IMF vs. KMLM

Last updated Jun 24, 2026

IMF (Invesco Managed Futures Strategy ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both Systematic Trend funds. IMF is actively managed, while KMLM is passively managed. Over the past year, IMF returned 20.19% vs 12.95% for KMLM. A 0.57 correlation means they provide meaningful diversification when combined. IMF charges 0.65%/yr vs 0.90%/yr for KMLM.

Performance

IMF vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Managed Futures Strategy ETF (IMF) 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, IMF achieves a 11.36% return, which is significantly higher than KMLM's 6.97% return.

IMF

• 1D: -0.87%
• 1M: -2.28%
• YTD: 11.36%
• 6M: 11.56%
• 1Y: 20.19%
• 3Y*: —
• 5Y*: —
• 10Y*: —

KMLM

• 1D: -0.79%
• 1M: -4.98%
• YTD: 6.97%
• 6M: 6.95%
• 1Y: 12.95%
• 3Y*: -0.70%
• 5Y*: 4.34%
• 10Y*: —

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

IMF vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025
IMF Invesco Managed Futures Strategy ETF	11.36%	-8.17%
KMLM KFA Mount Lucas Index Strategy ETF	6.97%	0.12%

Correlation

The correlation between IMF and KMLM is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.58
Correlation (All Time) Calculated using the full available price history since Mar 19, 2025	0.57

The correlation between IMF and KMLM has been stable across timeframes, ranging from 0.57 to 0.58 - a consistent structural relationship.

Return for Risk

IMF vs. KMLM — Risk / Return Rank

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

IMF

IMF Risk / Return Rank: 73
IMF Sharpe Ratio Rank: 63
IMF Sortino Ratio Rank: 57
IMF Omega Ratio Rank: 70
IMF Calmar Ratio Rank: 92
IMF Martin Ratio Rank: 84

KMLM

KMLM Risk / Return Rank: 33
KMLM Sharpe Ratio Rank: 33
KMLM Sortino Ratio Rank: 31
KMLM Omega Ratio Rank: 32
KMLM Calmar Ratio Rank: 33
KMLM Martin Ratio Rank: 37

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.

IMF vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Managed Futures Strategy ETF (IMF) 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.

	IMF	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	1.95	1.16	+0.79
Sortino ratio: Return per unit of downside risk	2.53	1.61	+0.93
Omega ratio: Gain probability vs. loss probability	1.38	1.21	+0.17
Calmar ratio: Return relative to maximum drawdown	5.65	1.62	+4.03
Martin ratio: Return relative to average drawdown	16.14	5.47	+10.67

IMF vs. KMLM - Sharpe Ratio Comparison

The current IMF Sharpe Ratio is 1.95, which is higher than the KMLM Sharpe Ratio of 1.16. The chart below compares the historical Sharpe Ratios of IMF 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

IMF vs. KMLM - Drawdown Comparison

The maximum IMF drawdown since its inception was -15.29%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for IMF and KMLM.

Drawdown Indicators

	IMF	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-15.29%	-27.47%	+12.18%
Max Drawdown (1Y) Largest decline over 1 year	-3.59%	-8.04%	+4.45%
Max Drawdown (3Y) Largest decline over 3 years	—	-22.28%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-27.47%	—
Current Drawdown Current decline from peak	-3.18%	-16.59%	+13.41%
Average Drawdown Average peak-to-trough decline	-8.30%	-12.76%	+4.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.25%	2.37%	-1.12%

Volatility

IMF vs. KMLM - Volatility Comparison

The current volatility for Invesco Managed Futures Strategy ETF (IMF) is 2.58%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 2.95%. This indicates that IMF 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.

Volatility by Period

	IMF	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.58%	2.95%	-0.37%
Volatility (6M) Calculated over the trailing 6-month period	9.20%	9.82%	-0.62%
Volatility (1Y) Calculated over the trailing 1-year period	10.43%	11.39%	-0.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.39%	14.57%	-2.18%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.39%	14.69%	-2.30%

IMF vs. KMLM - Expense Ratio Comparison

IMF has a 0.65% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

IMF vs. KMLM - Dividend Comparison

IMF's dividend yield for the trailing twelve months is around 0.91%, less than KMLM's 4.70% yield.

Position	TTM	2025	2024	2023	2022	2021
IMF Invesco Managed Futures Strategy ETF	0.91%	1.01%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.70%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both IMF and KMLM in my portfolio?

IMF and KMLM have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, IMF or KMLM?

KMLM has higher volatility (2.95%) compared to IMF (2.58%). In terms of maximum drawdown, IMF dropped -15.29% vs KMLM's -27.47%.

Which ETF is better, IMF or KMLM?

On 1-year performance, IMF leads with 20.19% vs 12.95% for KMLM. On fees, IMF is cheaper at 0.65% per year. On volatility, IMF has been the lower-risk option at 2.58%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, IMF or KMLM?

Over the 1-year period, IMF has performed better with a 20.19% return vs 12.95%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, IMF or KMLM?

IMF is cheaper with a 0.65% expense ratio, compared with 0.90% for KMLM.

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

KMLM has the higher dividend yield at 4.70%, compared with 0.91% for IMF.

What is the main difference between IMF and KMLM?

They also come from different issuers: Invesco and KraneShares. Their fees differ too: 0.65% for IMF and 0.90% for KMLM.

Which has better risk-adjusted returns?

IMF currently has the higher Sharpe Ratio (1.95 vs 1.16), 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.