GCC vs. KMLM

Last updated Jun 4, 2026

GCC (WisdomTree Enhanced Commodity Strategy Fund) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - GCC is a Commodities fund actively managed by WisdomTree, while KMLM is a Long-Short fund actively managed by CICC. Both are actively managed. Over the past 5 years, GCC returned 11.48%/yr vs 4.33%/yr for KMLM. At a 0.20 correlation, their price movements are largely independent. GCC charges 0.55%/yr vs 0.90%/yr for KMLM.

Performance

GCC vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Enhanced Commodity Strategy Fund (GCC) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GCC achieves a 18.63% return, which is significantly higher than KMLM's 10.79% return.

GCC

• 1D: -0.48%
• 1M: -1.53%
• YTD: 18.63%
• 6M: 21.66%
• 1Y: 37.16%
• 3Y*: 19.03%
• 5Y*: 11.48%
• 10Y*: 6.84%

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)

GCC vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
GCC WisdomTree Enhanced Commodity Strategy Fund	18.63%	20.01%	15.13%	-3.72%	7.74%	19.96%	3.98%
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 GCC and KMLM is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.44
Correlation (3Y) Calculated over the trailing 3-year period	0.14
Correlation (5Y) Calculated over the trailing 5-year period	0.16
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020	0.20

Over the past year, GCC and KMLM have become more correlated (0.44) than their long-term average of 0.20, meaning their price movements have been converging.

Return for Risk

GCC vs. KMLM — Risk / Return Rank

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

GCC

GCC Risk / Return Rank: 67
GCC Sharpe Ratio Rank: 67
GCC Sortino Ratio Rank: 56
GCC Omega Ratio Rank: 69
GCC Calmar Ratio Rank: 73
GCC Martin Ratio Rank: 71

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.

GCC vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Enhanced Commodity Strategy Fund (GCC) 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.

	GCC	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	2.24	1.20	+1.04
Sortino ratio: Return per unit of downside risk	2.72	1.68	+1.04
Omega ratio: Gain probability vs. loss probability	1.42	1.22	+0.20
Calmar ratio: Return relative to maximum drawdown	3.64	2.18	+1.46
Martin ratio: Return relative to average drawdown	13.42	7.18	+6.24
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GCC vs. KMLM - Sharpe Ratio Comparison

The current GCC Sharpe Ratio is 2.24, which is higher than the KMLM Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of GCC and KMLM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GCC	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.24	1.20	+1.04
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.68	0.30	+0.38
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.46	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.08	0.49	-0.41

Drawdowns

GCC vs. KMLM - Drawdown Comparison

The maximum GCC drawdown since its inception was -63.19%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for GCC and KMLM.

Drawdown Indicators

	GCC	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-63.19%	-27.47%	-35.72%
Max Drawdown (1Y) Largest decline over 1 year	-10.25%	-6.30%	-3.95%
Max Drawdown (3Y) Largest decline over 3 years	-11.22%	-22.28%	+11.06%
Max Drawdown (5Y) Largest decline over 5 years	-27.07%	-27.47%	+0.40%
Max Drawdown (10Y) Largest decline over 10 years	-32.93%	—	—
Current Drawdown Current decline from peak	-5.29%	-13.61%	+8.32%
Average Drawdown Average peak-to-trough decline	-34.91%	-12.74%	-22.17%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.78%	1.91%	+0.87%

Volatility

GCC vs. KMLM - Volatility Comparison

WisdomTree Enhanced Commodity Strategy Fund (GCC) and KFA Mount Lucas Index Strategy ETF (KMLM) have volatilities of 4.53% and 4.46%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GCC	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.53%	4.46%	+0.07%
Volatility (6M) Calculated over the trailing 6-month period	14.76%	9.63%	+5.13%
Volatility (1Y) Calculated over the trailing 1-year period	16.63%	11.43%	+5.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.93%	14.62%	+2.31%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.77%	14.73%	+0.04%

GCC vs. KMLM - Expense Ratio Comparison

GCC has a 0.55% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

GCC vs. KMLM - Dividend Comparison

GCC's dividend yield for the trailing twelve months is around 5.60%, more than KMLM's 4.53% yield.

Position	TTM	2025	2024	2023	2022	2021
GCC WisdomTree Enhanced Commodity Strategy Fund	5.60%	6.64%	3.51%	3.68%	22.49%	9.76%
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 GCC and KMLM in my portfolio?

GCC and KMLM have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GCC or KMLM?

GCC has higher volatility (4.53%) compared to KMLM (4.46%). In terms of maximum drawdown, GCC dropped -63.19% vs KMLM's -27.47%.

Which ETF is better, GCC or KMLM?

On 5-year performance, GCC leads with 11.48% vs 4.33% for KMLM. On fees, GCC is cheaper at 0.55% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, GCC or KMLM?

Over the 5-year period, GCC has performed better with a 11.48% return vs 4.33%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, GCC or KMLM?

GCC is cheaper with a 0.55% expense ratio, compared with 0.90% for KMLM.

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

GCC has the higher dividend yield at 5.60%, compared with 4.53% for KMLM.

What is the main difference between GCC and KMLM?

GCC is categorized as Commodities, while KMLM is Long-Short. They also come from different issuers: WisdomTree and CICC. Their fees differ too: 0.55% for GCC and 0.90% for KMLM.

Which has better risk-adjusted returns?

GCC currently has the higher Sharpe Ratio (2.24 vs 1.20), 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.