (FMF) 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.
| FMF | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.08 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.28 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 3.23 | 1.86 | +1.38 |
| Martin ratioReturn relative to average drawdown | 8.80 | 6.03 | +2.77 |
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Drawdowns
FMF vs. KMLM - Drawdown Comparison
The maximum FMF drawdown since its inception was -22.21%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for FMF and KMLM.
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Drawdown Indicators
| FMF | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.21% | -27.47% | +5.26% |
Max Drawdown (1Y)Largest decline over 1 year | -4.51% | -9.61% | +5.10% |
Max Drawdown (3Y)Largest decline over 3 years | -7.25% | -22.28% | +15.03% |
Max Drawdown (5Y)Largest decline over 5 years | -14.98% | -27.47% | +12.49% |
Max Drawdown (10Y)Largest decline over 10 years | -16.89% | — | — |
Current DrawdownCurrent decline from peak | -3.12% | -11.93% | +8.81% |
Average DrawdownAverage peak-to-trough decline | -9.77% | -12.79% | +3.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.65% | 2.95% | -1.30% |
Volatility
FMF vs. KMLM - Volatility Comparison
The current volatility for First Trust Managed Futures Strategy Fund (FMF) is 3.03%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 3.70%. This indicates that FMF 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
| FMF | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.03% | 3.70% | -0.67% |
Volatility (6M)Calculated over the trailing 6-month period | 7.51% | 10.31% | -2.80% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.56% | 11.49% | -1.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.73% | 14.53% | -3.80% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.55% | 14.66% | -3.11% |
FMF vs. KMLM - Expense Ratio Comparison
FMF has a 0.95% expense ratio, which is higher than KMLM's 0.90% expense ratio.
Dividends
FMF vs. KMLM - Dividend Comparison
FMF's dividend yield for the trailing twelve months is around 5.03%, more than KMLM's 4.45% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
FMF First Trust Managed Futures Strategy Fund | 5.03% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.45% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
FMF and KMLM have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (3.70%) compared to FMF (3.03%). In terms of maximum drawdown, FMF dropped -22.21% vs KMLM's -27.47%.
On 5-year performance, KMLM leads with 5.77% vs 4.42% for FMF. On fees, KMLM is cheaper at 0.90% per year. On volatility, FMF has been the lower-risk option at 3.03%. 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 5.77% return vs 4.42%. 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 0.95% for FMF.
FMF has the higher dividend yield at 5.03%, compared with 4.45% for KMLM.
They also come from different issuers: First Trust and KraneShares. Their fees differ too: 0.95% for FMF and 0.90% for KMLM.
KMLM currently has the higher Sharpe Ratio (1.55 vs 1.53), 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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