JDJIX vs. KMLM

Last updated Jun 4, 2026

JDJIX (JHancock Diversified Macro Fund) and KMLM (KFA Mount Lucas Index Strategy ETF) are both funds - JDJIX is a Macro Trading fund managed by John Hancock, while KMLM is a Long-Short fund actively managed by CICC. Over the past 5 years, JDJIX returned 3.14%/yr vs 4.33%/yr for KMLM. At a 0.47 correlation, their price movements are largely independent. JDJIX charges 1.39%/yr vs 0.90%/yr for KMLM.

Performance

JDJIX vs. KMLM - Performance Comparison

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

Returns By Period

The year-to-date returns for both stocks are quite close, with JDJIX having a 11.06% return and KMLM slightly lower at 10.79%.

JDJIX

• 1D: 0.33%
• 1M: 1.99%
• YTD: 11.06%
• 6M: 10.34%
• 1Y: 8.28%
• 3Y*: 1.80%
• 5Y*: 3.14%
• 10Y*: —

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)

JDJIX vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
JDJIX JHancock Diversified Macro Fund	11.06%	-7.68%	2.59%	2.77%	12.26%	-2.19%	1.60%
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 JDJIX and KMLM is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.43
Correlation (3Y) Calculated over the trailing 3-year period	0.41
Correlation (5Y) Calculated over the trailing 5-year period	0.47
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020	0.47

Return for Risk

JDJIX vs. KMLM — Risk / Return Rank

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

JDJIX

JDJIX Risk / Return Rank: 19
JDJIX Sharpe Ratio Rank: 21
JDJIX Sortino Ratio Rank: 20
JDJIX Omega Ratio Rank: 21
JDJIX Calmar Ratio Rank: 18
JDJIX Martin Ratio Rank: 14

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.

JDJIX vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JHancock Diversified Macro Fund (JDJIX) 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.

	JDJIX	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	1.30	1.20	+0.10
Sortino ratio: Return per unit of downside risk	1.86	1.68	+0.18
Omega ratio: Gain probability vs. loss probability	1.24	1.22	+0.02
Calmar ratio: Return relative to maximum drawdown	1.54	2.18	-0.64
Martin ratio: Return relative to average drawdown	4.09	7.18	-3.09
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JDJIX vs. KMLM - Sharpe Ratio Comparison

The current JDJIX Sharpe Ratio is 1.30, which is comparable to the KMLM Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of JDJIX 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

	JDJIX	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.30	1.20	+0.10
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.36	0.30	+0.06
Sharpe Ratio (All Time) Calculated using the full available price history	0.27	0.49	-0.23

Drawdowns

JDJIX vs. KMLM - Drawdown Comparison

The maximum JDJIX drawdown since its inception was -19.58%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for JDJIX and KMLM.

Drawdown Indicators

	JDJIX	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-19.58%	-27.47%	+7.89%
Max Drawdown (1Y) Largest decline over 1 year	-5.72%	-6.30%	+0.58%
Max Drawdown (3Y) Largest decline over 3 years	-19.58%	-22.28%	+2.70%
Max Drawdown (5Y) Largest decline over 5 years	-19.58%	-27.47%	+7.89%
Current Drawdown Current decline from peak	-9.54%	-13.61%	+4.07%
Average Drawdown Average peak-to-trough decline	-7.39%	-12.74%	+5.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.15%	1.91%	+0.24%

Volatility

JDJIX vs. KMLM - Volatility Comparison

The current volatility for JHancock Diversified Macro Fund (JDJIX) is 1.84%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 4.46%. This indicates that JDJIX 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

	JDJIX	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.84%	4.46%	-2.62%
Volatility (6M) Calculated over the trailing 6-month period	5.21%	9.63%	-4.42%
Volatility (1Y) Calculated over the trailing 1-year period	6.77%	11.43%	-4.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.87%	14.62%	-5.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.13%	14.73%	-5.60%

JDJIX vs. KMLM - Expense Ratio Comparison

JDJIX has a 1.39% expense ratio, which is higher than KMLM's 0.90% expense ratio.

Dividends

JDJIX vs. KMLM - Dividend Comparison

JDJIX's dividend yield for the trailing twelve months is around 0.28%, less than KMLM's 4.53% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
JDJIX JHancock Diversified Macro Fund	0.28%	0.31%	0.43%	3.99%	11.26%	3.46%	2.11%	3.79%
KMLM KFA Mount Lucas Index Strategy ETF	4.53%	5.02%	0.82%	0.00%	13.22%	6.94%	0.00%	0.00%

Frequently Asked Questions

Can I hold both JDJIX and KMLM in my portfolio?

JDJIX and KMLM have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JDJIX or KMLM?

KMLM has higher volatility (4.46%) compared to JDJIX (1.84%). In terms of maximum drawdown, JDJIX dropped -19.58% vs KMLM's -27.47%.

Which has better risk-adjusted returns?

JDJIX currently has the higher Sharpe Ratio (1.30 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.