KCAI vs. KMLM

Last updated Jun 14, 2026

KCAI (KraneShares China Alpha Index ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - KCAI is a China Equities fund tracking the Qi China Alpha Index, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Both are passively managed. Over the past year, KCAI returned 55.20% vs 13.24% for KMLM. At a 0.00 correlation, their price movements are largely independent. KCAI charges 0.79%/yr vs 0.90%/yr for KMLM.

Performance

KCAI vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KraneShares China Alpha Index ETF (KCAI) 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, KCAI achieves a 7.68% return, which is significantly lower than KMLM's 8.32% return.

KCAI

• 1D: 0.90%
• 1M: 0.71%
• YTD: 7.68%
• 6M: 11.12%
• 1Y: 55.20%
• 3Y*: —
• 5Y*: —
• 10Y*: —

KMLM

• 1D: -0.53%
• 1M: -5.80%
• YTD: 8.32%
• 6M: 9.68%
• 1Y: 13.24%
• 3Y*: -1.51%
• 5Y*: 4.11%
• 10Y*: —

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

KCAI vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
KCAI KraneShares China Alpha Index ETF	7.68%	53.29%	11.36%
KMLM KFA Mount Lucas Index Strategy ETF	8.32%	-2.98%	-3.50%

Correlation

The correlation between KCAI 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 (1Y) Calculated over the trailing 1-year period	0.07
Correlation (All Time) Calculated using the full available price history since Aug 28, 2024	0.00

Return for Risk

KCAI vs. KMLM — Risk / Return Rank

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

KCAI

KCAI Risk / Return Rank: 97
KCAI Sharpe Ratio Rank: 97
KCAI Sortino Ratio Rank: 97
KCAI Omega Ratio Rank: 96
KCAI Calmar Ratio Rank: 98
KCAI Martin Ratio Rank: 97

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: 41
KMLM Martin Ratio Rank: 41

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.

KCAI vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KraneShares China Alpha Index ETF (KCAI) 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.

	KCAI	KMLM	Difference
Sharpe ratio: Return per unit of total volatility	4.11	1.06	+3.05
Sortino ratio: Return per unit of downside risk	5.80	1.49	+4.30
Omega ratio: Gain probability vs. loss probability	1.73	1.19	+0.54
Calmar ratio: Return relative to maximum drawdown	12.91	1.78	+11.13
Martin ratio: Return relative to average drawdown	37.57	5.86	+31.71

KCAI vs. KMLM - Sharpe Ratio Comparison

The current KCAI Sharpe Ratio is 4.11, which is higher than the KMLM Sharpe Ratio of 1.06. The chart below compares the historical Sharpe Ratios of KCAI 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

KCAI vs. KMLM - Drawdown Comparison

The maximum KCAI drawdown since its inception was -25.48%, smaller than the maximum KMLM drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for KCAI and KMLM.

Drawdown Indicators

	KCAI	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-25.48%	-27.47%	+1.99%
Max Drawdown (1Y) Largest decline over 1 year	-4.23%	-6.83%	+2.60%
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	-1.29%	-15.54%	+14.25%
Average Drawdown Average peak-to-trough decline	-7.08%	-12.74%	+5.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.45%	2.10%	-0.65%

Volatility

KCAI vs. KMLM - Volatility Comparison

KraneShares China Alpha Index ETF (KCAI) has a higher volatility of 3.87% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 3.35%. This indicates that KCAI'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

	KCAI	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.87%	3.35%	+0.52%
Volatility (6M) Calculated over the trailing 6-month period	8.44%	9.77%	-1.33%
Volatility (1Y) Calculated over the trailing 1-year period	13.33%	11.50%	+1.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.04%	14.62%	+6.42%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.04%	14.71%	+6.33%

KCAI vs. KMLM - Expense Ratio Comparison

KCAI has a 0.79% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

KCAI vs. KMLM - Dividend Comparison

KCAI's dividend yield for the trailing twelve months is around 32.90%, more than KMLM's 4.64% yield.

Position	TTM	2025	2024	2023	2022	2021
KCAI KraneShares China Alpha Index ETF	32.90%	35.42%	2.19%	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

Can I hold both KCAI and KMLM in my portfolio?

KCAI 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 is riskier, KCAI or KMLM?

KCAI has higher volatility (3.87%) compared to KMLM (3.35%). In terms of maximum drawdown, KCAI dropped -25.48% vs KMLM's -27.47%.

Which ETF is better, KCAI or KMLM?

On 1-year performance, KCAI leads with 55.20% vs 13.24% for KMLM. On fees, KCAI is cheaper at 0.79% per year. On volatility, KMLM has been the lower-risk option at 3.35%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KCAI or KMLM?

Over the 1-year period, KCAI has performed better with a 55.20% return vs 13.24%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KCAI or KMLM?

KCAI is cheaper with a 0.79% expense ratio, compared with 0.90% for KMLM.

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

KCAI has the higher dividend yield at 32.90%, compared with 4.64% for KMLM.

What is the main difference between KCAI and KMLM?

KCAI is categorized as China Equities, while KMLM is Systematic Trend. KCAI tracks Qi China Alpha Index, while KMLM tracks KFA MLM Index. Their fees differ too: 0.79% for KCAI and 0.90% for KMLM.

Which has better risk-adjusted returns?

KCAI currently has the higher Sharpe Ratio (4.11 vs 1.06), 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.