IWVL.L vs. KMLM
IWVL.L (iShares Edge MSCI World Value Factor UCITS ETF USD (Acc)) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - IWVL.L is a Global Equities fund tracking the MSCI World Enhanced Value Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past 5 years, IWVL.L returned 16.13%/yr vs 4.11%/yr for KMLM. At a correlation of -0.06, they often move in opposite directions. IWVL.L charges 0.25%/yr vs 0.90%/yr for KMLM.
Performance
IWVL.L vs. KMLM - Performance Comparison
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Returns By Period
In the year-to-date period, IWVL.L achieves a 32.97% return, which is significantly higher than KMLM's 8.32% return.
IWVL.L
- 1D
- 3.36%
- 1M
- 6.98%
- YTD
- 32.97%
- 6M
- 35.11%
- 1Y
- 63.09%
- 3Y*
- 28.41%
- 5Y*
- 16.13%
- 10Y*
- 13.36%
KMLM
- 1D
- -0.53%
- 1M
- -5.80%
- YTD
- 8.32%
- 6M
- 9.68%
- 1Y
- 13.24%
- 3Y*
- -1.51%
- 5Y*
- 4.11%
- 10Y*
- —
IWVL.L vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
IWVL.L iShares Edge MSCI World Value Factor UCITS ETF USD (Acc) | 32.97% | 40.42% | 5.13% | 19.53% | -9.79% | 20.11% | 2.11% |
KMLM KFA Mount Lucas Index Strategy ETF | 8.32% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between IWVL.L and KMLM is 0.08, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.07 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.08 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | -0.06 |
The correlation between IWVL.L and KMLM shifts across timeframes, from -0.08 (5 years) to 0.08 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
IWVL.L vs. KMLM — Risk / Return Rank
IWVL.L
KMLM
IWVL.L vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Edge MSCI World Value Factor UCITS ETF USD (Acc) (IWVL.L) 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.
| IWVL.L | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.77 | ||
| Sortino ratioReturn per unit of downside risk | +3.82 | ||
| Omega ratioGain probability vs. loss probability | 1.68 | 1.19 | +0.49 |
| Calmar ratioReturn relative to maximum drawdown | 7.10 | 1.78 | +5.31 |
| Martin ratioReturn relative to average drawdown | 25.90 | 5.86 | +20.04 |
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Drawdowns
IWVL.L vs. KMLM - Drawdown Comparison
The maximum IWVL.L drawdown since its inception was -39.30%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for IWVL.L and KMLM.
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Drawdown Indicators
| IWVL.L | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.30% | -27.47% | -11.83% |
Max Drawdown (1Y)Largest decline over 1 year | -8.74% | -6.83% | -1.91% |
Max Drawdown (3Y)Largest decline over 3 years | -14.46% | -22.28% | +7.82% |
Max Drawdown (5Y)Largest decline over 5 years | -26.55% | -27.47% | +0.92% |
Max Drawdown (10Y)Largest decline over 10 years | -39.30% | — | — |
Current DrawdownCurrent decline from peak | -1.88% | -15.54% | +13.66% |
Average DrawdownAverage peak-to-trough decline | -7.48% | -12.74% | +5.26% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.40% | 2.10% | +0.30% |
Volatility
IWVL.L vs. KMLM - Volatility Comparison
iShares Edge MSCI World Value Factor UCITS ETF USD (Acc) (IWVL.L) has a higher volatility of 6.99% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.35%. This indicates that IWVL.L'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
| IWVL.L | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.99% | 3.35% | +3.64% |
Volatility (6M)Calculated over the trailing 6-month period | 13.69% | 9.77% | +3.92% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.20% | 11.50% | +4.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.15% | 14.62% | +1.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.05% | 14.71% | +2.34% |
IWVL.L vs. KMLM - Expense Ratio Comparison
IWVL.L has a 0.25% expense ratio, which is lower than KMLM's 0.90% expense ratio.
Dividends
IWVL.L vs. KMLM - Dividend Comparison
IWVL.L has not paid dividends to shareholders, while KMLM's dividend yield for the trailing twelve months is around 4.64%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
IWVL.L iShares Edge MSCI World Value Factor UCITS ETF USD (Acc) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.64% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% |
Frequently Asked Questions
IWVL.L and KMLM have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, IWVL.L is cheaper at 0.25% per year. The better choice depends on whether you care most about return, fees, risk, or income.
IWVL.L is cheaper with a 0.25% expense ratio, compared with 0.90% for KMLM.
IWVL.L is categorized as Global Equities, while KMLM is Systematic Trend. IWVL.L tracks MSCI World Enhanced Value Index, while KMLM tracks KFA MLM Index. They also come from different issuers: iShares and KraneShares. Their fees differ too: 0.25% for IWVL.L and 0.90% for KMLM.
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