KEMX vs. KMLM

Last updated Jun 4, 2026

KEMX (KraneShares MSCI Emerging Markets ex China Index ETF) and KMLM (KFA Mount Lucas Index Strategy ETF) are both exchange-traded funds - KEMX is a Foreign Large Cap Equities fund tracking the MSCI Emerging Markets ex China Index, while KMLM is a Long-Short fund actively managed by CICC. KEMX is passively managed, while KMLM is actively managed. Over the past 5 years, KEMX returned 13.52%/yr vs 4.33%/yr for KMLM. At a correlation of -0.08, they often move in opposite directions. KEMX charges 0.25%/yr vs 0.90%/yr for KMLM.

Performance

KEMX vs. KMLM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in KraneShares MSCI Emerging Markets ex China Index ETF (KEMX) 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, KEMX achieves a 42.26% return, which is significantly higher than KMLM's 10.79% return.

KEMX

• 1D: -1.31%
• 1M: 13.02%
• YTD: 42.26%
• 6M: 47.92%
• 1Y: 79.97%
• 3Y*: 29.66%
• 5Y*: 13.52%
• 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)

KEMX vs. KMLM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
KEMX KraneShares MSCI Emerging Markets ex China Index ETF	42.26%	38.28%	0.36%	20.57%	-19.35%	10.55%	7.17%
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 KEMX and KMLM is -0.02, 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	-0.02
Correlation (3Y) Calculated over the trailing 3-year period	-0.01
Correlation (5Y) Calculated over the trailing 5-year period	-0.10
Correlation (All Time) Calculated using the full available price history since Dec 3, 2020	-0.08

Return for Risk

KEMX vs. KMLM — Risk / Return Rank

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

KEMX

KEMX Risk / Return Rank: 91
KEMX Sharpe Ratio Rank: 93
KEMX Sortino Ratio Rank: 91
KEMX Omega Ratio Rank: 92
KEMX Calmar Ratio Rank: 88
KEMX Martin Ratio Rank: 90

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.

KEMX vs. KMLM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for KraneShares MSCI Emerging Markets ex China Index ETF (KEMX) 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.

	KEMX	KMLM	Difference
Sharpe ratio Return per unit of total volatility	3.59	1.20	+2.39
Sortino ratio Return per unit of downside risk	4.31	1.68	+2.63
Omega ratio Gain probability vs. loss probability	1.62	1.22	+0.40
Calmar ratio Return relative to maximum drawdown	5.24	2.18	+3.05
Martin ratio Return relative to average drawdown	20.86	7.18	+13.68
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

KEMX vs. KMLM - Sharpe Ratio Comparison

The current KEMX Sharpe Ratio is 3.59, which is higher than the KMLM Sharpe Ratio of 1.20. The chart below compares the historical Sharpe Ratios of KEMX 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

	KEMX	KMLM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.59	1.20	+2.39
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.75	0.30	+0.45
Sharpe Ratio (All Time) Calculated using the full available price history	0.68	0.49	+0.19

Drawdowns

KEMX vs. KMLM - Drawdown Comparison

The maximum KEMX drawdown since its inception was -38.80%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for KEMX and KMLM.

Drawdown Indicators

	KEMX	KMLM	Difference
Max Drawdown Largest peak-to-trough decline	-38.80%	-27.47%	-11.33%
Max Drawdown (1Y) Largest decline over 1 year	-15.36%	-6.30%	-9.06%
Max Drawdown (3Y) Largest decline over 3 years	-19.62%	-22.28%	+2.66%
Max Drawdown (5Y) Largest decline over 5 years	-30.85%	-27.47%	-3.38%
Current Drawdown Current decline from peak	-1.31%	-13.61%	+12.30%
Average Drawdown Average peak-to-trough decline	-8.86%	-12.74%	+3.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.85%	1.91%	+1.94%

Volatility

KEMX vs. KMLM - Volatility Comparison

KraneShares MSCI Emerging Markets ex China Index ETF (KEMX) has a higher volatility of 9.86% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 4.46%. This indicates that KEMX'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

	KEMX	KMLM	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.86%	4.46%	+5.40%
Volatility (6M) Calculated over the trailing 6-month period	19.90%	9.63%	+10.27%
Volatility (1Y) Calculated over the trailing 1-year period	22.40%	11.43%	+10.97%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.21%	14.62%	+3.59%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.94%	14.73%	+6.21%

KEMX vs. KMLM - Expense Ratio Comparison

KEMX has a 0.25% expense ratio, which is lower than KMLM's 0.90% expense ratio.

Dividends

KEMX vs. KMLM - Dividend Comparison

KEMX's dividend yield for the trailing twelve months is around 2.31%, less than KMLM's 4.53% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
KEMX KraneShares MSCI Emerging Markets ex China Index ETF	2.31%	3.28%	3.39%	2.00%	4.10%	4.79%	1.69%	2.77%
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 KEMX and KMLM in my portfolio?

KEMX and KMLM have a correlation of -0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KEMX or KMLM?

KEMX has higher volatility (9.86%) compared to KMLM (4.46%). In terms of maximum drawdown, KEMX dropped -38.80% vs KMLM's -27.47%.

Which ETF is better, KEMX or KMLM?

On 5-year performance, KEMX leads with 13.52% vs 4.33% for KMLM. On fees, KEMX is cheaper at 0.25% per year. On volatility, KMLM has been the lower-risk option at 4.46%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KEMX or KMLM?

Over the 5-year period, KEMX has performed better with a 13.52% return vs 4.33%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KEMX or KMLM?

KEMX is cheaper with a 0.25% expense ratio, compared with 0.90% for KMLM.

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

KMLM has the higher dividend yield at 4.53%, compared with 2.31% for KEMX.

What is the main difference between KEMX and KMLM?

KEMX is categorized as Foreign Large Cap Equities, while KMLM is Long-Short. Their fees differ too: 0.25% for KEMX and 0.90% for KMLM.

Which has better risk-adjusted returns?

KEMX currently has the higher Sharpe Ratio (3.59 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.