GLDM vs. KMLM

Last updated Jun 23, 2026

GLDM (SPDR Gold MiniShares Trust) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - GLDM is a Gold fund tracking the LBMA Gold Price PM, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, GLDM returned 18.61%/yr vs 4.70%/yr for KMLM. At a correlation of -0.03, they often move in opposite directions. GLDM charges 0.10%/yr vs 0.90%/yr for KMLM.

Performance

GLDM vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Gold MiniShares Trust (GLDM) 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, GLDM achieves a -2.87% return, which is significantly lower than KMLM's 7.82% return.

GLDM

• 1D: -0.62%
• 1M: -7.05%
• YTD: -2.87%
• 6M: -5.63%
• 1Y: 24.39%
• 3Y*: 29.61%
• 5Y*: 18.61%
• 10Y*: —

KMLM

• 1D: 0.58%
• 1M: -4.23%
• YTD: 7.82%
• 6M: 7.66%
• 1Y: 15.91%
• 3Y*: -0.44%
• 5Y*: 4.70%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

GLDM vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
GLDM SPDR Gold MiniShares Trust	-2.87%	64.20%	27.08%	13.04%	-0.47%	-4.01%	4.81%
KMLM KFA Mount Lucas Index Strategy ETF	7.82%	-2.98%	-1.69%	-5.66%	30.61%	7.04%	5.74%

Correlation

The correlation between GLDM and KMLM is 0.11, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.11
Correlation (3Y) Calculated over the trailing 3-year period	0.06
Correlation (5Y) Calculated over the trailing 5-year period	-0.05
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020	-0.03

The correlation between GLDM and KMLM shifts across timeframes, from -0.05 (5 years) to 0.11 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

GLDM vs. KMLM — Risk / Return Rank

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

GLDM

GLDM Risk / Return Rank: 24
GLDM Sharpe Ratio Rank: 26
GLDM Sortino Ratio Rank: 23
GLDM Omega Ratio Rank: 28
GLDM Calmar Ratio Rank: 22
GLDM Martin Ratio Rank: 23

KMLM

KMLM Risk / Return Rank: 41
KMLM Sharpe Ratio Rank: 41
KMLM Sortino Ratio Rank: 39
KMLM Omega Ratio Rank: 39
KMLM Calmar Ratio Rank: 41
KMLM Martin Ratio Rank: 44

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.

GLDM vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Gold MiniShares Trust (GLDM) 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.

	GLDM	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	0.90	1.41	-0.51
Sortino ratio: Return per unit of downside risk	1.26	1.94	-0.68
Omega ratio: Gain probability vs. loss probability	1.19	1.25	-0.07
Calmar ratio: Return relative to maximum drawdown	1.01	1.99	-0.98
Martin ratio: Return relative to average drawdown	2.74	6.87	-4.13

GLDM vs. KMLM - Sharpe Ratio Comparison

The current GLDM Sharpe Ratio is 0.90, which is lower than the KMLM Sharpe Ratio of 1.41. The chart below compares the historical Sharpe Ratios of GLDM 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.

Drawdowns

GLDM vs. KMLM - Drawdown Comparison

The maximum GLDM drawdown since its inception was -24.35%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for GLDM and KMLM.

Drawdown Indicators

	GLDM	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-24.35%	-27.47%	+3.12%
Max Drawdown (1Y) Largest decline over 1 year	-24.35%	-8.04%	-16.31%
Max Drawdown (3Y) Largest decline over 3 years	-24.35%	-22.28%	-2.07%
Max Drawdown (5Y) Largest decline over 5 years	-24.35%	-27.47%	+3.12%
Current Drawdown Current decline from peak	-22.34%	-15.93%	-6.41%
Average Drawdown Average peak-to-trough decline	-6.31%	-12.75%	+6.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	8.92%	2.32%	+6.60%

Volatility

GLDM vs. KMLM - Volatility Comparison

SPDR Gold MiniShares Trust (GLDM) has a higher volatility of 8.02% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.95%. This indicates that GLDM'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.

Volatility by Period

	GLDM	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.02%	2.95%	+5.07%
Volatility (6M) Calculated over the trailing 6-month period	24.15%	9.80%	+14.35%
Volatility (1Y) Calculated over the trailing 1-year period	27.34%	11.38%	+15.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.13%	14.58%	+3.55%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.01%	14.69%	+2.32%

GLDM vs. KMLM - Expense Ratio Comparison

GLDM has a 0.10% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

GLDM vs. KMLM - Dividend Comparison

GLDM has not paid dividends to shareholders, while KMLM's dividend yield for the trailing twelve months is around 4.66%.

Position	TTM	2025	2024	2023	2022	2021
GLDM SPDR Gold MiniShares Trust	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.66%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both GLDM and KMLM in my portfolio?

GLDM and KMLM have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GLDM or KMLM?

GLDM has higher volatility (8.02%) compared to KMLM (2.95%). In terms of maximum drawdown, GLDM dropped -24.35% vs KMLM's -27.47%.

Which ETF is better, GLDM or KMLM?

On 5-year performance, GLDM leads with 18.61% vs 4.70% for KMLM. On fees, GLDM is cheaper at 0.10% per year. On volatility, KMLM has been the lower-risk option at 2.95%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, GLDM or KMLM?

Over the 5-year period, GLDM has performed better with a 18.61% return vs 4.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, GLDM or KMLM?

GLDM is cheaper with a 0.10% expense ratio, compared with 0.90% for KMLM.

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

KMLM has the higher dividend yield at 4.66%, compared with 0.00% for GLDM.

What is the main difference between GLDM and KMLM?

GLDM is categorized as Gold, while KMLM is Systematic Trend. GLDM tracks LBMA Gold Price PM, while KMLM tracks KFA MLM Index. They also come from different issuers: State Street and KraneShares. Their fees differ too: 0.10% for GLDM and 0.90% for KMLM.

Which has better risk-adjusted returns?

KMLM currently has the higher Sharpe Ratio (1.41 vs 0.90), 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.