JPFP vs. KMLM

Last updated Jun 25, 2026

JPFP (JPMorgan Managed Futures Plus ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both Systematic Trend funds. JPFP is actively managed, while KMLM is passively managed. At a 0.07 correlation, their price movements are largely independent. JPFP charges 0.59%/yr vs 0.90%/yr for KMLM.

Performance

JPFP vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JPMorgan Managed Futures Plus ETF (JPFP) and KFA Mount Lucas Index Strategy ETF (KMLM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

JPFP

• 1D: -1.38%
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

KMLM

• 1D: -1.30%
• 1M: -6.21%
• YTD: 5.59%
• 6M: 5.76%
• 1Y: 10.89%
• 3Y*: -1.13%
• 5Y*: 4.07%
• 10Y*: —

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

JPFP vs. KMLM - Yearly Performance Comparison

	2026 (YTD)
JPFP JPMorgan Managed Futures Plus ETF	-4.11%
KMLM KFA Mount Lucas Index Strategy ETF	-4.20%

Correlation

The correlation between JPFP and KMLM is 0.07, 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 (All Time) Calculated using the full available price history since May 28, 2026	0.07

Return for Risk

JPFP vs. KMLM — Risk / Return Rank

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

JPFP

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

KMLM

KMLM Risk / Return Rank: 28
KMLM Sharpe Ratio Rank: 29
KMLM Sortino Ratio Rank: 26
KMLM Omega Ratio Rank: 27
KMLM Calmar Ratio Rank: 26
KMLM Martin Ratio Rank: 33

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.

JPFP vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JPMorgan Managed Futures Plus ETF (JPFP) 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.

	JPFP	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	—	0.97	—
Sortino ratio: Return per unit of downside risk	—	1.36	—
Omega ratio: Gain probability vs. loss probability	—	1.17	—
Calmar ratio: Return relative to maximum drawdown	—	1.19	—
Martin ratio: Return relative to average drawdown	—	4.46	—

Drawdowns

JPFP vs. KMLM - Drawdown Comparison

The maximum JPFP drawdown since its inception was -5.85%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for JPFP and KMLM.

Drawdown Indicators

	JPFP	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-5.85%	-27.47%	+21.62%
Max Drawdown (1Y) Largest decline over 1 year	—	-9.18%	—
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	-5.85%	-17.67%	+11.82%
Average Drawdown Average peak-to-trough decline	-2.52%	-12.76%	+10.24%
Ulcer Index Depth and duration of drawdowns from previous peaks	—	2.44%	—

Volatility

Volatility by Period

	JPFP	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	3.12%	—
Volatility (6M) Calculated over the trailing 6-month period	—	9.90%	—
Volatility (1Y) Calculated over the trailing 1-year period	22.30%	11.34%	+10.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.30%	14.58%	+7.72%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.30%	14.69%	+7.61%

JPFP vs. KMLM - Expense Ratio Comparison

JPFP has a 0.59% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

JPFP vs. KMLM - Dividend Comparison

JPFP has not paid dividends to shareholders, while KMLM's dividend yield for the trailing twelve months is around 4.76%.

Position	TTM	2025	2024	2023	2022	2021
JPFP JPMorgan Managed Futures Plus ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
KMLM KFA Mount Lucas Index Strategy ETF	4.76%	5.02%	0.82%	0.00%	13.22%	6.94%

Frequently Asked Questions

Can I hold both JPFP and KMLM in my portfolio?

JPFP and KMLM have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, JPFP or KMLM?

On fees, JPFP is cheaper at 0.59% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, JPFP or KMLM?

JPFP is cheaper with a 0.59% expense ratio, compared with 0.90% for KMLM.

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

KMLM has the higher dividend yield at 4.76%, compared with 0.00% for JPFP.

What is the main difference between JPFP and KMLM?

They also come from different issuers: JPMorgan and KraneShares. Their fees differ too: 0.59% for JPFP and 0.90% for KMLM.